Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2018 | Oct. 31, 2018 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q3 | |
Trading Symbol | NLY | |
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | |
Entity Central Index Key | 1,043,219 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 1,313,722,699 |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
ASSETS | |||
Cash and cash equivalents (includes pledged assets $924,891 and $579,213, respectively) | $ 1,082,747 | $ 706,589 | |
Securities (includes pledged assets of $84,613,575 and $84,752,790, respectively) | 91,338,611 | 92,563,572 | |
Loans (includes pledged assets of $2,519,340 and $1,811,062, respectively) | 4,224,203 | 2,999,148 | |
Mortgage servicing rights (includes pledged assets of $2,958 and $5,224, respectively) | 588,833 | 580,860 | |
Assets transferred or pledged to securitization vehicles | 4,287,821 | 3,306,133 | |
Real estate, net | 753,014 | 485,953 | |
Derivative assets | 404,841 | 313,885 | |
Reverse repurchase agreements | 1,234,704 | 0 | |
Receivable for unsettled trades | 1,266,840 | 1,232 | |
Interest receivable | 347,278 | 323,526 | |
Goodwill and intangible assets, net | 103,043 | 95,035 | |
Other assets | 329,868 | 384,117 | |
Total assets | 105,961,803 | 101,760,050 | [1] |
Liabilities: | |||
Repurchase agreements | 79,073,026 | 77,696,343 | |
Other secured financing | 4,108,547 | 3,837,528 | |
Debt issued by securitization vehicles | 3,799,542 | 2,971,771 | |
Mortgages payable | 511,588 | 309,686 | |
Derivative liabilities | 379,794 | 607,854 | |
Payable for unsettled trades | 2,505,428 | 656,581 | |
Interest payable | 399,605 | 253,068 | |
Dividends payable | 102,811 | 347,876 | |
Other liabilities | 125,606 | 207,770 | |
Total liabilities | 91,005,947 | 86,888,477 | [1] |
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 | [1] |
Common stock, par value $0.01 per share, 1,924,050,000 and 1,929,300,000 authorized, 1,303,079,555 and 1,159,585,078 issued and outstanding, respectively | 13,031 | 11,596 | |
Additional paid-in capital | 18,793,706 | 17,221,265 | |
Accumulated other comprehensive income (loss) | (3,822,956) | (1,126,020) | |
Accumulated deficit | (1,811,955) | (2,961,749) | |
Total stockholders’ equity | 14,949,994 | 14,865,473 | |
Noncontrolling interests | 5,862 | 6,100 | |
Total equity | 14,955,856 | 14,871,573 | |
Total liabilities and equity | 105,961,803 | 101,760,050 | |
Mortgage-backed securities, including pledged assets | 91,338,611 | 92,563,572 | |
Consolidated VIEs | |||
ASSETS | |||
Cash and cash equivalents (includes pledged assets $924,891 and $579,213, respectively) | 28,400 | 42,300 | |
Consolidated VIEs | Consolidation, Eliminations | |||
Stockholders’ Equity: | |||
Mortgage-backed securities, including pledged assets | 275,800 | 0 | |
Consolidated VIEs | Non-Agency Mortgage-backed Securities | |||
Stockholders’ Equity: | |||
Mortgage-backed securities, including pledged assets | $ 129,800 | $ 66,300 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2017. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Statement of Financial Position [Abstract] | ||
Cash pledged as collateral | $ 924,891 | $ 579,213 |
Securities, pledged assets | 84,613,575 | 84,752,790 |
Loans, pledged assets | 2,519,340 | 1,811,062 |
Mortgage servicing rights, pledged assets | $ 2,958 | $ 5,224 |
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Cumulative redeemable preferred stock, shares authorized (in shares) | 75,950,000 | 70,700,000 |
Cumulative redeemable preferred stock, shares issued (in shares) | 73,400,000 | 70,700,000 |
Cumulative redeemable preferred stock, shares outstanding (in shares) | 73,400,000 | 70,700,000 |
Common Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock, shares authorized (in shares) | 1,924,050,000 | 1,929,300,000 |
Common Stock, shares issued (in shares) | 1,303,079,555 | 1,159,585,078 |
Common Stock, shares outstanding (in shares) | 1,303,079,555 | 1,159,585,078 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 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 | 0 | 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 (in dollars per share) | $ 0.29 | $ 0.31 | $ 1.88 | $ 0.72 | |
Diluted (in dollars per share) | $ 0.29 | $ 0.31 | $ 1.88 | $ 0.72 | |
Weighted average number of common shares outstanding: | |||||
Basic (in shares) | 1,202,353,851 | 1,072,566,395 | 1,174,292,701 | 1,037,033,076 | |
Diluted (in shares) | 1,202,353,851 | 1,073,040,637 | 1,174,292,701 | 1,037,445,177 | |
Dividends declared per share of common stock (in dollars per share) | $ 0.3 | $ 0.3 | $ 0.9 | $ 0.9 | |
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 | |
Comprehensive income (loss) attributable to common stockholders | $ (34,606) | 547,810 | $ (484,457) | 1,191,125 | |
Series F Preferred Stock | |||||
Cumulative and undeclared dividends | $ 8,300 | $ 8,300 | |||
[1] | Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017. |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) - USD ($) $ in Thousands | Total | 7.875% Series A Cumulative Redeemable Preferred Stock | 7.625% Series C Cumulative Redeemable Preferred Stock | 7.50% Series D Cumulative Redeemable Preferred Stock | 7.625% Series E Cumulative Redeemable Preferred Stock | 6.95% Series F Cumulative Redeemable Preferred Stock | 6.50% Series G Cumulative Redeemable Preferred Stock | Preferred Stock | Common Stock | Additional paid-in capital | Accumulated other comprehensive income (loss) | Accumulated deficit | Total stockholder’s equity | Noncontrolling interests |
Beginning balance at Dec. 31, 2016 | $ 1,200,559 | $ 10,189 | $ 15,579,342 | $ (1,085,893) | $ (3,136,017) | $ 7,792 | ||||||||
Stock compensation expense | 1,276 | |||||||||||||
Issuance | 696,910 | 690 | 803,464 | |||||||||||
Acquisition of subsidiary | 0 | 0 | 0 | |||||||||||
Redemption of preferred stock | (177,088) | (8,224) | ||||||||||||
Direct purchase and dividend reinvestment | $ 1,949 | 2 | 1,947 | |||||||||||
Unrealized gains (losses) on available-for-sale securities | 397,600 | 397,600 | ||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 48,144 | 48,144 | ||||||||||||
Net income (loss) attributable to Annaly | 822,682 | 822,682 | ||||||||||||
Dividends declared on preferred stock | $ (9,527) | $ (17,157) | $ (25,875) | $ (16,441) | $ 0 | $ 0 | (69,000) | |||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (937,825) | (937,825) | ||||||||||||
Net income (loss) attributable to noncontrolling interests | 437 | (437) | ||||||||||||
Equity contributions from (distributions to) noncontrolling interest | (895) | |||||||||||||
Ending balance at Sep. 30, 2017 | 14,155,218 | 1,720,381 | 10,881 | 16,377,805 | (640,149) | (3,320,160) | $ 14,148,758 | 6,460 | ||||||
Beginning balance at Dec. 31, 2017 | 14,871,573 | 1,720,381 | 11,596 | 17,221,265 | (1,126,020) | (2,961,749) | 6,100 | |||||||
Stock compensation expense | 1,789 | |||||||||||||
Issuance | 411,335 | 1,103 | 1,116,409 | |||||||||||
Acquisition of subsidiary | 55,000 | 330 | 455,613 | |||||||||||
Redemption of preferred stock | (125,000) | (287,500) | (408,548) | (3,952) | ||||||||||
Direct purchase and dividend reinvestment | 2,584 | 2 | 2,582 | |||||||||||
Unrealized gains (losses) on available-for-sale securities | (3,104,218) | (3,104,218) | ||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 407,282 | 407,282 | ||||||||||||
Net income (loss) attributable to Annaly | 2,309,297 | 2,309,297 | ||||||||||||
Dividends declared on preferred stock | $ 0 | $ (10,987) | $ (25,875) | $ (2,253) | $ (37,530) | $ (19,875) | (96,818) | |||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (1,062,685) | (1,062,685) | ||||||||||||
Net income (loss) attributable to noncontrolling interests | 277 | (277) | ||||||||||||
Equity contributions from (distributions to) noncontrolling interest | 39 | |||||||||||||
Ending balance at Sep. 30, 2018 | $ 14,955,856 | $ 1,778,168 | $ 13,031 | $ 18,793,706 | $ (3,822,956) | $ (1,811,955) | $ 14,949,994 | $ 5,862 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 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 | 0 | (2,104) |
Cash paid related to asset acquisition, net of cash acquired | (258,334) | 0 |
Net payment from disposal of subsidiary | 0 | 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 | 0 |
Principal repayments on securitized debt | (614,536) | (334,386) |
Payment of deferred financing cost | 0 | (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 | 0 | (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 |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
DESCRIPTION OF BUSINESS | DESCRIPTION OF BUSINESS Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company is a leading diversified capital manager that invests in and finances residential and commercial assets. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, credit risk transfer (“CRT”) securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans, mortgage servicing rights (“MSRs”), commercial real estate assets and corporate debt. The Company’s principal business objective is to generate net income for distribution to its stockholders and to preserve capital through prudent selection of investments and continuous management of its portfolio. The Company is externally managed by Annaly Management Company LLC (the “Manager”). The Company’s four investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Annaly Residential Credit Group Invests primarily in non-Agency residential mortgage assets within securitized 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. The Company has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
BASIS OF PRESENTATION | BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2017 (the “2017 Form 10-K”). The consolidated financial information as of December 31, 2017 has been derived from audited consolidated financial statements included in the Company’s 2017 Form 10-K. The Company reclassified previously presented financial information to conform to the current presentation. The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year. |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
SIGNIFICANT ACCOUNTING POLICIES | SIGNIFICANT ACCOUNTING POLICIES The Company’s significant accounting policies are described below or are included in the following notes: Notes Note 1. Description of Business Note 9. Real Estate Note 17. Income Taxes Note 2. Basis of Presentation Note 10. Derivative Instruments Note 18. Risk Management Note 3. Significant Accounting Policies Note 11. Fair Value Measurements Note 19. Related Party Transactions Note 4. Financial Instruments Note 12. Goodwill and Intangible Assets, Net Note 20. Lease Commitments and Contingencies Note 5. Securities Note 13. Secured Financing Note 21. Arcola Regulatory Requirements Note 6. Loans Note 14. Capital Stock Note 22. Acquisition of MTGE Investment Corp. Note 7. Mortgage Servicing Rights Note 15. Interest Income and Interest Expense Note 23. Subsequent Events Note 8. Variable Interest Entities Note 16. Net Income (Loss) Per Common Share Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in Real estate, net and Other assets with income or loss included in Other income (loss). Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled $924.9 million and $579.2 million at September 30, 2018 and December 31, 2017 , respectively. Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings. Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. If an item is accounted for at fair value, including financial instruments elected under the FVO, it is presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). The Company made elections to account for the investments at fair value as these elections simplify the accounting. For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurement” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Financing” Note for further discussion on reverse repurchase and repurchase agreements. Derivative Instruments – Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion. Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award. Interest Income - Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). Refer to the “Interest Income and Interest Expense” Note for further discussion on interest income. Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted, or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that are not yet adopted ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While the Company is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. The Company needs to complete the development of an appropriate allowance methodology, assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2017-01 Business Combinations (Topic 805): Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-15 Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. January 1, 2018 As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods. |
FINANCIAL INSTRUMENTS
FINANCIAL INSTRUMENTS | 9 Months Ended |
Sep. 30, 2018 | |
Investments, All Other Investments [Abstract] | |
FINANCIAL INSTRUMENTS | FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at September 30, 2018 and December 31, 2017 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 30, 2018 December 31, 2017 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 88,363,876 $ 89,426,437 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 926,252 1,125,326 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 688,521 651,764 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,173,467 1,097,294 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 162,678 244,636 Securities Commercial real estate debt investments - Conduit CMBS Fair value, with unrealized gains (losses) through earnings 23,817 18,115 Total securities 91,338,611 92,563,572 Loans Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,217,139 958,546 Loans Commercial real estate debt and preferred equity, held for investment Amortized cost 1,435,865 1,029,327 Loans Loans held for sale, net Lower of amortized cost or fair value 42,325 — Loans Corporate debt Amortized cost 1,528,874 1,011,275 Total loans 4,224,203 2,999,148 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 765,876 479,776 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 3,521,945 2,826,357 Total assets transferred or pledged to securitization vehicles 4,287,821 3,306,133 Reverse repurchase agreements Reverse repurchase agreements Amortized cost 1,234,704 — Liabilities Repurchase agreements Repurchase agreements Amortized cost 79,073,026 77,696,343 Other secured financing Loans Amortized cost 4,108,547 3,837,528 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,799,542 2,971,771 Mortgages payable Loans Amortized cost 511,588 309,686 (1) Receivable for unsettled trades, Interest receivable, Dividends payable, Payable for unsettled trades and Interest payable are accounted for at cost. (2) Includes Agency pass-through, CMO and multifamily securities. (3) Includes interest-only securities and reverse mortgages. |
SECURITIES
SECURITIES | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
SECURITIES | SECURITIES The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt are classified as available-for-sale. Available-for-sale securities are carried at fair value with changes in fair value recognized in other comprehensive income unless the fair value option is elected. Transactions for securities are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on disposals of securities are recorded on trade date based on the specific identification method. The Company accounts for equity securities at fair value unless it is accounted for under the equity method of accounting or the measurement alternative for equity securities without readily determinable fair values. Other-Than-Temporary Impairment - Management evaluates available-for-sale securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). There was no other-than-temporary impairment recognized for the three or nine months ended September 30, 2018 and 2017. Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). TBA securities without intent to accept delivery (“TBA derivatives”), are accounted for as derivatives as discussed in the “Derivative Instruments” Note. Credit Risk Transfer Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Commercial Mortgage-Backed Securities (“Commercial Securities”) - Certain commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of Other comprehensive income (loss). Management evaluates such Commercial Securities for other-than-temporary impairment at least quarterly. The Company elected the fair value option on certain Commercial Securities, including conduit commercial mortgage-backed securities, to simplify the accounting where the unrealized gains and losses on these financial instruments are recorded through earnings. Agency mortgage-backed securities, non-agency mortgage-backed securities and CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio. The following represents a rollforward of the activity for the Company’s securities: 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 The following tables present the Company’s securities that were carried at fair value at September 30, 2018 and December 31, 2017 : 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 The following table presents the Company’s Agency mortgage-backed securities portfolio concentration by issuing Agency at September 30, 2018 and December 31, 2017 : 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 Actual maturities of the Company’s Residential Securities portfolio are generally shorter than stated contractual maturities because actual maturities of the portfolio are generally affected by periodic payments and prepayments of principal on underlying mortgages. The following table summarizes the Company’s available-for-sale Residential Securities at September 30, 2018 and December 31, 2017 , according to their estimated weighted average life classifications: September 30, 2018 December 31, 2017 Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost Weighted Average Life (dollars in thousands) Less than one year $ 19,335 $ 19,339 $ 471,977 $ 476,538 Greater than one year through five years 10,442,022 10,737,675 13,838,890 13,925,749 Greater than five years through ten years 79,260,878 83,003,720 77,273,833 78,431,852 Greater than ten years 1,429,881 1,461,134 716,121 708,363 Total $ 91,152,116 $ 95,221,868 $ 92,300,821 $ 93,542,502 The weighted average lives of the Residential Securities at September 30, 2018 and December 31, 2017 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected. The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 . September 30, 2018 December 31, 2017 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 Months $ 46,457,384 $ (1,401,491 ) 2,213 $ 39,878,158 $ (272,234 ) 1,114 12 Months or More 40,098,674 (2,458,708 ) 1,233 39,491,238 (1,011,405 ) 911 Total $ 86,556,058 $ (3,860,199 ) 3,446 $ 79,369,396 $ (1,283,639 ) 2,025 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. During the three and nine months ended September 30, 2018 , the Company disposed of $9.1 billion and $14.5 billion of Residential Securities, resulting in net realized (losses) of ($322.4) million and ($372.5) million , respectively. During the three and nine months ended September 30, 2017, the Company disposed of $6.8 billion and $11.4 billion of Residential Securities, resulting in net realized losses of ($10.2) million and ($14.3) million , respectively. |
LOANS
LOANS | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Loans on Real Estate [Abstract] | |
LOANS | LOANS The Company invests in residential, commercial and corporate loans. Loans are classified as either held for investment or held for sale. Loans are also eligible to be accounted for under the fair value option. As of September 30, 2018 , the Company reported $1.2 billion of loans elected under the fair value option. If loans are held for investment and the fair value option has not been elected, they are accounted for at amortized cost less impairment. If loans are held for sale and the fair value option has not been elected, they are accounted for at the lower of cost or fair value. Loans can be classified as held for investment if the Company has the intent and ability to hold the loan for the foreseeable future or to maturity or payoff. If the Company has the intent and ability to sell loans, they are classified as held for sale. Nonaccrual Status – If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower. The Company did not have any impaired loans or loans in default as all of the loans were performing at September 30, 2018 and December 31, 2017 . There were no allowances for loan losses at September 30, 2018 or December 31, 2017 . Allowance for Losses – The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality , may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectible. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan, economic trends (both macro and those affecting the property specifically), and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The Company did not have any impaired loans, nonaccrual loans, or loans in default in the commercial loan portfolio as all of the loans were performing at September 30, 2018 and December 31, 2017 . As such, no provision for loan losses was deemed necessary at September 30, 2018 or December 31, 2017 . The following table presents the activity of the Company’s loan investments for the nine months ended September 30, 2018 : 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 The carrying value of the Company’s loans held for sale was $42.3 million and $0 at September 30, 2018 and December 31, 2017 , respectively. Residential The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. Additionally, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts. Please refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated Residential Mortgage Loan Trusts. The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at September 30, 2018 and December 31, 2017 : 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 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2018 and 2017 for these investments: Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands) Net interest income $ 16,423 $ 8,226 $ 45,702 $ 18,935 Net gains (losses) on disposal of investments (1) (2,975 ) (2,093 ) (7,924 ) (3,407 ) Net unrealized gains (losses) on instruments measured at fair value through earnings (3,633 ) (725 ) (14,802 ) 5,400 Total included in net income (loss) $ 9,815 $ 5,408 $ 22,976 $ 20,928 (1) Includes loan premium write offs. The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2018 and December 31, 2017 , for the residential mortgage loans, including loans transferred or pledged to securitization trusts: 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 % The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization trusts, at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 Portfolio Range Portfolio Weighted Average Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,500 $494 $1 - $3,663 $514 Interest rate 2.00% - 7.50% 4.74% 1.63% - 7.50% 4.25% Maturity 1/1/2028 - 9/1/2058 1/5/2045 1/1/2028 - 5/1/2057 2/1/2043 FICO score at loan origination 510 - 823 754 468 - 823 748 Loan-to-value ratio at loan origination 11% - 100% 67% 11% - 100% 68% At September 30, 2018 and December 31, 2017 , approximately 54% and 78% , respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization trusts, were adjustable-rate. Commercial The Company’s commercial real estate loans are comprised of fixed-rate and adjustable-rate loans. The Company designates loans as held for investment if it has the intent and ability to hold the loans until maturity or payoff. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less an allowance for losses, if necessary. Origination fees and costs, premiums or discounts are amortized into interest income over the life of the loan. If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, they are classified as held for sale. Commercial real estate loans that are designated as held for sale are carried at the lower of amortized cost or fair value in the accompanying Consolidated Statements of Financial Condition. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of commercial real estate loans held for sale on an individual loan basis. Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses, if necessary. At September 30, 2018 and December 31, 2017 , approximately 87% and 85% , respectively, of the carrying value of the Company’s CRE Debt and Preferred Equity Investments, excluding loans held for sale, was comprised of floating-rate debt investments. On December 11, 2015, the Company originated a $335.0 million recapitalization financing with respect to eight class A/B office properties in Orange County, California. The Company previously classified the senior mortgage loan as held for sale. During the nine months ended September 30, 2017 , the Company sold the remaining balance of $115.0 million ( $114.4 million , net of origination fees) of the senior loan to unrelated third parties at carrying value. Accordingly, no gain or loss was recorded in connection with the sale. At September 30, 2018 and December 31, 2017 , commercial real estate investments held for investment were comprised of the following: September 30, 2018 December 31, 2017 Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) (dollars in thousands) Senior mortgages $ 1,090,849 $ 1,084,167 75.6 % $ 629,143 $ 625,900 60.9 % Mezzanine loans 343,354 342,700 23.8 % 395,015 394,442 38.2 % Preferred equity 9,000 8,998 0.6 % 9,000 8,985 0.9 % Total $ 1,443,203 $ 1,435,865 100.0 % $ 1,033,158 $ 1,029,327 100.0 % (1) Carrying value includes unamortized origination fees of $5.7 million and $3.8 million at September 30, 2018 and December 31, 2017 , respectively. (2) Based on outstanding principal. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at September 30, 2018 and December 31, 2017 : September 30, 2018 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 489,271 45,334 — 534,605 Principal payments (27,565 ) (96,993 ) — (124,558 ) Net (increase) decrease in origination fees (5,400 ) (370 ) — (5,770 ) Amortization of net origination fees 1,961 287 13 2,261 Net carrying value (September 30, 2018) $ 1,084,167 $ 342,700 $ 8,998 $ 1,435,865 December 31, 2017 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance (January 1, 2017) $ 510,071 $ 451,467 $ 8,967 $ 970,505 Originations & advances (principal) 338,242 69,121 — 407,363 Principal payments (221,421 ) (127,799 ) — (349,220 ) Amortization & accretion of (premium) discounts (44 ) 28 — (16 ) Net (increase) decrease in origination fees (3,317 ) (605 ) — (3,922 ) Amortization of net origination fees 2,369 2,230 18 4,617 Net carrying value (December 31, 2017) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of September 30, 2018 and December 31, 2017 . September 30, 2018 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 1,090,849 75.6 % $ 724,111 $ 302,348 $ — $ 64,390 $ — $ — $ 1,090,849 Mezzanine loans 343,354 23.8 % 135,334 64,323 107,094 36,603 — — 343,354 Preferred equity 9,000 0.6 % — — 9,000 — — — 9,000 Total $ 1,443,203 100.0 % $ 859,445 $ 366,671 $ 116,094 $ 100,993 $ — $ — $ 1,443,203 December 31, 2017 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 629,143 60.9 % $ 409,878 $ 115,075 $ 36,800 $ 67,390 $ — $ — $ 629,143 Mezzanine loans 395,015 38.2 % 206,169 66,498 122,348 — — — 395,015 Preferred equity 9,000 0.9 % — — 9,000 — — — 9,000 Total $ 1,033,158 100.0 % $ 616,047 $ 181,573 $ 168,148 $ 67,390 $ — $ — $ 1,033,158 (1) The Company rated two loans as Substandard as of September 30, 2018 . The Company evaluated whether an impairment exists and determined in each case that, based on quantitative and qualitative factors, the Company expects repayment of contractual amounts due. Corporate Debt The Company’s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the effective interest method. These investments typically take the form of senior secured loans primarily in first or second lien positions. The Company’s senior secured loans generally have stated maturities of three to eight years . In connection with these senior secured loans the Company receives a security interest in certain assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to less credit risk than more junior loans given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at September 30, 2018 and December 31, 2017 are as follows: 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 The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at September 30, 2018 and December 31, 2017 . 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 |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 9 Months Ended |
