COVER PAGE
COVER PAGE - shares | 6 Months Ended | |
Jun. 30, 2021 | Jul. 23, 2021 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2021 | |
Document Transition Report | false | |
Entity File Number | 1-13447 | |
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 22-3479661 | |
Entity Address, Address Line One | 1211 Avenue of the Americas | |
Entity Address, City or Town | New York, | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10036 | |
City Area Code | 212 | |
Local Phone Number | 696-0100 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 1,444,273,077 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q2 | |
Entity Central Index Key | 0001043219 | |
Current Fiscal Year End Date | --12-31 | |
Common Stock, par value $0.01 per share | ||
Document Information [Line Items] | ||
Title of Each Class | Common Stock, par value $0.01 per share | |
Trading Symbol | NLY | |
Name of Each Exchange on Which Registered | NYSE | |
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of Each Class | 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | NLY.F | |
Name of Each Exchange on Which Registered | NYSE | |
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of Each Class | 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | NLY.G | |
Name of Each Exchange on Which Registered | NYSE | |
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of Each Class | 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | NLY.I | |
Name of Each Exchange on Which Registered | NYSE |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | [2] | ||
Assets | |||||
Cash and cash equivalents (includes pledged assets of $1,207,566 and $1,137,809, respectively) | [1] | $ 1,380,456 | $ 1,243,703 | ||
Securities (includes pledged assets of $62,625,413 and $67,471,074, respectively) | [3] | 69,032,335 | 75,652,396 | ||
Loans, net (includes pledged assets of $1,669,699 and $2,231,035, respectively) | [4] | 3,563,008 | 3,083,821 | ||
Mortgage servicing rights (includes pledged assets of $0 and $5,541, respectively) | 202,616 | 100,895 | |||
Interests in MSR | 49,035 | 0 | |||
Assets transferred or pledged to securitization vehicles | 4,073,156 | 6,910,020 | |||
Real estate, net | 0 | 656,314 | |||
Assets of disposal group held for sale (includes pledged assets of $2,185,727 and $0, respectively) | 3,302,001 | [5] | 0 | ||
Derivative assets | 181,889 | 171,134 | |||
Receivable for unsettled trades | 14,336 | 15,912 | |||
Principal and interest receivable | 250,210 | 268,073 | |||
Goodwill and intangible assets, net | 26,502 | 127,341 | |||
Other assets | 300,761 | 225,494 | |||
Total assets | 82,376,305 | 88,455,103 | |||
Liabilities | |||||
Repurchase agreements | 60,221,067 | 64,825,239 | |||
Other secured financing | 909,655 | 917,876 | |||
Debt issued by securitization vehicles | 3,315,087 | 5,652,982 | |||
Participations issued | 315,810 | 39,198 | |||
Mortgages payable | 0 | 426,256 | |||
Liabilities of disposal group held for sale | 2,362,690 | 0 | |||
Derivative liabilities | 900,259 | 1,033,345 | |||
Payable for unsettled trades | 154,405 | 884,069 | |||
Interest payable | 173,721 | 191,116 | |||
Dividends payable | 317,714 | 307,613 | |||
Other liabilities | 66,721 | 155,613 | |||
Total liabilities | 68,737,129 | 74,433,307 | |||
Stockholders’ equity | |||||
Preferred stock, par value $0.01 per share, 63,500,000 and 85,150,000 authorized, respectively, 63,500,000 issued and outstanding | 1,536,569 | 1,536,569 | |||
Common stock, par value $0.01 per share, 2,936,500,000 and 2,914,850,000 authorized, respectively, 1,444,156,029 and 1,398,240,618 issued and outstanding, respectively | 14,442 | 13,982 | |||
Additional paid-in capital | 20,178,692 | 19,750,818 | |||
Accumulated other comprehensive income (loss) | 1,780,275 | 3,374,335 | |||
Accumulated deficit | (9,892,863) | (10,667,388) | |||
Total stockholders’ equity | 13,617,115 | 14,008,316 | |||
Noncontrolling interests | 22,061 | 13,480 | |||
Total equity | 13,639,176 | 14,021,796 | |||
Total liabilities and equity | $ 82,376,305 | $ 88,455,103 | |||
[1] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $17.2 million and $22.2 million at June 30, 2021 and December 31, 2020, respectively. | ||||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. | ||||
[3] | Excludes $48.4 million and $81.5 million at June 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $191.8 million and $576.6 million at June 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at June 30, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | ||||
[4] | Includes $3.7 million and $47.0 million of residential mortgage loans held for sale at June 30, 2021 and December 31, 2020, respectively, and $466.4 million and $0 of corporate loans held for sale at June 30, 2021 and December 31, 2020, respectively. | ||||
[5] | Excludes $251.0 million at June 30, 2021 of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | ||
Pledged assets included in cash and cash equivalents | $ 1,207,566 | $ 1,137,809 | ||
Pledged assets included in loans, net | 1,669,699 | 2,231,035 | ||
Disposal group, pledged assets | $ 2,185,727 | $ 0 | ||
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 | ||
Preferred stock authorized (shares) | 63,500,000 | 85,150,000 | ||
Preferred stock issued (shares) | 63,500,000 | 63,500,000 | ||
Preferred stock outstanding (shares) | 63,500,000 | 63,500,000 | ||
Common stock, par value (USD per share) | $ 0.01 | $ 0.01 | ||
Common stock authorized (shares) | 2,936,500,000 | 2,914,850,000 | ||
Common stock issued (shares) | 1,444,156,029 | 1,398,240,618 | ||
Common stock outstanding (shares) | 1,444,156,029 | 1,398,240,618 | ||
Cash and cash equivalents | [1] | $ 1,380,456 | $ 1,243,703 | [2] |
Mortgage-backed securities | [3] | 69,032,335 | 75,652,396 | [2] |
Consolidated VIEs | ||||
Cash and cash equivalents | 17,200 | 22,200 | ||
Agency Mortgage-Backed Securities | Consolidated VIEs | ||||
Mortgage-backed securities | 48,400 | 81,500 | ||
Non-Agency Mortgage-Backed Securities | ||||
Pledged assets | 0 | 5,541 | ||
Non-Agency Mortgage-Backed Securities | Consolidated VIEs | ||||
Mortgage-backed securities | 191,800 | 576,600 | ||
Commercial Mortgage Loans | Consolidated VIEs | ||||
Commercial mortgage-backed securities | 251,000 | |||
Commercial Mortgage Loans | Consolidated VIEs | Consolidation, Eliminations | ||||
Mortgage-backed securities | 0 | 391,000 | ||
Residential Mortgage Loans | ||||
Loans held-for-sale | 3,700 | 47,000 | ||
Corporate Loans | ||||
Loans held-for-sale | 466,400 | 0 | ||
Agency Mortgage-Backed Securities | ||||
Pledged assets | 62,625,413 | 67,471,074 | ||
Mortgage-backed securities | $ 66,468,519 | $ 74,067,059 | ||
[1] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $17.2 million and $22.2 million at June 30, 2021 and December 31, 2020, respectively. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. | |||
[3] | Excludes $48.4 million and $81.5 million at June 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $191.8 million and $576.6 million at June 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at June 30, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Net interest income | ||||
Interest income | $ 383,906 | $ 584,812 | $ 1,147,284 | $ 1,139,838 |
Interest expense | 61,047 | 186,032 | 137,020 | 689,505 |
Net interest income | 322,859 | 398,780 | 1,010,264 | 450,333 |
Realized and unrealized gains (losses) | ||||
Net interest component of interest rate swaps | (83,087) | (64,561) | (162,834) | (78,541) |
Realized gains (losses) on termination or maturity of interest rate swaps | 0 | (1,521,732) | 0 | (1,919,293) |
Unrealized gains (losses) on interest rate swaps | (141,067) | 1,494,628 | 631,195 | (1,333,095) |
Subtotal | (224,154) | (91,665) | 468,361 | (3,330,929) |
Net gains (losses) on disposal of investments and other | 16,223 | 246,679 | (49,563) | 453,262 |
Net gains (losses) on other derivatives and financial instruments | (357,808) | 170,916 | 119,060 | 377,342 |
Net unrealized gains (losses) on instruments measured at fair value through earnings | 3,984 | 254,772 | 108,175 | (475,388) |
Loan loss (provision) reversal | (494) | (68,751) | 139,126 | (168,077) |
Business divestiture-related gains (losses) | 1,527 | 0 | (248,036) | 0 |
Subtotal | (336,568) | 603,616 | 68,762 | 187,139 |
Total realized and unrealized gains (losses) | (560,722) | 511,951 | 537,123 | (3,143,790) |
Other income (loss) | 1,675 | 12,328 | 15,143 | 19,490 |
General and administrative expenses | ||||
Compensation and management fee | 32,013 | 37,036 | 63,531 | 77,861 |
Other general and administrative expenses | 21,513 | 27,734 | 37,900 | 56,774 |
Total general and administrative expenses | 53,526 | 64,770 | 101,431 | 134,635 |
Income (loss) before income taxes | (289,714) | 858,289 | 1,461,099 | (2,808,602) |
Income taxes | 5,134 | 2,055 | 4,813 | (24,647) |
Net income (loss) | (294,848) | 856,234 | 1,456,286 | (2,783,955) |
Net income (loss) attributable to noncontrolling interests | 794 | 32 | 1,115 | 98 |
Net income (loss) attributable to Annaly | (295,642) | 856,202 | 1,455,171 | (2,784,053) |
Dividends on preferred stock | 26,883 | 35,509 | 53,766 | 71,018 |
Net income (loss) available (related) to common stockholders | $ (322,525) | $ 820,693 | $ 1,401,405 | $ (2,855,071) |
Net income (loss) per share available (related) to common stockholders | ||||
Basic (in dollars per share) | $ (0.23) | $ 0.58 | $ 1 | $ (2) |
Diluted (in dollars per share) | $ (0.23) | $ 0.58 | $ 1 | $ (2) |
Weighted average number of common shares outstanding | ||||
Basic (in shares) | 1,410,239,138 | 1,423,909,112 | 1,404,755,496 | 1,427,451,716 |
Diluted (in shares) | 1,410,239,138 | 1,423,909,112 | 1,405,764,272 | 1,427,451,716 |
Other comprehensive income (loss) | ||||
Net income (loss) | $ (294,848) | $ 856,234 | $ 1,456,286 | $ (2,783,955) |
Unrealized gains (losses) on available-for-sale securities | (191,541) | 986,146 | (1,620,468) | 2,360,942 |
Reclassification adjustment for net (gains) losses included in net income (loss) | (30,415) | (265,443) | 26,408 | (657,059) |
Other comprehensive income (loss) | (221,956) | 720,703 | (1,594,060) | 1,703,883 |
Comprehensive income (loss) | (516,804) | 1,576,937 | (137,774) | (1,080,072) |
Comprehensive income (loss) attributable to noncontrolling interests | 794 | 32 | 1,115 | 98 |
Comprehensive income (loss) attributable to Annaly | (517,598) | 1,576,905 | (138,889) | (1,080,170) |
Dividends on preferred stock | 26,883 | 35,509 | 53,766 | 71,018 |
Comprehensive income (loss) attributable to common stockholders | $ (544,481) | $ 1,541,396 | $ (192,655) | $ (1,151,188) |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Total stockholder’s equity | Preferred stock | Common stock | Additional paid-in capital | Accumulated other comprehensive income (loss) | Accumulated deficit | Accumulated deficitCumulative effect of change in accounting principle for credit losses | Accumulated deficitBeginning of period - adjusted | Noncontrolling interests | |||
Beginning of period at Dec. 31, 2019 | $ 1,982,026 | $ 14,301 | $ 19,966,923 | $ 2,138,191 | $ (8,309,424) | $ (39,641) | $ (8,349,065) | $ 4,327 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Issuance | 0 | 0 | |||||||||||
Buyback of common stock | (228) | (143,436) | |||||||||||
Stock-based award activity | 3 | 3,325 | |||||||||||
Direct purchase and dividend reinvestment | 1 | 404 | |||||||||||
Unrealized gains (losses) on available-for-sale securities | $ 2,360,942 | 2,360,942 | |||||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | (657,059) | (657,059) | |||||||||||
Net income (loss) attributable to Annaly | (2,784,053) | (2,784,053) | |||||||||||
Dividends declared on preferred stock | [1] | (71,018) | |||||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (667,791) | (667,791) | [1] | ||||||||||
Net income (loss) attributable to noncontrolling interests | (98) | 98 | |||||||||||
Equity contributions from (distributions to) noncontrolling interests | (288) | ||||||||||||
End of period at Jun. 30, 2020 | 13,797,603 | $ 13,793,466 | 1,982,026 | 14,077 | 19,827,216 | 3,842,074 | (11,871,927) | 4,137 | |||||
Beginning of period at Mar. 31, 2020 | 1,982,026 | 14,304 | 19,968,372 | 3,121,371 | (12,382,648) | 0 | (12,382,648) | 4,105 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Issuance | 0 | 0 | |||||||||||
Buyback of common stock | (228) | (143,436) | |||||||||||
Stock-based award activity | 0 | 1,876 | |||||||||||
Direct purchase and dividend reinvestment | 1 | 404 | |||||||||||
Unrealized gains (losses) on available-for-sale securities | 986,146 | 986,146 | |||||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | (265,443) | (265,443) | |||||||||||
Net income (loss) attributable to Annaly | 856,202 | 856,202 | |||||||||||
Dividends declared on preferred stock | [1] | (35,509) | |||||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (309,972) | (309,972) | [1] | ||||||||||
Net income (loss) attributable to noncontrolling interests | (32) | 32 | |||||||||||
Equity contributions from (distributions to) noncontrolling interests | 0 | ||||||||||||
End of period at Jun. 30, 2020 | 13,797,603 | 13,793,466 | 1,982,026 | 14,077 | 19,827,216 | 3,842,074 | (11,871,927) | 4,137 | |||||
Beginning of period at Dec. 31, 2020 | 14,021,796 | [2] | 1,536,569 | 13,982 | 19,750,818 | 3,374,335 | (10,667,388) | 0 | (10,667,388) | 13,480 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Issuance | 456 | 419,970 | |||||||||||
Buyback of common stock | 0 | 0 | |||||||||||
Stock-based award activity | 4 | 7,904 | |||||||||||
Direct purchase and dividend reinvestment | 0 | 0 | |||||||||||
Unrealized gains (losses) on available-for-sale securities | (1,620,468) | (1,620,468) | |||||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | 26,408 | 26,408 | |||||||||||
Net income (loss) attributable to Annaly | 1,455,171 | 1,455,171 | |||||||||||
Dividends declared on preferred stock | [1] | (53,766) | |||||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (626,880) | (626,880) | [1] | ||||||||||
Net income (loss) attributable to noncontrolling interests | (1,115) | 1,115 | |||||||||||
Equity contributions from (distributions to) noncontrolling interests | 7,466 | ||||||||||||
End of period at Jun. 30, 2021 | 13,639,176 | 13,617,115 | 1,536,569 | 14,442 | 20,178,692 | 1,780,275 | (9,892,863) | 22,061 | |||||
Beginning of period at Mar. 31, 2021 | 1,536,569 | 13,985 | 19,754,826 | 2,002,231 | (9,251,804) | $ 0 | $ (9,251,804) | 11,788 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Issuance | 456 | 419,970 | |||||||||||
Buyback of common stock | 0 | 0 | |||||||||||
Stock-based award activity | 1 | 3,896 | |||||||||||
Direct purchase and dividend reinvestment | 0 | 0 | |||||||||||
Unrealized gains (losses) on available-for-sale securities | (191,541) | (191,541) | |||||||||||
Reclassification adjustment for net gains (losses) included in net income (loss) | (30,415) | (30,415) | |||||||||||
Net income (loss) attributable to Annaly | (295,642) | (295,642) | |||||||||||
Dividends declared on preferred stock | [1] | (26,883) | |||||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (318,534) | (318,534) | [1] | ||||||||||
Net income (loss) attributable to noncontrolling interests | (794) | 794 | |||||||||||
Equity contributions from (distributions to) noncontrolling interests | 9,479 | ||||||||||||
End of period at Jun. 30, 2021 | $ 13,639,176 | $ 13,617,115 | $ 1,536,569 | $ 14,442 | $ 20,178,692 | $ 1,780,275 | $ (9,892,863) | $ 22,061 | |||||
[1] | (1) Refer to the “Capital Stock” Note for dividends per share for each class of shares. | ||||||||||||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | |
Cash flows from operating activities | ||
Net income (loss) | $ 1,456,286 | $ (2,783,955) |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | ||
Amortization of premiums and discounts of investments, net | 313,306 | 881,012 |
Amortization of securitized debt premiums and discounts and deferred financing costs | (4,269) | (4,554) |
Depreciation, amortization and other noncash expenses | 17,718 | 16,895 |
Net (gains) losses on disposal of investments and other | 49,563 | (453,262) |
Net (gains) losses on investments and derivatives | (858,430) | 3,350,434 |
Net (gains) losses on business divestitures | 248,036 | 0 |
Income from unconsolidated joint ventures | 5,889 | (1,349) |
Loan loss provision (reversal) | (139,126) | 168,077 |
Payments on purchases of loans held for sale | (49,586) | (90,287) |
Proceeds from sales and repayments of loans held for sale | 84,991 | 95,551 |
Net receipts (payments) on derivatives | 606,454 | (2,538,137) |
Net change in | ||
Other assets | (121,876) | 238,119 |
Interest receivable | 18,677 | 139,240 |
Interest payable | (16,165) | (295,392) |
Other liabilities | (40,425) | (62,684) |
Net cash provided by (used in) operating activities | 1,571,043 | (1,340,292) |
Cash flows from investing activities | ||
Payments on purchases of securities | (12,581,731) | (17,684,740) |
Proceeds from sales of securities | 6,350,647 | 46,806,424 |
Principal payments on securities | 10,228,935 | 9,328,755 |
Payments on purchases and origination of loans | (2,754,376) | (1,588,531) |
Proceeds from sales of loans | 116,570 | 510,407 |
Principal payments on loans | 1,498,768 | 1,040,569 |
Payments on purchases of MSR | (98,983) | 0 |
Proceeds from sales of MSR | 376 | 0 |
Payments on purchases of interests in MSR | (47,098) | 0 |
Investments in real estate | (1,815) | (820) |
Proceeds from sales of real estate | 53,910 | 0 |
Proceeds from reverse repurchase agreements | 12,084,313 | 37,100,000 |
Payments on reverse repurchase agreements | (12,084,313) | (37,100,000) |
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 290 | 6,332 |
Proceeds from sale of equity securities | 6,957 | 0 |
Cash acquired in asset acquisition | 0 | 3,793 |
Net cash provided by (used in) investing activities | 2,772,450 | 38,422,189 |
Cash flows from financing activities | ||
Proceeds from repurchase agreements and other secured financing | 1,129,837,127 | 1,910,919,740 |
Payments on repurchase agreements and other secured financing | (1,134,179,055) | (1,948,434,517) |
Proceeds from issuances of securitized debt | 969,165 | 1,423,925 |
Principal payments on securitized debt | (863,095) | (540,928) |
Payment of deferred financing cost | 0 | (553) |
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 420,426 | 405 |
Proceeds from participations issued | 499,864 | 0 |
Payments on repurchases of participations issued | (223,828) | 0 |
Principal payments on participations issued | (4,015) | 0 |
Net principal receipts (payments) on mortgages payable | (659) | 23,373 |
Net contributions (distributions) from (to) noncontrolling interests | 7,466 | (288) |
Net payment on share repurchase | 0 | (143,664) |
Settlement of stock-based awards in satisfaction of withholding tax requirements | (992) | 0 |
Dividends paid | (669,144) | (786,209) |
Net cash provided by (used in) financing activities | (4,206,740) | (37,538,716) |
Net (decrease) increase in cash and cash equivalents | 136,753 | (456,819) |
Cash and cash equivalents including cash pledged as collateral, beginning of period | 1,243,703 | 1,850,729 |
Cash and cash equivalents including cash pledged as collateral, end of period | 1,380,456 | 1,393,910 |
Supplemental disclosure of cash flow information | ||
Interest received | 1,478,377 | 3,354,991 |
Dividends received | 51 | 6,180 |
Interest paid (excluding interest paid on interest rate swaps) | 183,952 | 1,498,708 |
Net interest paid on interest rate swaps | 137,018 | 358,218 |
Taxes received (paid) | 333 | 603 |
Noncash investing and financing activities | ||
Receivable for unsettled trades | 14,336 | 747,082 |
Payable for unsettled trades | 154,405 | 2,122,735 |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | (1,594,060) | 1,703,883 |
Dividends declared, not yet paid | 317,714 | 309,686 |
Derecognition of assets of consolidated VIEs | 976,690 | 0 |
Derecognition of securitized debt of consolidated VIEs | $ 893,500 | $ 0 |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
DESCRIPTION OF BUSINESS | 1. DESCRIPTION OF BUSINESS Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company is a leading diversified capital manager with investment strategies across mortgage finance and corporate middle market lending. 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 (“MSR”) and corporate debt. The Company’s principal business objective is to generate net income for distribution to its stockholders and optimize its returns through prudent management of its diversified investment strategies. The Company is an internally-managed company that has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). Prior to the closing of the Internalization (as defined in the “Related Pary Transactions” Note) on June 30, 2020, the Company was externally managed by Annaly Management Company LLC (the “Former Manager”). The Company’s investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae and complementary investments within the Agency market, including MSR and Agency commercial mortgage-backed securities. Annaly Residential Credit Group Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets. Annaly Middle Market Lending Group Provides financing to private equity backed middle market businesses, focusing primarily on senior debt within select industries. In March 2021, the Company announced that it had entered into a definitive agreement to sell and exit its Commercial Real Estate (“CRE”) business. Subject to customary closing conditions, including applicable regulatory approvals, the sale of the CRE business is expected to be completed in the second half of 2021. Refer to the “Sale of Commercial Real Estate Business” and “Subsequent Events” Notes for additional information. |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 6 Months Ended |
Jun. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
BASIS OF PRESENTATION | 2. BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2020 (the “2020 Form 10-K”). The consolidated financial information as of December 31, 2020 has been derived from audited consolidated financial statements included in the Company’s 2020 Form 10-K. The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. Beginning with the quarter ended June 30, 2021, the Company began classifying certain portfolio activity- or volume-related expenses (including but not limited to brokerage and commission fees, due diligence costs and securitization expenses) as Other income (loss) rather than Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss) to better reflect the nature of the items. As such, prior periods have been conformed to the current presentation. Other general and administrative expenses for the three months ended March 31, 2021 decreased by $1.8 million and for the three and six months ended June 30, 2020 decreased by $2.9 million and $10.7 million, respectively, and Other income (loss) decreased by the same amounts for the three months ended March 31, 2021 and three and six months ended June 30, 2020, respectively. 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 | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
SIGNIFICANT ACCOUNTING POLICIES | 3. SIGNIFICANT ACCOUNTING POLICIES The Company’s significant accounting policies are described below or are included elsewhere in these notes to the consolidated financial statements. Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in 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 $1.2 billion and $1.1 billion at June 30, 2021 and December 31, 2020, respectively. Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO has been elected are presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the FVO see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurements” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements. Derivative Instruments – Derivatives are 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 and financial instruments 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 measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Stock-based awards that contain market-based conditions are valued using a model. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Compensation expense for awards with market conditions is recognized irrespective of the probability of the market condition being achieved and is not reversed if the market condition is not met. Stock-based awards that do not require future service (i.e., vested awards) are expensed immediately. Forfeitures are recorded when they occur. The Company generally issues new shares of common stock upon delivery of stock-based awards. Interest Income - The Company recognizes interest income primarily on Residential Securities (as defined in the “Securities” Note), residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not paid is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income. Refer to the “Interest Income and Interest Expense” Note for further discussion. For its securities, the Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis. Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower. Refer to the “Interest Income and Interest Expense” Note for further discussion on interest. The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans or 120 days for corporate debt carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as interest income. Refer to the “Interest Income and Interest Expense” Note for further discussion of interest income. Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that have been adopted ASU 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments (“ASU 2016-13”) 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 cash and cash equivalents, reverse repurchase agreements, certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020. ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform. January 1, 2020 The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date. |
FINANCIAL INSTRUMENTS
FINANCIAL INSTRUMENTS | 6 Months Ended |
Jun. 30, 2021 | |
Investments, All Other Investments [Abstract] | |
FINANCIAL INSTRUMENTS | 4. FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at June 30, 2021 and December 31, 2020. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis June 30, 2021 December 31, 2020 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 65,898,975 $ 73,562,972 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 569,544 504,087 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 827,328 532,403 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,582,323 972,192 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through other comprehensive income — 31,603 Securities Commercial real estate debt investments - CMBS (4)(5) Fair value, with unrealized gains (losses) through earnings 150,005 45,254 Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 4,160 3,885 Total securities 69,032,335 75,652,396 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,029,929 345,810 Loans, net Commercial real estate debt and preferred equity, held for investment (4) Amortized cost — 498,081 Loans, net Corporate debt, held for investment Amortized cost 2,066,709 2,239,930 Loans, net Corporate debt, held for sale Lower of amortized cost or fair value 466,370 — Total loans, net 3,563,008 3,083,821 Interests in MSR Interest in net servicing cash flows Fair value, with unrealized gains (losses) through earnings 49,035 — Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 605,163 620,347 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,467,993 3,249,251 Assets transferred or pledged to securitization vehicles Commercial mortgage loans (4) Fair value, with unrealized gains (losses) through earnings — 2,166,073 Assets transferred or pledged to securitization vehicles Commercial mortgage loans (4) Amortized cost — 874,349 Total assets transferred or pledged to securitization vehicles 4,073,156 6,910,020 Liabilities Repurchase agreements Repurchase agreements Amortized cost 60,221,067 64,825,239 Other secured financing Loans Amortized cost 909,655 917,876 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,315,087 5,652,982 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 315,810 39,198 Mortgages payable Loans (6) Amortized cost — 426,256 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial assets whereas MSR are servicing assets or obligations. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages. (4) Excludes Assets of disposal group held for sale at June 30, 2021. (5) Includes single-asset / single-borrower CMBS. (6) Excludes Liabilities of disposal group held for sale at June 30, 2021. |
SECURITIES
SECURITIES | 6 Months Ended |
Jun. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
SECURITIES | 5. SECURITIES The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt securities are classified as available-for-sale. Available-for-sale debt securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Transactions for regular-way 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. Impairment – Management evaluates available-for-sale securities and held-to-maturity debt securities for impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss) as a Securities Loss Provision and reflected as an Allowance for Credit Losses on Securities on the Consolidated Statements of Financial Condition, while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). For the three months ended March 31, 2021, the Company recognized a $0.4 million impairment on a commercial mortgage-backed security that it intends to sell. There was no impairment recognized for the three and six months ended June 30, 2020. Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). TBA securities without intent to accept delivery (“TBA derivatives”) are accounted for as derivatives as discussed in the “Derivative Instruments” Note. CRT Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, Alt-A loan, subprime loan, non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Agency mortgage-backed securities, non-Agency mortgage-backed securities and residential CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio. Commercial Mortgage-Backed Securities (“Commercial Securities”) - Certain commercial mortgage-backed securities (“CMBS”) are classified as available-for-sale and reported at fair value with any credit loss recognized through an allowance for credit losses and any other unrealized gains and losses reported as a component of Other comprehensive income (loss). Management evaluates its Commercial Securities for impairment at least quarterly. The Company elected the fair value option for all other Commercial Securities, including conduit and credit CMBS, to simplify the accounting where the unrealized gains and losses on these financial instruments are recorded through earnings. As of June 30, 2021 and December 31, 2020, CMBS included in the announced sale of the Company’s CRE business are reported in Assets of disposal group held for sale and Securities, respectively, in the Consolidated Statements of Financial Condition. Refer to the “Sale of Commercial Real Estate Business” Note for additional information on the announced transaction. The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the six months ended June 30, 2021: Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2021 $ 75,571,654 $ 80,742 $ 75,652,396 Purchases 11,684,613 150,006 11,834,619 Sales and transfers (1) (6,265,442) (78,770) (6,344,212) Principal paydowns (10,228,923) — (10,228,923) (Amortization) / accretion (307,987) 288 (307,699) Fair value adjustment (1,575,745) 1,899 (1,573,846) Ending balance June 30, 2021 $ 68,878,170 $ 154,165 $ 69,032,335 (1) Includes transfers to assets of disposal group held for sale. The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at June 30, 2021 and December 31, 2020: June 30, 2021 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 59,813,415 $ 3,280,197 $ (20,729) $ 63,072,883 $ 1,905,748 $ (259,706) $ 64,718,925 Adjustable-rate pass-through 375,657 1,972 (3,286) 374,343 20,677 — 395,020 CMO 127,620 2,016 — 129,636 6,720 — 136,356 Interest-only 2,398,620 519,494 — 519,494 781 (157,583) 362,692 Multifamily (1) 2,769,722 169,915 (1,005) 777,380 35,262 (1,260) 811,382 Reverse mortgages 40,939 3,892 — 44,831 — (687) 44,144 Total agency securities $ 65,525,973 $ 3,977,486 $ (25,020) $ 64,918,567 $ 1,969,188 $ (419,236) $ 66,468,519 Residential credit CRT (2) $ 824,024 $ 6,925 $ (1,868) $ 818,842 $ 10,215 $ (1,729) $ 827,328 Alt-A 78,793 52 (17,019) 61,826 4,031 (6) 65,851 Prime 191,516 5,527 (15,517) 181,526 12,914 (367) 194,073 Prime interest-only 97,065 1,378 — 1,378 — (854) 524 Subprime 189,138 460 (17,102) 172,496 10,120 (20) 182,596 NPL/RPL 1,056,963 1,281 (2,482) 1,055,762 8,887 (565) 1,064,084 Prime jumbo (>=2010 vintage) 74,981 530 (5,287) 70,224 4,180 (102) 74,302 Prime jumbo (>=2010 vintage) Interest-only 175,420 5,418 — 5,418 — (4,525) 893 Total residential credit securities $ 2,687,900 $ 21,571 $ (59,275) $ 2,367,472 $ 50,347 $ (8,168) $ 2,409,651 Total Residential Securities $ 68,213,873 $ 3,999,057 $ (84,295) $ 67,286,039 $ 2,019,535 $ (427,404) $ 68,878,170 Commercial Commercial Securities $ 154,000 $ 6 $ (107) $ 153,899 $ 267 $ (1) $ 154,165 Total securities $ 68,367,873 $ 3,999,063 $ (84,402) $ 67,439,938 $ 2,019,802 $ (427,405) $ 69,032,335 December 31, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 64,800,235 $ 3,325,020 $ (22,143) $ 68,103,112 $ 3,200,542 $ (1,076) $ 71,302,578 Adjustable-rate pass-through 455,675 2,869 (3,369) 455,175 22,341 — 477,516 CMO 139,664 2,177 — 141,841 7,926 — 149,767 Interest-only 2,790,537 564,297 — 564,297 3,513 (145,901) 421,909 Multifamily (1) 1,910,384 50,148 (1,057) 1,604,913 59,548 (954) 1,663,507 Reverse mortgages 47,585 4,183 — 51,768 252 (238) 51,782 Total agency investments $ 70,144,080 $ 3,948,694 $ (26,569) $ 70,921,106 $ 3,294,122 $ (148,169) $ 74,067,059 Residential credit CRT (2) $ 544,780 $ 7,324 $ (2,430) $ 538,941 $ 3,062 $ (9,600) $ 532,403 Alt-A 93,001 51 (17,368) 75,684 4,644 — 80,328 Prime 177,852 5,126 (15,999) 166,979 14,607 (77) 181,509 Prime interest-only 194,687 1,882 — 1,882 — (642) 1,240 Subprime 197,779 584 (18,181) 180,182 8,312 (61) 188,433 NPL/RPL 475,108 821 (2,416) 473,513 3,782 (1,448) 475,847 Prime jumbo (>=2010 vintage) 44,696 207 (5,300) 39,603 3,680 — 43,283 Prime jumbo (>=2010 vintage) Interest-only 291,624 6,803 — 6,803 — (5,251) 1,552 Total residential credit securities $ 2,019,527 $ 22,798 $ (61,694) $ 1,483,587 $ 38,087 $ (17,079) $ 1,504,595 Total Residential Securities $ 72,163,607 $ 3,971,492 $ (88,263) $ 72,404,693 $ 3,332,209 $ (165,248) $ 75,571,654 Commercial Commercial Securities $ 89,858 $ — $ (7,471) $ 82,387 $ 54 $ (1,699) $ 80,742 Total securities $ 72,253,465 $ 3,971,492 $ (95,734) $ 72,487,080 $ 3,332,263 $ (166,947) $ 75,652,396 (1) Principal/Notional amount includes $2.2 billion and $354.6 million of Agency CMBS interest-only securities as of June 30, 2021 and December 31, 2020, respectively. (2) Principal/Notional amount includes $10.2 million and $10.7 million of a CRT interest-only security as of June 30, 2021 and December 31, 2020, respectively. The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at June 30, 2021 and December 31, 2020: June 30, 2021 December 31, 2020 Investment Type (dollars in thousands) Fannie Mae $ 52,611,769 $ 56,218,033 Freddie Mac 13,762,498 17,735,041 Ginnie Mae 94,252 113,985 Total $ 66,468,519 $ 74,067,059 Actual maturities of the Company’s Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on the underlying mortgages. The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at June 30, 2021 and December 31, 2020, according to their estimated weighted average life classifications: June 30, 2021 December 31, 2020 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 234,798 $ 233,247 $ 110,203 $ 109,540 Greater than one year through five years 17,843,706 17,273,287 45,643,138 43,404,877 Greater than five years through ten years 50,258,367 49,253,011 28,509,058 27,610,923 Greater than ten years 541,299 526,494 1,309,255 1,279,353 Total $ 68,878,170 $ 67,286,039 $ 75,571,654 $ 72,404,693 The estimated weighted average lives of the Residential Securities at June 30, 2021 and December 31, 2020 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected. The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at June 30, 2021 and December 31, 2020. June 30, 2021 December 31, 2020 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 $ 17,620,478 $ (260,373) 364 $ 777,586 $ (2,030) 30 12 Months or more — — — — — — Total $ 17,620,478 $ (260,373) 364 $ 777,586 $ (2,030) 30 (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 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 six months ended June 30, 2021, the Company disposed of $3.3 billion and $6.2 billion of Residential Securities, respectively. During the three and six months ended June 30, 2020, the Company disposed of $5.5 billion and $47.4 billion of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and six months ended June 30, 2021 and 2020. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) June 30, 2021 $ 52,485 $ (17,680) $ 34,805 June 30, 2020 $ 272,382 $ (12,496) $ 259,886 For the six months ended June 30, 2021 $ 57,131 $ (83,021) $ (25,890) June 30, 2020 $ 811,637 $ (284,494) $ 527,143 |
LOANS
LOANS | 6 Months Ended |
Jun. 30, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