Sep. 30, 2018 | |
Transfers and Servicing [Abstract] | |
MORTGAGE SERVICING RIGHTS | MORTGAGE SERVICING RIGHTS MSRs represent the rights associated with servicing pools of residential mortgage loans. The Company and its subsidiaries do not originate or directly service residential mortgage loans. Rather, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSRs. The Company intends to hold the MSRs as investments and elected to account for all of its investments in MSRs at fair value. As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). The following table presents activity related to MSRs for the three and nine months ended September 30, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands) Fair value, beginning of period $ 599,014 $ 605,653 $ 580,860 $ 652,216 Purchases (1) — (30 ) — (27 ) Other — — — 10 Change in fair value due to: Changes in valuation inputs or assumptions (2) (19,913 ) (19,207 ) (61,011 ) (34,645 ) Other changes, including realization of expected cash flows 9,732 (16,198 ) 68,984 (47,336 ) Fair value, end of period $ 588,833 $ 570,218 $ 588,833 $ 570,218 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to be not acceptable. (2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. For the three and nine months ended September 30, 2018 , the Company recognized $27.7 million and $83.8 million , respectively, and for the three and nine months ended September 30, 2017, the Company recognized $31.9 million and $99.7 million , respectively, of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). The Company also owns variable interests in an entity that invests in MSRs, refer to the “Variable Interest Entities” Note for a detailed discussion on this topic. |
REAL ESTATE
REAL ESTATE | 9 Months Ended |
Sep. 30, 2018 | |
Real Estate [Abstract] | |
REAL ESTATE | REAL ESTATE Real estate investments are carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance which are not reimbursed by tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life. Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years There was no real estate acquired in settlement of residential mortgage loans at September 30, 2018 or December 31, 2017 other than real estate held by securitization trusts that the Company was required to consolidate. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. Real estate investments, including REO, that do not meet the criteria to be classified as held for sale are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded. The Company’s real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property’s value is considered impaired if the Company’s estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property. The Company acquired real estate holdings in connection with the MTGE Acquisition during the three and nine months ended September 30, 2018 ; refer to the “Acquisition of MTGE Investment Corp.” Note for additional information. There were no acquisitions of real estate holdings during the three and nine months ended September 30, 2017 . The Company sold one of its wholly-owned triple net leased properties during the nine months ended September 30, 2017 for $12.0 million and recognized a gain on sale of $5.1 million . The weighted average amortization period for intangible assets and liabilities at September 30, 2018 is 5.0 years . Above market leases and leasehold intangible assets are included in Goodwill and intangible assets, net and below market leases are included in Other liabilities in the Consolidated Statements of Financial Condition. 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 Depreciation expense was $4.5 million and $11.9 million for the three and nine months ended September 30, 2018 , respectively. Depreciation expense was $4.0 million and $11.8 million for the three and nine months ended September 30, 2017 , respectively. Depreciation expense is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). Rental Income The minimum rental amounts due under leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse the Company for certain operating costs. Rental income is included in Other income (loss) in the Company’s Consolidated Statements of Comprehensive Income (Loss). Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at September 30, 2018 for consolidated investments in real estate are as follows: 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 |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 9 Months Ended |
Sep. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | VARIABLE INTEREST ENTITIES The Company has investments in Freddie Mac securitizations (“FREMF Trusts”) which are structured as pass-through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The FREMF Trusts are VIEs and the Company is considered to be the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the Class C Certificates and its current designation as the directing certificate holder. The FREMF Trusts are included in the “Commercial Trusts” in the tables below. The Company purchased approximately $94 million of a subordinated tranche in a securitization trust in 2018. As the directing holder, the Company can remove the special servicer with or without cause as well as direct activities that are considered to be most significant to the economic performance of the trust. As such, the Company was determined to be the primary beneficiary and consolidates the trust. The trust is included in “Commercial Trusts” in the tables below. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the Commercial Trusts in order to avoid an accounting mismatch, and to represent more faithfully the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company applied the practical expedient under ASU 2014-07, whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the Commercial Trusts are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the Commercial Trusts are an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. The Commercial Trusts mortgage loans had an aggregate unpaid principal balance of $3.5 billion at September 30, 2018 . At September 30, 2018 , there were no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or securitized debt securities at September 30, 2018 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. The Company consolidates a securitization trust, which is included in “Residential Trusts” in the tables below, that issued residential mortgage-backed securities that are collateralized by residential mortgage loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns most of the mortgage-backed securities issued by this VIE, including the subordinate securities, and a subsidiary of the Company continues to be the master servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has not elected to apply the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trust are available from third-party pricing services. The contractual principal amount of the residential mortgage trust’s debt held by third parties was $30.4 million at September 30, 2018 . In March 2018, the Company closed OBX 2018-01, with a face value of $327.5 million . In July 2018, the Company closed OBX 2018-EXP1 with a face value of $383.4 million . The OBX 2018-01 Trust and the OBX 2018-EXP1 Trust are referred to collectively as the “OBX Trusts”. These securitizations represent financing transactions which provided non-recourse financing to the Company that is collateralized by residential mortgage loans purchased by the Company. A total of $588.1 million of bonds were issued to third parties and the Company retained $122.5 million of mortgage-backed securities, which are eliminated in consolidation. The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs. The Company has elected the fair value option for the financial assets and liabilities of these VIEs, but has not elected the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trust are available from third-party pricing services. The Company incurred approximately $1.5 million of costs in connection with the OBX 2018-01 securitization and approximately $1.8 million of costs in connection with the OBX 2018-EXP1 securitization that were expensed as incurred during the first quarter ended March 31, 2018 and the third quarter ended September 30, 2018, respectively. The contractual principal amount of the OBX Trusts’ debt held by third parties was $530.1 million at September 30, 2018 . Although the residential mortgage loans have been sold for bankruptcy and state law purposes, the transfers of the residential mortgage loans to the OBX Trusts did not qualify for sale accounting and are reflected as intercompany secured borrowings that are eliminated upon consolidation. In June 2016, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of September 30, 2018 , the borrowing limit on this facility was $400.0 million . The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as collateral manager and because it holds a variable interest in the entity that could potentially be significant to the entity. The Company has pledged as collateral for this facility corporate loans with a carrying amount of $443.6 million at September 30, 2018 . The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At September 30, 2018 , the subsidiary had an intercompany receivable of $300.0 million , which eliminates upon consolidation and an Other secured financing of $300.0 million to the third party financial institution. In July 2017, a consolidated subsidiary of the Company entered into a $150.0 million credit facility with a third party financial institution. The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as servicer and because it holds a variable interest in the entity that could potentially be significant to the entity. The Company has transferred corporate loans to the subsidiary with a carrying amount of $235.6 million at September 30, 2018 , which continue to be reflected in the Company’s Consolidated Statements of Financial Condition in Loans. At September 30, 2018 , the subsidiary had an Other secured financing of $150.0 million to the third party financial institution. The Company also owns variable interests in an entity that invests in MSRs and has structured its operations, funding and capitalization into pools of assets and liabilities, each referred to as a “silo.” Owners of variable interests in a given silo are entitled to all of the returns and subjected to the risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo. While the Company previously held 100% of the voting interests in this entity, in August 2017, the Company sold 100% of such interests, and entered into an agreement with the entity’s affiliated portfolio manager giving the Company the power over the silo in which it owns all of the beneficial interests. As a result, the Company is considered to be the primary beneficiary and consolidates this silo. The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $1.6 billion at September 30, 2018 . Assets of the VIEs may only be used to settle obligations of the VIEs. Creditors of the VIEs have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the VIEs. No gains or losses were recognized upon consolidation of existing VIEs. Interest income and expense are recognized using the effective interest method. The statements of financial condition of the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 28,441 Commercial real estate debt 3,521,945 — — Residential mortgage loans — 107,764 97,825 Mortgage servicing rights — — 588,833 Interest receivable 13,432 555 — Other assets — — 33,522 Total assets $ 3,535,377 $ 108,319 $ 748,621 Liabilities Securitized debt (non-recourse) $ 3,240,043 $ 29,698 $ — Other secured financing — — 70,221 Interest payable 6,383 70 — Other liabilities — 148 2,160 Total liabilities $ 3,246,426 $ 29,916 $ 72,381 December 31, 2017 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 42,293 Commercial real estate debt 2,826,357 — — Residential mortgage loans — 478,811 19,667 Mortgage servicing rights — — 580,860 Interest receivable 10,339 1,599 — Derivative assets — — 1 Other assets — 1,418 32,354 Total assets $ 2,836,696 $ 481,828 $ 675,175 Liabilities Securitized debt (non-recourse) $ 2,620,952 $ 350,819 $ — Other secured financing — — 10,496 Interest payable 4,554 931 — Other liabilities — 112 4,856 Total liabilities $ 2,625,506 $ 351,862 $ 15,352 The statements of comprehensive income (loss) of the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, that are reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2018 and 2017 are as follows: 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 The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, at September 30, 2018 are as follows: 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 % (1) No individual state greater than 5% . |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments that are accounted for at fair value. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1– inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, residential mortgage loans, interest rate swap and swaption markets and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, Commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of securitized debt of consolidated VIEs, refer to the Note titled “Variable Interest Entities” for additional information. The Company classifies its investments in MSRs as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to valuations obtained from third-party pricing providers. Management reviews the valuations received from third-party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSRs requires significant judgment by management and the third-party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. The following tables present the estimated fair values of financial instruments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. September 30, 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 Quantitative Information about Level 3 Fair Value Measurements The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements are described below. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently from changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply. For MSRs, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSRs, which in turn could result in a decline in the estimated fair value of MSRs. Refer to the Note titled “Mortgage Servicing Rights” for additional information. The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. Valuation Technique Unobservable Input (1) September 30, 2018 December 31, 2017 Range (Weighted Average) Discounted cash flow Discount rate 9.0% -12.0% (9.4%) 10.0% -15.0% (10.4%) Prepayment rate 4.5% - 11.3% (7.1%) 4.6% - 22.3% (9.4%) Delinquency rate 0.0% - 5.0% (2.3%) 0.0% - 13.0% (2.2%) Cost to service $82 - $132 ($105) $84 - $181 ($102) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at September 30, 2018 and December 31, 2017 . 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 |
SECURED FINANCING
SECURED FINANCING | 9 Months Ended |
Sep. 30, 2018 | |
Debt Disclosure [Abstract] | |
SECURED FINANCING | SECURED FINANCING Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assesses each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements meet the specified criteria in this guidance. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows. The Company had outstanding $79.1 billion and $77.7 billion of repurchase agreements with weighted average borrowing rates of 2.05% and 1.89% , after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 55 days and 58 days at September 30, 2018 and December 31, 2017 , respectively. At September 30, 2018 and December 31, 2017 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: 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) Approximately 0% and 1% of the total repurchase agreements had a remaining maturity over 1 year at September 30, 2018 and December 31, 2017 , respectively. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. 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 Other Secured Financing - The Company also finances a portion of its financial assets with advances from the Federal Home Loan Bank of Des Moines (“FHLB Des Moines”). Borrowings from FHLB Des Moines are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. At September 30, 2018 , $3.6 billion of the advances matures between one to three years . At December 31, 2017 , $2.1 billion of advances from the FHLB Des Moines matures beyond three years and $1.4 billion matures between one to three years . The weighted average rate of the advances from the FHLB Des Moines was 2.41% and 1.49% at September 30, 2018 and December 31, 2017 , respectively. The Company held $147.9 million of capital stock in the FHLB Des Moines at September 30, 2018 and December 31, 2017 , which is reported at cost and included in Other assets on the Company’s Consolidated Statements of Financial Condition. Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential and senior securitized commercial mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $87.2 billion and $280.7 million , respectively, at September 30, 2018 and $87.0 billion and $267.3 million , respectively, at December 31, 2017 . The fair value of collateral received in connection with reverse repurchase agreements was $482.3 million and $0 as of September 30, 2018 and December 31, 2017 , respectively. The Company did not sell or repledge any of the collateral received as of September 30, 2018 and December 31, 2017 . Mortgages Payable - Mortgages payable at September 30, 2018 and December 31, 2017 , were as follows: September 30, 2018 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 332,317 $ 334,789 2.75% - 4.96% Fixed 2024 - 2029 First liens Tennessee 12,319 12,350 4.01% Fixed 9/6/2019 First liens Virginia 96,266 98,127 2.34% - 4.55% Fixed 2019-2053 First liens Utah (fixed) 7,297 7,218 3.69% Fixed 6/1/2053 First liens Utah (floating) 9,691 9,706 L+3.50% Floating 1/31/2019 First liens Minnesota 13,470 13,506 3.69% Fixed 6/1/2053 First liens Wisconsin 7,911 7,932 3.69% Fixed 6/1/2053 First liens Texas 32,317 33,875 3.28% Fixed 1/1/1953 First liens Total $ 511,588 $ 517,503 December 31, 2017 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 286,373 $ 289,125 4.03% - 4.61% Fixed 2024 and 2025 First liens Tennessee 12,294 12,350 4.01% Fixed 9/6/2019 First liens Virginia 11,019 11,025 3.58% Fixed 6/6/2019 First liens Total $ 309,686 $ 312,500 The following table details future mortgage loan principal payments at September 30, 2018 : 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 |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS | DERIVATIVE INSTRUMENTS Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, options on TBA securities (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also enter into other types of mortgage derivatives such as interest-only securities, credit derivatives referencing the commercial mortgage-backed securities index and synthetic total return swaps. In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options and U.S. Treasury or Eurodollar futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value and terms of the derivative contract. In the case of MAC interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swap to compensate for the out of market nature of such interest rate swap. Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. In accordance with a clearing organization’s rulebook, the Company presents the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. At September 30, 2018 , $1.6 billion of variation margin was reported as a reduction to interest rate swaps, at fair value. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps are generally fair valued using the DCO’s market values. We may use market agreed coupon (“MAC”) interest rate swaps in which we may receive or make a payment at the time of entering into the swap to compensate for the out of the market nature of such interest rate swap. MAC interest rate swaps are also centrally cleared and fair valued using internal pricing models and compared to the DCO’s market value. Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls – TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date. Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing. Forward Purchase Commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. Credit Derivatives – The Company may enter into credit derivatives referencing the commercial mortgage-backed securities index, such as the CMBX index, and synthetic total return swaps. Refer to the section titled “Glossary of Terms” located in Part I, Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations” for additional information related to the CMBX index. The table below summarizes fair value information about our derivative assets and liabilities at September 30, 2018 and December 31, 2017 : Derivatives Instruments September 30, 2018 December 31, 2017 Derivative Assets: (dollars in thousands) Interest rate swaps $ 97,002 $ 30,272 Interest rate swaptions 65,356 36,150 TBA derivatives 13,535 29,067 Futures contracts 221,516 218,361 Purchase commitments 189 35 Credit derivatives (1) 7,243 — $ 404,841 $ 313,885 Derivative Liabilities: Interest rate swaps $ 311,729 $ 569,129 TBA derivatives 64,900 21,776 Futures contracts 482 12,285 Purchase commitments 797 157 Credit derivatives (1) 1,886 4,507 $ 379,794 $ 607,854 (1) The notional amount of the credit derivatives in which the Company purchased protection was $70.0 million at September 30, 2018. The maximum potential amount of future payments is the notional amount of $466.0 million and $125.0 million at September 30, 2018 and December 31, 2017 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-. The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2018 and December 31, 2017 : September 30, 2018 Maturity Current (1) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 34,361,800 1.76 % 2.36 % 1.38 3 - 6 years 16,854,750 2.25 % 2.34 % 4.44 6 - 10 years 15,746,900 2.48 % 2.26 % 8.62 Greater than 10 years 4,151,400 3.60 % 2.27 % 17.13 Total / Weighted Average $ 71,114,850 2.10 % 2.33 % 4.34 December 31, 2017 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 6,532,000 1.56 % 1.62 % 2.08 3 - 6 years 14,791,800 2.12 % 1.57 % 4.51 6 - 10 years 10,179,000 2.35 % 1.58 % 8.04 Greater than 10 years 3,826,400 3.65 % 1.51 % 18.47 Total / Weighted Average $ 35,329,200 2.22 % 1.58 % 6.72 (1) There were no forward starting swaps at September 30, 2018 . Notional amount includes $8.1 billion of forward starting pay fixed swaps at December 31, 2017 . (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay fixed swaps was 1.86% at December 31, 2017 . The following table presents swaptions outstanding at September 30, 2018 and December 31, 2017 . September 30, 2018 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 4,500,000 3.18 % 3M LIBOR 10.21 5.09 December 31, 2017 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 6,000,000 2.62 % 3M LIBOR 9.97 4.49 The following table summarizes certain characteristics of the Company’s TBA derivatives at September 30, 2018 and December 31, 2017 : 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 The following table summarizes certain characteristics of the Company’s futures contracts at September 30, 2018 and December 31, 2017 : 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 The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 , respectively. 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 The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination 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 The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended September 30, 2018 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 8,569 $ (85,741 ) $ (77,172 ) Net interest rate swaptions (28,754 ) (17,663 ) (46,417 ) Futures (114,317 ) 327,787 213,470 Purchase commitments — (841 ) (841 ) Credit derivatives 3,096 1,676 4,772 Total $ 93,812 Three Months Ended September 30, 2017 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 110,067 $ 29,728 $ 139,795 Net interest rate swaptions — (9,137 ) (9,137 ) Futures (70,054 ) 92,784 22,730 Purchase commitments — (108 ) (108 ) Credit derivatives 495 433 928 Total $ 154,208 Nine Months Ended September 30, 2018 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (299,560 ) $ (56,701 ) $ (356,261 ) Net interest rate swaptions (85,854 ) 53,557 (32,297 ) Futures 443,314 14,959 458,273 Purchase commitments — (416 ) (416 ) Credit derivatives 7,498 4,060 11,558 Total $ 80,857 Nine Months Ended September 30, 2017 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gain (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 215,529 $ 39,964 $ 255,493 Net interest rate swaptions — (19,574 ) (19,574 ) Futures (128,478 ) 31,492 (96,986 ) Purchase commitments — 165 165 Credit derivatives 632 356 988 Total $ 140,086 Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features are in a net asset position at September 30, 2018 . |