LOANS | 6. LOANS The Company invests in residential 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. Excluding loans transferred or pledged to securitization vehicles, as of June 30, 2021 and December 31, 2020, the Company rep orted $1.0 billion and $345.8 million, respectively, of loans for which the fair value option was elected. 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 the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, the loans are classified as held for sale. If loans are held for sale and the fair value option was not elected, they are accounted for at the lower of cost or fair value and prior reserves are reversed. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of loans held for sale on an individual loan basis. Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible. Given the unique nature of each underlying borrower and any collateral, the Company assesses an allowance for each individual loan held-for-investment. A provision is established at origination or acquisition that reflects management’s estimate of the total expected credit loss over the expected life of the loan. In estimating the lifetime expected credit losses, management utilizes a probability of default and loss given default methodology (“Loss Given Default methodology”), which considers projected economic conditions over the reasonable and supportable forecast period. The forecast incorporates primarily market-based assumptions including, but not limited to, forward interest rate curves, unemployment rate estimates and certain indexes sourced from third party vendors. For any remaining period of the expected life of the loan after the reasonable and supportable period, the Company reverts to historical losses on a straight-line basis. Management uses third party vendors’ loan pool data for loans with similar risk characteristics to estimate historical losses given the limited loss history of the Company’s loan portfolio. Changes in the lifetime expected credit loss are reflected in Loan loss (provision) reversal in the Consolidated Statements of Comprehensive Income (Loss). For loans experiencing credit deterioration, the Company may use a different methodology to determine the expected credit losses such as a discounted cash flow analysis. For collateral-dependent loans, if foreclosure is probable, expected credit losses are based on the fair value of the collateral at the reporting date, adjusted for any selling costs, if applicable. Additionally, the Company may elect the practical expedient for a financial asset for which the repayment is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty by measuring the allowance as the difference between the fair value of the collateral, less costs to sell, if applicable, and the amortized cost basis of the financial asset at the reporting date. The Company’s commercial loans are collateralized by commercial real estate including, but not limited to, multifamily real estate, office and retail space, hotels and industrial space. At origination, the fair value of the collateral generally exceeds the principal loan balance. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the loans as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. The Company recorded net loan loss (provisions) reversals of ($0.5) million and $139.1 million for the three and six months ended June 30, 2021, respectively. The Company recorded net loan loss (provisions) reversals of ($68.8) million and ($168.1) million for the three and six months ended June 30, 2020, respectively. As of June 30, 2021 and December 31, 2020, the Company’s loan loss allowance was $33.9 million and $169.5 million, respectively. The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the six months ended June 30, 2021: Residential Commercial Corporate Debt Corporate Debt Held for Sale (1) Total (dollars in thousands) Beginning balance January 1, 2021 $ 345,810 $ 498,081 $ 2,239,930 $ — $ 3,083,821 Purchases / originations 1,466,056 123,939 859,759 466,370 2,916,124 Sales and transfers (2) (745,442) (525,436) (581,428) — (1,852,306) Principal payments (20,340) (84,929) (464,933) — (570,202) Gains / (losses) (3) (12,733) (12,199) 5,693 — (19,239) (Amortization) / accretion (3,422) 544 7,688 — 4,810 Ending balance June 30, 2021 $ 1,029,929 $ — $ 2,066,709 $ 466,370 $ 3,563,008 (1) Represents loans the Company originated during the three months ended June 30, 2021 and subsequently syndicated and closed. At June 30, 2021, these loans were held at the lower of cost or fair value. (2) Includes securitizations, syndications, transfers to securitization vehicles and commercial loan transfers to assets of disposal group held for sale. Includes transfer of residential loans to securitization vehicles with a carrying value of $987.0 million during the six months ended June 30, 2021. (3) Includes loan loss allowances. The carrying value of the Company’s residential loans held for sale was $3.7 million and $47.0 million at June 30, 2021 and December 31, 2020, respectively. The Company also has off-balance-sheet credit exposures related to unfunded loan commitments, including revolvers, delayed draw term loans and future funding commitments that are not unconditionally cancelable by the Company. The Company utilizes the same methodology in calculating the liability related to the expected credit losses on these exposures as it does for the calculation of the allowance for loan losses. In determining the estimate of credit losses for off-balance-sheet credit exposures, the Company will consider the contractual period in which the entity is exposed to credit risk and the likelihood that funding will occur, if material. Estimated credit losses for off-balance-sheet credit exposures are included in Other liabilities on the Company’s Consolidated Statements of Financial Condition. Residential The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). 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. 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 June 30, 2021 and December 31, 2020: June 30, 2021 December 31, 2020 (dollars in thousands) Fair value $ 4,497,922 $ 3,595,061 Unpaid principal balance $ 4,317,278 $ 3,482,865 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2021 and 2020 for these investments: For the Three Months Ended For the Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 (dollars in thousands) Interest income $ 38,963 $ 42,872 $ 76,072 $ 90,429 Net gains (losses) on disposal of investments and other (21,721) (5,376) (26,941) (17,376) Net unrealized gains (losses) on instruments measured at fair value through earnings 14,456 110,545 36,911 (82,218) Total included in net income (loss) $ 31,698 $ 148,041 $ 86,042 $ (9,165) The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2021 and December 31, 2020 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans June 30, 2021 December 31, 2020 Property location % of Balance Property location % of Balance California 52.6% California 48.9% New York 11.7% New York 14.0% Florida 5.9% Florida 6.0% All other (none individually greater than 5%) 29.8% All other (none individually greater than 5%) 31.1% Total 100.0% 100.0% The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at June 30, 2021 and December 31, 2020: June 30, 2021 December 31, 2020 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $0 - $3,500 $525 $1 - $3,448 $473 Interest rate 0.50% - 9.24% 4.55% 0.50% - 9.24% 4.89% Maturity 7/1/2029 - 7/1/2061 10/21/2049 7/1/2029 - 1/1/2061 4/17/2046 FICO score at loan origination 604 - 829 758 505 - 829 755 Loan-to-value ratio at loan origination 8% - 103% 66% 8% - 104% 67% At June 30, 2021 and December 31, 2020, approximately 31% and 37%, respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate. Commercial As of June 30, 2021, commercial real estate loans are reported in Assets of disposal group held for sale in the Consolidated Statements of Financial Condition and classified as held for sale. As of December 31, 2020, commercial real estate loans are reported in Loans, net in the Consolidated Statements of Financial Condition and classified as held for investment. Refer to the “Sale of Commercial Real Estate Business” Note for additional information on the announced transaction. The Company’s commercial real estate loans are comprised of adjustable-rate and fixed-rate loans. 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 and preferred equity interests that were designated as held for investment and were originated or purchased by the Company were 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. Management generally reviews the most recent financial information and metrics derived therefrom 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 commercial real estate loans and preferred equity interests (“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 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 commercial loans are collateral-dependent and, as such, for loans experiencing credit deterioration, the Company is required to record an allowance for loans held for investment based upon the fair value of the underlying collateral if foreclosure is probable or if the practical expedient is elected. For the six months ended June 30, 2021, the Company reversed the loan loss allowance resulting in a loan loss reversal on impaired commercial loans of $67.4 million as the loans are classified as held for sale and are carried at lower of cost or fair value. For the three and six months ended June 30, 2020, the Company recorded a loan loss provision on impaired commercial loans of $22.0 million and $74.1 million, respectively based upon the fair value of the underlying collateral. The Company uses a discounted cash flow or market based valuation technique based upon the underlying property to project property cash flows. In projecting these cash flows, the Company reviewed the borrower financial statements, rent rolls, economic trends and other factors management deems important. These nonrecurring fair value measurements are considered to be in Level 3 of the fair value measurement hierarchy as there are unobservable inputs, which are significant to the overall fair value. For the six months ended June 30, 2021, the Company reversed the loan loss allowance based upon its Loss Given Default methodology resulting in a loan loss reversal on commercial loans of $62.5 million as the loans are classified as held for sale and are carried at lower of cost or fair value. For the three and six months ended June 30, 2020, the Company recorded a net loan loss provision of $39.1 million and $62.3 million, respectively, based upon its Loss Given Default methodology. As a result of the implementation of the Loss Given Default methodology under the modified retrospective method, a cumulative effect loan loss allowance of $7.8 million was recorded on January 1, 2020. During the year ended December 31, 2020, the Company modified five commercial loans with a carrying value of $243.8 million at December 31, 2020. The maturity dates on four commercial loans were extended and one commercial loan was granted a 120 day forebearance. Additionally, as part of the restructuring, two loans had partial paydowns totaling $4.5 million. The loan loss allowance recorded for these commercial loans was $23.6 million at December 31, 2020. Future funding commitments on the restructured loans totaled $4.1 million at December 31, 2020. At December 31, 2020, the amortized cost basis of commercial loans on nonaccrual status was $46.8 million. For the year ended December 31, 2020, the Company recognized interest income on commercial loans on nonaccrual status of $2.1 million. At December 31, 2020, the Company had unfunded commercial real estate loan commitments of $99.3 million. At December 31, 2020, the liability related to the expected credit losses on the unfunded commercial loan commitments was $5.1 million. At December 31, 2020, approximately 94% of the carrying value, net of allowances of the Company’s CRE Debt and Preferred Equity Investments, including loans transferred or pledged to securitization vehicles, were adjustable-rate. The sector attributes of the Company’s commercial real estate investments held for sale at June 30, 2021 and held for investment at December 31, 2020 were as follows: Sector Dispersion June 30, 2021 December 31, 2020 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 581,039 43.3 % $ 650,034 47.4 % Retail 249,676 18.6 % 256,493 18.7 % Multifamily 220,331 16.4 % 250,095 18.2 % Industrial 116,125 8.7 % 60,097 4.4 % Hotel 100,942 7.5 % 115,536 8.4 % Other 54,441 4.1 % 20,302 1.5 % Healthcare 19,145 1.4 % 19,873 1.4 % Total $ 1,341,699 100.0 % $ 1,372,430 100.0 % Commercial real estate investments held for sale at June 30, 2021 and held for investment at December 31, 2020 were comprised of the following: June 30, 2021 December 31, 2020 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 388,293 $ 364,974 26.4 % $ 387,124 $ 373,925 25.7 % Senior securitized mortgages (3) 908,006 863,425 61.9 % 938,859 874,349 62.3 % Mezzanine loans 171,979 113,300 11.7 % 181,261 124,156 12.0 % Total $ 1,468,278 $ 1,341,699 100.0 % $ 1,507,244 $ 1,372,430 100.0 % (1) Carrying value includes unamortized origination fees of $5.3 million and $4.9 million at June 30, 2021 and December 31, 2020, respectively. (2) Based on outstanding principal. (3) Represents assets of consolidated VIEs. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for sale at June 30, 2021 and held for investment at December 31, 2020: June 30, 2021 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2021) (2) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 Originations & advances (principal) 124,701 69 641 125,411 Principal payments (75,007) (79,447) (9,922) (164,376) Transfers (3) (68,654) 5,819 (58,491) (121,326) Net (increase) decrease in origination fees (1,403) — — (1,403) Amortization of net origination fees 501 486 43 1,030 Allowance for loan losses Beginning allowance (10,911) (62,149) (56,873) (129,933) Current period (allowance) reversal 10,911 62,149 56,873 129,933 Ending allowance — — — — Net carrying value (June 30, 2021) $ 364,974 $ 863,425 $ 113,300 $ 1,341,699 December 31, 2020 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2020) (2) $ 499,690 $ 936,378 $ 182,726 $ 1,618,794 Originations & advances (principal) 206,090 — 12,374 218,464 Principal payments (77,344) (144,308) (78) (221,730) Principal write off — — (7,000) (7,000) Transfers (3) (245,120) 142,621 (7,100) (109,599) Net (increase) decrease in origination fees (1,055) (653) (80) (1,788) Realized gain 204 — — 204 Amortization of net origination fees 2,371 2,460 187 5,018 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703) (12,703) Impact of adopting CECL (2,263) (4,166) (1,336) (7,765) Current period (allowance) reversal (8,648) (57,983) (66,521) (133,152) Write offs — — 23,687 23,687 Ending allowance (10,911) (62,149) (56,873) (129,933) Net carrying value (December 31, 2020) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances. (3) Includes transfers to securitization vehicles. Corporate Debt The Company’s investments in corporate loans 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 five The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below: Risk Rating - Corporate Debt Description 1-5 / Performing Meets all present contractual obligations. 6 / Performing - Closely Monitored Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal. 7 / Substandard A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible. 8 / Doubtful A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues. 9 / Loss Considered uncollectible. Management assesses each loan at least quarterly and assigns an internal risk rating based on its evaluation of the most recent financial information produced by the borrower and consideration of economic conditions. See below for a tabular disclosure of the amortized cost basis of the Company’s corporate debt held for investment by year of origination and internal risk rating. There was no provision for loan loss recorded on corporate loans using a discounted cash flow methodology for the six months ended June 30, 2021. For the six months ended June 30, 2020, the Company recorded a loan loss provision of $10.0 million on impaired corporate loans using a discounted cash flow methodology with a principal balance and carrying value, net of allowances of $29.3 million and $4.3 million, respectively. During the six months ended June 30, 2020, a loan was restructured and the Company received $2.8 million of second lien debt and $4.8 million of equity. As a result of the restructuring, $19.6 million of first lien debt was written off and the related allowance of $11.9 million was charged off. For the three and six months ended June 30, 2021 the Company recorded a net loan loss (provision) reversal on corporate loans of ($0.5) million and $5.7 million, respectively, based upon its Loss Given Default methodology. For the three and six months ended June 30, 2020 the Company recorded a net loan loss provision on corporate loans of $7.6 million and $21.7 million, respectively, based upon its Loss Given Default methodology. As a result of the implementation of the Loss Given Default methodology under the modified retrospective method, a cumulative effect loan loss allowance on corporate loans of $29.7 million was recorded on January 1, 2020. At June 30, 2021 and December 31, 2020, the Company had unfunded corporate loan commitments of $228.2 million and $87.3 million, respectively. At June 30, 2021 and December 31, 2020, the liability related to the expected credit losses on the unfunded corporate loan commitments was $1.2 million and $0.7 million, respectively. The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at June 30, 2021 and December 31, 2020 are as follows: Industry Dispersion June 30, 2021 December 31, 2020 Total (1) Total (1) (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services $ 457,776 $ 483,142 Management & Public Relations Services 291,404 300,869 Industrial Inorganic Chemicals 156,642 156,391 Public Warehousing & Storage 121,314 132,397 Metal Cans & Shipping Containers 116,098 115,670 Surgical, Medical & Dental Instruments & Supplies 81,821 83,161 Electronic Components & Accessories 78,365 78,129 Engineering, Architectural, and Surveying 75,625 77,308 Offices & Clinics of Doctors of Medicine 73,532 104,781 Telephone Communications 58,100 58,450 Specialty Outpatient Facilities, not elsewhere classified 56,304 — Miscellaneous Industrial and Commercial 53,120 77,163 Miscellaneous Equipment Rental & Leasing 49,693 49,587 Research, Development & Testing Services 45,558 62,008 Insurance Agents, Brokers and Service 43,978 67,193 Electric Work 42,347 41,128 Petroleum and Petroleum Products 33,784 33,890 Medical & Dental Laboratories 30,609 30,711 Schools & Educational Services, not elsewhere classified 29,172 29,040 Metal Forgings & Stampings 27,340 27,523 Legal Services 26,382 26,399 Grocery Stores 22,130 22,895 Coating, Engraving and Allied Services 19,535 19,484 Chemicals & Allied