CAPITAL STOCK
CAPITAL STOCK | 9 Months Ended |
Sep. 30, 2018 | |
Equity [Abstract] | |
CAPITAL STOCK | CAPITAL STOCK (A) Common Stock The following table provides a summary of the Company’s common shares authorized and issued and outstanding at September 30, 2018 and December 31, 2017. 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 The Company issued 43.6 million shares of common stock as part of the consideration for the MTGE Acquisition. During the three and nine months ended September 30, 2018 , the Company closed the public offering of an original issuance of 75.0 million shares of common stock for proceeds of approximately $753.8 million before deducting offering expenses. In connection with the offering, the Company granted the underwriters a thirty -day option to purchase up to an additional 11.3 million shares of common stock, which the underwriters exercised in full resulting in an additional $113.1 million in proceeds before deducting offering expenses. During the three and nine months ended September 30, 2017, the Company closed the public offering of an original issuance of 60.0 million shares of common stock for proceeds of approximately $709.8 million before deducting offering expenses. In connection with the offering, the Company granted the underwriters a thirty -day option to purchase up to an additional 9.0 million shares of common stock, which the underwriters exercised in full resulting in an additional $106.5 million in proceeds before deducting offering expenses. No options were exercised during the nine months ended September 30, 2018 and 2017 . The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. 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 In January 2018, the Company entered into separate Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of Wells Fargo Securities, LLC, Merrill Lynch, Pierce, Fenner & Smith, Incorporated, Barclays Capital Inc., Citigroup Global Markets Inc., Credit Suisse Securities (USA) LLC, Goldman Sachs & Co. LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., RBC Capital Markets, LLC and UBS Securities LLC (the “Sales Agents”). The Company may offer and sell shares of its common stock, having an aggregate offering price of up to $1.5 billion from time to time through any of the Sales Agents. During the nine months ended September 30, 2018 , the Company issued 24.0 million shares under the at-the-market sales program for proceeds of $251.1 million , net of commissions and fees. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 30, 2018 and December 31, 2017. In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets. Shares authorized Shares issued and outstanding Carrying value Contractual rate Earliest redemption date (1) Date at which dividend rate becomes floating Floating annual rate September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Fixed-rate: (dollars in thousands) Series C 7,000,000 12,000,000 7,000,000 12,000,000 $ 169,466 $ 290,514 7.625% 5/16/2017 NA NA Series D 18,400,000 18,400,000 18,400,000 18,400,000 445,457 445,457 7.50% 9/13/2017 NA NA Series E — 11,500,000 — 11,500,000 — 287,500 7.625% 8/27/2017 NA NA Series H 2,200,000 — 2,200,000 — 55,000 — 8.125% 5/22/2019 NA NA Fixed-to-floating rate: Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95% 9/30/2022 9/30/2022 3M LIBOR + 4.993% Series G 19,550,000 — 17,000,000 — 411,335 — 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Total 75,950,000 70,700,000 73,400,000 70,700,000 $ 1,778,168 $ 1,720,381 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. Each series of preferred stock has a par value of $0.01 per share and a liquidation and redemption price of $25.00 , plus accrued and unpaid dividends through their redemption date. Through September 30, 2018 , the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. During the nine months ended September 30, 2018 , the Company issued 17,000,000 shares of its 6.50% Series G Preferred Stock for gross proceeds of $425.0 million before deducting the underwriting discount and other estimated offering expenses and 2,200,000 shares of its Series H Preferred Stock in connection with the acquisition of MTGE Investment Corp. Refer to the “Acquisition of MTGE Investment Corp.” Note for additional information related to the Company’s Series H Preferred Stock. During the nine months ended September 30, 2018 , the Company redeemed 5,000,000 shares of its Series C Preferred Stock for $125.0 million and all 11,500,000 of its issued and outstanding shares of Series E Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”) for $287.5 million . On August 25, 2017, the Company redeemed all 7,412,500 of its issued and outstanding shares of 7.875% Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”) for $187.5 million . The Series C Preferred Stock, Series D Preferred Stock, Series F Preferred Stock, Series G Preferred Stock and Series H Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: 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 $ — (1) Includes dividends declared per share for shares outstanding at September 30, 2018 . (2) Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the nine months ended September 30, 2017. |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 9 Months Ended |
Sep. 30, 2018 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | INTEREST INCOME AND INTEREST EXPENSE Net Interest Income The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the Residential Securities and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than multifamily securities), taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis. The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. The following table presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2018 and 2017 . 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 (1) Includes commercial real estate debt and preferred equity, corporate debt and assets transferred or pledged to securitization vehicles. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 9 Months Ended |
Sep. 30, 2018 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL AND INTANGIBLE ASSETS, NET | GOODWILL AND INTANGIBLE ASSETS Goodwill The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. At September 30, 2018 and December 31, 2017 , Goodwill totaled $71.8 million . Goodwill is tested for impairment at least annually. Intangible assets, net Finite life intangible assets are amortized over their expected useful lives. The following table presents the activity of finite lived intangible assets for the nine months ended September 30, 2018 . 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 |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and nine months ended September 30, 2018 and 2017 . 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) Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017. Options to purchase 0.2 million and 0.8 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the three and nine months ended September 30, 2018 and 2017 , respectively. |
INCOME TAXES
INCOME TAXES | 9 Months Ended |
Sep. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | INCOME TAXES For the three months ended September 30, 2018 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Arcola Securities, Inc. (“Arcola”) and certain subsidiaries of ACREG and Hatteras Financial Corp., have made separate joint elections to treat these subsidiaries as TRSs. As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at September 30, 2018 and December 31, 2017 . The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. During the three and nine months ended September 30, 2018 , the Company recorded $7.1 million and $3.3 million of income tax benefit, respectively, attributable to its TRSs. During the three and nine months ended September 30, 2017, the Company recorded $1.4 million and $2.0 million of income tax expense, respectively, attributable to its TRSs. The Company’s federal, state and local tax returns from 2016 and forward remain open for examination. On December 22, 2017, tax legislation was enacted, informally known as the Tax Cuts and Jobs Act (the “TCJA”), that significantly changes the U.S. federal income tax laws applicable to businesses and their owners, including REITs and their stockholders. While technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA may be forthcoming at any time, GAAP requires the Company to apply the TCJA provisions, as written, to the Company’s consolidated financial statements in terms of recording and measuring deferred tax assets and liabilities that will be recognized in 2018 or further. Due to the timing of the enacted legislation as well as the technical corrections, amendments or administrative guidance that could clarify the treatment of certain provisions, the SEC issued guidance that allows for entities without the necessary information to complete the accounting analysis to determine a reasonable estimate of the effects of the TCJA. These amounts can then be revised once further clarity can be reached over the course of the coming year. The provisions of the TCJA, as written, which includes the change to the federal corporate income tax rate from 35% to 21%, was applied and did not have a material impact on the Company’s consolidated financial statements. To the extent technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA are released, the Company will revisit its analysis and conclusions, if relevant. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 9 Months Ended |
Sep. 30, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | LEASE COMMITMENTS AND CONTINGENCIES Commitments In September 2014, the Company entered into a non-cancelable lease for office space which commenced in July 2014 and expires in September 2025. The lease expense for each of the three months ended September 30, 2018 and 2017 was $0.8 million . The Company’s aggregate future minimum lease payments totaled $26.5 million . The following table details the future lease payments: Lease Commitments Years Ending September 30, (dollars in thousands) 2018 (remaining) $ 891 2019 3,565 2020 3,652 2021 3,862 2022 3,862 Later years 10,618 Total $ 26,450 Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at September 30, 2018 and December 31, 2017 . |
RISK MANAGEMENT
RISK MANAGEMENT | 9 Months Ended |
Sep. 30, 2018 | |
Text Block [Abstract] | |
RISK MANAGEMENT | ISK MANAGEMENT The primary risks to the Company are liquidity, investment/market risk and credit risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral or liquidating some of the existing collateral to reduce borrowing levels. The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges. Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the volatility of future interest rates may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies. The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, which exclude CRT securities issued by Freddie Mac and Fannie Mae, is guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities is backed by the full faith and credit of the U.S. government. Substantially all of the Company’s Agency mortgage-backed securities have an actual or implied “AAA” rating. The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, real estate investments, commercial mortgage-backed securities, residential mortgage loans, CRT securities, other non-Agency mortgage-backed securities, and corporate debt. MSR values may also be adversely impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. The Company is exposed to risk of loss if an issuer, borrower, tenant or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers, tenants and counterparties. |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS | 9 Months Ended |
Sep. 30, 2018 | |
Regulatory Capital Requirements [Abstract] | |
ARCOLA REGULATORY REQUIREMENTS | ARCOLA REGULATORY REQUIREMENTS Arcola is the Company’s wholly owned and consolidated broker-dealer. Arcola is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees. Arcola is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Arcola enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Arcola generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. Arcola’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and Arcola will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give Arcola the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. As a self-clearing, registered broker-dealer, Arcola is required to maintain minimum net capital by FINRA. At September 30, 2018 Arcola had a minimum net capital requirement of $0.3 million . Arcola consistently operates with capital in excess of its regulatory capital requirements. Arcola’s regulatory net capital as defined by SEC Rule 15c3-1, at September 30, 2018 was $393.3 million with excess net capital of $393.0 million . |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 9 Months Ended |
Sep. 30, 2018 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | RELATED PARTY TRANSACTIONS Management Agreement The Company and the Manager have entered into a management agreement pursuant to which the Company’s management is conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board (the “Externalization”). The management agreement was effective as of July 1, 2013 and was amended on November 5, 2014, amended and restated on April 12, 2016, and amended and restated on August 1, 2018 (the management agreement, as amended and restated, is referred to as “Management Agreement”). Under the Management Agreement, the Manager, subject to the supervision and direction of the Company’s Board, is responsible for (i) the selection, purchase and sale of assets for the Company’s investment portfolio; (ii) recommending alternative forms of capital raising; (iii) supervising the Company’s financing and hedging activities; and (iv) day to day management functions. The Manager also performs such other supervisory and management services and activities relating to the Company’s assets and operations as may be appropriate. In exchange for the management services, the Company pays the Manager a monthly management fee in an amount equal to 1/12th of 1.05% of our stockholders’ equity (as defined in the Management Agreement), and the Manager is responsible for providing personnel to manage the Company, and paying all compensation and benefit expenses associated with such personnel. The Company does not pay the Manager any incentive fees. For the three and nine months ended September 30, 2018 , the compensation and management fee was $46.0 million and $136.1 million , respectively. For the three and nine months ended September 30, 2017 , the compensation and management fee was $42.0 million and $120.2 million , respectively. At September 30, 2018 and December 31, 2017 , the Company had amounts payable to the Manager of $17.7 million and $13.8 million , respectively. Following the unanimous approval of the Company’s independent directors (the “Independent Directors”), in August 2018, the Company began reimbursing the Manager for certain services in connection with the management and operations of the Company and its subsidiaries as permitted under the terms of the Management Agreement. Such reimbursable expenses include the cost for certain legal, tax, accounting and other support and advisory services provided by employees of the Manager to the Company. Pursuant to the Management Agreement, the Company may reimburse the Manager for the cost of such services, provided such costs are no greater than those that would be payable to comparable third party providers. For the three and nine months ended September 30, 2018, reimbursement payments to the Manager were $3.7 million . There were no reimbursement payments to the Manager during the three and nine months ended September 30, 2017. None of the reimbursement payments are attributable to compensation of the Company’s executive officers. The Management Agreement’s current term ends on December 31, 2019 and will automatically renew for successive two -year terms unless at least two-thirds of the Company’s independent directors or the holders of a majority of the outstanding shares of the Company’s common stock in their sole discretion elect to terminate the agreement for any or no reason upon 365 days prior written notice (such notice, a “Termination Notice”). If the Company makes an election to terminate the Management Agreement, the Company may elect to accelerate the termination date (“the “Termination Date”) to a date that is between seven and 90 days after the date of the Company’s delivery of a Termination Notice (the “Notice Delivery Date”). If the Company does not make an election to accelerate the Termination Date, then the Manager may elect to accelerate the Termination Date to the date that is 90 days after the Notice Delivery Date. If the Termination Date is accelerated (such date, the “Accelerated Termination Date”) by either the Company or the Manager, in addition to any amounts accrued for the period prior to the Accelerated Termination Date, the Company shall pay the Manager an acceleration fee (the “Acceleration Fee”) in an amount equal to the average annual management fee earned by the Manager during the 24-month period immediately preceding such Accelerated Termination Date multiplied by a fraction with a numerator of 365 minus the number of days from the Notice Delivery Date to the Accelerated Termination Date, and a denominator of 365. The Management Agreement may also be terminated by the Manager for any reason or no reason upon 365 days prior written notice, or with shorter notice periods by either the Company or the Manager for cause or by the Company in the event of a sale of the Manager that was not pre-approved by the Independent Directors. The Management Agreement may be amended or modified by agreement between the Company and the Manager. |
ACQUISITION OF MTGE INVESTMENT
ACQUISITION OF MTGE INVESTMENT CORP | 9 Months Ended |
Sep. 30, 2018 | |
Business Combinations [Abstract] | |
ACQUISITION OF MTGE INVESTMENT CORP | ACQUISITION OF MTGE INVESTMENT CORP. As previously disclosed in the Company’s filings with the SEC, on September 7, 2018, Mountain Merger Sub Corporation, a wholly-owned subsidiary of the Company, completed its acquisition of MTGE Investment Corp. (“MTGE”), an externally managed hybrid mortgage REIT, for aggregate consideration to MTGE common shareholders of $906.2 million , consisting of $455.9 million in equity consideration and $450.3 million in cash consideration (the “MTGE Acquisition”). The Company issued 43.6 million common stock as part of the consideration for the MTGE Acquisition. In addition, as part of the MTGE Acquisition, each share of MTGE 8.125% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share (each, a “MTGE Preferred Share”), that was outstanding as of immediately prior to the completion of the MTGE Acquisition was converted into one share of a newly-designated series of the Company’s preferred stock, par value $0.01 per share, which the Company classified and designated as Series H Preferred Stock, and which have rights, preferences, privileges and voting powers substantially the same as a MTGE Preferred Share. The Company believes that the MTGE’s portfolio is complementary to the Company’s pre-acquisition portfolio, that the combined capital base supports continued growth of the Company’s businesses and that the acquisition creates efficiency and growth opportunities. The MTGE Acquisition was accounted for as an asset acquisition in accordance with Accounting Standards Codification 805 Business Combinations (“ASC 805”). Under ASC 805, an acquisition does not qualify as a business combination if the acquisition does not meet the definition of a business. U.S. GAAP defines a business as an integrated set of activities and assets that is capable of being conducted and managed for the purpose of providing a return in the form of dividends, lower costs, or other economic benefits directly to investors or other owners, members, or participants. Since the Company did not acquire the external management agreement with the MTGE’s third party manager, there were no substantive processes acquired as part of the acquisition. Therefore, the MTGE Acquisition was not considered a business combination. Under ASC 805, an asset acquisition is accounted for under the cost accumulation model which allocates the cost of the acquisition which generally includes direct transaction costs to the individual assets acquired and liabilities assumed on the basis of relative fair value with certain exceptions including financial assets and current assets. These exceptions are excluded from the cost accumulation method since recognizing these assets at amounts other than their fair value would result in a subsequent gain or loss upon re-measurement. Since there are no significant non-financial assets to allocate the transaction costs to, the transaction costs of $58.3 million were expensed as they were incurred and included in Other general and administrative expenses in the Company’s Consolidated Statements of Comprehensive Income (Loss). Similarly, the excess consideration of $44.5 million over the fair value of the assets acquired was recognized within Other income (loss) in the Company’s Consolidated Statements of Comprehensive Income (Loss) on the closing date of the acquisition. The allocation of the consideration paid as part of the transaction and its assignment to the initial carrying value of the MTGE portfolio is noted in the below table. 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 For additional details regarding the terms and conditions of the MTGE Acquisition and related matters, please refer to the Company’s other filings with the SEC that were made in connection with the MTGE Acquisition. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 9 Months Ended |
Sep. 30, 2018 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | SUBSEQUENT EVENTS On October 31, 2018, the Company completed and closed its third securitization of residential mortgage loans for the 2018 calendar year, OBX 2018-EXP2 Trust, with a face value of $384 million . The securitization represented a financing transaction which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company. |
SIGNIFICANT ACCOUNTING POLICI_2
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2017 (the “2017 Form 10-K”). The consolidated financial information as of December 31, 2017 has been derived from audited consolidated financial statements included in the Company’s 2017 Form 10-K. The Company reclassified previously presented financial information to conform to the current presentation. |
Use of Estimates | The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. |
Principles of Consolidation | Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. |
Voting Interest Entities | Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. |
Variable Interest Entities | Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. The FREMF Trusts are VIEs and the Company is considered to be the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the Class C Certificates and its current designation as the directing certificate holder. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the Commercial Trusts in order to avoid an accounting mismatch, and to represent more faithfully the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company applied the practical expedient under ASU 2014-07, whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the Commercial Trusts are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the Commercial Trusts are an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. The Company consolidates a securitization trust, which is included in “Residential Trusts” in the tables below, that issued residential mortgage-backed securities that are collateralized by residential mortgage loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns most of the mortgage-backed securities issued by this VIE, including the subordinate securities, and a subsidiary of the Company continues to be the master servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has not elected to apply the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trust are available from third-party pricing services. |
Equity Method Investments | Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in Real estate, net and Other assets with income or loss included in Other income (loss). |
Cash and Cash Equivalents | Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. |
Equity Securities | Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings. |
Fair Value Measurements | Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. If an item is accounted for at fair value, including financial instruments elected under the FVO, it is presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). The Company made elections to account for the investments at fair value as these elections simplify the accounting. For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurement” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. The Company follows fair value guidance in accordance with GAAP to account for its financial instruments that are accounted for at fair value. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1– inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Financing” Note for further discussion on reverse repurchase and repurchase agreements. |
Derivative Instruments | Derivative Instruments – Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. In accordance with a clearing organization’s rulebook, the Company presents the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. At September 30, 2018 , $1.6 billion of variation margin was reported as a reduction to interest rate swaps, at fair value. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps are generally fair valued using the DCO’s market values. We may use market agreed coupon (“MAC”) interest rate swaps in which we may receive or make a payment at the time of entering into the swap to compensate for the out of the market nature of such interest rate swap. MAC interest rate swaps are also centrally cleared and fair valued using internal pricing models and compared to the DCO’s market value. Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls – TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date. Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing. Forward Purchase Commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. Credit Derivatives – The Company may enter into credit derivatives referencing the commercial mortgage-backed securities index, such as the CMBX index, and synthetic total return swaps. Refer to the section titled “Glossary of Terms” located in Part I, Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations” for additional information related to the CMBX index. |
Stock Based Compensation | Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award. |
Interest Income | Interest Income - Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). Refer to the “Interest Income and Interest Expense” Note for further discussion on interest income. |
Income Taxes | Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. For the three months ended September 30, 2018 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Arcola Securities, Inc. (“Arcola”) and certain subsidiaries of ACREG and Hatteras Financial Corp., have made separate joint elections to treat these subsidiaries as TRSs. As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at September 30, 2018 and December 31, 2017 . The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. On December 22, 2017, tax legislation was enacted, informally known as the Tax Cuts and Jobs Act (the “TCJA”), that significantly changes the U.S. federal income tax laws applicable to businesses and their owners, including REITs and their stockholders. While technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA may be forthcoming at any time, GAAP requires the Company to apply the TCJA provisions, as written, to the Company’s consolidated financial statements in terms of recording and measuring deferred tax assets and liabilities that will be recognized in 2018 or further. Due to the timing of the enacted legislation as well as the technical corrections, amendments or administrative guidance that could clarify the treatment of certain provisions, the SEC issued guidance that allows for entities without the necessary information to complete the accounting analysis to determine a reasonable estimate of the effects of the TCJA. These amounts can then be revised once further clarity can be reached over the course of the coming year. The provisions of the TCJA, as written, which includes the change to the federal corporate income tax rate from 35% to 21%, was applied and did not have a material impact on the Company’s consolidated financial statements. To the extent technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA are released, the Company will revisit its analysis and conclusions, if relevant. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted, or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that are not yet adopted ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While the Company is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. The Company needs to complete the development of an appropriate allowance methodology, assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2017-01 Business Combinations (Topic 805): Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-15 Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. January 1, 2018 As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods. |
Residential Mortgage Loans | The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. Additionally, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts. Please refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated Residential Mortgage Loan Trusts. |
Goodwill and Intangible Assets | The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. |
Corporate Debt | The Company’s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the effective interest method. These investments typically take the form of senior secured loans primarily in first or second lien positions. The Company’s senior secured loans generally have stated maturities of three to eight years . In connection with these senior secured loans the Company receives a security interest in certain assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to less credit risk than more junior loans given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. |
Nonaccrual Status | Nonaccrual Status – If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower. |
Allowance for Losses | Allowance for Losses – The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality , may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectible. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan, economic trends (both macro and those affecting the property specifically), and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. |
Fair Value of Financial Instruments | The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, residential mortgage loans, interest rate swap and swaption markets and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, Commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of securitized debt of consolidated VIEs, refer to the Note titled “Variable Interest Entities” for additional information. The Company classifies its investments in MSRs as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to valuations obtained from third-party pricing providers. Management reviews the valuations received from third-party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSRs requires significant judgment by management and the third-party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. |
Reverse Repurchase and Repurchase Agreements | Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assesses each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements meet the specified criteria in this guidance. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows. |
Derivatives Hedges | In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options and U.S. Treasury or Eurodollar futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value and terms of the derivative contract. In the case of MAC interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swap to compensate for the out of market nature of such interest rate swap. Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts. |
Contingencies | Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. |
DESCRIPTION OF BUSINESS (Tables
DESCRIPTION OF BUSINESS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Schedule of Investment Groups | The Company’s four investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Annaly Residential Credit Group Invests primarily in non-Agency residential mortgage assets within securitized 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. |
SIGNIFICANT ACCOUNTING POLICI_3
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Schedule of Significant Accounting Policies | The Company’s significant accounting policies are described below or are included in the following notes: Notes Note 1. Description of Business Note 9. Real Estate Note 17. Income Taxes Note 2. Basis of Presentation Note 10. Derivative Instruments Note 18. Risk Management Note 3. Significant Accounting Policies Note 11. Fair Value Measurements Note 19. Related Party Transactions Note 4. Financial Instruments Note 12. Goodwill and Intangible Assets, Net Note 20. Lease Commitments and Contingencies Note 5. Securities Note 13. Secured Financing Note 21. Arcola Regulatory Requirements Note 6. Loans Note 14. Capital Stock Note 22. Acquisition of MTGE Investment Corp. Note 7. Mortgage Servicing Rights Note 15. Interest Income and Interest Expense Note 23. Subsequent Events Note 8. Variable Interest Entities Note 16. Net Income (Loss) Per Common Share |
Summary of Interest Income Recognition Methodology for Residential Investment Securities | The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. |
Schedule of Finite-Lived Intangible Assets | The following table presents the activity of finite lived intangible assets for the nine months ended September 30, 2018 . 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 |
Schedule of Useful Lives of Investments in Commercial Real Estate | Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years |
Recent Accounting Pronouncements | ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted, or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that are not yet adopted ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While the Company is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. The Company needs to complete the development of an appropriate allowance methodology, assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2017-01 Business Combinations (Topic 805): Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-15 Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. January 1, 2018 As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods. |
FINANCIAL INSTRUMENTS (Tables)
FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Investments, All Other Investments [Abstract] | |
Summary of Characteristics of Financial Instruments | The following table presents characteristics for certain of the Company’s financial instruments at September 30, 2018 and December 31, 2017 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 30, 2018 December 31, 2017 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 88,363,876 $ 89,426,437 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 926,252 1,125,326 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 688,521 651,764 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,173,467 1,097,294 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 162,678 244,636 Securities Commercial real estate debt investments - Conduit CMBS Fair value, with unrealized gains (losses) through earnings 23,817 18,115 Total securities 91,338,611 92,563,572 Loans Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,217,139 958,546 Loans Commercial real estate debt and preferred equity, held for investment Amortized cost 1,435,865 1,029,327 Loans Loans held for sale, net Lower of amortized cost or fair value 42,325 — Loans Corporate debt Amortized cost 1,528,874 1,011,275 Total loans 4,224,203 2,999,148 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 765,876 479,776 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 3,521,945 2,826,357 Total assets transferred or pledged to securitization vehicles 4,287,821 3,306,133 Reverse repurchase agreements Reverse repurchase agreements Amortized cost 1,234,704 — Liabilities Repurchase agreements Repurchase agreements Amortized cost 79,073,026 77,696,343 Other secured financing Loans Amortized cost 4,108,547 3,837,528 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,799,542 2,971,771 Mortgages payable Loans Amortized cost 511,588 309,686 (1) Receivable for unsettled trades, Interest receivable, Dividends payable, Payable for unsettled trades and Interest payable are accounted for at cost. (2) Includes Agency pass-through, CMO and multifamily securities. (3) Includes interest-only securities and reverse mortgages. |
SECURITIES (Tables)
SECURITIES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Debt Securities, Available-For-Sale | The following represents a rollforward of the activity for the Company’s securities: 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 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s securities that were carried at fair value at September 30, 2018 and December 31, 2017 : 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 |
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio concentration by issuing Agency at September 30, 2018 and December 31, 2017 : 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 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s available-for-sale Residential Securities at September 30, 2018 and December 31, 2017 , according to their estimated weighted average life classifications: September 30, 2018 December 31, 2017 Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost Weighted Average Life (dollars in thousands) Less than one year $ 19,335 $ 19,339 $ 471,977 $ 476,538 Greater than one year through five years 10,442,022 10,737,675 13,838,890 13,925,749 Greater than five years through ten years 79,260,878 83,003,720 77,273,833 78,431,852 Greater than ten years 1,429,881 1,461,134 716,121 708,363 Total $ 91,152,116 $ 95,221,868 $ 92,300,821 $ 93,542,502 |
Schedule of Continuous Unrealized Loss Position | The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 . September 30, 2018 December 31, 2017 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 Months $ 46,457,384 $ (1,401,491 ) 2,213 $ 39,878,158 $ (272,234 ) 1,114 12 Months or More 40,098,674 (2,458,708 ) 1,233 39,491,238 (1,011,405 ) 911 Total $ 86,556,058 $ (3,860,199 ) 3,446 $ 79,369,396 $ (1,283,639 ) 2,025 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. |
LOANS (Tables)
LOANS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Loans on Real Estate [Abstract] | |
Summary of Loans Investments Activity | The following table presents the activity of the Company’s loan investments for the nine months ended September 30, 2018 : 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 |
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio | The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at September 30, 2018 and December 31, 2017 : 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 |
Summary of Comprehensive Income (Loss) | The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2018 and 2017 for these investments: Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands) Net interest income $ 16,423 $ 8,226 $ 45,702 $ 18,935 Net gains (losses) on disposal of investments (1) (2,975 ) (2,093 ) (7,924 ) (3,407 ) Net unrealized gains (losses) on instruments measured at fair value through earnings (3,633 ) (725 ) (14,802 ) 5,400 Total included in net income (loss) $ 9,815 $ 5,408 $ 22,976 $ 20,928 (1) Includes loan premium write offs. |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2018 and December 31, 2017 , for the residential mortgage loans, including loans transferred or pledged to securitization trusts: 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 % The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, at September 30, 2018 are as follows: 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 % (1) No individual state greater than 5% . |
Residential Mortgage Loans | The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization trusts, at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 Portfolio Range Portfolio Weighted Average Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,500 $494 $1 - $3,663 $514 Interest rate 2.00% - 7.50% 4.74% 1.63% - 7.50% 4.25% Maturity 1/1/2028 - 9/1/2058 1/5/2045 1/1/2028 - 5/1/2057 2/1/2043 FICO score at loan origination 510 - 823 754 468 - 823 748 Loan-to-value ratio at loan origination 11% - 100% 67% 11% - 100% 68% |
Commercial Real Estate Investments Held for Investment | At September 30, 2018 and December 31, 2017 , commercial real estate investments held for investment were comprised of the following: September 30, 2018 December 31, 2017 Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) (dollars in thousands) Senior mortgages $ 1,090,849 $ 1,084,167 75.6 % $ 629,143 $ 625,900 60.9 % Mezzanine loans 343,354 342,700 23.8 % 395,015 394,442 38.2 % Preferred equity 9,000 8,998 0.6 % 9,000 8,985 0.9 % Total $ 1,443,203 $ 1,435,865 100.0 % $ 1,033,158 $ 1,029,327 100.0 % (1) Carrying value includes unamortized origination fees of $5.7 million and $3.8 million at September 30, 2018 and December 31, 2017 , respectively. (2) Based on outstanding principal. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at September 30, 2018 and December 31, 2017 : September 30, 2018 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 489,271 45,334 — 534,605 Principal payments (27,565 ) (96,993 ) — (124,558 ) Net (increase) decrease in origination fees (5,400 ) (370 ) — (5,770 ) Amortization of net origination fees 1,961 287 13 2,261 Net carrying value (September 30, 2018) $ 1,084,167 $ 342,700 $ 8,998 $ 1,435,865 December 31, 2017 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance (January 1, 2017) $ 510,071 $ 451,467 $ 8,967 $ 970,505 Originations & advances (principal) 338,242 69,121 — 407,363 Principal payments (221,421 ) (127,799 ) — (349,220 ) Amortization & accretion of (premium) discounts (44 ) 28 — (16 ) Net (increase) decrease in origination fees (3,317 ) (605 ) — (3,922 ) Amortization of net origination fees 2,369 2,230 18 4,617 Net carrying value (December 31, 2017) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 |
Internal Loan and Preferred Equity Ratings | The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of September 30, 2018 and December 31, 2017 . September 30, 2018 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 1,090,849 75.6 % $ 724,111 $ 302,348 $ — $ 64,390 $ — $ — $ 1,090,849 Mezzanine loans 343,354 23.8 % 135,334 64,323 107,094 36,603 — — 343,354 Preferred equity 9,000 0.6 % — — 9,000 — — — 9,000 Total $ 1,443,203 100.0 % $ 859,445 $ 366,671 $ 116,094 $ 100,993 $ — $ — $ 1,443,203 December 31, 2017 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 629,143 60.9 % $ 409,878 $ 115,075 $ 36,800 $ 67,390 $ — $ — $ 629,143 Mezzanine loans 395,015 38.2 % 206,169 66,498 122,348 — — — 395,015 Preferred equity 9,000 0.9 % — — 9,000 — — — 9,000 Total $ 1,033,158 100.0 % $ 616,047 $ 181,573 $ 168,148 $ 67,390 $ — $ — $ 1,033,158 (1) The Company rated two loans as Substandard as of September 30, 2018 . The Company evaluated whether an impairment exists and determined in each case that, based on quantitative and qualitative factors, the Company expects repayment of contractual amounts due. |
Schedule of Industry and Rate Sensitivity | The industry and rate attributes of the portfolio at September 30, 2018 and December 31, 2017 are as follows: 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 |
Aggregate positions by Respective Place in the Capital Structure of the Borrowers | The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at September 30, 2018 and December 31, 2017 . 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 |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following table presents activity related to MSRs for the three and nine months ended September 30, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands) Fair value, beginning of period $ 599,014 $ 605,653 $ 580,860 $ 652,216 Purchases (1) — (30 ) — (27 ) Other — — — 10 Change in fair value due to: Changes in valuation inputs or assumptions (2) (19,913 ) (19,207 ) (61,011 ) (34,645 ) Other changes, including realization of expected cash flows 9,732 (16,198 ) 68,984 (47,336 ) Fair value, end of period $ 588,833 $ 570,218 $ 588,833 $ 570,218 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to be not acceptable. (2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
REAL ESTATE (Tables)
REAL ESTATE (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Real Estate [Abstract] | |
Schedule of Useful Lives of Investments in Commercial Real Estate | Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years |
Summary of Real Estate | 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 |
Minimum Future Rentals on Non-cancelable Leases | Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at September 30, 2018 for consolidated investments in real estate are as follows: 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 |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition | The statements of financial condition of the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 28,441 Commercial real estate debt 3,521,945 — — Residential mortgage loans — 107,764 97,825 Mortgage servicing rights — — 588,833 Interest receivable 13,432 555 — Other assets — — 33,522 Total assets $ 3,535,377 $ 108,319 $ 748,621 Liabilities Securitized debt (non-recourse) $ 3,240,043 $ 29,698 $ — Other secured financing — — 70,221 Interest payable 6,383 70 — Other liabilities — 148 2,160 Total liabilities $ 3,246,426 $ 29,916 $ 72,381 December 31, 2017 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 42,293 Commercial real estate debt 2,826,357 — — Residential mortgage loans — 478,811 19,667 Mortgage servicing rights — — 580,860 Interest receivable 10,339 1,599 — Derivative assets — — 1 Other assets — 1,418 32,354 Total assets $ 2,836,696 $ 481,828 $ 675,175 Liabilities Securitized debt (non-recourse) $ 2,620,952 $ 350,819 $ — Other secured financing — — 10,496 Interest payable 4,554 931 — Other liabilities — 112 4,856 Total liabilities $ 2,625,506 $ 351,862 $ 15,352 |
Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss) | The statements of comprehensive income (loss) of the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, that are reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2018 and 2017 are as follows: 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 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2018 and December 31, 2017 , for the residential mortgage loans, including loans transferred or pledged to securitization trusts: 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 % The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, at September 30, 2018 are as follows: 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 % (1) No individual state greater than 5% . |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis | The following tables present the estimated fair values of financial instruments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. September 30, 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 |
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs | The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. Valuation Technique Unobservable Input (1) September 30, 2018 December 31, 2017 Range (Weighted Average) Discounted cash flow Discount rate 9.0% -12.0% (9.4%) 10.0% -15.0% (10.4%) Prepayment rate 4.5% - 11.3% (7.1%) 4.6% - 22.3% (9.4%) Delinquency rate 0.0% - 5.0% (2.3%) 0.0% - 13.0% (2.2%) Cost to service $82 - $132 ($105) $84 - $181 ($102) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. |
Schedule of Estimated Fair Value for All Financial Assets and Liabilities | The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at September 30, 2018 and December 31, 2017 . 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 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At September 30, 2018 and December 31, 2017 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: 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) Approximately 0% and 1% of the total repurchase agreements had a remaining maturity over 1 year at September 30, 2018 and December 31, 2017 , respectively. |
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement | The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. 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 |