Products 14,720 14,686 Drugs 12,409 12,942 Mailing, Reproduction, Commercial Art and Photography and Stenographic 12,277 12,733 Machinery, Equipment & Supplies 11,708 12,096 Sanitary Services 10,763 — Offices and Clinics of Other Health Practitioners 10,092 9,730 Miscellaneous Business Services 4,111 12,980 Miscellaneous Food Preparations — 58,857 Home Health Care Services — 28,587 Total $ 2,066,709 $ 2,239,930 (1) All middle market lending positions are floating rate. The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at June 30, 2021 and December 31, 2020. June 30, 2021 December 31, 2020 (dollars in thousands) First lien loans $ 1,395,995 $ 1,489,125 Second lien loans 670,714 750,805 Total $ 2,066,709 $ 2,239,930 The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at June 30, 2021 and December 31, 2020: June 30, 2021 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2021) (1) $ 1,489,125 $ 750,805 $ 2,239,930 Originations & advances 793,278 66,481 859,759 Sales and transfers (2) (556,980) (24,448) (581,428) Principal payments (336,054) (128,879) (464,933) Amortization & accretion of (premium) discounts 4,989 2,699 7,688 Allowance for loan losses Beginning allowance (18,767) (20,785) (39,552) Current period (allowance) reversal 1,637 4,056 5,693 Ending allowance (17,130) (16,729) (33,859) Net carrying value (June 30, 2021) $ 1,395,995 $ 670,714 $ 2,066,709 December 31, 2020 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2020) (1) $ 1,403,503 $ 748,710 $ 2,152,213 Originations & advances 834,211 227,433 1,061,644 Sales (2) (273,887) (79,203) (353,090) Principal payments (444,759) (132,000) (576,759) Amortization & accretion of (premium) discounts 8,374 3,832 12,206 Loan restructuring (19,550) 2,818 (16,732) Allowance for loan losses Beginning allowance, prior to CECL adoption (7,363) — (7,363) Impact of adopting CECL (10,787) (18,866) (29,653) Current period (allowance) reversal (12,510) (1,919) (14,429) Write offs 11,893 — 11,893 Ending allowance (18,767) (20,785) (39,552) Net carrying value (December 31, 2020) $ 1,489,125 $ 750,805 $ 2,239,930 (1) Excludes loan loss allowances. (2) Includes syndications and the period ended June 30, 2021 includes transfers to held for sale. The following table provides the amortized cost basis of corporate debt held for investment as of June 30, 2021 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2021 2020 2019 2018 2017 2016 2015 (dollars in thousands) 1-5 / Performing $ 1,617,470 $ 325,936 $ 432,931 $ 301,054 $ 385,586 $ 119,939 $ 23,432 $ 28,592 6 / Performing - Closely Monitored 369,773 2,933 26,382 — 259,500 80,958 — — 7 / Substandard 79,466 — 11,708 25,481 42,277 — — — 8 / Doubtful — — — — — — — — 9 / Loss — — — — — — — — Total $ 2,066,709 $ 328,869 $ 471,021 $ 326,535 $ 687,363 $ 200,897 $ 23,432 $ 28,592 (1) The amortized cost basis excludes accrued interest and includes deferred fees on unfunded loans. As of June 30, 2021, the Company had $8.7 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition and $3.3 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition. |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 6 Months Ended |
Jun. 30, 2021 | |
Transfers and Servicing [Abstract] | |
MORTGAGE SERVICING RIGHTS | 7. MORTGAGE SERVICING RIGHTS The Company owns variable interests in entities that invest in MSR and Interests in MSR. Refer to the “Variable Interest Entities” Note for a detailed discussion on this topic. MSR represent the rights and obligations associated with servicing pools of residential mortgage loans. The Company and its subsidiaries do not originate or directly service residential mortgage loans. Rather, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSR. The Company intends to hold the MSR as investments and elected to account for all of its investments in MSR at fair value. As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net 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). Interests in MSR represent agreements to purchase all, or a component of, net servicing cash flows. A third party acts as a master servicer for the loans providing the net servicing cash flows represented by the Interests in MSR. The Company accounts for its Interests in MSR at fair value with change in fair value presented in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Cash flows received for Interests in MSR are recorded in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). The following tables presents activity related to MSR and Interests in MSR for the three and six months ended June 30, 2021 and 2020: Three Months Ended Six Months Ended Mortgage Servicing Rights June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 (dollars in thousands) Fair value, beginning of period $ 113,080 $ 280,558 $ 100,895 $ 378,078 Purchases (1) 98,983 — 98,983 — Sales (376) — (376) — Change in fair value due to: Changes in valuation inputs or assumptions (2) 4,621 (27,629) 32,296 (106,854) Other changes, including realization of expected cash flows (13,692) (25,529) (29,182) (43,824) Fair value, end of period $ 202,616 $ 227,400 $ 202,616 $ 227,400 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. Interests in MSR Six Months Ended June 30, 2021 (dollars in thousands) Beginning balance $ — Purchases (1) 47,098 Gain (loss) included in net income 1,937 Ending balance June 30, 2021 $ 49,035 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. For the three and six months ended June 30, 2021, the Company recognized $7.9 million and $14.8 million, respectively, and for the three and six months ended June 30, 2020, the Company recognized $16.4 million and $39.2 million, respectively, of net servicing income from MSR in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). For the three and six months ended June 30, 2021, the Company recognized $2.0 million, and for the three and six months ended June 30, 2020, the Company did not recognize net income from Interests in MSR in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 6 Months Ended |
Jun. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | 8. VARIABLE INTEREST ENTITIES At June 30, 2021, commercial trusts, commercial securitizations and the collateralized loan obligation are reported in Assets of disposal group held for sale in the Consolidated Statements of Financial Condition. Refer to the “Sale of Commercial Real Estate Business” Note for additional information. Multifamily Securitization In November 2019, the Company repackaged Fannie Mae guaranteed multifamily mortgage-backed securities with a principal cut-off balance of $1.0 billion and retained interest-only securities with a notional balance of $1.0 billion and senior securities with a principal balance of $28.5 million. In March 2020, the Company repackaged Fannie Mae guaranteed multifamily mortgage-backed securities with a principal cut-off balance of $0.5 billion and retained interest-only securities with a notional balance of $0.5 billion. At the inception of the arrangements, the Company determined that it was the primary beneficiary based upon its involvement in the design of these VIEs and through the retention of a significant variable interest in the VIEs. The Company elected the fair value option for the financial liabilities of these VIEs in order to simplify the accounting; however, the financial assets were not eligible for the fair value option as it was not elected at purchase. In 2020, the Company deconsolidated the 2019 multifamily VIE since it sold all of its interest-only securities and no longer retains a significant variable interest in the entity. The Company incurred $1.1 million of costs in connection with the 2020 multifamily securitization that were expensed as incurred during the six months ended June 30, 2020. Residential Trusts 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 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 $14.4 million and $23.0 million at June 30, 2021 and December 31, 2020, respectively. As of June 30, 2021, a total of $14.5 million of bonds were held by third parties and the Company retained $12.6 million of mortgage-backed securities, which were eliminated in consolidation. Residential Securitizations The Company also invests in residential mortgage-backed securities issued by entities that are VIEs because they do not have sufficient equity at risk for the entities to finance their activities without additional subordinated financial support from other parties, but the Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs’ economic performance. For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these VIEs. See the “Securities” Note for further information on Residential Securities. OBX Trusts The entities in the table below are referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2018-1 March 2018 $ 327,162 OBX 2018-EXP1 August 2018 $ 383,451 OBX 2018-EXP2 October 2018 $ 384,027 OBX 2019-INV1 January 2019 $ 393,961 OBX 2019-EXP1 April 2019 $ 388,156 OBX 2019-INV2 June 2019 $ 383,760 OBX 2019-EXP2 July 2019 $ 463,405 OBX 2019-EXP3 October 2019 $ 465,492 OBX 2020-INV1 January 2020 $ 374,609 OBX 2020-EXP1 February 2020 $ 467,511 OBX 2020-EXP2 July 2020 $ 489,352 OBX 2020-EXP3 September 2020 $ 514,609 OBX 2021-NQM1 March 2021 $ 257,135 OBX 2021-J1 April 2021 $ 353,840 OBX 2021-NQM2 June 2021 $ 376,004 As of June 30, 2021, a total of $2.7 billion of bonds were held by third parties and the Company retained $642.3 million of mortgage-backed securities, which were eliminated in consolidation. The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs. The Company has elected the fair value option for the financial assets and liabilities of these VIEs, but has not elected the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trusts are available from third party pricing services. The Company incurred $1.2 million and $0.0 million of costs during the three months ended June 30, 2021 and 2020, respectively, and $1.8 million and $3.7 million of costs during the six months ended June 30, 2021 and 2020, respectively, in connection with these securitizations that were expensed as incurred. The contractual principal amount of the OBX Trusts’ debt held by third parties was $2.7 billion at June 30, 2021. Although the residential mortgage loans have been sold for bankruptcy and state law purposes, the transfers of the residential mortgage loans to the OBX Trusts did not qualify for sale accounting and are reflected as intercompany secured borrowings that are eliminated upon consolidation. Credit Facility VIEs In June 2016, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of June 30, 2021, the borrowing limit on this facility was $675.0 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 $670.4 million at June 30, 2021. The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At June 30, 2021, the subsidiary had an intercompany receivable of $441.4 million, which eliminates upon consolidation and a secured financing of $441.4 million to the third party financial institution. In July 2017, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of June 30, 2021, 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 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 $366.4 million at June 30, 2021, which continue to be reflected in the Company’s Consolidated Statements of Financial Condition under Loans, net. At June 30, 2021, the subsidiary had a secured financing of $239.2 million to the third party financial institution. In January 2019, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of June 30, 2021, the borrowing limit on this facility was $400.0 million. The Company has pledged as collateral for this facility corporate loans with a carrying amount of $341.2 million at June 30, 2021. As of June 30, 2021, the subsidiary had a secured financing of $229.1 million to the third party financial institution. MSR VIEs The Company owns variable interests in an entity that invests in MSR and has structured its operations, funding and capitalization into pools of assets and liabilities, each referred to as a “silo.” Owners of variable interests in a given silo are entitled to all of the returns and subjected to the risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo. While the Company previously held 100% of the voting interests in this entity, in August 2017, the Company sold 100% of such interests, and entered into an agreement with the entity’s affiliated portfolio manager giving the Company the power over the silo in which it owns all of the beneficial interests. As a result, the Company is considered to be the primary beneficiary and consolidates this silo. The Company also owns variable interests in entities that invest in Interests in MSR. These entities are VIEs because they do not have sufficient equity at risk to finance their activities and the Company is the primary beneficiary because it has power to remove the decision makers with or without cause and holds substantially all of the variable interests in the entities. The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $2.3 billion at June 30, 2021. 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 multifamily securitization, credit facility VIEs and OBX Trusts as the transfers of loans or securities did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at June 30, 2021 and December 31, 2020 are as follows: June 30, 2021 Residential Trusts MSR VIEs Assets (dollars in thousands) Cash and cash equivalents $ — $ 17,240 Loans — 3,709 Assets transferred or pledged to securitization vehicles 28,151 — Mortgage servicing rights — 89,546 Interests in MSR — 49,035 Principal and interest receivable 173 — Other assets — 14,764 Total assets $ 28,324 $ 174,294 Liabilities Debt issued by securitization vehicles (non-recourse) $ 14,547 $ — Payable for unsettled trades — 1,716 Interest payable 34 — Other liabilities 410 10,038 Total liabilities $ 14,991 $ 11,754 December 31, 2020 Residential Trusts MSR VIEs Assets (dollars in thousands) Cash and cash equivalents $ — $ 22,241 Loans — 47,048 Assets transferred or pledged to securitization vehicles 40,035 — Mortgage servicing rights — 100,895 Principal and interest receivable 226 — Total assets $ 40,261 $ 170,184 Liabilities Debt issued by securitization vehicles (non-recourse) $ 23,351 $ — Other secured financing — 30,420 Payable for unsettled trades — 3,076 Interest payable 55 — Other liabilities 246 13,345 Total liabilities $ 23,652 $ 46,841 The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the multifamily securitization, OBX Trusts and credit facility VIEs, at June 30, 2021 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Residential Trusts Property Location Principal Balance % of Balance California $ 14,222 51.4 % Illinois 3,542 12.8 % Texas 2,938 10.6 % Other (1) 6,983 25.2 % Total $ 27,685 100.0 % (1) No individual state greater than 5%. Corporate Debt Transfers The Company manages parallel funds investing in senior secured first and second lien corporate loans (the “Fund Entities”). The Fund Entities are considered VIEs because the investors do not have substantive liquidation, kick-out or participating rights. The fees that the Company earns are not considered variable interests of the VIE. The Company is not the primary beneficiary of the Fund Entities and therefore does not consolidate the Fund Entities. During the three and six months ended June 30, 2021, the Company transferred $59.9 million and $75.0 million of loans for cash. The loan transfers were accounted for as sales. Residential Credit Fund The Company manages a fund investing in participations in residential mortgage loans. The residential credit fund is deemed to be a VIE because the entity does not have sufficient equity at risk to permit the legal entity to finance its activities without additional subordinated financial support provided by any parties, including equity holders, as capital commitments are not considered equity at risk. The Company is not the primary beneficiary and does not consolidate the residential credit fund as its only interest in the fund is the management and performance fees that it earns, which are not considered variable interests in the entity. As of June 30, 2021 and December 31, 2020, the Company has issued participating interests in residential mortgage loans in the amount of $315.8 million and $39.2 million, respectively. These transfers do not meet the criteria for sale accounting and are accounted for as secured borrowings, thus the residential loans are reported as Loans, net and the associated liability is reported as Participations issued in the Consolidated Statements of Financial Condition. The Company elected to fair value the participations issued through earnings to more accurately reflect the economics of the transfers as the underlying loans are carried at fair value through earnings. |
SALE OF COMMERCIAL REAL ESTATE
SALE OF COMMERCIAL REAL ESTATE BUSINESS | 6 Months Ended |
Jun. 30, 2021 | |
Discontinued Operations and Disposal Groups [Abstract] | |
SALE OF COMMERCIAL REAL ESTATE BUSINESS | 9. SALE OF COMMERCIAL REAL ESTATE BUSINESS On March 25, 2021, the Company entered into a definitive agreement to sell substantially all of the assets that comprise its CRE business to Slate Asset Management L.P. and Slate Grocery REIT (together, “Slate”) for $2.33 billion. The transaction includes equity interests, loan assets and associated liabilities, and CMBS (other than commercial CRTs). The Company also intends to sell nearly all of the remaining CRE business assets that are not included in the transaction with Slate. A real estate property that was held for sale, which is not included in the transaction with Slate, was sold during the quarter ended June 30, 2021 and resulted in the recognition of a gain of $4.8 million in Business divestiture-related gains (losses) in the Consolidated Statements of Comprehensive Income (Loss). As of June 30, 2021, the Company met the conditions for held-for-sale accounting which requires that assets and liabilities be carried at the lower of cost or fair value less costs to sell on the Consolidated Statements of Financial Condition. In connection with the execution of the definitive agreement to sell the CRE business, during the three months ended March 31, 2021 the Company performed an assessment of goodwill, which was related to the Company’s 2013 acquisition of CreXus Investment Corp., and recognized an impairment of $71.8 million. During the three and six months ended June 30, 2021, the Company reported Business divestiture-related gains (losses) of $1.5 million and ($248.0) million, respectively, in its Consolidated Statements of Comprehensive Income (Loss) which includes the aforementioned goodwill impairment as well as valuation adjustments resulting from classifying the assets as held for sale and estimated transaction costs. In addition, as a result of classifying the loans as held for sale, the previously recognized allowance for loan losses of $135.0 million, which includes $5.1 million on unfunded loan commitments, was reversed during the three months ended March 31, 2021. Since assets held for sale are recorded at lower of cost or fair value, any gains on sale will not be recorded until such sale closes. The pretax income (loss) of the CRE business was $42.0 million and ($30.7) million for the three and six months ended June 30, 2021, respectively and ($66.9) million and ($162.3) million for the three and six months ended June 30, 2020, respectively. Certain employees who primarily support the CRE business will join Slate in connection with the sale. Subject to customary closing conditions, including applicable regulatory approvals, the disposition of the CRE business is expected to be completed in the second half of 2021. The carrying values of the major classes of assets and liabilities of the disposal group held for sale as of June 30, 2021 are presented in the table below: June 30, 2021 (dollars in thousands) Cash and cash equivalents $ 14,175 Securities 55,172 Loans, net 478,274 Assets transferred or pledged to securitization vehicles 2,139,944 Real estate, net 566,477 Intangible assets, net 14,528 Other assets 33,431 Total assets of disposal group held for sale $ 3,302,001 Repurchase agreements $ 270,650 Debt issued by securitization vehicles 1,610,109 Mortgages payable 425,873 Interest payable 1,230 Other liabilities 54,828 Total liabilities of disposal group held for sale $ 2,362,690 Certain assets and liabilities of the disposal group held for sale are in VIEs that are consolidated by the Company because it is the primary beneficiary. The securities in the disposal group held for sale are carried at fair value and are categorized in Level 2 of the fair value measurement hierarchy as the valuation is based upon quoted prices in active markets for similar assets. The loans and assets pledged to securitization vehicles held for sale are carried at lower of cost or fair value and as such those loans that required a valuation allowance had a nonrecurring fair value measurement at June 30, 2021. These fair value measurements are categorized as Level 2 if they are based upon quoted prices in active markets for similar assets. If quotes were unavailable, a discounted cash flow or market based valuation technique based upon the underlying property to project property cash flows was used. In projecting these cash flows, the Company reviewed the borrower financial statements, rent rolls, economic trends and other factors management deems important. These nonrecurring fair value measurements are categorized as Level 3 of the fair value measurement hierarchy as there are unobservable inputs, which are significant to the overall fair value. The real estate held for sale is carried at lower of cost or fair value and was based upon the sale price and allocated to individual properties to determine if a valuation allowance was necessary. These fair value measurements are considered Level 3 of the fair value measurement hierarchy as there are unobservable inputs, which are significant to the overall fair value. The repurchase agreements and debt issued by securitization vehicles are categorized in Level 2 of the fair value measurement hierarchy as the valuation is based upon quoted market prices for similar liabilities. The mortgage loans payable fair value measurement are valued using Level 3 inputs. At June 30, 2021, the repurchase agreements included in the liabilities of disposal group held for sale had remaining maturities of over 119 days with commercial loans pledged as collateral. |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS | 10. DERIVATIVE INSTRUMENTS Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, options on TBA securities (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also enter into other types of mortgage derivatives such as interest-only securities, credit derivatives referencing the commercial mortgage-backed securities index and synthetic total return swaps. In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options and U.S. Treasury or Eurodollar futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value and terms of the derivative contract. In the case of market agreed coupon (“MAC”) interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swaps, which represents fair value of these swaps, to compensate for the out of market nature of such interest rate swaps. Subsequent changes in fair value from inception of these interest rate swaps are reflected within Unrealized gains (losses) on interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss). Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts. Derivatives are accounted for in accordance with FASB 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 and financial instruments 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 June 30, 2021 and December 31, 2020, $1.1 billion and $1.5 billion, respectively, of variation margin was reported as an adjustment to interest rate swaps, at fair value. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. The Company may enter into interest rate swap agreements where the floating leg is linked to the London Interbank Offered Rate (“LIBOR”), the overnight index swap rate or another index. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps, including MAC interest rate swaps, are generally fair valued using the DCO’s market values. If an interest rate swap is terminated, the realized gain (loss) on the interest rate swap would be equal to the difference between the cash received or paid and fair value. Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain (loss) on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions are estimated using internal pricing models and compared to the counterparty market values. TBA Dollar Rolls – TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date. Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing. Forward Purchase Commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. Credit Derivatives – The Company may enter into credit derivatives referencing a commercial mortgage-backed securities index, such as the CMBX index, and synthetic total return swaps. The table below summarizes fair value information about our derivative assets and liabilities at June 30, 2021 and December 31, 2020: Derivatives Instruments June 30, 2021 December 31, 2020 Assets (dollars in thousands) Interest rate swaptions $ 134,434 $ 74,470 TBA derivatives 31,944 96,109 Futures contracts 8,141 506 Purchase commitments 3,174 49 Credit derivatives (1) 4,196 — Total derivative assets $ 181,889 $ 171,134 Liabilities Interest rate swaps $ 806,952 $ 1,006,492 TBA derivatives 2,837 — Futures contracts 87,814 19,413 Purchase commitments 2,656 — Credit derivatives (1) — 7,440 Total derivative liabilities $ 900,259 $ 1,033,345 (1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $445.0 million and $504.0 million at June 30, 2021 and December 31, 2020, respectively, plus any coupon shortfalls on the underlying tranche. As of June 30, 2021 and December 31, 2020 the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and A. The following table summarizes certain characteristics of the Company’s interest rate swaps at June 30, 2021 and December 31, 2020: June 30, 2021 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 31,164,200 0.24 % 0.09 % 1.55 3 - 6 years 3,100,000 0.13 % 0.08 % 3.88 6 - 10 years 5,730,500 1.25 % 0.61 % 8.18 Greater than 10 years 1,984,000 2.68 % 0.28 % 17.50 Total / Weighted average $ 41,978,700 0.81 % 0.34 % 3.38 December 31, 2020 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 23,680,150 0.27 % 0.11 % 1.96 3 - 6 years 3,600,000 0.18 % 0.09 % 4.21 6 - 10 years 5,565,500 1.40 % 0.62 % 7.76 Greater than 10 years 1,484,000 3.06 % 0.36 % 20.52 Total / Weighted average $ 34,329,650 0.92 % 0.37 % 3.94 (1) As of June 30, 2021, 13%, 59% and 28% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. As of December 31, 2020, 17%, 72% and 11% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. (2) There were no forward starting swaps at June 30, 2021 and December 31, 2020. (3) At June 30, 2021 and December 31, 2020, the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. The following table presents swaptions outstanding at June 30, 2021 and December 31, 2020. June 30, 2021 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $4,550,000 1.35% 3M LIBOR 10.14 2.80 Long receive $1,500,000 1.51% 3M LIBOR 11.40 16.93 December 31, 2020 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $8,050,000 1.27% 3M LIBOR 10.40 5.42 Long receive $250,000 1.66% 3M LIBOR 10.02 0.13 The following table summarizes certain characteristics of the Company’s TBA derivatives at June 30, 2021 and December 31, 2020: June 30, 2021 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 17,314,000 $ 17,662,043 $ 17,691,150 $ 29,107 December 31, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 19,635,000 $ 20,277,088 $ 20,373,197 $ 96,109 The following table summarizes certain characteristics of the Company’s futures derivatives at June 30, 2021 and December 31, 2020: June 30, 2021 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (2,884,000) 4.42 U.S. Treasury futures - 10 year and greater $ — $ (10,227,500) 7.47 Total $ — $ (13,111,500) 6.80 December 31, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (1,240,000) 4.40 U.S. Treasury futures - 10 year and greater — (9,183,800) 6.90 Total $ — $ (10,423,800) 6.60 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 be offset on our Consolidated Statements of Financial Condition at June 30, 2021 and December 31, 2020, respectively. June 30, 2021 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 134,434 $ — $ — $ 134,434 TBA derivatives, at fair value 31,944 (2,596) — 29,348 Futures contracts, at fair value 8,141 (8,141) — — Purchase commitments 3,174 — — 3,174 Credit derivatives 4,196 — — 4,196 Liabilities Interest rate swaps, at fair value $ 806,952 $ — $ (83,737) $ 723,215 TBA derivatives, at fair value 2,837 (2,596) — 241 Futures contracts, at fair value 87,814 (8,141) (79,673) — Purchase commitments 2,656 — — 2,656 December 31, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 74,470 $ — $ — $ 74,470 TBA derivatives, at fair value 96,109 — — 96,109 Futures contracts, at fair value 506 (506) — — Purchase commitments 49 — — 49 Liabilities Interest rate swaps, at fair value $ 1,006,492 $ — $ (108,757) $ 897,735 Futures contracts, at fair value 19,413 (506) (18,907) — Credit derivatives 7,440 — (7,440) — 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 of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps For the three months ended (dollars in thousands) June 30, 2021 $ (83,087) $ — $ (141,067) June 30, 2020 $ (64,561) $ (1,521,732) $ 1,494,628 For the six months ended June 30, 2021 $ (162,834) $ — $ 631,195 June 30, 2020 $ (78,541) $ (1,919,293) $ (1,333,095) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended June 30, 2021 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ 10,045 $ 275,226 $ 285,271 Net interest rate swaptions (22,787) (232,860) (255,647) Futures 183,383 (577,899) (394,516) Purchase commitments — 2,376 2,376 Credit derivatives 2,777 1,931 4,708 Total $ (357,808) Three Months Ended June 30, 2020 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ 250,525 $ (46,363) $ 204,162 Net interest rate swaptions (29,880) (22,634) (52,514) Futures 246 (17,579) (17,333) Purchase commitments — 9,666 9,666 Credit derivatives 1,203 25,732 26,935 Total $ 170,916 Six Months Ended June 30, 2021 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (277,844) $ (67,002) $ (344,846) Net interest rate swaptions (44,997) 73,130 28,133 Futures 479,547 (60,766) 418,781 Purchase commitments — 469 469 Credit derivatives 4,408 10,954 15,362 Total $ 117,899 Six Months Ended June 30, 2020 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 521,610 $ 114,331 $ 635,941 Net interest rate swaptions 21,566 47,499 69,065 Futures (279,230) (10,687) (289,917) Purchase commitments — (1,143) (1,143) Credit derivatives 3,128 (39,732) (36,604) Total $ 377,342 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 that are in a net liability position at June 30, 2021 was approximately $725.2 million, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENTS | 11. FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSR that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Refer to the “Sale of Commercial Real Estate Business” Note for fair value measurements related to the assets and liabilities of the disposal group held for sale as of June 30, 2021. GAAP requires classification of financial instruments and MSR into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments and MSR fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets, TBA derivatives and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, refer to the “Variable Interest Entities” Note for additional information. The Company classifies its investments in MSR and Interests in MSR as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including 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 MSR and Interests in MSR require significant judgment by management and the third party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. June 30, 2021 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 66,468,519 $ — $ 66,468,519 Credit risk transfer securities — 827,328 — 827,328 Non-Agency mortgage-backed securities — 1,582,323 — 1,582,323 Commercial mortgage-backed securities — 154,165 — 154,165 Loans Residential mortgage loans — 1,029,928 — 1,029,928 Mortgage servicing rights — — 202,616 202,616 Interests in MSR — — 49,035 49,035 Assets transferred or pledged to securitization vehicles — 4,073,156 — 4,073,156 Derivative assets Other derivatives 8,141 173,748 — 181,889 Total assets $ 8,141 $ 74,309,167 $ 251,651 $ 74,568,959 Liabilities Debt issued by securitization vehicles — 3,315,087 — 3,315,087 Participations issued — 315,810 — 315,810 Derivative liabilities Interest rate swaps — 806,952 — 806,952 Other derivatives 87,814 5,493 — 93,307 Total liabilities $ 87,814 $ 4,443,342 $ — $ 4,531,156 December 31, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 74,067,059 $ — $ 74,067,059 Credit risk transfer securities — 532,403 — 532,403 Non-Agency mortgage-backed securities — 972,192 — 972,192 Commercial mortgage-backed securities — 80,742 — 80,742 Loans Residential mortgage loans — 345,810 — 345,810 Mortgage servicing rights — — 100,895 100,895 Assets transferred or pledged to securitization vehicles — 6,035,671 — 6,035,671 Derivative assets Other derivatives 506 170,628 — 171,134 Total assets $ 506 $ 82,204,505 $ 100,895 $ 82,305,906 Liabilities Debt issued by securitization vehicles $ — $ 5,652,982 $ — $ 5,652,982 Participations issued — 39,198 — 39,198 Derivative liabilities Interest rate swaps — 1,006,492 — 1,006,492 Other derivatives 19,413 7,440 — 26,853 Total liabilities $ 19,413 $ 6,706,112 $ — $ 6,725,525 Qualitative and Quantitative Information about Level 3 Fair Value Measurements The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements are described below. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently from changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply. For MSR and Interests in MSR, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSR and Interests in MSR, which in turn could result in a decline in the estimated fair value of MSR and Interests in MSR. Refer to the “Mortgage Servicing Rights” Note for additional information, including rollforwards. The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR and Interests in MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. June 30, 2021 Unobservable Input (1) / Range (Weighted Average) (2) Discount rate Prepayment rate Delinquency rate Cost to service MSR consolidated with VIE 9.0% - 12.0% (9.0%) 9.4% - 30.7% (20.2%) 0.0% - 6.0% (2.4%) $84 - $114 ($99) MSR held directly 1.8% - 21.7% (9.0%) 6.7% - 14.4% (7.5%) 0.9% - 1.8% (1.1%) $99 - $106 ($101) Interests in MSR 9.5% - 11.4% (10.0%) 4.8% - 14.6% (9.0%) 0.6% - 5.0% (1.8%) $78 - $86 ($85) December 31, 2020 Unobservable Input (1) / Range (Weighted Average) (2) Discount rate Prepayment rate Delinquency rate Cost to service MSR consolidated with VIE 9.0% - 12.0% (9.4%) 19.3% - 55.5% (42.0%) 0.0% - 6.0% (2.5%) $83 - $108 ($98) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at June 30, 2021 and December 31, 2020. June 30, 2021 December 31, 2020 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $— $— $1,372,430 $1,442,071 Corporate debt, held for investment 2,066,709 2,080,002 2,239,930 2,226,045 Assets transferred or pledged to securitization vehicles — — 874,349 928,732 Corporate debt, held for sale 466,370 466,370 — — Financial liabilities Repurchase agreements $60,221,067 $60,221,067 $64,825,239 $64,825,239 Other secured financing 909,655 909,655 917,876 917,876 Mortgages payable — — 426,256 474,779 (1) Includes assets of consolidated VIEs. Commercial real estate debt and preferred equity, held for investment, corporate debt, held for investment, corporate debt, held for sale and mortgages payable are valued using Level 3 inputs. The carrying values of repurchase agreements and short term other secured financing approximates fair value and are considered Level 2 fair value measurements. Long term other secured financing are valued using Level 2 inputs. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 6 Months Ended |
Jun. 30, 2021 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL AND INTANGIBLE ASSETS | 12. GOODWILL AND INTANGIBLE ASSETS Goodwill The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill compares the fair value of a reporting unit with its carrying value, including goodwill. If the carrying value of a reporting unit exceeds its fair value, an impairment loss is recognized in amount equal to that excess, limited to the total amount of goodwill allocated to that reporting unit. At June 30, 2021 and December 31, 2020, goodwill totaled $0 and $71.8 million, respectively. The change reflects the goodwill impairment in connection with the sale of the CRE business. Refer to the “Sale of Commercial Real Estate Business” Note for additional information. Intangible assets, net Finite life intangible assets are amortized over their expected useful lives. As part of the Internalization, which closed on June 30, 2020, the Company recognized an intangible asset for the acquired assembled workforce of approximately $41.2 million based on the replacement cost of the employee base acquired by the Company. During the three months ended June 30, 2021, the Company recognized an impairment of $4.3 million in Other income (loss) and $5.2 million in Business divestiture-related gains (losses) in the Consolidated Statements of Comprehensive Income (Loss) for changes to the assembled workforce. The following table presents the activity of finite lived intangible assets for the six months ended June 30, 2021. Intangible Assets, net (dollars in thousands) Balance at December 31, 2020 $ 55,526 Impairment (9,549) Intangible assets included in disposal group held for sale (14,528) Less: amortization expense (4,947) Balance at June 30, 2021 $ 26,502 |