Mortgage Loans Payable | Mortgages payable at September 30, 2018 and December 31, 2017 , were as follows: September 30, 2018 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 332,317 $ 334,789 2.75% - 4.96% Fixed 2024 - 2029 First liens Tennessee 12,319 12,350 4.01% Fixed 9/6/2019 First liens Virginia 96,266 98,127 2.34% - 4.55% Fixed 2019-2053 First liens Utah (fixed) 7,297 7,218 3.69% Fixed 6/1/2053 First liens Utah (floating) 9,691 9,706 L+3.50% Floating 1/31/2019 First liens Minnesota 13,470 13,506 3.69% Fixed 6/1/2053 First liens Wisconsin 7,911 7,932 3.69% Fixed 6/1/2053 First liens Texas 32,317 33,875 3.28% Fixed 1/1/1953 First liens Total $ 511,588 $ 517,503 December 31, 2017 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 286,373 $ 289,125 4.03% - 4.61% Fixed 2024 and 2025 First liens Tennessee 12,294 12,350 4.01% Fixed 9/6/2019 First liens Virginia 11,019 11,025 3.58% Fixed 6/6/2019 First liens Total $ 309,686 $ 312,500 |
Future Mortgage Loan Principal Payments | The following table details future mortgage loan principal payments at September 30, 2018 : 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 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summarizes Fair Value Information about Derivative Assets Liabilities | The table below summarizes fair value information about our derivative assets and liabilities at September 30, 2018 and December 31, 2017 : Derivatives Instruments September 30, 2018 December 31, 2017 Derivative Assets: (dollars in thousands) Interest rate swaps $ 97,002 $ 30,272 Interest rate swaptions 65,356 36,150 TBA derivatives 13,535 29,067 Futures contracts 221,516 218,361 Purchase commitments 189 35 Credit derivatives (1) 7,243 — $ 404,841 $ 313,885 Derivative Liabilities: Interest rate swaps $ 311,729 $ 569,129 TBA derivatives 64,900 21,776 Futures contracts 482 12,285 Purchase commitments 797 157 Credit derivatives (1) 1,886 4,507 $ 379,794 $ 607,854 (1) The notional amount of the credit derivatives in which the Company purchased protection was $70.0 million at September 30, 2018. The maximum potential amount of future payments is the notional amount of $466.0 million and $125.0 million at September 30, 2018 and December 31, 2017 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-. |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2018 and December 31, 2017 : September 30, 2018 Maturity Current (1) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 34,361,800 1.76 % 2.36 % 1.38 3 - 6 years 16,854,750 2.25 % 2.34 % 4.44 6 - 10 years 15,746,900 2.48 % 2.26 % 8.62 Greater than 10 years 4,151,400 3.60 % 2.27 % 17.13 Total / Weighted Average $ 71,114,850 2.10 % 2.33 % 4.34 December 31, 2017 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 6,532,000 1.56 % 1.62 % 2.08 3 - 6 years 14,791,800 2.12 % 1.57 % 4.51 6 - 10 years 10,179,000 2.35 % 1.58 % 8.04 Greater than 10 years 3,826,400 3.65 % 1.51 % 18.47 Total / Weighted Average $ 35,329,200 2.22 % 1.58 % 6.72 (1) There were no forward starting swaps at September 30, 2018 . Notional amount includes $8.1 billion of forward starting pay fixed swaps at December 31, 2017 . (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay fixed swaps was 1.86% at December 31, 2017 . The following table presents swaptions outstanding at September 30, 2018 and December 31, 2017 . September 30, 2018 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 4,500,000 3.18 % 3M LIBOR 10.21 5.09 December 31, 2017 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 6,000,000 2.62 % 3M LIBOR 9.97 4.49 The following table summarizes certain characteristics of the Company’s TBA derivatives at September 30, 2018 and December 31, 2017 : 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 The following table summarizes certain characteristics of the Company’s futures contracts at September 30, 2018 and December 31, 2017 : 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 |
Offsetting of Derivative Assets and Liabilities | The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 , respectively. 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 |
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss | The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination 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 |
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) | The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended September 30, 2018 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 8,569 $ (85,741 ) $ (77,172 ) Net interest rate swaptions (28,754 ) (17,663 ) (46,417 ) Futures (114,317 ) 327,787 213,470 Purchase commitments — (841 ) (841 ) Credit derivatives 3,096 1,676 4,772 Total $ 93,812 Three Months Ended September 30, 2017 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 110,067 $ 29,728 $ 139,795 Net interest rate swaptions — (9,137 ) (9,137 ) Futures (70,054 ) 92,784 22,730 Purchase commitments — (108 ) (108 ) Credit derivatives 495 433 928 Total $ 154,208 Nine Months Ended September 30, 2018 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (299,560 ) $ (56,701 ) $ (356,261 ) Net interest rate swaptions (85,854 ) 53,557 (32,297 ) Futures 443,314 14,959 458,273 Purchase commitments — (416 ) (416 ) Credit derivatives 7,498 4,060 11,558 Total $ 80,857 Nine Months Ended September 30, 2017 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gain (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 215,529 $ 39,964 $ 255,493 Net interest rate swaptions — (19,574 ) (19,574 ) Futures (128,478 ) 31,492 (96,986 ) Purchase commitments — 165 165 Credit derivatives 632 356 988 Total $ 140,086 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Equity [Abstract] | |
Schedule of Stock by Class | The following table provides a summary of the Company’s common shares authorized and issued and outstanding at September 30, 2018 and December 31, 2017. 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 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 30, 2018 and December 31, 2017. In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets. Shares authorized Shares issued and outstanding Carrying value Contractual rate Earliest redemption date (1) Date at which dividend rate becomes floating Floating annual rate September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Fixed-rate: (dollars in thousands) Series C 7,000,000 12,000,000 7,000,000 12,000,000 $ 169,466 $ 290,514 7.625% 5/16/2017 NA NA Series D 18,400,000 18,400,000 18,400,000 18,400,000 445,457 445,457 7.50% 9/13/2017 NA NA Series E — 11,500,000 — 11,500,000 — 287,500 7.625% 8/27/2017 NA NA Series H 2,200,000 — 2,200,000 — 55,000 — 8.125% 5/22/2019 NA NA Fixed-to-floating rate: Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95% 9/30/2022 9/30/2022 3M LIBOR + 4.993% Series G 19,550,000 — 17,000,000 — 411,335 — 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Total 75,950,000 70,700,000 73,400,000 70,700,000 $ 1,778,168 $ 1,720,381 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. |
Summary of Dividend Reinvestment Plan | The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. 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 |
Summary of Dividend Distribution Activity | The following table provides a summary of the Company’s dividend distribution activity for the periods presented: 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 $ — (1) Includes dividends declared per share for shares outstanding at September 30, 2018 . (2) Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the nine months ended September 30, 2017. |
INTEREST INCOME AND INTEREST _2
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Banking and Thrift, Interest [Abstract] | |
Summary of Interest Income Recognition Methodology for Residential Investment Securities | The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. |
Components of Company's Interest Income and Interest Expense | The following table presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2018 and 2017 . 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 (1) Includes commercial real estate debt and preferred equity, corporate debt and assets transferred or pledged to securitization vehicles. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Schedule of Finite-Lived Intangible Assets | The following table presents the activity of finite lived intangible assets for the nine months ended September 30, 2018 . 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 |
Schedule of Indefinite-Lived Intangible Assets | The following table presents the activity of finite lived intangible assets for the nine months ended September 30, 2018 . 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 |
NET INCOME (LOSS) PER COMMON _2
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
Schedule of Net Income (Loss) Per Share Reconciliation | The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and nine months ended September 30, 2018 and 2017 . 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) Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017. |
LEASE COMMITMENTS AND CONTING_2
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Lease Commitments and Contingencies | The following table details the future lease payments: Lease Commitments Years Ending September 30, (dollars in thousands) 2018 (remaining) $ 891 2019 3,565 2020 3,652 2021 3,862 2022 3,862 Later years 10,618 Total $ 26,450 |
ACQUISITION OF MTGE INVESTMEN_2
ACQUISITION OF MTGE INVESTMENT CORP (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Business Combinations [Abstract] | |
Summary of Acquired Assets | The allocation of the consideration paid as part of the transaction and its assignment to the initial carrying value of the MTGE portfolio is noted in the below table. 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 |
DESCRIPTION OF BUSINESS - Addit
DESCRIPTION OF BUSINESS - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2018investment_group | |
Accounting Policies [Abstract] | |
Number of investment groups (investment group) | 4 |
SIGNIFICANT ACCOUNTING POLICI_4
SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) $ in Millions | Sep. 30, 2018 | Dec. 31, 2017 |
Interest Rate Swaps | ||
Schedule Of Significant Accounting Policies [Line Items] | ||
Cash on margin with counterparty to interest rate swaps | $ 924.9 | $ 579.2 |
FINANCIAL INSTRUMENTS - Summary
FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | $ 105,961,803 | $ 101,760,050 | [1] |
Liabilities | 91,005,947 | 86,888,477 | [1] |
Total securities | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 91,338,611 | 92,563,572 | |
Residential mortgage backed securities, recognized through comprehensive income | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 88,363,876 | 89,426,437 | |
Residential mortgage backed securities, recognized trough earnings | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 926,252 | 1,125,326 | |
Credit risk transfer securities | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 688,521 | 651,764 | |
Non-agency mortgage-backed securities | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 1,173,467 | 1,097,294 | |
Commercial real estate debt investment, securities, recognized through comprehensive income | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 162,678 | 244,636 | |
Commercial real estate debt investment, securities, recognized through earnings | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 23,817 | 18,115 | |
Total loans | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 4,224,203 | 2,999,148 | |
Residential mortgage loans | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 1,217,139 | 958,546 | |
Commercial real estate debt and preferred equity, held for investment | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 1,435,865 | 1,029,327 | |
Loans held for sale, net | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 42,325 | 0 | |
Corporate debt | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 1,528,874 | 1,011,275 | |
Assets transferred or pledged to securitization | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 4,287,821 | 3,306,133 | |
Residential mortgage loans, asset transferred or pledged to securitization, recognized through earnings | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 765,876 | 479,776 | |
Commercial mortgage loans, asset transferred or pledged to securitization, recognized through earnings | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 3,521,945 | 2,826,357 | |
Reverse repurchase agreements | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Assets | 1,234,704 | 0 | |
Repurchase agreements | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Liabilities | 79,073,026 | 77,696,343 | |
Other secured financing | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Liabilities | 4,108,547 | 3,837,528 | |
Securitized debt of consolidated VIEs | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Liabilities | 3,799,542 | 2,971,771 | |
Mortgages payable | |||
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | |||
Liabilities | $ 511,588 | $ 309,686 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2017. |
SECURITIES - Summary of Residen
SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning Balance | $ 92,563,572 |
Purchases | 25,457,420 |
Sales | (14,573,125) |
Principal paydowns | (8,791,644) |
Amortization / accretion | (485,303) |
Fair value adjustment | (2,832,309) |
Ending Balance | 91,338,611 |
Residential Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning Balance | 92,300,821 |
Purchases | 25,395,018 |
Sales | (14,532,225) |
Principal paydowns | (8,695,247) |
Amortization / accretion | (485,804) |
Fair value adjustment | (2,830,447) |
Ending Balance | 91,152,116 |
Commercial Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning Balance | 262,751 |
Purchases | 62,402 |
Sales | (40,900) |
Principal paydowns | (96,397) |
Amortization / accretion | 501 |
Fair value adjustment | (1,862) |
Ending Balance | $ 186,495 |
SECURITIES - Portfolio (Details
SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | $ 96,782,059 | $ 95,582,210 |
Remaining Premium | 5,937,065 | 6,173,318 |
Remaining Discount | (177,203) | (158,022) |
Amortized Cost | 95,408,711 | 93,803,739 |
Unrealized Gains | 136,990 | 288,667 |
Unrealized Losses | (4,207,090) | (1,528,834) |
Estimated Fair Value | 91,338,611 | 92,563,572 |
Agency Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 93,832,975 | 92,600,794 |
Remaining Premium | 5,884,735 | 6,128,353 |
Remaining Discount | (17,453) | (4,043) |
Amortized Cost | 93,451,372 | 91,920,389 |
Unrealized Gains | 40,060 | 157,875 |
Unrealized Losses | (4,201,304) | (1,526,501) |
Estimated Fair Value | 89,290,128 | 90,551,763 |
Agency Securities | Fixed-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 80,917,596 | 78,509,335 |
Remaining Premium | 4,376,927 | 4,514,815 |
Remaining Discount | (7,643) | (1,750) |
Amortized Cost | 85,286,880 | 83,022,400 |
Unrealized Gains | 28,156 | 140,115 |
Unrealized Losses | (3,664,420) | (1,178,673) |
Estimated Fair Value | 81,650,616 | 81,983,842 |
Agency Securities | Adjustable-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 5,415,559 | 6,760,991 |
Remaining Premium | 268,852 | 277,212 |
Remaining Discount | (1,568) | (1,952) |
Amortized Cost | 5,682,843 | 7,036,251 |
Unrealized Gains | 9,098 | 15,776 |
Unrealized Losses | (164,520) | (103,121) |
Estimated Fair Value | 5,527,421 | 6,948,906 |
Agency Securities | CMO | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 11,610 | |
Remaining Premium | 55 | |
Remaining Discount | 0 | |
Amortized Cost | 11,665 | |
Unrealized Gains | 0 | |
Unrealized Losses | (124) | |
Estimated Fair Value | 11,541 | |
Agency Securities | Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 6,248,885 | 6,804,715 |
Remaining Premium | 1,226,033 | 1,326,761 |
Remaining Discount | 0 | 0 |
Amortized Cost | 1,226,033 | 1,326,761 |
Unrealized Gains | 2,500 | 1,863 |
Unrealized Losses | (340,766) | (242,862) |
Estimated Fair Value | 887,767 | 1,085,762 |
Agency Securities | Multifamily | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 1,204,773 | 490,753 |
Remaining Premium | 8,596 | 5,038 |
Remaining Discount | (8,242) | (341) |
Amortized Cost | 1,205,127 | 495,450 |
Unrealized Gains | 306 | 84 |
Unrealized Losses | (31,135) | (1,845) |
Estimated Fair Value | 1,174,298 | 493,689 |
Agency Securities | Reverse mortgages | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 34,552 | 35,000 |
Remaining Premium | 4,272 | 4,527 |
Remaining Discount | 0 | 0 |
Amortized Cost | 38,824 | 39,527 |
Unrealized Gains | 0 | 37 |
Unrealized Losses | (339) | 0 |
Estimated Fair Value | 38,485 | 39,564 |
Residential Credit Securities Mortgage Backed Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 2,752,677 | 2,711,128 |
Remaining Premium | 51,991 | 44,285 |
Remaining Discount | (149,847) | (144,248) |
Amortized Cost | 1,770,496 | 1,622,113 |
Unrealized Gains | 96,355 | 128,949 |
Unrealized Losses | (4,863) | (2,004) |
Estimated Fair Value | 1,861,988 | 1,749,058 |
Residential Credit Securities Mortgage Backed Securities | CRT | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 651,360 | 593,027 |
Remaining Premium | 33,670 | 25,463 |
Remaining Discount | (14,996) | (3,456) |
Amortized Cost | 670,034 | 615,034 |
Unrealized Gains | 18,537 | 36,730 |
Unrealized Losses | (50) | 0 |
Estimated Fair Value | 688,521 | 651,764 |
Residential Credit Securities Mortgage Backed Securities | Alt-A | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 239,990 | 204,213 |
Remaining Premium | 385 | 499 |
Remaining Discount | (36,910) | (34,000) |
Amortized Cost | 203,465 | 170,712 |
Unrealized Gains | 12,730 | 13,976 |
Unrealized Losses | (131) | (802) |
Estimated Fair Value | 216,064 | 183,886 |
Residential Credit Securities Mortgage Backed Securities | Prime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 386,193 | 197,756 |
Remaining Premium | 2,111 | 358 |
Remaining Discount | (25,419) | (24,158) |
Amortized Cost | 362,885 | 173,956 |
Unrealized Gains | 15,341 | 18,804 |
Unrealized Losses | (596) | 0 |
Estimated Fair Value | 377,630 | 192,760 |
Residential Credit Securities Mortgage Backed Securities | Subprime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 449,425 | 554,470 |
Remaining Premium | 1,973 | 2,037 |
Remaining Discount | (67,841) | (78,561) |
Amortized Cost | 383,557 | 477,946 |
Unrealized Gains | 45,238 | 56,024 |
Unrealized Losses | (109) | (90) |
Estimated Fair Value | 428,686 | 533,880 |
Residential Credit Securities Mortgage Backed Securities | NPL/RPL | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 3,431 | 42,585 |
Remaining Premium | 0 | 14 |
Remaining Discount | (37) | (117) |
Amortized Cost | 3,394 | 42,482 |
Unrealized Gains | 45 | 506 |
Unrealized Losses | 0 | 0 |
Estimated Fair Value | 3,439 | 42,988 |
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo ( 2010 Vintage) | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 137,953 | 130,025 |
Remaining Premium | 587 | 627 |
Remaining Discount | (4,644) | (3,956) |
Amortized Cost | 133,896 | 126,696 |
Unrealized Gains | 49 | 1,038 |
Unrealized Losses | (3,977) | (1,112) |
Estimated Fair Value | 129,968 | 126,622 |
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo ( 2010 Vintage) Interest-Only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 884,325 | 989,052 |
Remaining Premium | 13,265 | 15,287 |
Remaining Discount | 0 | 0 |
Amortized Cost | 13,265 | 15,287 |
Unrealized Gains | 4,415 | 1,871 |
Unrealized Losses | 0 | 0 |
Estimated Fair Value | 17,680 | 17,158 |
Residential Investments | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 96,585,652 | 95,311,922 |
Remaining Premium | 5,936,726 | 6,172,638 |
Remaining Discount | (167,300) | (148,291) |
Amortized Cost | 95,221,868 | 93,542,502 |
Unrealized Gains | 136,415 | 286,824 |
Unrealized Losses | (4,206,167) | (1,528,505) |
Estimated Fair Value | 91,152,116 | 92,300,821 |
Commercial Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 196,407 | 270,288 |
Remaining Premium | 339 | 680 |
Remaining Discount | (9,903) | (9,731) |
Amortized Cost | 186,843 | 261,237 |
Unrealized Gains | 575 | 1,843 |
Unrealized Losses | (923) | (329) |
Estimated Fair Value | $ 186,495 | $ 262,751 |
SECURITIES - Component of Agenc
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage-Backed Securities Portfolio [Line Items] | ||
Estimated Fair Value | $ 91,338,611 | $ 92,563,572 |
Agency Mortgage-Backed Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Estimated Fair Value | 89,290,128 | 90,551,763 |
Agency Mortgage-Backed Securities | Fannie Mae | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Estimated Fair Value | 59,568,293 | 63,361,415 |
Agency Mortgage-Backed Securities | Freddie Mac | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Estimated Fair Value | 29,636,443 | 27,091,978 |
Agency Mortgage-Backed Securities | Ginnie Mae | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Estimated Fair Value | $ 85,392 | $ 98,370 |
SECURITIES - Weighted Average L
SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Estimated Fair Value | ||
Total | $ 91,338,611 | $ 92,563,572 |
Amortized Cost | ||
Total | 95,408,711 | 93,803,739 |
Residential Investments | ||
Estimated Fair Value | ||
Less than one year | 19,335 | 471,977 |
Greater than one year through five years | 10,442,022 | 13,838,890 |
Greater than five years through ten years | 79,260,878 | 77,273,833 |
Greater than ten years | 1,429,881 | 716,121 |
Total | 91,152,116 | 92,300,821 |
Amortized Cost | ||
Less than one year | 19,339 | 476,538 |
Greater than one year through five years | 10,737,675 | 13,925,749 |
Greater than five years through ten years | 83,003,720 | 78,431,852 |
Greater than ten years | 1,461,134 | 708,363 |
Total | $ 95,221,868 | $ 93,542,502 |
SECURITIES - Unrealized Loss Po
SECURITIES - Unrealized Loss Position (Details) $ in Thousands | Sep. 30, 2018USD ($)security | Dec. 31, 2017USD ($)security |
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 86,556,058 | $ 79,369,396 |
Gross Unrealized Losses | $ (3,860,199) | $ (1,283,639) |
Number of Securities (security) | security | 3,446 | 2,025 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 46,457,384 | $ 39,878,158 |
Gross Unrealized Losses | $ (1,401,491) | $ (272,234) |
Number of Securities (security) | security | 2,213 | 1,114 |
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 40,098,674 | $ 39,491,238 |
Gross Unrealized Losses | $ (2,458,708) | $ (1,011,405) |
Number of Securities (security) | security | 1,233 | 911 |
SECURITIES - Additional Informa
SECURITIES - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Residential Investment securities sold, carrying value | $ 9,100 | $ 6,800 | $ 14,500 | $ 11,400 |
Residential Investment securities sold, net realized gain (loss) | $ (322.4) | $ (10.2) | $ (372.5) | $ (14.3) |
LOANS - Additional Information
LOANS - Additional Information (Details) | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2018USD ($) | Sep. 30, 2017USD ($) | Dec. 31, 2017USD ($) | Dec. 11, 2015USD ($)property | ||
Mortgage Loans on Real Estate [Line Items] | |||||
Assets | $ 105,961,803,000 | $ 101,760,050,000 | [1] | ||
Outstanding impaired loans, nonaccrual loans, and loans in default | 0 | 0 | |||
Allowance for loan losses | 0 | 0 | |||
Loans held for sale | $ 42,300,000 | $ 0 | |||
Loans receivable with variable rates of interest | 87.00% | 85.00% | |||
Commercial Mortgage Loan | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Debt issued | $ 517,503,000 | $ 312,500,000 | |||
Eight Class AB Office Properties In Orange Country California | California | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Number of real estate properties (property) | property | 8 | ||||
Eight Class AB Office Properties In Orange Country California | Commercial Mortgage Loan | California | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Debt issued | $ 335,000,000 | ||||
Gain or loss on sales of senior loan | $ 0 | ||||
Eight Class AB Office Properties In Orange Country California | Commercial Mortgage Loan | California | Senior Loans | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Remaining senior loans held for sale | 115,000,000 | ||||
Remaining senior loans held for sale, net of origination fees | $ 114,400,000 | ||||
Minimum | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Senior secured loans, maturity period | 3 years | ||||
Maximum | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Senior secured loans, maturity period | 8 years | ||||
Residential mortgage loans | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Assets | $ 1,217,139,000 | $ 958,546,000 | |||
Residential mortgage loans | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Percent of adjustable-rate loans | 54.00% | 78.00% | |||
[1] | Derived from the audited consolidated financial statements at December 31, 2017. |
LOANS - Summary of Loans Invest
LOANS - Summary of Loans Investments Activity (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Beginning balance | $ 2,999,148 |
Purchases | 1,747,902 |
Syndications | (44,125) |
Principal Payments | (516,180) |
Change in fair value | (13,812) |
Amortization | 8,945 |
Ending balance | 4,181,878 |
Residential | |
Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Beginning balance | 958,546 |
Purchases | 430,854 |
Syndications | 0 |
Principal Payments | (156,198) |
Change in fair value | (13,812) |
Amortization | (2,251) |
Ending balance | 1,217,139 |
Commercial | |
Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Beginning balance | 1,029,327 |
Purchases | 528,835 |
Syndications | 0 |
Principal Payments | (124,559) |
Change in fair value | 0 |
Amortization | 2,262 |
Ending balance | 1,435,865 |
Corporate | |
Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Beginning balance | 1,011,275 |
Purchases | 788,213 |
Syndications | (44,125) |
Principal Payments | (235,423) |
Change in fair value | 0 |
Amortization | 8,934 |
Ending balance | $ 1,528,874 |
LOANS - Fair Value and Unpaid P
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential mortgage loans - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 1,983,015 | $ 1,438,322 |
Unpaid principal balance | $ 1,976,077 | $ 1,419,807 |
LOANS - Summary of Comprehensiv
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Mortgage Loans on Real Estate [Line Items] | ||||
Net interest income | $ 315,623 | $ 353,613 | $ 1,161,803 | $ 1,058,060 |
Net gains (losses) on disposal of investments | (376,943) | (11,833) | ||
Total included in net income (loss) | 385,578 | 367,547 | 2,309,297 | 822,682 |
Residential mortgage loans | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Net interest income | 16,423 | 8,226 | 45,702 | 18,935 |
Net gains (losses) on disposal of investments | (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 |
LOANS - Geographic Concentratio
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 100.00% | 100.00% |
California | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 54.50% | 49.80% |
New York | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 8.10% | 7.10% |
Florida | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 6.60% | 9.30% |
All other (none individually greater than 5%) | ||
Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 30.80% | 33.80% |
LOANS - Summary of Residential
LOANS - Summary of Residential Mortgage Loans (Details) - Residential mortgage loans $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($)point | Dec. 31, 2017USD ($)point | |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 1,976,077 | $ 1,419,807 |
Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 1 | $ 1 |
Interest rate | 2.00% | 1.63% |
FICO score at loan origination | point | 510 | 468 |
Loan-to-value ratio at loan origination | 11.00% | 11.00% |
Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 3,500 | $ 3,663 |
Interest rate | 7.50% | 7.50% |
FICO score at loan origination | point | 823 | 823 |
Loan-to-value ratio at loan origination | 100.00% | 100.00% |
Portfolio Weighted Average | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 494 | $ 514 |
Interest rate | 4.74% | 4.25% |
FICO score at loan origination | point | 754 | 748 |
Loan-to-value ratio at loan origination | 67.00% | 68.00% |
LOANS - Summary of Commercial R
LOANS - Summary of Commercial Real Estate Investments Held for Investment (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Real Estate [Line Items] | |||
Outstanding Principal | $ 96,782,059 | $ 95,582,210 | |
Carrying value, unamortized origination fees | 5,700 | 3,800 | |
Commercial Mortgage | |||
Real Estate [Line Items] | |||
Outstanding Principal | 1,443,203 | 1,033,158 | |
Carrying Value | $ 1,435,865 | $ 1,029,327 | $ 970,505 |
Percentage of Loan Portfolio | 100.00% | 100.00% | |
Commercial Mortgage | Mezzanine Loans | |||
Real Estate [Line Items] | |||
Outstanding Principal | $ 343,354 | $ 395,015 | |
Carrying Value | $ 342,700 | $ 394,442 | 451,467 |
Percentage of Loan Portfolio | 23.80% | 38.20% | |
Commercial Mortgage | Senior Mortgages | |||
Real Estate [Line Items] | |||
Outstanding Principal | $ 1,090,849 | $ 629,143 | |
Carrying Value | $ 1,084,167 | $ 625,900 | 510,071 |
Percentage of Loan Portfolio | 75.60% | 60.90% | |
Commercial Mortgage | Preferred Equity | |||
Real Estate [Line Items] | |||
Outstanding Principal | $ 9,000 | $ 9,000 | |
Carrying Value | $ 8,998 | $ 8,985 | $ 8,967 |
Percentage of Loan Portfolio | 0.60% | 0.90% |
LOANS - CRE Debt and Preferred
LOANS - CRE Debt and Preferred Equity Investments - Based on Outstanding Principal (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Principal payments | $ (516,180) | |
Commercial Mortgage | ||
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Net carrying value, beginning balance | 1,029,327 | $ 970,505 |
Originations & advances (principal) | 534,605 | 407,363 |
Principal payments | (124,558) | (349,220) |
Amortization & accretion of (premium) discounts | (16) | |
Net (increase) decrease in origination fees | (5,770) | (3,922) |
Amortization of net origination fees | 2,261 | 4,617 |
Net carrying value, ending balance | 1,435,865 | 1,029,327 |
Commercial Mortgage | Mezzanine Loans | ||
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Net carrying value, beginning balance | 394,442 | 451,467 |
Originations & advances (principal) | 45,334 | 69,121 |
Principal payments | (96,993) | (127,799) |
Amortization & accretion of (premium) discounts | 28 | |
Net (increase) decrease in origination fees | (370) | (605) |
Amortization of net origination fees | 287 | 2,230 |
Net carrying value, ending balance | 342,700 | 394,442 |
Commercial Mortgage | Senior Mortgages | ||
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Net carrying value, beginning balance | 625,900 | 510,071 |
Originations & advances (principal) | 489,271 | 338,242 |
Principal payments | (27,565) | (221,421) |
Amortization & accretion of (premium) discounts | (44) | |
Net (increase) decrease in origination fees | (5,400) | (3,317) |
Amortization of net origination fees | 1,961 | 2,369 |
Net carrying value, ending balance | 1,084,167 | 625,900 |
Commercial Mortgage | Preferred Equity | ||
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Net carrying value, beginning balance | 8,985 | 8,967 |
Originations & advances (principal) | 0 | 0 |
Principal payments | 0 | 0 |
Amortization & accretion of (premium) discounts | 0 | |
Net (increase) decrease in origination fees | 0 | 0 |
Amortization of net origination fees | 13 | 18 |
Net carrying value, ending balance | $ 8,998 | $ 8,985 |
LOANS - Internal Loan and Prefe
LOANS - Internal Loan and Preferred Equity Ratings (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018USD ($)loan | Dec. 31, 2017USD ($) | |
Real Estate [Line Items] | ||
Outstanding Principal | $ 96,782,059 | $ 95,582,210 |
Commercial Mortgage | ||
Real Estate [Line Items] | ||
Outstanding Principal | $ 1,443,203 | $ 1,033,158 |
Percentage of CRE Debt and Preferred Equity Portfolio | 100.00% | 100.00% |
Performing | $ 859,445 | $ 616,047 |
Performing - Closely Monitored | 366,671 | 181,573 |
Performing - Special Mention | 116,094 | 168,148 |
Substandard | 100,993 | 67,390 |
Doubtful | 0 | 0 |
Loss | $ 0 | 0 |
Number of rated loans (loan) | loan | 2 | |
Commercial Mortgage | Mezzanine Loans | ||
Real Estate [Line Items] | ||
Outstanding Principal | $ 343,354 | $ 395,015 |
Percentage of CRE Debt and Preferred Equity Portfolio | 23.80% | 38.20% |
Performing | $ 135,334 | $ 206,169 |
Performing - Closely Monitored | 64,323 | 66,498 |
Performing - Special Mention | 107,094 | 122,348 |
Substandard | 36,603 | 0 |
Doubtful | 0 | 0 |
Loss | 0 | 0 |
Commercial Mortgage | Senior Mortgages | ||
Real Estate [Line Items] | ||
Outstanding Principal | $ 1,090,849 | $ 629,143 |
Percentage of CRE Debt and Preferred Equity Portfolio | 75.60% | 60.90% |
Performing | $ 724,111 | $ 409,878 |
Performing - Closely Monitored | 302,348 | 115,075 |
Performing - Special Mention | 0 | 36,800 |
Substandard | 64,390 | 67,390 |
Doubtful | 0 | 0 |
Loss | 0 | 0 |
Commercial Mortgage | Preferred Equity | ||
Real Estate [Line Items] | ||
Outstanding Principal | $ 9,000 | $ 9,000 |
Percentage of CRE Debt and Preferred Equity Portfolio | 0.60% | 0.90% |
Performing | $ 0 | $ 0 |
Performing - Closely Monitored | 0 | 0 |
Performing - Special Mention | 9,000 | 9,000 |
Substandard | 0 | 0 |
Doubtful | 0 | 0 |
Loss | $ 0 | $ 0 |
LOANS - Schedule of Industry an
LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 1,528,874 | $ 1,011,275 |
Aircraft and Parts | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 41,344 | 34,814 |
Coating, Engraving and Allied Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 58,850 | 64,034 |
Computer Programming, Data Processing & Other Computer Related Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 212,969 | 209,624 |
Drugs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 38,735 | 38,708 |
Electrical Work | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 43,266 | 0 |
Electronic Components & Accessories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 24,029 | 23,916 |
Engineering, Architectural & Surveying | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 80,741 | 0 |
Groceries and Related Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,725 | 14,794 |
Grocery Stores | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 23,461 | 23,531 |
Home Health Care Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 23,779 |
Insurance Agents, Brokers and Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,211 | 28,872 |
Mailing, Reproduction, Commercial Art and Photography, and Stenographic | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,855 | 0 |
Management and Public Relations Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 240,740 | 94,871 |
Medical and Dental Laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 26,876 | 26,956 |
Metal Cans & Shipping Containers | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 118,006 | 0 |
Miscellaneous Business Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,650 | 19,723 |
Miscellaneous Equipment Rental and Leasing | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,433 | 49,129 |
Miscellaneous Health and Allied Services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 54,189 | 25,963 |
Miscellaneous Nonmetallic Minerals, except Fuels | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 25,992 |
Miscellaneous Plastic Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 9,963 | 9,879 |
Motor Vehicles and Motor Vehicle Equipment | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 16,937 | 0 |
Motor Vehicles and Motor Vehicle Parts and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 27,979 | 12,212 |
Nonferrous Foundries (Castings) | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,953 | 0 |
Offices and Clinics of Doctors of Medicine | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 97,760 | 600 |
Offices and Clinics of Other Health Practitioners | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 21,122 | 18,979 |
Public Warehousing and Storage | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 61,912 | 48,890 |
Research, Development and Testing Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 33,334 | 33,155 |
Schools and Educational Services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,794 | 20,625 |
Services Allied with the Exchange of Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,895 | 13,960 |
Surgical, Medical, and Dental Instruments and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 39,806 | 29,687 |
Telephone Communications | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 61,339 | 59,182 |
Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Aircraft and Parts | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Coating, Engraving and Allied Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Computer Programming, Data Processing & Other Computer Related Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Drugs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Electrical Work | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Electronic Components & Accessories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Engineering, Architectural & Surveying | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Groceries and Related Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Grocery Stores | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Home Health Care Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Insurance Agents, Brokers and Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Mailing, Reproduction, Commercial Art and Photography, and Stenographic | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Management and Public Relations Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Medical and Dental Laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Metal Cans & Shipping Containers | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Miscellaneous Business Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Miscellaneous Equipment Rental and Leasing | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Miscellaneous Health and Allied Services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Miscellaneous Nonmetallic Minerals, except Fuels | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Miscellaneous Plastic Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Motor Vehicles and Motor Vehicle Equipment | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Motor Vehicles and Motor Vehicle Parts and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Nonferrous Foundries (Castings) | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Offices and Clinics of Doctors of Medicine | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Offices and Clinics of Other Health Practitioners | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Public Warehousing and Storage | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Research, Development and Testing Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Schools and Educational Services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Services Allied with the Exchange of Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Surgical, Medical, and Dental Instruments and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Fixed Rate | Telephone Communications | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 1,528,874 | 1,011,275 |
Floating Rate | Aircraft and Parts | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 41,344 | 34,814 |
Floating Rate | Coating, Engraving and Allied Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 58,850 | 64,034 |
Floating Rate | Computer Programming, Data Processing & Other Computer Related Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 212,969 | 209,624 |
Floating Rate | Drugs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 38,735 | 38,708 |
Floating Rate | Electrical Work | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 43,266 | 0 |
Floating Rate | Electronic Components & Accessories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 24,029 | 23,916 |
Floating Rate | Engineering, Architectural & Surveying | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 80,741 | 0 |
Floating Rate | Groceries and Related Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,725 | 14,794 |
Floating Rate | Grocery Stores | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 23,461 | 23,531 |
Floating Rate | Home Health Care Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 23,779 |
Floating Rate | Insurance Agents, Brokers and Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,211 | 28,872 |
Floating Rate | Mailing, Reproduction, Commercial Art and Photography, and Stenographic | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,855 | 0 |
Floating Rate | Management and Public Relations Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 240,740 | 94,871 |
Floating Rate | Medical and Dental Laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 26,876 | 26,956 |
Floating Rate | Metal Cans & Shipping Containers | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 118,006 | 0 |
Floating Rate | Miscellaneous Business Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,650 | 19,723 |
Floating Rate | Miscellaneous Equipment Rental and Leasing | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,433 | 49,129 |
Floating Rate | Miscellaneous Health and Allied Services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 54,189 | 25,963 |
Floating Rate | Miscellaneous Nonmetallic Minerals, except Fuels | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 25,992 |
Floating Rate | Miscellaneous Plastic Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 9,963 | 9,879 |
Floating Rate | Motor Vehicles and Motor Vehicle Equipment | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 16,937 | 0 |
Floating Rate | Motor Vehicles and Motor Vehicle Parts and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 27,979 | 12,212 |
Floating Rate | Nonferrous Foundries (Castings) | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,953 | 0 |
Floating Rate | Offices and Clinics of Doctors of Medicine | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 97,760 | 600 |
Floating Rate | Offices and Clinics of Other Health Practitioners | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 21,122 | 18,979 |
Floating Rate | Public Warehousing and Storage | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 61,912 | 48,890 |
Floating Rate | Research, Development and Testing Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 33,334 | 33,155 |
Floating Rate | Schools and Educational Services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,794 | 20,625 |
Floating Rate | Services Allied with the Exchange of Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,895 | 13,960 |
Floating Rate | Surgical, Medical, and Dental Instruments and Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 39,806 | 29,687 |
Floating Rate | Telephone Communications | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 61,339 | $ 59,182 |
LOANS - Aggregate Positions in
LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 1,528,874 | $ 1,011,275 |
First lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 888,860 | 582,724 |
Second lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 640,014 | $ 428,551 |
MORTGAGE SERVICING RIGHTS - Pre
MORTGAGE SERVICING RIGHTS - Presentation of Activity Related to MSR (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Fair value, beginning of period | $ 599,014 | $ 605,653 | $ 580,860 | $ 652,216 |
Other | 0 | 0 | 10 | |
Change in fair value due to: | ||||
Changes in valuation inputs or assumptions | (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 |
Purchased Servicing Rights | ||||
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Purchases | $ 0 | $ (30) | $ 0 | $ (27) |
MORTGAGE SERVICING RIGHTS - Add
MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Transfers and Servicing [Abstract] | ||||
Service income fee | $ 27.7 | $ 31.9 | $ 83.8 | $ 99.7 |
REAL ESTATE - Summary of Estima
REAL ESTATE - Summary of Estimated Useful Lives of Assets (Details) | 9 Months Ended |
Sep. 30, 2018 | |
Building and building improvements | Minimum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 1 year |
Building and building improvements | Maximum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 44 years |
Furniture, fixtures and equipment | Minimum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 1 year |
Furniture, fixtures and equipment | Maximum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 4 years |
REAL ESTATE - Additional Inform
REAL ESTATE - Additional Information (Details) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018USD ($)property | Sep. 30, 2017USD ($)property | Sep. 30, 2018USD ($)property | Sep. 30, 2017USD ($)property | Dec. 31, 2017USD ($) | |
Property, Plant and Equipment [Line Items] | |||||
Real estate acquired in settlement of residential mortgage loans | $ 0 | $ 0 | $ 0 | ||
Number of commercial real estate acquired (property) | property | 0 | 0 | 0 | 0 | |
Number of wholly owned real estate properties sold (property) | property | 1 | ||||
Proceeds from sale of wholly-owned triple net leased properties | $ 12,000,000 | ||||
Gain on sale of wholly-owned triple net leased properties | 5,100,000 | ||||
Weighted average amortization period for intangible assets and liabilities | 5 years 9 days | ||||
General and Administrative Expense | |||||
Property, Plant and Equipment [Line Items] | |||||
Depreciation expense | $ 4,500,000 | $ 4,000,000 | $ 11,900,000 | $ 11,800,000 |
REAL ESTATE - Summary of Real E
REAL ESTATE - Summary of Real Estate (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Property, Plant and Equipment [Line Items] | ||
Real estate held for investment, at amortized cost | $ 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 |
Land | ||
Property, Plant and Equipment [Line Items] | ||
Real estate held for investment, at amortized cost | 128,742 | 111,012 |
Buildings and improvements | ||
Property, Plant and Equipment [Line Items] | ||
Real estate held for investment, at amortized cost | 580,932 | 330,959 |
Furniture, fixtures and equipment | ||
Property, Plant and Equipment [Line Items] | ||
Real estate held for investment, at amortized cost | $ 11,205 | $ 0 |
REAL ESTATE - Minimum Future Re
REAL ESTATE - Minimum Future Rentals to be Received on Noncancelable Operating Leases (Details) $ in Thousands | Sep. 30, 2018USD ($) |
Real Estate [Abstract] | |
2018 (remaining) | $ 12,627 |
2,019 | 49,246 |
2,020 | 44,973 |
2,021 | 40,940 |
2,022 | 36,393 |
Later years | 223,175 |
Total | $ 407,354 |
VARIABLE INTEREST ENTITIES - Ad
VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2018 | Mar. 31, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Jul. 31, 2018 | Dec. 31, 2017 | Aug. 31, 2017 | Jul. 31, 2017 | |
Variable Interest Entity [Line Items] | |||||||||
Contractual principal amount of residential mortgage trust debt | $ 516,180,000 | ||||||||
Residential mortgage loans | $ 4,181,878,000 | 4,181,878,000 | $ 2,999,148,000 | ||||||
Securitized debt of consolidated VIEs | 3,799,542,000 | 3,799,542,000 | 2,971,771,000 | ||||||
Mortgage-backed securities | 91,338,611,000 | 91,338,611,000 | 92,563,572,000 | ||||||
Costs incurred in connection with securitization | 126,509,000 | $ 57,016,000 | 252,800,000 | $ 164,867,000 | |||||
Other secured financings | 4,108,547,000 | 4,108,547,000 | 3,837,528,000 | ||||||
Variable interest entity, ownership percentage | 100.00% | ||||||||
Borrower | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Other secured financings | 300,000,000 | 300,000,000 | |||||||
Borrower | Corporate debt | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans, pledged assets | 443,600,000 | 443,600,000 | |||||||
Consolidated VIEs | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Exposure to obligations of VIEs | 1,600,000,000 | 1,600,000,000 | |||||||
Consolidated VIEs | Consolidation, Eliminations | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Mortgage-backed securities | 275,800,000 | 275,800,000 | 0 | ||||||
Consolidated VIEs | OBX Trust | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Residential mortgage loans | $ 327,500,000 | $ 383,400,000 | |||||||
Securitized debt of consolidated VIEs | 530,100,000 | 588,100,000 | 530,100,000 | ||||||
Costs incurred in connection with securitization | 1,800,000 | 1,500,000 | |||||||
Consolidated VIEs | OBX Trust | Consolidation, Eliminations | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Mortgage-backed securities | $ 122,500,000 | ||||||||
FREMF Trusts | Consolidated VIEs | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Mortgage loans, unpaid principal balance | 3,500,000,000 | 3,500,000,000 | |||||||
Gain (loss) attributable to instrument- specific credit risk | 0 | ||||||||
Residential mortgage loans | 0 | 0 | 0 | ||||||
Costs incurred in connection with securitization | 0 | (1,000) | 0 | 0 | |||||
Other secured financings | 0 | 0 | 0 | ||||||
FREMF Trusts | Consolidated VIEs | 90 days or more past due | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans 90 days or more past due or on nonaccrual status | 0 | 0 | |||||||
Residential Mortgage Loan Trusts | Consolidated VIEs | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Contractual principal amount of residential mortgage trust debt | 30,400,000 | ||||||||
Residential mortgage loans | 107,764,000 | 107,764,000 | 478,811,000 | ||||||
Costs incurred in connection with securitization | 21,000 | $ 34,000 | 50,000 | $ 71,000 | |||||
Other secured financings | 0 | 0 | $ 0 | ||||||
Borrower | Consolidation, Eliminations | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Principal receivable | 300,000,000 | 300,000,000 | |||||||
Borrower | Consolidated VIEs | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Credit facility, maximum borrowing capacity | 400,000,000 | 400,000,000 | |||||||
Borrower | Consolidated VIEs | July 2017 Credit Facility | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Credit facility, maximum borrowing capacity | $ 150,000,000 | ||||||||
Borrower | Consolidated VIEs | Corporate debt | July 2017 Credit Facility | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Loans, pledged assets | 235,600,000 | 235,600,000 | |||||||
Other secured financings | $ 150,000,000 | 150,000,000 | |||||||
CMBS Securitization Trust | Consolidated VIEs | Total securities | |||||||||
Variable Interest Entity [Line Items] | |||||||||
Commitments to purchase subordinated tranche in securitization trust | $ 94,000,000 |
VARIABLE INTEREST ENTITIES - St
VARIABLE INTEREST ENTITIES - Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | |
ASSETS | |||
Cash and cash equivalents | $ 1,082,747 | $ 706,589 | |
Residential mortgage loans | 4,181,878 | 2,999,148 | |
Mortgage servicing rights | 588,833 | 580,860 | |
Interest receivable | 347,278 | 323,526 | |
Gross Amounts | 404,841 | 313,885 | |
Other assets | 329,868 | 384,117 | |
Total assets | 105,961,803 | 101,760,050 | [1] |
Liabilities | |||
Other secured financing | 4,108,547 | 3,837,528 | |
Interest payable | 399,605 | 253,068 | |
Total liabilities | 91,005,947 | 86,888,477 | [1] |
Consolidated VIEs | |||
ASSETS | |||
Cash and cash equivalents | 28,400 | 42,300 | |
Consolidated VIEs | FREMF Trusts | |||
ASSETS | |||
Cash and cash equivalents | 0 | 0 | |
Commercial real estate debt | 3,521,945 | 2,826,357 | |
Residential mortgage loans | 0 | 0 | |
Mortgage servicing rights | 0 | 0 | |
Interest receivable | 13,432 | 10,339 | |
Gross Amounts | 0 | ||
Other assets | 0 | 0 | |
Total assets | 3,535,377 | 2,836,696 | |
Liabilities | |||
Securitized debt (non-recourse) | 3,240,043 | 2,620,952 | |
Other secured financing | 0 | 0 | |
Interest payable | 6,383 | 4,554 | |
Other liabilities | 0 | 0 | |