SECURED FINANCING
SECURED FINANCING | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
SECURED FINANCING | 13. SECURED FINANCING Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements should be treated as a securing financing. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company receives collateral for reverse repurchase agreements and is required to post collateral for repurchase agreements. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows. The Company had outstanding $60.2 billion and $64.8 billion of repurchase agreements with weighted average remaining maturities of 88 days and 64 days at June 30, 2021 and December 31, 2020, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for select credit assets for $1.6 billion with remaining capacity of $1.4 billion at June 30, 2021. At June 30, 2021 and December 31, 2020, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2021 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities (1) Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 10,052,550 $ — $ — $ — $ 142,617 $ 10,195,167 0.09 % 2 to 29 days 15,688,201 178,719 290,174 — 64,188 16,221,282 0.14 % 30 to 59 days 5,981,872 66,309 212,087 177,401 — 6,437,669 0.27 % 60 to 89 days 4,495,510 3,147 126,747 — 14,549 4,639,953 0.16 % 90 to 119 days 5,873,992 — — — — 5,873,992 0.16 % Over 119 days (2) 16,713,446 — 98,417 41,141 — 16,853,004 0.18 % Total $ 58,805,571 $ 248,175 $ 727,425 $ 218,542 $ 221,354 $ 60,221,067 0.16 % December 31, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,151,875 129,993 354,904 $ 76,799 — 128,267 30,841,838 0.29 % 30 to 59 days 10,247,972 16,073 161,274 $ — — 142,336 10,567,655 0.42 % 60 to 89 days 8,181,410 99,620 259,401 $ — — 28,406 8,568,837 0.30 % 90 to 119 days 2,154,733 — — $ — — — 2,154,733 0.23 % Over 119 days (2) 12,008,920 — 274,860 $ 107,924 271,801 28,671 12,692,176 0.36 % Total $ 62,744,910 $ 245,686 $ 1,050,439 $ 184,723 $ 271,801 $ 327,680 $ 64,825,239 0.32 % (1) Includes commercial mortgage-backed securities held for sale. (2) No repurchase agreements had a remaining maturity over 1 year at June 30, 2021. Less than 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2020. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at June 30, 2021 and December 31, 2020. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. June 30, 2021 December 31, 2020 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ — $ 60,221,067 $ 250,000 $ 65,075,239 Amounts offset — — (250,000) (250,000) Netted amounts $ — $ 60,221,067 $ — $ 64,825,239 The fair value of mortgage-backed securities received as collateral in connection with reverse repurchase agreements was approximately $0 and $250.0 million, which the Company fully repledged, at June 30, 2021 and December 31, 2020, respectively. Other Secured Financing - Refer to the “Variable Interest Entities” Note for additional information on the Company’s other secured financing arrangements. 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 $65.2 billion and $176.8 million, respectively, at June 30, 2021 and $70.6 billion and $196.9 million, respectively, at December 31, 2020. |
CAPITAL STOCK
CAPITAL STOCK | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
CAPITAL STOCK | 14. CAPITAL STOCK (A) Common Stock The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at June 30, 2021 and December 31, 2020. Shares authorized Shares issued and outstanding June 30, 2021 December 31, 2020 June 30, 2021 December 31, 2020 Par Value Common stock 2,936,500,000 2,914,850,000 1,444,156,029 1,398,240,618 $0.01 In June 2019, the Company announced that its board of directors (“Board”) had authorized the repurchase of up to $1.5 billion of its outstanding shares of common stock, which expired on December 31, 2020 (the “Prior Share Repurchase Program”). In December 2020, the Company announced that its Board authorized the repurchase of up to $1.5 billion of its outstanding common shares through December 31, 2021 (the “Current Share Repurchase Program”). The Current Share Repurchase Program replaced the Prior Share Repurchase Program. During the three and six months ended June 30, 2021, no shares were purchased under the Current Share Repurchase Program. During the three and six months ended June 30, 2020, the Company repurchased 22.9 million shares of its common stock for an aggregate amount of $143.3 million, excluding commission costs, under the Prior Share Repurchase Program. All common shares were purchased in open-market transactions. In January 2018, the Company entered into separate Distribution Agency Agreements (as amended and restated on August 6, 2020, collectively, the “Sales Agreements”) with each of Wells Fargo Securities, LLC, BofA Securities, Inc. (formerly known as 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 three and six months ended June 30, 2021, the Company issued 45.5 million shares, for proceeds of $420.4 million, net of commissions and fees under the at-the-market sales program. No shares were issued under the at-the-market sales program during the three and six months ended June 30, 2020. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at June 30, 2021 and December 31, 2020. 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 June 30, 2021 December 31, 2020 June 30, 2021 December 31, 2020 June 30, 2021 December 31, 2020 Fixed-rate (dollars in thousands) Series D — 18,400,000 — — — — 7.50% 9/13/2017 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 17,000,000 19,550,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Series I 17,700,000 18,400,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 63,500,000 85,150,000 63,500,000 63,500,000 $ 1,536,569 $ 1,536,569 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. Each series of preferred stock has a par value of $0.01 per share and a liquidation and redemption price of $25.00, plus accrued and unpaid dividends through their redemption date. Through June 30, 2021, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. The Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, Series G Preferred Stock and Series I Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended For the Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 318,534 $ 309,972 $ 626,880 $ 667,791 Distributions declared per common share $ 0.22 $ 0.22 $ 0.44 $ 0.47 Distributions paid to common stockholders after period end $ 317,714 $ 309,686 $ 317,714 $ 309,686 Distributions paid per common share after period end $ 0.22 $ 0.22 $ 0.22 $ 0.22 Date of distributions paid to common stockholders after period end July 30, 2021 July 31, 2020 July 30, 2021 July 31, 2020 Dividends declared to series D preferred stockholders $ — $ 8,625 $ — $ 17,250 Dividends declared per share of series D preferred stock $ — $ 0.469 $ — $ 0.938 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 25,020 $ 25,020 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 0.869 $ 0.869 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 13,812 $ 13,812 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 0.813 $ 0.813 Dividends declared to series I preferred stockholders $ 7,467 $ 7,468 $ 14,934 $ 14,936 Dividends declared per share of series I preferred stock $ 0.422 $ 0.422 $ 0.844 $ 0.844 |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 6 Months Ended |
Jun. 30, 2021 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | 15. INTEREST INCOME AND INTEREST EXPENSE Refer to the “Significant Accounting Policies” Note for details surrounding the Company’s accounting policy related to net interest income on securities and loans. The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows CMO (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime jumbo (2) Prospective 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 presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2021 and June 30, 2020. For the Three Months Ended June 30, For the Six Months Ended June 30, 2021 2020 2021 2020 Interest income (dollars in thousands) Residential Securities (1) $ 275,278 $ 457,684 $ 919,912 $ 868,064 Residential mortgage loans (1) 38,963 42,871 76,072 90,428 Commercial investment portfolio (1) (2) 69,663 84,208 151,264 179,884 Reverse repurchase agreements 2 49 36 1,462 Total interest income $ 383,906 $ 584,812 $ 1,147,284 $ 1,139,838 Interest expense Repurchase agreements 29,140 136,962 71,725 570,983 Debt issued by securitization vehicles 23,216 38,757 49,492 80,876 Participations issued 1,739 — 2,336 — Other 6,952 10,313 13,467 37,646 Total interest expense 61,047 186,032 137,020 689,505 Net interest income $ 322,859 $ 398,780 $ 1,010,264 $ 450,333 (1) Includes assets transferred or pledged to securitization vehicles. (2 ) Includes commercial real estate debt and preferred equity and corporate debt. |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | 16. NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and six months ended June 30, 2021 and June 30, 2020. For the Three Months Ended For the Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 (dollars in thousands, except per share data) Net income (loss) $ (294,848) $ 856,234 $ 1,456,286 $ (2,783,955) Net income (loss) attributable to noncontrolling interests 794 32 1,115 98 Net income (loss) attributable to Annaly (295,642) 856,202 1,455,171 (2,784,053) Dividends on preferred stock 26,883 35,509 53,766 71,018 Net income (loss) available (related) to common stockholders $ (322,525) $ 820,693 $ 1,401,405 $ (2,855,071) Weighted average shares of common stock outstanding-basic 1,410,239,138 1,423,909,112 1,404,755,496 1,427,451,716 Add: Effect of stock awards, if dilutive — — 1,008,776 — Weighted average shares of common stock outstanding-diluted 1,410,239,138 1,423,909,112 1,405,764,272 1,427,451,716 Net income (loss) per share available (related) to common share Basic $ (0.23) $ 0.58 $ 1.00 $ (2.00) Diluted $ (0.23) $ 0.58 $ 1.00 $ (2.00) The computations of diluted net income (loss) per share available (related) to common share for the three months ended June 30, 2021 excludes 3.2 million and the three and six months ended June 30, 2020 excludes 0.5 million and 0.4 million, respectively, of potentially dilutive restricted stock units because their effect would have been anti-dilutive. |
INCOME TAXES
INCOME TAXES | 6 Months Ended |
Jun. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 17. INCOME TAXES For the three months ended June 30, 2021 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Annaly TRS, Inc. and certain subsidiaries of Mountain Merger Sub Corp., have made separate joint elections to treat these subsidiaries as TRSs. As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at June 30, 2021 and December 31, 2020. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. During the three and six months ended June 30, 2021, the Company recorded $5.1 million and $4.8 million, respectively, of income tax expense attributable to its TRSs. During the three and six months ended June 30, 2020, the Company recorded $2.1 million and ($24.6) million, respectively, of income tax expense (benefit) attributable to its TRSs. The Company’s federal, state and local tax returns from 2017 and forward remain open for examination. |
RISK MANAGEMENT
RISK MANAGEMENT | 6 Months Ended |
Jun. 30, 2021 | |
Risk Management [Abstract] | |
RISK MANAGEMENT | 18. RISK MANAGEMENT The primary risks to the Company are capital, liquidity and funding risk, investment/market risk, credit risk and operational risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral or liquidating some of the existing collateral to reduce borrowing levels. The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges. Weakness in the mortgage market, the shape of the yield curve, changes in the expectations for the volatility of future interest rates and deterioration of financial conditions in general may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies. The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, which exclude CRT securities issued by Freddie Mac and Fannie Mae, is guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities is backed by the full faith and credit of the U.S. government. 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 by rising borrower delinquencies which would reduce servicing income and increase the overall costs to service the underlying mortgage loans. 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, pre-purchase due diligence, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers, tenants and counterparties, credit rating monitoring and active servicer oversight. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 6 Months Ended |
Jun. 30, 2021 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | 19. RELATED PARTY TRANSACTIONS Closing of the Internalization and Termination of Management Agreement On February 12, 2020, the Company entered into an internalization agreement (the “Internalization Agreement”) with the Former Manager and certain affiliates of the Former Manager. Pursuant to the Internalization Agreement, the Company agreed to acquire all of the outstanding equity interests of the Former Manager and the Former Manager’s direct and indirect parent companies from their respective owners (the “Internalization”) for nominal cash consideration ($1.00). In connection with the closing of the Internalization, on June 30, 2020, the Company acquired all of the assets and liabilities of the Former Manager (the net effect of which was immaterial in amount), and the Company transitioned from an externally-managed REIT to an internally-managed REIT. At the closing, all employees of the Former Manager became employees of the Company. The parties also terminated the Amended and Restated Management Agreement by and between the Company and the Former Manager (the “Management Agreement”) and therefore the Company no longer pays a management fee to, or reimburses expenses of, the Former Manager. Pursuant to the Internalization Agreement, the Former Manager waived any Acceleration Fee (as defined in the Management Agreement). Prior to the closing of the Internalization, the Former Manager, under the Management Agreement and subject to the supervision and direction of the Board, was 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 Former Manager also performed such other supervisory and management services and activities relating to the Company’s assets and operations as appropriate. In exchange for the management services, the Company paid the Former Manager a monthly management fee, and the Former Manager was responsible for providing personnel to manage the Company. Prior to the closing of the Internalization, the Company had paid the Former Manager a monthly management fee for its management services in an amount equal to 1/12th of the sum of (i) 1.05% of Stockholders' Equity (as defined in the Management Agreement) up to $17.28 billion, and (ii) 0.75% of Stockholders' Equity (as defined in the Management Agreement) in excess of $17.28 billion. The Company did not pay the Former Manager any incentive fees. For the three and six months ended June 30, 2020, the compensation and management fee computed in accordance with the Management Agreement was $37.0 million and $77.9 million, respectively, and reimbursement payments to the Former Manager were $7.1 million and $14.2 million, respectively. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 6 Months Ended |
Jun. 30, 2021 | |
Leases [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | 20. LEASE COMMITMENTS AND CONTINGENCIES The Company’s operating leases are primarily comprised of a corporate office lease with a remaining lease term of approximately four years. The corporate office lease includes an option to extend for up to five years, however the extension term was not included in the operating lease liability calculation. Leases with an initial term of 12 months or less are not recorded on the balance sheet. The Company recognizes lease expense for these leases on a straight-line basis over the lease term. The lease cost for the three and six months ended June 30, 2021 was $0.7 million and $1.6 million, respectively. Supplemental information related to leases as of and for the six months ended June 30, 2021 was as follows: Operating Leases Classification June 30, 2021 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 11,843 Liabilities Operating lease liabilities (1) Other liabilities $ 15,437 Lease term and discount rate Weighted average remaining lease term 4.2 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 1,983 (1) As the Company’s leases do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2021 (remaining) $ 1,935 2022 3,862 2023 3,862 2024 3,862 2025 2,895 Total lease payments $ 16,416 Less imputed interest 979 Present value of lease liabilities $ 15,437 Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at June 30, 2021 and December 31, 2020. |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS | 6 Months Ended |
Jun. 30, 2021 | |
Broker-Dealer, Net Capital Requirement, SEC Regulation [Abstract] | |
ARCOLA REGULATORY REQUIREMENTS | 21. ARCOLA REGULATORY REQUIREMENTS Arcola is the Company’s wholly owned and consolidated broker-dealer. Arcola is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees. Arcola is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Arcola enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Arcola generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. Arcola’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and Arcola will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements or other documentation that give Arcola the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. As a member of the Financial Industry Regulatory Authority (“FINRA”), Arcola is required to maintain a minimum net capital balance. At June 30, 2021, 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 June 30, 2021 was $516.9 million with excess net capital of $516.6 million. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | 22. SUBSEQUENT EVENTS In July 2021, the Company completed and closed the securitization of residential mortgage loans, OBX 2021-J2 Trust, with a face value of $382.5 million. The securitization represented a financing transaction which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company. In July 2021, in the previously announced divestiture of the Company’s CRE business, a significant majority of the assets, including the platform, were transferred to Slate as part of the first closing of the transaction with remaining assets expected to be transferred in the second half of 2021. In July 2021, the Company syndicated $466.4 million of corporate loans, which were classified as held for sale as of June 30, 2021. |