Total liabilities | 3,246,426 | 2,625,506 | |
Consolidated VIEs | Residential Mortgage Loan Trusts | |||
ASSETS | |||
Cash and cash equivalents | 0 | 0 | |
Commercial real estate debt | 0 | 0 | |
Residential mortgage loans | 107,764 | 478,811 | |
Mortgage servicing rights | 0 | 0 | |
Interest receivable | 555 | 1,599 | |
Gross Amounts | 0 | ||
Other assets | 0 | 1,418 | |
Total assets | 108,319 | 481,828 | |
Liabilities | |||
Securitized debt (non-recourse) | 29,698 | 350,819 | |
Other secured financing | 0 | 0 | |
Interest payable | 70 | 931 | |
Other liabilities | 148 | 112 | |
Total liabilities | 29,916 | 351,862 | |
Consolidated VIEs | Mortgage Servicing Rights Silos | |||
ASSETS | |||
Cash and cash equivalents | 28,441 | 42,293 | |
Commercial real estate debt | 0 | 0 | |
Residential mortgage loans | 97,825 | 19,667 | |
Mortgage servicing rights | 588,833 | 580,860 | |
Interest receivable | 0 | 0 | |
Gross Amounts | 1 | ||
Other assets | 33,522 | 32,354 | |
Total assets | 748,621 | 675,175 | |
Liabilities | |||
Securitized debt (non-recourse) | 0 | 0 | |
Other secured financing | 70,221 | 10,496 | |
Interest payable | 0 | 0 | |
Other liabilities | 2,160 | 4,856 | |
Total liabilities | $ 72,381 | $ 15,352 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2017. |
VARIABLE INTEREST ENTITIES - _2
VARIABLE INTEREST ENTITIES - Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Variable Interest Entity [Line Items] | ||||
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 |
Net gains (losses) on other derivatives | 94,827 | 154,208 | 81,871 | 140,104 |
Less: General and administrative expenses | 126,509 | 57,016 | 252,800 | 164,867 |
Net income (loss) | 385,429 | 367,315 | 2,309,020 | 822,245 |
Consolidated VIEs | FREMF Trusts | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 36,387 | 28,841 | 85,325 | 81,508 |
Interest expense | 25,068 | 15,791 | 54,265 | 42,046 |
Net interest income | 11,319 | 13,050 | 31,060 | 39,462 |
Net realized gains (losses) on disposal of investments | 0 | 0 | 0 | 0 |
Net gains (losses) on trading assets | 0 | 0 | ||
Net gains (losses) on other derivatives | 0 | |||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 220 | (2,256) | 1,332 | 2,833 |
Other income (loss) | (4,217) | (6,073) | (12,986) | (18,595) |
Less: General and administrative expenses | 0 | (1) | 0 | 0 |
Net income (loss) | 7,322 | 4,722 | 19,406 | 23,700 |
Consolidated VIEs | Residential Mortgage Loan Trusts | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 1,723 | 1,145 | 6,280 | 3,685 |
Interest expense | 773 | 282 | 3,621 | 854 |
Net interest income | 950 | 863 | 2,659 | 2,831 |
Net realized gains (losses) on disposal of investments | 147 | (229) | 2,049 | (611) |
Net gains (losses) on trading assets | 0 | 0 | ||
Net gains (losses) on other derivatives | 0 | |||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 242 | (20) | (925) | 1,682 |
Other income (loss) | (70) | (89) | (221) | (280) |
Less: General and administrative expenses | 21 | 34 | 50 | 71 |
Net income (loss) | 1,248 | 491 | 3,512 | 3,551 |
Consolidated VIEs | Mortgage Servicing Rights Silos | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 2,678 | 514 | 4,126 | 1,005 |
Interest expense | 438 | 121 | 875 | 243 |
Net interest income | 2,240 | 393 | 3,251 | 762 |
Net realized gains (losses) on disposal of investments | (516) | (1,430) | (1,826) | (1,915) |
Net gains (losses) on trading assets | (19) | (17) | ||
Net gains (losses) on other derivatives | 70 | |||
Net unrealized gains (losses) on instruments measured at fair value through earnings | (13,364) | (36,226) | 3,101 | (83,340) |
Other income (loss) | 26,866 | 32,001 | 83,924 | 99,927 |
Less: General and administrative expenses | 481 | 560 | 1,408 | 2,500 |
Net income (loss) | $ 14,745 | $ (5,841) | $ 87,112 | $ 12,917 |
VARIABLE INTEREST ENTITIES - Ge
VARIABLE INTEREST ENTITIES - Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Unpaid Principal Balances (Details) - Consolidated VIEs $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
FREMF Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | $ 3,495,230 |
FREMF Trusts | Texas | |
Concentration Risk [Line Items] | |
Principal Balance | 478,593 |
FREMF Trusts | Maryland | |
Concentration Risk [Line Items] | |
Principal Balance | 448,646 |
FREMF Trusts | California | |
Concentration Risk [Line Items] | |
Principal Balance | 360,279 |
FREMF Trusts | Virginia | |
Concentration Risk [Line Items] | |
Principal Balance | 347,002 |
FREMF Trusts | Pennsylvania | |
Concentration Risk [Line Items] | |
Principal Balance | 281,384 |
FREMF Trusts | New York | |
Concentration Risk [Line Items] | |
Principal Balance | 280,925 |
FREMF Trusts | North Carolina | |
Concentration Risk [Line Items] | |
Principal Balance | 251,187 |
FREMF Trusts | Massachusetts | |
Concentration Risk [Line Items] | |
Principal Balance | 179,440 |
FREMF Trusts | Other | |
Concentration Risk [Line Items] | |
Principal Balance | $ 867,774 |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
Percentage of balance | 100.00% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Texas | |
Concentration Risk [Line Items] | |
Percentage of balance | 13.70% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Maryland | |
Concentration Risk [Line Items] | |
Percentage of balance | 12.80% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | California | |
Concentration Risk [Line Items] | |
Percentage of balance | 10.30% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Virginia | |
Concentration Risk [Line Items] | |
Percentage of balance | 9.90% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Pennsylvania | |
Concentration Risk [Line Items] | |
Percentage of balance | 8.10% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | New York | |
Concentration Risk [Line Items] | |
Percentage of balance | 8.00% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | North Carolina | |
Concentration Risk [Line Items] | |
Percentage of balance | 7.20% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Massachusetts | |
Concentration Risk [Line Items] | |
Percentage of balance | 5.10% |
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Other | |
Concentration Risk [Line Items] | |
Percentage of balance | 24.90% |
Residential Mortgage Loan Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | $ 108,480 |
Residential Mortgage Loan Trusts | Texas | |
Concentration Risk [Line Items] | |
Principal Balance | 13,981 |
Residential Mortgage Loan Trusts | California | |
Concentration Risk [Line Items] | |
Principal Balance | 48,718 |
Residential Mortgage Loan Trusts | Illinois | |
Concentration Risk [Line Items] | |
Principal Balance | 8,297 |
Residential Mortgage Loan Trusts | Washington | |
Concentration Risk [Line Items] | |
Principal Balance | 7,559 |
Residential Mortgage Loan Trusts | Florida | |
Concentration Risk [Line Items] | |
Principal Balance | 5,424 |
Residential Mortgage Loan Trusts | Other | |
Concentration Risk [Line Items] | |
Principal Balance | $ 24,501 |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Texas | |
Concentration Risk [Line Items] | |
Percentage of balance | 12.90% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | California | |
Concentration Risk [Line Items] | |
Percentage of balance | 44.90% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Illinois | |
Concentration Risk [Line Items] | |
Percentage of balance | 7.60% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Washington | |
Concentration Risk [Line Items] | |
Percentage of balance | 7.00% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Florida | |
Concentration Risk [Line Items] | |
Percentage of balance | 5.00% |
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Other | |
Concentration Risk [Line Items] | |
Percentage of balance | 22.60% |
FAIR VALUE MEASUREMENTS - Estim
FAIR VALUE MEASUREMENTS - Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Securities | ||||||
Mortgage-backed securities | $ 91,338,611 | $ 92,563,572 | ||||
Loans | ||||||
Mortgage servicing rights | 588,833 | $ 599,014 | 580,860 | $ 570,218 | $ 605,653 | $ 652,216 |
Assets transferred or pledged to securitization vehicles | 4,287,821 | 3,306,133 | ||||
Derivative assets | ||||||
Interest rate swaps | 97,002 | 30,272 | ||||
Derivative liabilities | ||||||
Interest rate swaps | 311,729 | 569,129 | ||||
Residential mortgage loans | ||||||
Loans | ||||||
Loans | 1,983,015 | 1,438,322 | ||||
Fair Value, Measurements, Recurring | ||||||
Securities | ||||||
Agency mortgage-backed securities | 89,290,128 | 90,551,763 | ||||
Credit risk transfer securities | 688,521 | 651,764 | ||||
Loans | ||||||
Mortgage servicing rights | 588,833 | 580,860 | ||||
Assets transferred or pledged to securitization vehicles | 4,287,821 | 3,306,133 | ||||
Derivative assets | ||||||
Interest rate swaps | 97,002 | 30,272 | ||||
Other derivatives | 307,839 | 283,613 | ||||
Total assets | 97,837,245 | 97,722,996 | ||||
Liabilities: | ||||||
Debt issued by securitization vehicles | 3,799,542 | 2,971,771 | ||||
Derivative liabilities | ||||||
Interest rate swaps | 311,729 | 569,129 | ||||
Other derivatives | 68,065 | 38,725 | ||||
Total liabilities | 4,179,336 | 3,579,625 | ||||
Fair Value, Measurements, Recurring | Commercial Securities | ||||||
Securities | ||||||
Mortgage-backed securities | 186,495 | 262,751 | ||||
Fair Value, Measurements, Recurring | Residential mortgage loans | ||||||
Loans | ||||||
Loans | 1,217,139 | 958,546 | ||||
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities | ||||||
Securities | ||||||
Mortgage-backed securities | 1,173,467 | 1,097,294 | ||||
Fair Value, Measurements, Recurring | Level 1 | ||||||
Securities | ||||||
Agency mortgage-backed securities | 0 | 0 | ||||
Credit risk transfer securities | 0 | 0 | ||||
Loans | ||||||
Mortgage servicing rights | 0 | 0 | ||||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||||
Derivative assets | ||||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 221,516 | 218,361 | ||||
Total assets | 221,516 | 218,361 | ||||
Liabilities: | ||||||
Debt issued by securitization vehicles | 0 | 0 | ||||
Derivative liabilities | ||||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 482 | 12,285 | ||||
Total liabilities | 482 | 12,285 | ||||
Fair Value, Measurements, Recurring | Level 1 | Commercial Securities | ||||||
Securities | ||||||
Mortgage-backed securities | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Residential mortgage loans | ||||||
Loans | ||||||
Loans | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities | ||||||
Securities | ||||||
Mortgage-backed securities | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | ||||||
Securities | ||||||
Agency mortgage-backed securities | 89,290,128 | 90,551,763 | ||||
Credit risk transfer securities | 688,521 | 651,764 | ||||
Loans | ||||||
Mortgage servicing rights | 0 | 0 | ||||
Assets transferred or pledged to securitization vehicles | 4,287,821 | 3,306,133 | ||||
Derivative assets | ||||||
Interest rate swaps | 97,002 | 30,272 | ||||
Other derivatives | 86,323 | 65,252 | ||||
Total assets | 97,026,896 | 96,923,775 | ||||
Liabilities: | ||||||
Debt issued by securitization vehicles | 3,799,542 | 2,971,771 | ||||
Derivative liabilities | ||||||
Interest rate swaps | 311,729 | 569,129 | ||||
Other derivatives | 67,583 | 26,440 | ||||
Total liabilities | 4,178,854 | 3,567,340 | ||||
Fair Value, Measurements, Recurring | Level 2 | Commercial Securities | ||||||
Securities | ||||||
Mortgage-backed securities | 186,495 | 262,751 | ||||
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans | ||||||
Loans | ||||||
Loans | 1,217,139 | 958,546 | ||||
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities | ||||||
Securities | ||||||
Mortgage-backed securities | 1,173,467 | 1,097,294 | ||||
Fair Value, Measurements, Recurring | Level 3 | ||||||
Securities | ||||||
Agency mortgage-backed securities | 0 | 0 | ||||
Credit risk transfer securities | 0 | 0 | ||||
Loans | ||||||
Mortgage servicing rights | 588,833 | 580,860 | ||||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||||
Derivative assets | ||||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 0 | 0 | ||||
Total assets | 588,833 | 580,860 | ||||
Liabilities: | ||||||
Debt issued by securitization vehicles | 0 | 0 | ||||
Derivative liabilities | ||||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 0 | 0 | ||||
Total liabilities | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Commercial Securities | ||||||
Securities | ||||||
Mortgage-backed securities | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Residential mortgage loans | ||||||
Loans | ||||||
Loans | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-backed Securities | ||||||
Securities | ||||||
Mortgage-backed securities | $ 0 | $ 0 |
FAIR VALUE MEASUREMENTS - Infor
FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Details) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, Discount rate | 9.00% | 10.00% |
Unobservable input, Prepayment rate | 4.50% | 4.60% |
Unobservable input, Delinquency rate | 0.00% | 0.00% |
Unobservable input, Cost to service | $ 82 | $ 84 |
Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, Discount rate | 12.00% | 15.00% |
Unobservable input, Prepayment rate | 11.30% | 22.30% |
Unobservable input, Delinquency rate | 5.00% | 13.00% |
Unobservable input, Cost to service | $ 132 | $ 181 |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Unobservable input, Discount rate | 9.40% | 10.40% |
Unobservable input, Prepayment rate | 7.10% | 9.40% |
Unobservable input, Delinquency rate | 2.30% | 2.20% |
Unobservable input, Cost to service | $ 105 | $ 102 |
FAIR VALUE MEASUREMENTS - Est_2
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 |
Financial liabilities: | |||
Other secured financing | $ 4,108,547 | $ 3,837,528 | |
Carrying Value | Level 2 | |||
Financial assets: | |||
Corporate debt | 1,528,874 | 1,011,275 | |
Financial liabilities: | |||
Repurchase agreements | 79,073,026 | 77,696,343 | |
Other secured financing | 4,108,547 | 3,837,528 | |
Carrying Value | Level 3 | |||
Financial assets: | |||
Commercial real estate debt and preferred equity, held for investment | 1,435,865 | 1,029,327 | |
Commercial loans held for sale, net | $ 42,325 | 0 | |
Financial liabilities: | |||
Mortgage payable | 511,588 | 309,686 | |
Fair Value | Level 2 | |||
Financial assets: | |||
Corporate debt | 1,531,546 | 1,014,139 | |
Financial liabilities: | |||
Repurchase agreements | 79,073,026 | 77,697,828 | |
Other secured financing | 4,108,801 | 3,837,595 | |
Fair Value | Level 3 | |||
Financial assets: | |||
Commercial real estate debt and preferred equity, held for investment | 1,446,062 | 1,035,095 | |
Commercial loans held for sale, net | $ 43,055 | 0 | |
Financial liabilities: | |||
Mortgage payable | $ 494,690 | $ 310,218 |
SECURED FINANCING - Additional
SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Repurchase Agreements: | ||
Repurchase agreements | $ 79,073,026 | $ 77,696,343 |
Repurchase agreements - weighted average effective borrowing rates | 2.05% | 1.89% |
Repurchase agreements - weighted average remaining maturities | 55 days | 58 days |
Other secured financing long term, amount | $ 4,108,547 | $ 3,837,528 |
Secured financings and interest rate swaps - collateral held, estimated fair value | 87,200,000 | 87,000,000 |
Secured financings and interest rate swaps - collateral held, accrued interest | 280,700 | 267,300 |
Fair value of collateral received | $ 482,300 | $ 0 |
Minimum | ||
Repurchase Agreements: | ||
Other secured financing amount, long term, expiration period | 3 years | |
Maximum | ||
Repurchase Agreements: | ||
Other secured financing amount, long term, expiration period | 8 years | |
FHLB De Moines | ||
Repurchase Agreements: | ||
Debt weighted average interest rate | 2.41% | 1.49% |
Stock held in FHLB | $ 147,900 | $ 147,900 |
Maturity Period Beyond Three Years | ||
Repurchase Agreements: | ||
Other secured financing long term, amount | $ 2,100,000 | |
Other secured financing amount, long term, expiration period | 3 years | |
Maturity Period Beyond Three Years | Minimum | ||
Repurchase Agreements: | ||
Other secured financing amount, long term, expiration period | 1 year | 1 year |
Maturity Period Beyond Three Years | Maximum | ||
Repurchase Agreements: | ||
Other secured financing amount, long term, expiration period | 3 years | 3 years |
Maturity Period Beyond Three Years | FHLB De Moines | Debt Instrument, Maturity, Period Two | ||
Repurchase Agreements: | ||
Other secured financing long term, amount | $ 3,600,000 | $ 1,400,000 |
SECURED FINANCING - Repurchase
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Repurchase Agreements: | ||
Repurchase agreements | $ 79,073,026 | $ 77,696,343 |
Weighted Average Rate | 2.32% | 1.61% |
Percentage of total repurchase agreements with remaining maturity of 1 year | 0.00% | 1.00% |
Credit risk transfer securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 437,020 | $ 277,971 |
Non Agency MBS | ||
Repurchase Agreements: | ||
Repurchase agreements | 474,006 | 304,778 |
Commercial loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 764,543 | 385,113 |
Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 77,142,421 | 76,703,981 |
Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 255,036 | 24,500 |
1 day | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 16,400,345 | $ 0 |
Weighted Average Rate | 2.38% | 0.00% |
1 day | Credit risk transfer securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
1 day | Non Agency MBS | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
1 day | Commercial loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
1 day | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 16,400,345 | 0 |
1 day | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
2 to 29 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 20,175,176 | $ 33,956,552 |
Weighted Average Rate | 2.18% | 1.69% |
2 to 29 days | Credit risk transfer securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 365,101 | $ 263,528 |
2 to 29 days | Non Agency MBS | ||
Repurchase Agreements: | ||
Repurchase agreements | 252,960 | 253,290 |
2 to 29 days | Commercial loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
2 to 29 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 19,476,641 | 33,421,609 |
2 to 29 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 80,474 | 18,125 |
30 to 59 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 7,321,938 | $ 10,828,777 |
Weighted Average Rate | 2.26% | 1.44% |
30 to 59 days | Credit risk transfer securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 7,229 |
30 to 59 days | Non Agency MBS | ||
Repurchase Agreements: | ||
Repurchase agreements | 65,567 | 3,658 |
30 to 59 days | Commercial loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
30 to 59 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 7,256,371 | 10,811,515 |
30 to 59 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 6,375 |
60 to 89 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 17,423,359 | $ 13,855,787 |
Weighted Average Rate | 2.38% | 1.59% |
60 to 89 days | Credit risk transfer securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 71,919 | $ 7,214 |
60 to 89 days | Non Agency MBS | ||
Repurchase Agreements: | ||
Repurchase agreements | 155,479 | 47,830 |
60 to 89 days | Commercial loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
60 to 89 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 17,159,885 | 13,800,743 |
60 to 89 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 36,076 | 0 |
90 to 119 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 6,518,313 | $ 10,128,006 |
Weighted Average Rate | 2.20% | 1.39% |
90 to 119 days | Credit risk transfer securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
90 to 119 days | Non Agency MBS | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
90 to 119 days | Commercial loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
90 to 119 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 6,518,313 | 10,128,006 |
90 to 119 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
Over 120 days | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 11,233,895 | $ 8,927,221 |
Weighted Average Rate | 2.48% | 1.77% |
Over 120 days | Credit risk transfer securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 0 | $ 0 |
Over 120 days | Non Agency MBS | ||
Repurchase Agreements: | ||
Repurchase agreements | 0 | 0 |
Over 120 days | Commercial loans | ||
Repurchase Agreements: | ||
Repurchase agreements | 764,543 | 385,113 |
Over 120 days | Agency Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | 10,330,866 | 8,542,108 |
Over 120 days | Commercial Mortgage-Backed Securities | ||
Repurchase Agreements: | ||
Repurchase agreements | $ 138,486 | $ 0 |
SECURED FINANCING - Summary of
SECURED FINANCING - Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Debt Disclosure [Abstract] | ||
Gross amounts -reverse repurchase agreements | $ 1,484,704 | $ 1,250,000 |
Amounts offset - reverse repurchase agreement | (250,000) | (1,250,000) |
Netted amounts -reverse repurchase | 1,234,704 | 0 |
Gross amounts -repurchase agreement | 79,323,026 | 78,946,343 |
Amounts offset -repurchase agreement | (250,000) | (1,250,000) |
Repurchase agreements | $ 79,073,026 | $ 77,696,343 |
SECURED FINANCING - Mortgage Lo
SECURED FINANCING - Mortgage Loans Payable (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Debt Instrument [Line Items] | ||
Debt instrument, basis spread on variable rate | 87.00% | 85.00% |
Utah | ||
Debt Instrument [Line Items] | ||
Interest Rate | 3.69% | |
Commercial Mortgage Loan | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 511,588 | $ 309,686 |
Mortgage Principal | 517,503 | 312,500 |
Commercial Mortgage Loan | Utah | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | 7,297 | |
Mortgage Principal | 7,218 | |
Commercial Mortgage Loan | Utah | LIBOR | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | 9,691 | |
Mortgage Principal | $ 9,706 | |
Debt instrument, basis spread on variable rate | 3.50% | |
Commercial Mortgage Loan | Minnesota | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 13,470 | |
Mortgage Principal | $ 13,506 | |
Interest Rate | 3.69% | |
Commercial Mortgage Loan | Wisconsin | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 7,911 | |
Mortgage Principal | $ 7,932 | |
Interest Rate | 3.69% | |
Commercial Mortgage Loan | Texas | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 32,317 | |
Mortgage Principal | $ 33,875 | |
Interest Rate | 3.28% | |
Commercial Mortgage Loan | South Mall | Tennessee | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 12,319 | 12,294 |
Mortgage Principal | $ 12,350 | $ 12,350 |
Interest Rate | 4.014% | 4.014% |
Commercial Mortgage Loan | 12151 Jefferson | Virginia | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 96,266 | $ 11,019 |
Mortgage Principal | $ 98,127 | $ 11,025 |
Interest Rate | 3.578% | |
Commercial Mortgage Loan | Minimum | 12151 Jefferson | Virginia | ||
Debt Instrument [Line Items] | ||
Interest Rate | 2.34% | |
Commercial Mortgage Loan | Maximum | 12151 Jefferson | Virginia | ||
Debt Instrument [Line Items] | ||
Interest Rate | 4.55% | |
Commercial Mortgage Loan | Joint Ventures | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 332,317 | $ 286,373 |
Mortgage Principal | $ 334,789 | $ 289,125 |
Commercial Mortgage Loan | Joint Ventures | Minimum | ||
Debt Instrument [Line Items] | ||
Interest Rate | 2.75% | 4.03% |
Commercial Mortgage Loan | Joint Ventures | Maximum | ||
Debt Instrument [Line Items] | ||
Interest Rate | 4.96% | 4.61% |
SECURED FINANCING - Future Mort
SECURED FINANCING - Future Mortgage Loan Principal Payments (Details) $ in Thousands | Sep. 30, 2018USD ($) |
Debt Disclosure [Abstract] | |
2018 (remaining) | $ 717 |
2,019 | 36,111 |
2,020 | 19,410 |
2,021 | 3,493 |
2,022 | 3,711 |
Later years | 454,061 |
Total | $ 517,503 |
DERIVATIVE INSTRUMENTS - Additi
DERIVATIVE INSTRUMENTS - Additional Information (Details) $ in Billions | Sep. 30, 2018USD ($) |
Interest Rate Swaps | |
Derivative [Line Items] | |
Centrally cleared interest rate swaps at fair value, reduction | $ 1.6 |
DERIVATIVE INSTRUMENTS - Summar
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative Assets: | ||
Interest rate swaps | $ 97,002,000 | $ 30,272,000 |
Derivative assets | 404,841,000 | 313,885,000 |
Derivative Liabilities: | ||
Interest rate swaps, at fair value | 311,729,000 | 569,129,000 |
Derivative liabilities | 379,794,000 | 607,854,000 |
Futures contracts | ||
Derivative Assets: | ||
Derivative assets | 221,516,000 | 218,361,000 |
Derivative assets | 221,516,000 | 218,361,000 |
Derivative Liabilities: | ||
Other derivatives, at fair value | 482,000 | 12,285,000 |
Derivative liabilities | 482,000 | 12,285,000 |
Purchase commitments | ||
Derivative Assets: | ||
Derivative assets | 189,000 | 35,000 |
Derivative assets | 189,000 | 35,000 |
Derivative Liabilities: | ||
Other derivatives, at fair value | 797,000 | 157,000 |
Derivative liabilities | 797,000 | 157,000 |
Interest rate swaptions | ||
Derivative Assets: | ||
Derivative assets | 65,356,000 | 36,150,000 |
Derivative assets | 65,356,000 | 36,150,000 |
TBA derivatives | ||
Derivative Assets: | ||
Derivative assets | 13,535,000 | 29,067,000 |
Derivative assets | 13,535,000 | 29,067,000 |
Derivative Liabilities: | ||
Other derivatives, at fair value | 64,900,000 | 21,776,000 |
Derivative liabilities | 64,900,000 | 21,776,000 |
Notional | 15,578,000,000 | |
Credit derivatives | ||
Derivative Assets: | ||
Credit derivatives | 7,243,000 | 0 |
Derivative assets | 7,243,000 | |
Derivative Liabilities: | ||
Other derivatives, at fair value | 1,886,000 | 4,507,000 |
Derivative liabilities | 1,886,000 | 4,507,000 |