SIGNIFICANT ACCOUNTING POLICI_2
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). |
Principles of Consolidation | Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. |
Voting Interest Entities | Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. |
Variable Interest Entities | Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. |
Equity Method Investments | Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in 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. |
Fair Value Measurements and the Fair Value Option | Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO has been elected are presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the FVO see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurements” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSR that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Refer to the “Sale of Commercial Real Estate Business” Note for fair value measurements related to the assets and liabilities of the disposal group held for sale as of June 30, 2021. GAAP requires classification of financial instruments and MSR into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments and MSR fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements. |
Derivative Instruments | Derivative Instruments – Derivatives are 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 and financial instruments 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 | Stock-Based Compensation – The Company measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Stock-based awards that contain market-based conditions are valued using a model. |
Interest Income | Interest Income - The Company recognizes interest income primarily on Residential Securities (as defined in the “Securities” Note), residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not paid is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income. Refer to the “Interest Income and Interest Expense” Note for further discussion. For its securities, the Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis. Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower. Refer to the “Interest Income and Interest Expense” Note for further discussion on interest. The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans or 120 days for corporate debt carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as interest income. Refer to the “Interest Income and Interest Expense” Note for further discussion of interest income. |
Income Taxes | Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that have been adopted ASU 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments (“ASU 2016-13”) 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 cash and cash equivalents, reverse repurchase agreements, certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020. ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform. January 1, 2020 The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date. |
Allowance for Losses | Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible. Given the unique nature of each underlying borrower and any collateral, the Company assesses an allowance for each individual loan held-for-investment. A provision is established at origination or acquisition that reflects management’s estimate of the total expected credit loss over the expected life of the loan. In estimating the lifetime expected credit losses, management utilizes a probability of default and loss given default methodology (“Loss Given Default methodology”), which considers projected economic conditions over the reasonable and supportable forecast period. The forecast incorporates primarily market-based assumptions including, but not limited to, forward interest rate curves, unemployment rate estimates and certain indexes sourced from third party vendors. For any remaining period of the expected life of the loan after the reasonable and supportable period, the Company reverts to historical losses on a straight-line basis. Management uses third party vendors’ loan pool data for loans with similar risk characteristics to estimate historical losses given the limited loss history of the Company’s loan portfolio. Changes in the lifetime expected credit loss are reflected in Loan loss (provision) reversal in the Consolidated Statements of Comprehensive Income (Loss). For loans experiencing credit deterioration, the Company may use a different methodology to determine the expected credit losses such as a discounted cash flow analysis. For collateral-dependent loans, if foreclosure is probable, expected credit losses are based on the fair value of the collateral at the reporting date, adjusted for any selling costs, if applicable. Additionally, the Company may elect the practical expedient for a financial asset for which the repayment is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty by measuring the allowance as the difference between the fair value of the collateral, less costs to sell, if applicable, and the amortized cost basis of the financial asset at the reporting date. The Company’s commercial loans are collateralized by commercial real estate including, but not limited to, multifamily real estate, office and retail space, hotels and industrial space. At origination, the fair value of the collateral generally exceeds the principal loan balance. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the loans as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial |
Residential Mortgage Loans | The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). 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. Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts. |
Fair Value of Financial Instruments | The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets, TBA derivatives and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, refer to the “Variable Interest Entities” Note for additional information. |
Goodwill and Intangible Assets | The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain.The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill compares the fair value of a reporting unit with its carrying value, including goodwill. If the carrying value of a reporting unit exceeds its fair value, an impairment loss is recognized in amount equal to that excess, limited to the total amount of goodwill allocated to that reporting unit. |
Secured Financing | Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements should be treated as a securing financing. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company receives collateral for reverse repurchase agreements and is required to post collateral for repurchase agreements. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows. |
Contingencies | ContingenciesFrom time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. |
DESCRIPTION OF BUSINESS (Tables
DESCRIPTION OF BUSINESS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Schedule of Investment Groups | The Company’s investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae and complementary investments within the Agency market, including MSR and Agency commercial mortgage-backed securities. Annaly Residential Credit Group Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets. Annaly Middle Market Lending Group Provides financing to private equity backed middle market businesses, focusing primarily on senior debt within select industries. |
SIGNIFICANT ACCOUNTING POLICI_3
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Recent Accounting Pronouncements | Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that have been adopted ASU 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments (“ASU 2016-13”) 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 cash and cash equivalents, reverse repurchase agreements, certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020. ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform. January 1, 2020 The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date. |
FINANCIAL INSTRUMENTS (Tables)
FINANCIAL INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Investments, All Other Investments [Abstract] | |
Schedule of Characteristics of Financial Instruments | The following table presents characteristics for certain of the Company’s financial instruments at June 30, 2021 and December 31, 2020. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis June 30, 2021 December 31, 2020 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 65,898,975 $ 73,562,972 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 569,544 504,087 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 827,328 532,403 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,582,323 972,192 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through other comprehensive income — 31,603 Securities Commercial real estate debt investments - CMBS (4)(5) Fair value, with unrealized gains (losses) through earnings 150,005 45,254 Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 4,160 3,885 Total securities 69,032,335 75,652,396 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,029,929 345,810 Loans, net Commercial real estate debt and preferred equity, held for investment (4) Amortized cost — 498,081 Loans, net Corporate debt, held for investment Amortized cost 2,066,709 2,239,930 Loans, net Corporate debt, held for sale Lower of amortized cost or fair value 466,370 — Total loans, net 3,563,008 3,083,821 Interests in MSR Interest in net servicing cash flows Fair value, with unrealized gains (losses) through earnings 49,035 — Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 605,163 620,347 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,467,993 3,249,251 Assets transferred or pledged to securitization vehicles Commercial mortgage loans (4) Fair value, with unrealized gains (losses) through earnings — 2,166,073 Assets transferred or pledged to securitization vehicles Commercial mortgage loans (4) Amortized cost — 874,349 Total assets transferred or pledged to securitization vehicles 4,073,156 6,910,020 Liabilities Repurchase agreements Repurchase agreements Amortized cost 60,221,067 64,825,239 Other secured financing Loans Amortized cost 909,655 917,876 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,315,087 5,652,982 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 315,810 39,198 Mortgages payable Loans (6) Amortized cost — 426,256 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial assets whereas MSR are servicing assets or obligations. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages. (4) Excludes Assets of disposal group held for sale at June 30, 2021. (5) Includes single-asset / single-borrower CMBS. (6) Excludes Liabilities of disposal group held for sale at June 30, 2021. |
SECURITIES (Tables)
SECURITIES (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Rollforward of Company's Securities | The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the six months ended June 30, 2021: Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2021 $ 75,571,654 $ 80,742 $ 75,652,396 Purchases 11,684,613 150,006 11,834,619 Sales and transfers (1) (6,265,442) (78,770) (6,344,212) Principal paydowns (10,228,923) — (10,228,923) (Amortization) / accretion (307,987) 288 (307,699) Fair value adjustment (1,575,745) 1,899 (1,573,846) Ending balance June 30, 2021 $ 68,878,170 $ 154,165 $ 69,032,335 (1) Includes transfers to assets of disposal group held for sale. |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at June 30, 2021 and December 31, 2020: June 30, 2021 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 59,813,415 $ 3,280,197 $ (20,729) $ 63,072,883 $ 1,905,748 $ (259,706) $ 64,718,925 Adjustable-rate pass-through 375,657 1,972 (3,286) 374,343 20,677 — 395,020 CMO 127,620 2,016 — 129,636 6,720 — 136,356 Interest-only 2,398,620 519,494 — 519,494 781 (157,583) 362,692 Multifamily (1) 2,769,722 169,915 (1,005) 777,380 35,262 (1,260) 811,382 Reverse mortgages 40,939 3,892 — 44,831 — (687) 44,144 Total agency securities $ 65,525,973 $ 3,977,486 $ (25,020) $ 64,918,567 $ 1,969,188 $ (419,236) $ 66,468,519 Residential credit CRT (2) $ 824,024 $ 6,925 $ (1,868) $ 818,842 $ 10,215 $ (1,729) $ 827,328 Alt-A 78,793 52 (17,019) 61,826 4,031 (6) 65,851 Prime 191,516 5,527 (15,517) 181,526 12,914 (367) 194,073 Prime interest-only 97,065 1,378 — 1,378 — (854) 524 Subprime 189,138 460 (17,102) 172,496 10,120 (20) 182,596 NPL/RPL 1,056,963 1,281 (2,482) 1,055,762 8,887 (565) 1,064,084 Prime jumbo (>=2010 vintage) 74,981 530 (5,287) 70,224 4,180 (102) 74,302 Prime jumbo (>=2010 vintage) Interest-only 175,420 5,418 — 5,418 — (4,525) 893 Total residential credit securities $ 2,687,900 $ 21,571 $ (59,275) $ 2,367,472 $ 50,347 $ (8,168) $ 2,409,651 Total Residential Securities $ 68,213,873 $ 3,999,057 $ (84,295) $ 67,286,039 $ 2,019,535 $ (427,404) $ 68,878,170 Commercial Commercial Securities $ 154,000 $ 6 $ (107) $ 153,899 $ 267 $ (1) $ 154,165 Total securities $ 68,367,873 $ 3,999,063 $ (84,402) $ 67,439,938 $ 2,019,802 $ (427,405) $ 69,032,335 December 31, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 64,800,235 $ 3,325,020 $ (22,143) $ 68,103,112 $ 3,200,542 $ (1,076) $ 71,302,578 Adjustable-rate pass-through 455,675 2,869 (3,369) 455,175 22,341 — 477,516 CMO 139,664 2,177 — 141,841 7,926 — 149,767 Interest-only 2,790,537 564,297 — 564,297 3,513 (145,901) 421,909 Multifamily (1) 1,910,384 50,148 (1,057) 1,604,913 59,548 (954) 1,663,507 Reverse mortgages 47,585 4,183 — 51,768 252 (238) 51,782 Total agency investments $ 70,144,080 $ 3,948,694 $ (26,569) $ 70,921,106 $ 3,294,122 $ (148,169) $ 74,067,059 Residential credit CRT (2) $ 544,780 $ 7,324 $ (2,430) $ 538,941 $ 3,062 $ (9,600) $ 532,403 Alt-A 93,001 51 (17,368) 75,684 4,644 — 80,328 Prime 177,852 5,126 (15,999) 166,979 14,607 (77) 181,509 Prime interest-only 194,687 1,882 — 1,882 — (642) 1,240 Subprime 197,779 584 (18,181) 180,182 8,312 (61) 188,433 NPL/RPL 475,108 821 (2,416) 473,513 3,782 (1,448) 475,847 Prime jumbo (>=2010 vintage) 44,696 207 (5,300) 39,603 3,680 — 43,283 Prime jumbo (>=2010 vintage) Interest-only 291,624 6,803 — 6,803 — (5,251) 1,552 Total residential credit securities $ 2,019,527 $ 22,798 $ (61,694) $ 1,483,587 $ 38,087 $ (17,079) $ 1,504,595 Total Residential Securities $ 72,163,607 $ 3,971,492 $ (88,263) $ 72,404,693 $ 3,332,209 $ (165,248) $ 75,571,654 Commercial Commercial Securities $ 89,858 $ — $ (7,471) $ 82,387 $ 54 $ (1,699) $ 80,742 Total securities $ 72,253,465 $ 3,971,492 $ (95,734) $ 72,487,080 $ 3,332,263 $ (166,947) $ 75,652,396 (1) Principal/Notional amount includes $2.2 billion and $354.6 million of Agency CMBS interest-only securities as of June 30, 2021 and December 31, 2020, respectively. (2) Principal/Notional amount includes $10.2 million and $10.7 million of a CRT interest-only security as of June 30, 2021 and December 31, 2020, respectively. |
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at June 30, 2021 and December 31, 2020: June 30, 2021 December 31, 2020 Investment Type (dollars in thousands) Fannie Mae $ 52,611,769 $ 56,218,033 Freddie Mac 13,762,498 17,735,041 Ginnie Mae 94,252 113,985 Total $ 66,468,519 $ 74,067,059 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at June 30, 2021 and December 31, 2020, according to their estimated weighted average life classifications: June 30, 2021 December 31, 2020 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 234,798 $ 233,247 $ 110,203 $ 109,540 Greater than one year through five years 17,843,706 17,273,287 45,643,138 43,404,877 Greater than five years through ten years 50,258,367 49,253,011 28,509,058 27,610,923 Greater than ten years 541,299 526,494 1,309,255 1,279,353 Total $ 68,878,170 $ 67,286,039 $ 75,571,654 $ 72,404,693 |
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 June 30, 2021 and December 31, 2020. June 30, 2021 December 31, 2020 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 $ 17,620,478 $ (260,373) 364 $ 777,586 $ (2,030) 30 12 Months or more — — — — — — Total $ 17,620,478 $ (260,373) 364 $ 777,586 $ (2,030) 30 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. |
Schedule of Realized Gain (Loss) | The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and six months ended June 30, 2021 and 2020. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) June 30, 2021 $ 52,485 $ (17,680) $ 34,805 June 30, 2020 $ 272,382 $ (12,496) $ 259,886 For the six months ended June 30, 2021 $ 57,131 $ (83,021) $ (25,890) June 30, 2020 $ 811,637 $ (284,494) $ 527,143 |
LOANS (Tables)
LOANS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Loan Investment Activity | The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the six months ended June 30, 2021: Residential Commercial Corporate Debt Corporate Debt Held for Sale (1) Total (dollars in thousands) Beginning balance January 1, 2021 $ 345,810 $ 498,081 $ 2,239,930 $ — $ 3,083,821 Purchases / originations 1,466,056 123,939 859,759 466,370 2,916,124 Sales and transfers (2) (745,442) (525,436) (581,428) — (1,852,306) Principal payments (20,340) (84,929) (464,933) — (570,202) Gains / (losses) (3) (12,733) (12,199) 5,693 — (19,239) (Amortization) / accretion (3,422) 544 7,688 — 4,810 Ending balance June 30, 2021 $ 1,029,929 $ — $ 2,066,709 $ 466,370 $ 3,563,008 (1) Represents loans the Company originated during the three months ended June 30, 2021 and subsequently syndicated and closed. At June 30, 2021, these loans were held at the lower of cost or fair value. (2) Includes securitizations, syndications, transfers to securitization vehicles and commercial loan transfers to assets of disposal group held for sale. Includes transfer of residential loans to securitization vehicles with a carrying value of $987.0 million during the six months ended June 30, 2021. (3) Includes loan loss allowances. |
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio | The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at June 30, 2021 and December 31, 2020: June 30, 2021 December 31, 2020 (dollars in thousands) Fair value $ 4,497,922 $ 3,595,061 Unpaid principal balance $ 4,317,278 $ 3,482,865 |