Notional amount of derivative assets | 70,000,000 | |
Notional | $ 466,000,000 | $ 125,000,000 |
DERIVATIVE INSTRUMENTS - Summ_2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Current Notional | $ 71,114,850,000 | $ 35,329,200,000 |
Weighted Average Pay Rate | 2.10% | 2.22% |
Weighted Average Receive Rate | 2.33% | 1.58% |
Weighted Average Years to Maturity | 4 years 4 months 3 days | 6 years 8 months 19 days |
Interest Rate Swaps | Weighted Average | ||
Derivative [Line Items] | ||
Fixed rate on forward starting pay swaps | 1.86% | |
Interest Rate Swaps | 0 - 3 years | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 0 years | 0 years |
Derivative Instruments maximum maturity period | 3 years | 3 years |
Current Notional | $ 34,361,800,000 | $ 6,532,000,000 |
Weighted Average Pay Rate | 1.76% | 1.56% |
Weighted Average Receive Rate | 2.36% | 1.62% |
Weighted Average Years to Maturity | 1 year 4 months 16 days | 2 years 29 days |
Interest Rate Swaps | 3 - 6 years | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 3 years | 3 years |
Derivative Instruments maximum maturity period | 6 years | 6 years |
Current Notional | $ 16,854,750,000 | $ 14,791,800,000 |
Weighted Average Pay Rate | 2.25% | 2.12% |
Weighted Average Receive Rate | 2.34% | 1.57% |
Weighted Average Years to Maturity | 4 years 5 months 7 days | 4 years 6 months 4 days |
Interest Rate Swaps | 6 - 10 years | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 6 years | 6 years |
Derivative Instruments maximum maturity period | 10 years | 10 years |
Current Notional | $ 15,746,900,000 | $ 10,179,000,000 |
Weighted Average Pay Rate | 2.48% | 2.35% |
Weighted Average Receive Rate | 2.26% | 1.58% |
Weighted Average Years to Maturity | 8 years 7 months 14 days | 8 years 15 days |
Interest Rate Swaps | Greater than 10 years | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 10 years | 10 years |
Current Notional | $ 4,151,400,000 | $ 3,826,400,000 |
Weighted Average Pay Rate | 3.60% | 3.65% |
Weighted Average Receive Rate | 2.27% | 1.51% |
Weighted Average Years to Maturity | 17 years 48 days | 18 years 5 months 19 days |
Forward Starting Pay Fixed Swaps | ||
Derivative [Line Items] | ||
Current Notional | $ 0 | $ 8,100,000,000 |
DERIVATIVE INSTRUMENTS - Summ_3
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Interest rate swaptions - Long - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Current Notional | $ 4,500,000 | $ 6,000,000 |
Weighted Average Underlying Pay Rate | 3.18% | 2.62% |
Weighted Average Underlying Years to Maturity | 10 years 2 months 16 days | 9 years 11 months 19 days |
Weighted Average Months to Expiration | 5 years 33 days | 4 months 15 days |
DERIVATIVE INSTRUMENTS - Summ_4
DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Notional | ||
Notional | $ 15,578,000 | |
Implied Cost Basis | 16,127,022 | |
Implied Market Value | 16,134,313 | |
Net Carrying Value | 7,291 | |
Purchase contracts | ||
Notional | ||
Purchase contracts | $ 16,209,160 | 15,828,000 |
Implied Cost Basis | 16,304,558 | 16,381,826 |
Implied Market Value | 16,253,193 | 16,390,251 |
Net Carrying Value | $ (51,365) | 8,425 |
Sale contracts | ||
Notional | ||
Sale contracts | (250,000) | |
Implied Cost Basis | (254,804) | |
Implied Market Value | (255,938) | |
Net Carrying Value | $ (1,134) |
DERIVATIVE INSTRUMENTS - Summ_5
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Swap Equivalent Eurodollar Futures Contract | 2 Year | ||
Derivative [Line Items] | ||
Derivative Instruments, maturity period | 2 years | 2 years |
Weighted Average Years to Maturity | 2 years | |
Swap Equivalent Eurodollar Futures Contract | Long | 2 Year | ||
Derivative [Line Items] | ||
Notional | $ 0 | |
Swap Equivalent Eurodollar Futures Contract | Sale contracts | 2 Year | ||
Derivative [Line Items] | ||
Notional | $ (17,161,000) | |
U.S. Treasury Futures | 2 Year | ||
Derivative [Line Items] | ||
Weighted Average Years to Maturity | 2 years | |
U.S. Treasury Futures | 5 Year | ||
Derivative [Line Items] | ||
Derivative Instruments, maturity period | 5 years | 5 years |
Weighted Average Years to Maturity | 4 years 4 months 28 days | 4 years 4 months 28 days |
U.S. Treasury Futures | 10 Year and Greater | ||
Derivative [Line Items] | ||
Derivative Instruments minimum maturity period | 10 years | 10 years |
Weighted Average Years to Maturity | 7 years 1 month 36 days | 7 years 4 days |
U.S. Treasury Futures | Long | 2 Year | ||
Derivative [Line Items] | ||
Notional | $ 0 | |
U.S. Treasury Futures | Long | 5 Year | ||
Derivative [Line Items] | ||
Notional | 0 | $ 0 |
U.S. Treasury Futures | Long | 10 Year and Greater | ||
Derivative [Line Items] | ||
Notional | 0 | 0 |
U.S. Treasury Futures | Sale contracts | 2 Year | ||
Derivative [Line Items] | ||
Notional | (1,166,000) | |
U.S. Treasury Futures | Sale contracts | 5 Year | ||
Derivative [Line Items] | ||
Notional | (6,359,400) | (4,217,400) |
U.S. Treasury Futures | Sale contracts | 10 Year and Greater | ||
Derivative [Line Items] | ||
Notional | $ (12,346,600) | $ (4,914,500) |
Futures contracts | ||
Derivative [Line Items] | ||
Weighted Average Years to Maturity | 5 years 11 months 28 days | 3 years 3 months 26 days |
Futures contracts | Long | ||
Derivative [Line Items] | ||
Notional | $ 0 | $ 0 |
Futures contracts | Sale contracts | ||
Derivative [Line Items] | ||
Notional | $ (19,872,000) | $ (26,292,900) |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative Assets: | ||
Gross Amounts | $ 404,841 | $ 313,885 |
Derivative Liabilities: | ||
Gross Amounts | 379,794 | 607,854 |
Futures contracts | ||
Derivative Assets: | ||
Gross Amounts | 221,516 | 218,361 |
Financial Instruments | (482) | (12,285) |
Cash Collateral | 0 | 0 |
Net Amounts | 221,034 | 206,076 |
Derivative Liabilities: | ||
Gross Amounts | 482 | 12,285 |
Financial Instruments | (482) | (12,285) |
Cash Collateral | 0 | 0 |
Net Amounts | 0 | 0 |
Purchase commitments | ||
Derivative Assets: | ||
Gross Amounts | 189 | 35 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 189 | 35 |
Derivative Liabilities: | ||
Gross Amounts | 797 | 157 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 797 | 157 |
Interest Rate Swaps | ||
Derivative Assets: | ||
Gross Amounts | 97,002 | 30,272 |
Financial Instruments | (45,805) | (27,379) |
Cash Collateral | 0 | 0 |
Net Amounts | 51,197 | 2,893 |
Derivative Liabilities: | ||
Gross Amounts | 311,729 | 569,129 |
Financial Instruments | (45,805) | (27,379) |
Cash Collateral | 0 | 0 |
Net Amounts | 265,924 | 541,750 |
Interest rate swaptions | ||
Derivative Assets: | ||
Gross Amounts | 65,356 | 36,150 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 65,356 | 36,150 |
TBA derivatives | ||
Derivative Assets: | ||
Gross Amounts | 13,535 | 29,067 |
Financial Instruments | (13,535) | (12,551) |
Cash Collateral | 0 | 0 |
Net Amounts | 0 | 16,516 |
Derivative Liabilities: | ||
Gross Amounts | 64,900 | 21,776 |
Financial Instruments | (13,535) | (12,551) |
Cash Collateral | 0 | 0 |
Net Amounts | 51,365 | 9,225 |
Credit derivatives | ||
Derivative Assets: | ||
Gross Amounts | 7,243 | |
Financial Instruments | (1,886) | |
Cash Collateral | 0 | |
Net Amounts | 5,357 | |
Derivative Liabilities: | ||
Gross Amounts | 1,886 | 4,507 |
Financial Instruments | (1,886) | 0 |
Cash Collateral | 0 | (3,520) |
Net Amounts | $ 0 | $ 987 |
DERIVATIVE INSTRUMENTS - Effect
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
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 | 0 | 1,409 | (58) |
Unrealized gains (losses) on interest rate swaps | $ 417,203 | $ 56,854 | $ 1,737,963 | $ 28,471 |
DERIVATIVE INSTRUMENTS - Effe_2
DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2018 | Jun. 30, 2018 | Sep. 30, 2017 | Jun. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Derivative [Line Items] | ||||||
Unrealized Gains (Losses) | $ 417,203 | $ 56,854 | $ 1,737,963 | $ 28,471 | ||
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | $ 93,812 | $ 154,208 | 80,857 | 140,086 | ||
U.S. Treasury Futures | ||||||
Derivative [Line Items] | ||||||
Realized Gains (Losses) | (114,317) | (70,054) | 443,314 | (128,478) | ||
Unrealized Gains (Losses) | 327,787 | 92,784 | 14,959 | 31,492 | ||
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | 213,470 | 22,730 | 458,273 | (96,986) | ||
Purchase commitments | ||||||
Derivative [Line Items] | ||||||
Realized Gains (Losses) | 0 | 0 | 0 | 0 | ||
Unrealized Gains (Losses) | (841) | (108) | (416) | 165 | ||
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | (841) | (108) | (416) | 165 | ||
TBA derivatives | ||||||
Derivative [Line Items] | ||||||
Realized Gains (Losses) | 8,569 | 110,067 | (299,560) | 215,529 | ||
Unrealized Gains (Losses) | (85,741) | 29,728 | (56,701) | 39,964 | ||
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | (77,172) | 139,795 | (356,261) | 255,493 | ||
Interest rate swaptions | ||||||
Derivative [Line Items] | ||||||
Realized Gains (Losses) | (28,754) | 0 | (85,854) | 0 | ||
Unrealized Gains (Losses) | (17,663) | (9,137) | 53,557 | (19,574) | ||
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | (46,417) | (9,137) | (32,297) | (19,574) | ||
Credit derivatives | ||||||
Derivative [Line Items] | ||||||
Realized Gains (Losses) | 3,096 | 495 | 7,498 | 632 | ||
Unrealized Gains (Losses) | 1,676 | 433 | 4,060 | 356 | ||
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives | $ 4,772 | $ 928 | $ 11,558 | $ 988 |
CAPITAL STOCK - Additional Info
CAPITAL STOCK - Additional Information (Details) - USD ($) $ / shares in Units, $ in Millions | Sep. 07, 2018 | Aug. 25, 2017 | Jan. 31, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 |
Class of Stock [Line Items] | ||||||||
Options exercised under incentive plans (in shares) | 0 | 0 | ||||||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | |||||
Preferred stock, redemption price (in dollars per share) | $ 25 | $ 25 | ||||||
Preferred Stock, shares issued (in shares) | 73,400,000 | 73,400,000 | 70,700,000 | |||||
6.50% Series G Cumulative Redeemable Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred Stock, shares issued (in shares) | 17,000,000 | 17,000,000 | 0 | |||||
Preferred Stock dividend rate, percentage | 6.50% | |||||||
Net proceeds from issuance of preferred stock | $ 425 | |||||||
7.625% Series C Cumulative Redeemable Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred Stock, shares issued (in shares) | 7,000,000 | 7,000,000 | 12,000,000 | |||||
Preferred Stock dividend rate, percentage | 7.625% | |||||||
Preferred stock redeemed (in shares) | 5,000,000 | |||||||
Redemption of preferred stock | $ 125 | |||||||
7.625% Series E Cumulative Redeemable Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred Stock, shares issued (in shares) | 0 | 0 | 11,500,000 | |||||
Preferred Stock dividend rate, percentage | 7.625% | |||||||
Preferred stock redeemed (in shares) | 11,500,000 | |||||||
Redemption of preferred stock | $ 287.5 | |||||||
8.125% Series H Cumulative Redeemable Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred Stock, shares issued (in shares) | 2,200,000 | 2,200,000 | 0 | |||||
Preferred Stock dividend rate, percentage | 8.125% | |||||||
7.875% Series A Cumulative Redeemable Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred Stock dividend rate, percentage | 7.875% | |||||||
Preferred stock redeemed (in shares) | 7,412,500 | |||||||
Redemption of preferred stock | $ 187.5 | |||||||
Public Offering | ||||||||
Class of Stock [Line Items] | ||||||||
Sale of stock, shares issued (in shares) | 75,000,000 | 60,000,000 | 75,000,000 | 60,000,000 | ||||
Proceeds from sale of stock | $ 753.8 | $ 709.8 | $ 753.8 | $ 709.8 | ||||
Over-Allotment Option | ||||||||
Class of Stock [Line Items] | ||||||||
Sale of stock, shares issued (in shares) | 11,300,000 | 9,000,000 | ||||||
Proceeds from sale of stock | $ 113.1 | $ 106.5 | ||||||
Option to purchase additional shares, period | 30 days | 30 days | ||||||
At-the-market Sale Program | ||||||||
Class of Stock [Line Items] | ||||||||
Sale of stock, shares issued (in shares) | 24,000,000 | |||||||
Proceeds from sale of stock | $ 251.1 | |||||||
Aggregate stock offering price | $ 1,500 | |||||||
Mountain Merger Sub Corporation | ||||||||
Class of Stock [Line Items] | ||||||||
Shares issued as part of the consideration for asset acquisition (in shares) | 43,600,000 | 43,600,000 | ||||||
Mountain Merger Sub Corporation | 8.125% Series H Cumulative Redeemable Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred Stock, par value (in dollars per share) | $ 0.01 |
CAPITAL STOCK - Schedule of Com
CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares | Sep. 30, 2018 | Dec. 31, 2017 |
Equity [Abstract] | ||
Common Stock, shares authorized (in shares) | 1,924,050,000 | 1,929,300,000 |
Common Stock, shares issued (in shares) | 1,303,079,555 | 1,159,585,078 |
Common Stock, shares outstanding (in shares) | 1,303,079,555 | 1,159,585,078 |
Common Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
CAPITAL STOCK - Summary of Divi
CAPITAL STOCK - Summary of Dividend Reinvestment Plan (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Equity [Abstract] | ||
Shares issued through direct purchase and dividend reinvestment program (in shares) | 245,000 | 169,000 |
Amount raised from direct purchase and dividend reinvestment program | $ 2,584 | $ 1,949 |
CAPITAL STOCK - Schedule of Pre
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2018 | Dec. 31, 2017 | ||
Class of Stock [Line Items] | |||
Preferred Stock, shares authorized (in shares) | 75,950,000 | 70,700,000 | |
Preferred Stock, shares issued (in shares) | 73,400,000 | 70,700,000 | |
Preferred Stock, shares outstanding (in shares) | 73,400,000 | 70,700,000 | |
Preferred Stock, carrying value | $ 1,778,168 | $ 1,720,381 | [1] |
Series C Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred Stock, shares authorized (in shares) | 7,000,000 | 12,000,000 | |
Preferred Stock, shares issued (in shares) | 7,000,000 | 12,000,000 | |
Preferred Stock, shares outstanding (in shares) | 7,000,000 | 12,000,000 | |
Preferred Stock, carrying value | $ 169,466 | $ 290,514 | |
Preferred Stock,, contractual rate | 7.625% | ||
Series D Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred Stock, shares authorized (in shares) | 18,400,000 | 18,400,000 | |
Preferred Stock, shares issued (in shares) | 18,400,000 | 18,400,000 | |
Preferred Stock, shares outstanding (in shares) | 18,400,000 | 18,400,000 | |
Preferred Stock, carrying value | $ 445,457 | $ 445,457 | |
Preferred Stock,, contractual rate | 7.50% | ||
Series E Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred Stock, shares authorized (in shares) | 0 | 11,500,000 | |
Preferred Stock, shares issued (in shares) | 0 | 11,500,000 | |
Preferred Stock, shares outstanding (in shares) | 0 | 11,500,000 | |
Preferred Stock, carrying value | $ 0 | $ 287,500 | |
Preferred Stock,, contractual rate | 7.625% | ||
Series H Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred Stock, shares authorized (in shares) | 2,200,000 | 0 | |
Preferred Stock, shares issued (in shares) | 2,200,000 | 0 | |
Preferred Stock, shares outstanding (in shares) | 2,200,000 | 0 | |
Preferred Stock, carrying value | $ 55,000 | $ 0 | |
Preferred Stock,, contractual rate | 8.125% | ||
Series F Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred Stock, shares authorized (in shares) | 28,800,000 | 28,800,000 | |
Preferred Stock, shares issued (in shares) | 28,800,000 | 28,800,000 | |
Preferred Stock, shares outstanding (in shares) | 28,800,000 | 28,800,000 | |
Preferred Stock, carrying value | $ 696,910 | $ 696,910 | |
Preferred Stock,, contractual rate | 6.95% | ||
Preferred Stock, floating annual rate | 4.993% | ||
Series G Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred Stock, shares authorized (in shares) | 19,550,000 | 0 | |
Preferred Stock, shares issued (in shares) | 17,000,000 | 0 | |
Preferred Stock, shares outstanding (in shares) | 17,000,000 | 0 | |
Preferred Stock, carrying value | $ 411,335 | $ 0 | |
Preferred Stock,, contractual rate | 6.50% | ||
Preferred Stock, floating annual rate | 4.175% | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2017. |
CAPITAL STOCK - Summary of Di_2
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Dividends Payable [Line Items] | ||||
Distributions declared to common stockholders | $ 1,062,685 | $ 937,825 | ||
Distributions declared per common share (in dollars per share) | $ 0.3 | $ 0.3 | $ 0.9 | $ 0.9 |
Distributions paid to common stockholders after period end | $ 102,811 | $ 326,425 | ||
Distributions paid per common share after period end (in dollars per share) | $ 0.08 | $ 0.3 | ||
Series A Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 0 | $ 9,527 | ||
Preferred series dividends declared, per share (in dollars per share) | $ 0 | $ 1.477 | ||
Series C Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 10,987 | $ 17,157 | ||
Preferred series dividends declared, per share (in dollars per share) | $ 1.43 | $ 1.43 | ||
Series D Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 25,875 | $ 25,875 | ||
Preferred series dividends declared, per share (in dollars per share) | $ 1.406 | $ 1.406 | ||
Series E Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 2,253 | $ 16,441 | ||
Preferred series dividends declared, per share (in dollars per share) | $ 0.196 | $ 1.43 | ||
Series F Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 37,530 | $ 0 | ||
Preferred series dividends declared, per share (in dollars per share) | $ 1.303 | $ 0 | ||
Cumulative and undeclared dividends | $ 8,300 | $ 8,300 | ||
Series G Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 19,875 | $ 0 | ||
Preferred series dividends declared, per share (in dollars per share) | $ 1.169 | $ 0 | ||
Series H Preferred Stock | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 298 | $ 0 | ||
Preferred series dividends declared, per share (in dollars per share) | $ 0.135 | $ 0 |
INTEREST INCOME AND INTEREST _3
INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Interest income: | ||||
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 | 97,531 | 67,790 | 249,331 | 200,288 |
U.S. Treasury securities | 160 | 0 | 160 | 0 |
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 | 0 | 0 | 0 | 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 |
GOODWILL AND INTANGIBLE ASSET_2
GOODWILL AND INTANGIBLE ASSETS - Additional Information (Details) - USD ($) $ in Millions | Sep. 30, 2018 | Dec. 31, 2017 |
Goodwill and Intangible Assets Disclosure [Abstract] | ||
Goodwill | $ 71.8 | $ 71.8 |
GOODWILL AND INTANGIBLE ASSET_3
GOODWILL AND INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2018USD ($) | |
Intangible Assets [Roll Forward] | |
Intangible Assets, net beginning of period | $ 23,220 |
Intangible assets acquired | 14,483 |
Less: amortization expense | (6,475) |
Intangible Assets, net end of period | $ 31,228 |
NET INCOME (LOSS) PER COMMON _3
NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | ||
Earnings Per Share [Abstract] | |||||
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 (in shares) | 1,202,353,851 | 1,072,566,395 | 1,174,292,701 | 1,037,033,076 | |
Add: Effect of stock awards, if dilutive (in shares) | 0 | 474,242 | 0 | 412,101 | |
Weighted average shares of common stock outstanding-diluted (in shares) | 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 (in dollars per share) | $ 0.29 | $ 0.31 | $ 1.88 | $ 0.72 | |
Diluted (in dollars per share) | $ 0.29 | $ 0.31 | $ 1.88 | $ 0.72 | |
Series F Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Cumulative and undeclared dividends | $ 8,300 | $ 8,300 | |||
[1] | Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017. |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares shares in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Earnings Per Share [Abstract] | ||||
Options to purchase common stock outstanding that would be considered anti-dilutive (in shares) | 0.2 | 0.8 | 0.2 | 0.8 |
INCOME TAXES - Additional Infor
INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Income Tax Disclosure [Abstract] | ||||
REIT Taxable income distributed | 100.00% | |||
Income Taxes: | ||||
Income tax expense (benefit) attributable to TRSs | $ (7,242) | $ 1,371 | $ (3,416) | $ 2,019 |
Taxable REIT Subsidiary | ||||
Income Taxes: | ||||
Income tax expense (benefit) attributable to TRSs | $ (7,100) | $ 1,400 | $ (3,300) | $ 2,000 |
LEASE COMMITMENTS AND CONTING_3
LEASE COMMITMENTS AND CONTINGENCIES - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |||
Lease expense | $ 800 | $ 800 | |
Aggregate future minimum lease payments | 26,450 | ||
Contingencies | $ 0 | $ 0 |
LEASE COMMITMENTS AND CONTING_4
LEASE COMMITMENTS AND CONTINGENCIES - Future Minimum Lease Payments (Details) $ in Thousands | Sep. 30, 2018USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2018 (remaining) | $ 891 |
2,019 | 3,565 |
2,020 | 3,652 |
2,021 | 3,862 |
2,022 | 3,862 |
Later years | 10,618 |
Total | $ 26,450 |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - Arcola $ in Millions | Sep. 30, 2018USD ($) |
RCAP Regulatory Requirements: | |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 393.3 |
Regulatory net capital, excess net capital | $ 393 |
RELATED PARTY TRANSACTIONS - Ad
RELATED PARTY TRANSACTIONS - Additional Information (Details) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018USD ($) | Sep. 30, 2017USD ($) | Sep. 30, 2018USD ($) | Sep. 30, 2017USD ($) | Dec. 31, 2017USD ($) | |
Related Party Transaction [Line Items] | |||||
Ratio of percentage of stockholders' equity | 0.000875 | ||||
Compensation and management fee | $ 45,983,000 | $ 41,993,000 | $ 136,091,000 | $ 120,193,000 | |
Management Agreement | |||||
Related Party Transaction [Line Items] | |||||
Compensation and management fee | 46,000,000 | 42,000,000 | 136,100,000 | 120,200,000 | |
Management fee payable | 17,700,000 | 17,700,000 | $ 13,800,000 | ||
Reimbursement payments | $ 3,700,000 | $ 0 | $ 3,100,000 | $ 0 | |
Renewal term | 2 years | ||||
Accelerated period for agreement termination, if election to terminate is not made | 90 days | ||||
Management Agreement | Minimum | |||||
Related Party Transaction [Line Items] | |||||
Accelerated period for agreement termination, if election to terminate is made | 7 days | ||||
Management Agreement | Maximum | |||||
Related Party Transaction [Line Items] | |||||
Accelerated period for agreement termination, if election to terminate is made | 90 days |
ACQUISITION OF MTGE INVESTMEN_3
ACQUISITION OF MTGE INVESTMENT CORP - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands, shares in Millions | Sep. 07, 2018 | Aug. 25, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 |
Business Acquisition [Line Items] | |||||
Cash | $ 258,334 | $ 0 | |||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |||
Series A Preferred Stock | |||||
Business Acquisition [Line Items] | |||||
Preferred Stock dividend rate, percentage | 7.875% | ||||
8.125% Series H Cumulative Redeemable Preferred Stock | |||||
Business Acquisition [Line Items] | |||||
Preferred Stock dividend rate, percentage | 8.125% | ||||
Mountain Merger Sub Corporation | Series A Preferred Stock | |||||
Business Acquisition [Line Items] | |||||
Preferred Stock dividend rate, percentage | 8.125% | ||||
Preferred Stock, par value (in dollars per share) | $ 0.01 | ||||
Mountain Merger Sub Corporation | |||||
Business Acquisition [Line Items] | |||||
Total consideration | $ 906,200 | ||||
Equity issued | 455,900 | ||||
Cash | $ 450,287 | ||||
Shares issued as part of the consideration for asset acquisition (in shares) | 43.6 | 43.6 | |||
Acquisition transaction costs | $ 58,300 | ||||
Excess consideration for business acquisition | $ 44,500 | ||||
Mountain Merger Sub Corporation | 8.125% Series H Cumulative Redeemable Preferred Stock | |||||
Business Acquisition [Line Items] | |||||
Preferred Stock, par value (in dollars per share) | $ 0.01 |
ACQUISITION OF MTGE INVESTMEN_4
ACQUISITION OF MTGE INVESTMENT CORP - Summary of Acquired Assets (Details) - USD ($) $ in Thousands | Sep. 07, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Consideration Transferred: | |||||
Cash | $ 258,334 | $ 0 | |||
Net Assets: | |||||
Cash and cash equivalents | 1,082,747 | $ 706,589 | |||
Securities | 91,338,611 | 92,563,572 | |||
Real estate, net | 753,014 | 485,953 | |||
Derivative assets | 404,841 | 313,885 | |||
Reverse repurchase agreements | 1,234,704 | 0 | |||
Receivable for unsettled trades | 1,266,840 | 340,033 | 1,232 | ||
Interest receivable | 347,278 | 323,526 | |||
Intangible assets, net | 103,043 | 95,035 | |||
Other assets | 329,868 | 384,117 | |||
Total assets | 105,961,803 | 101,760,050 | [1] | ||
Repurchase agreements | 79,073,026 | 77,696,343 | |||
Mortgages payable | 511,588 | 309,686 | |||
Derivative liabilities | 379,794 | 607,854 | |||
Interest payable | 399,605 | 253,068 | |||
Dividends payable | 102,811 | $ 326,425 | 347,876 | ||
Other liabilities | 125,606 | 207,770 | |||
Total liabilities | $ 91,005,947 | $ 86,888,477 | [1] | ||
Mountain Merger Sub Corporation | |||||
Consideration Transferred: | |||||
Cash | $ 450,287 | ||||
Equity issued | 455,900 | ||||
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 | 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 | 4,751,846 | ||||
Net assets acquired | 916,706 | ||||
Common Stock | Mountain Merger Sub Corporation | |||||
Consideration Transferred: | |||||
Equity issued | 455,943 | ||||
Preferred Stock | Mountain Merger Sub Corporation | |||||
Consideration Transferred: | |||||
Equity issued | $ 55,000 | ||||
[1] | Derived from the audited consolidated financial statements at December 31, 2017. |
SUBSEQUENT EVENTS - Additional
SUBSEQUENT EVENTS - Additional Information (Details) | Oct. 31, 2018USD ($) |
OBX 2018-EXP2 Trust | Consolidated VIEs | Subsequent Event | |
Subsequent Event [Line Items] | |
Debt issued | $ 384,000,000 |