Summary of Comprehensive Income (Loss) | The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2021 and 2020 for these investments: For the Three Months Ended For the Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 (dollars in thousands) Interest income $ 38,963 $ 42,872 $ 76,072 $ 90,429 Net gains (losses) on disposal of investments and other (21,721) (5,376) (26,941) (17,376) Net unrealized gains (losses) on instruments measured at fair value through earnings 14,456 110,545 36,911 (82,218) Total included in net income (loss) $ 31,698 $ 148,041 $ 86,042 $ (9,165) |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2021 and December 31, 2020 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans June 30, 2021 December 31, 2020 Property location % of Balance Property location % of Balance California 52.6% California 48.9% New York 11.7% New York 14.0% Florida 5.9% Florida 6.0% All other (none individually greater than 5%) 29.8% All other (none individually greater than 5%) 31.1% Total 100.0% 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 multifamily securitization, OBX Trusts and credit facility VIEs, at June 30, 2021 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Residential Trusts Property Location Principal Balance % of Balance California $ 14,222 51.4 % Illinois 3,542 12.8 % Texas 2,938 10.6 % Other (1) 6,983 25.2 % Total $ 27,685 100.0 % (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 vehicles, at June 30, 2021 and December 31, 2020: June 30, 2021 December 31, 2020 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $0 - $3,500 $525 $1 - $3,448 $473 Interest rate 0.50% - 9.24% 4.55% 0.50% - 9.24% 4.89% Maturity 7/1/2029 - 7/1/2061 10/21/2049 7/1/2029 - 1/1/2061 4/17/2046 FICO score at loan origination 604 - 829 758 505 - 829 755 Loan-to-value ratio at loan origination 8% - 103% 66% 8% - 104% 67% |
Schedule of Commercial Mortgage Loans Held for Sale and Investment | The sector attributes of the Company’s commercial real estate investments held for sale at June 30, 2021 and held for investment at December 31, 2020 were as follows: Sector Dispersion June 30, 2021 December 31, 2020 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 581,039 43.3 % $ 650,034 47.4 % Retail 249,676 18.6 % 256,493 18.7 % Multifamily 220,331 16.4 % 250,095 18.2 % Industrial 116,125 8.7 % 60,097 4.4 % Hotel 100,942 7.5 % 115,536 8.4 % Other 54,441 4.1 % 20,302 1.5 % Healthcare 19,145 1.4 % 19,873 1.4 % Total $ 1,341,699 100.0 % $ 1,372,430 100.0 % Commercial real estate investments held for sale at June 30, 2021 and held for investment at December 31, 2020 were comprised of the following: June 30, 2021 December 31, 2020 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 388,293 $ 364,974 26.4 % $ 387,124 $ 373,925 25.7 % Senior securitized mortgages (3) 908,006 863,425 61.9 % 938,859 874,349 62.3 % Mezzanine loans 171,979 113,300 11.7 % 181,261 124,156 12.0 % Total $ 1,468,278 $ 1,341,699 100.0 % $ 1,507,244 $ 1,372,430 100.0 % (1) Carrying value includes unamortized origination fees of $5.3 million and $4.9 million at June 30, 2021 and December 31, 2020, respectively. (2) Based on outstanding principal. (3) Represents assets of consolidated VIEs. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for sale at June 30, 2021 and held for investment at December 31, 2020: June 30, 2021 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2021) (2) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 Originations & advances (principal) 124,701 69 641 125,411 Principal payments (75,007) (79,447) (9,922) (164,376) Transfers (3) (68,654) 5,819 (58,491) (121,326) Net (increase) decrease in origination fees (1,403) — — (1,403) Amortization of net origination fees 501 486 43 1,030 Allowance for loan losses Beginning allowance (10,911) (62,149) (56,873) (129,933) Current period (allowance) reversal 10,911 62,149 56,873 129,933 Ending allowance — — — — Net carrying value (June 30, 2021) $ 364,974 $ 863,425 $ 113,300 $ 1,341,699 December 31, 2020 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2020) (2) $ 499,690 $ 936,378 $ 182,726 $ 1,618,794 Originations & advances (principal) 206,090 — 12,374 218,464 Principal payments (77,344) (144,308) (78) (221,730) Principal write off — — (7,000) (7,000) Transfers (3) (245,120) 142,621 (7,100) (109,599) Net (increase) decrease in origination fees (1,055) (653) (80) (1,788) Realized gain 204 — — 204 Amortization of net origination fees 2,371 2,460 187 5,018 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703) (12,703) Impact of adopting CECL (2,263) (4,166) (1,336) (7,765) Current period (allowance) reversal (8,648) (57,983) (66,521) (133,152) Write offs — — 23,687 23,687 Ending allowance (10,911) (62,149) (56,873) (129,933) Net carrying value (December 31, 2020) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances. (3) Includes transfers to securitization vehicles. |
Summary of Internal Risk Rating for Corporate Debt | The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below: Risk Rating - Corporate Debt Description 1-5 / Performing Meets all present contractual obligations. 6 / Performing - Closely Monitored Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal. 7 / Substandard A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible. 8 / Doubtful A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues. 9 / Loss Considered uncollectible. |
Schedule of Industry and Rate Attributes of The Portfolio | The industry and rate attributes of the portfolio at June 30, 2021 and December 31, 2020 are as follows: Industry Dispersion June 30, 2021 December 31, 2020 Total (1) Total (1) (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services $ 457,776 $ 483,142 Management & Public Relations Services 291,404 300,869 Industrial Inorganic Chemicals 156,642 156,391 Public Warehousing & Storage 121,314 132,397 Metal Cans & Shipping Containers 116,098 115,670 Surgical, Medical & Dental Instruments & Supplies 81,821 83,161 Electronic Components & Accessories 78,365 78,129 Engineering, Architectural, and Surveying 75,625 77,308 Offices & Clinics of Doctors of Medicine 73,532 104,781 Telephone Communications 58,100 58,450 Specialty Outpatient Facilities, not elsewhere classified 56,304 — Miscellaneous Industrial and Commercial 53,120 77,163 Miscellaneous Equipment Rental & Leasing 49,693 49,587 Research, Development & Testing Services 45,558 62,008 Insurance Agents, Brokers and Service 43,978 67,193 Electric Work 42,347 41,128 Petroleum and Petroleum Products 33,784 33,890 Medical & Dental Laboratories 30,609 30,711 Schools & Educational Services, not elsewhere classified 29,172 29,040 Metal Forgings & Stampings 27,340 27,523 Legal Services 26,382 26,399 Grocery Stores 22,130 22,895 Coating, Engraving and Allied Services 19,535 19,484 Chemicals & Allied Products 14,720 14,686 Drugs 12,409 12,942 Mailing, Reproduction, Commercial Art and Photography and Stenographic 12,277 12,733 Machinery, Equipment & Supplies 11,708 12,096 Sanitary Services 10,763 — Offices and Clinics of Other Health Practitioners 10,092 9,730 Miscellaneous Business Services 4,111 12,980 Miscellaneous Food Preparations — 58,857 Home Health Care Services — 28,587 Total $ 2,066,709 $ 2,239,930 (1) All middle market lending positions are floating rate. |
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 June 30, 2021 and December 31, 2020. June 30, 2021 December 31, 2020 (dollars in thousands) First lien loans $ 1,395,995 $ 1,489,125 Second lien loans 670,714 750,805 Total $ 2,066,709 $ 2,239,930 |
Schedule of Corporate Loans Held for Investment | The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at June 30, 2021 and December 31, 2020: June 30, 2021 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2021) (1) $ 1,489,125 $ 750,805 $ 2,239,930 Originations & advances 793,278 66,481 859,759 Sales and transfers (2) (556,980) (24,448) (581,428) Principal payments (336,054) (128,879) (464,933) Amortization & accretion of (premium) discounts 4,989 2,699 7,688 Allowance for loan losses Beginning allowance (18,767) (20,785) (39,552) Current period (allowance) reversal 1,637 4,056 5,693 Ending allowance (17,130) (16,729) (33,859) Net carrying value (June 30, 2021) $ 1,395,995 $ 670,714 $ 2,066,709 December 31, 2020 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2020) (1) $ 1,403,503 $ 748,710 $ 2,152,213 Originations & advances 834,211 227,433 1,061,644 Sales (2) (273,887) (79,203) (353,090) Principal payments (444,759) (132,000) (576,759) Amortization & accretion of (premium) discounts 8,374 3,832 12,206 Loan restructuring (19,550) 2,818 (16,732) Allowance for loan losses Beginning allowance, prior to CECL adoption (7,363) — (7,363) Impact of adopting CECL (10,787) (18,866) (29,653) Current period (allowance) reversal (12,510) (1,919) (14,429) Write offs 11,893 — 11,893 Ending allowance (18,767) (20,785) (39,552) Net carrying value (December 31, 2020) $ 1,489,125 $ 750,805 $ 2,239,930 (1) Excludes loan loss allowances. (2) Includes syndications and the period ended June 30, 2021 includes transfers to held for sale. |
Debt Securities, Held-to-maturity, Amortized Costs Basis by Risk Rating and Vintage | The following table provides the amortized cost basis of corporate debt held for investment as of June 30, 2021 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2021 2020 2019 2018 2017 2016 2015 (dollars in thousands) 1-5 / Performing $ 1,617,470 $ 325,936 $ 432,931 $ 301,054 $ 385,586 $ 119,939 $ 23,432 $ 28,592 6 / Performing - Closely Monitored 369,773 2,933 26,382 — 259,500 80,958 — — 7 / Substandard 79,466 — 11,708 25,481 42,277 — — — 8 / Doubtful — — — — — — — — 9 / Loss — — — — — — — — Total $ 2,066,709 $ 328,869 $ 471,021 $ 326,535 $ 687,363 $ 200,897 $ 23,432 $ 28,592 (1) The amortized cost basis excludes accrued interest and includes deferred fees on unfunded loans. As of June 30, 2021, the Company had $8.7 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition and $3.3 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition. |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following tables presents activity related to MSR and Interests in MSR for the three and six months ended June 30, 2021 and 2020: Three Months Ended Six Months Ended Mortgage Servicing Rights June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 (dollars in thousands) Fair value, beginning of period $ 113,080 $ 280,558 $ 100,895 $ 378,078 Purchases (1) 98,983 — 98,983 — Sales (376) — (376) — Change in fair value due to: Changes in valuation inputs or assumptions (2) 4,621 (27,629) 32,296 (106,854) Other changes, including realization of expected cash flows (13,692) (25,529) (29,182) (43,824) Fair value, end of period $ 202,616 $ 227,400 $ 202,616 $ 227,400 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. Interests in MSR Six Months Ended June 30, 2021 (dollars in thousands) Beginning balance $ — Purchases (1) 47,098 Gain (loss) included in net income 1,937 Ending balance June 30, 2021 $ 49,035 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Fair Value of OBX Trusts | The entities in the table below are referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2018-1 March 2018 $ 327,162 OBX 2018-EXP1 August 2018 $ 383,451 OBX 2018-EXP2 October 2018 $ 384,027 OBX 2019-INV1 January 2019 $ 393,961 OBX 2019-EXP1 April 2019 $ 388,156 OBX 2019-INV2 June 2019 $ 383,760 OBX 2019-EXP2 July 2019 $ 463,405 OBX 2019-EXP3 October 2019 $ 465,492 OBX 2020-INV1 January 2020 $ 374,609 OBX 2020-EXP1 February 2020 $ 467,511 OBX 2020-EXP2 July 2020 $ 489,352 OBX 2020-EXP3 September 2020 $ 514,609 OBX 2021-NQM1 March 2021 $ 257,135 OBX 2021-J1 April 2021 $ 353,840 OBX 2021-NQM2 June 2021 $ 376,004 |
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition | The statements of financial condition of the Company’s VIEs, excluding the multifamily securitization, credit facility VIEs and OBX Trusts as the transfers of loans or securities did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at June 30, 2021 and December 31, 2020 are as follows: June 30, 2021 Residential Trusts MSR VIEs Assets (dollars in thousands) Cash and cash equivalents $ — $ 17,240 Loans — 3,709 Assets transferred or pledged to securitization vehicles 28,151 — Mortgage servicing rights — 89,546 Interests in MSR — 49,035 Principal and interest receivable 173 — Other assets — 14,764 Total assets $ 28,324 $ 174,294 Liabilities Debt issued by securitization vehicles (non-recourse) $ 14,547 $ — Payable for unsettled trades — 1,716 Interest payable 34 — Other liabilities 410 10,038 Total liabilities $ 14,991 $ 11,754 December 31, 2020 Residential Trusts MSR VIEs Assets (dollars in thousands) Cash and cash equivalents $ — $ 22,241 Loans — 47,048 Assets transferred or pledged to securitization vehicles 40,035 — Mortgage servicing rights — 100,895 Principal and interest receivable 226 — Total assets $ 40,261 $ 170,184 Liabilities Debt issued by securitization vehicles (non-recourse) $ 23,351 $ — Other secured financing — 30,420 Payable for unsettled trades — 3,076 Interest payable 55 — Other liabilities 246 13,345 Total liabilities $ 23,652 $ 46,841 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2021 and December 31, 2020 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans June 30, 2021 December 31, 2020 Property location % of Balance Property location % of Balance California 52.6% California 48.9% New York 11.7% New York 14.0% Florida 5.9% Florida 6.0% All other (none individually greater than 5%) 29.8% All other (none individually greater than 5%) 31.1% Total 100.0% 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 multifamily securitization, OBX Trusts and credit facility VIEs, at June 30, 2021 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Residential Trusts Property Location Principal Balance % of Balance California $ 14,222 51.4 % Illinois 3,542 12.8 % Texas 2,938 10.6 % Other (1) 6,983 25.2 % Total $ 27,685 100.0 % (1) No individual state greater than 5%. |
SALE OF COMMERCIAL REAL ESTAT_2
SALE OF COMMERCIAL REAL ESTATE BUSINESS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Discontinued Operations and Disposal Groups [Abstract] | |
Disposal Groups, Including Discontinued Operations | The carrying values of the major classes of assets and liabilities of the disposal group held for sale as of June 30, 2021 are presented in the table below: June 30, 2021 (dollars in thousands) Cash and cash equivalents $ 14,175 Securities 55,172 Loans, net 478,274 Assets transferred or pledged to securitization vehicles 2,139,944 Real estate, net 566,477 Intangible assets, net 14,528 Other assets 33,431 Total assets of disposal group held for sale $ 3,302,001 Repurchase agreements $ 270,650 Debt issued by securitization vehicles 1,610,109 Mortgages payable 425,873 Interest payable 1,230 Other liabilities 54,828 Total liabilities of disposal group held for sale $ 2,362,690 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 and December 31, 2020: Derivatives Instruments June 30, 2021 December 31, 2020 Assets (dollars in thousands) Interest rate swaptions $ 134,434 $ 74,470 TBA derivatives 31,944 96,109 Futures contracts 8,141 506 Purchase commitments 3,174 49 Credit derivatives (1) 4,196 — Total derivative assets $ 181,889 $ 171,134 Liabilities Interest rate swaps $ 806,952 $ 1,006,492 TBA derivatives 2,837 — Futures contracts 87,814 19,413 Purchase commitments 2,656 — Credit derivatives (1) — 7,440 Total derivative liabilities $ 900,259 $ 1,033,345 (1) |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at June 30, 2021 and December 31, 2020: June 30, 2021 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 31,164,200 0.24 % 0.09 % 1.55 3 - 6 years 3,100,000 0.13 % 0.08 % 3.88 6 - 10 years 5,730,500 1.25 % 0.61 % 8.18 Greater than 10 years 1,984,000 2.68 % 0.28 % 17.50 Total / Weighted average $ 41,978,700 0.81 % 0.34 % 3.38 December 31, 2020 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 23,680,150 0.27 % 0.11 % 1.96 3 - 6 years 3,600,000 0.18 % 0.09 % 4.21 6 - 10 years 5,565,500 1.40 % 0.62 % 7.76 Greater than 10 years 1,484,000 3.06 % 0.36 % 20.52 Total / Weighted average $ 34,329,650 0.92 % 0.37 % 3.94 (1) As of June 30, 2021, 13%, 59% and 28% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. As of December 31, 2020, 17%, 72% and 11% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. (2) There were no forward starting swaps at June 30, 2021 and December 31, 2020. (3) At June 30, 2021 and December 31, 2020, the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. The following table presents swaptions outstanding at June 30, 2021 and December 31, 2020. June 30, 2021 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $4,550,000 1.35% 3M LIBOR 10.14 2.80 Long receive $1,500,000 1.51% 3M LIBOR 11.40 16.93 December 31, 2020 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $8,050,000 1.27% 3M LIBOR 10.40 5.42 Long receive $250,000 1.66% 3M LIBOR 10.02 0.13 The following table summarizes certain characteristics of the Company’s TBA derivatives at June 30, 2021 and December 31, 2020: June 30, 2021 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 17,314,000 $ 17,662,043 $ 17,691,150 $ 29,107 December 31, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 19,635,000 $ 20,277,088 $ 20,373,197 $ 96,109 The following table summarizes certain characteristics of the Company’s futures derivatives at June 30, 2021 and December 31, 2020: June 30, 2021 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (2,884,000) 4.42 U.S. Treasury futures - 10 year and greater $ — $ (10,227,500) 7.47 Total $ — $ (13,111,500) 6.80 December 31, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (1,240,000) 4.40 U.S. Treasury futures - 10 year and greater — (9,183,800) 6.90 Total $ — $ (10,423,800) 6.60 |
Offsetting of Derivative Assets and Liabilities | The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset on our Consolidated Statements of Financial Condition at June 30, 2021 and December 31, 2020, respectively. June 30, 2021 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 134,434 $ — $ — $ 134,434 TBA derivatives, at fair value 31,944 (2,596) — 29,348 Futures contracts, at fair value 8,141 (8,141) — — Purchase commitments 3,174 — — 3,174 Credit derivatives 4,196 — — 4,196 Liabilities Interest rate swaps, at fair value $ 806,952 $ — $ (83,737) $ 723,215 TBA derivatives, at fair value 2,837 (2,596) — 241 Futures contracts, at fair value 87,814 (8,141) (79,673) — Purchase commitments 2,656 — — 2,656 December 31, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 74,470 $ — $ — $ 74,470 TBA derivatives, at fair value 96,109 — — 96,109 Futures contracts, at fair value 506 (506) — — Purchase commitments 49 — — 49 Liabilities Interest rate swaps, at fair value $ 1,006,492 $ — $ (108,757) $ 897,735 Futures contracts, at fair value 19,413 (506) (18,907) — Credit derivatives 7,440 — (7,440) — |
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 of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps For the three months ended (dollars in thousands) June 30, 2021 $ (83,087) $ — $ (141,067) June 30, 2020 $ (64,561) $ (1,521,732) $ 1,494,628 For the six months ended June 30, 2021 $ (162,834) $ — $ 631,195 June 30, 2020 $ (78,541) $ (1,919,293) $ (1,333,095) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended June 30, 2021 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ 10,045 $ 275,226 $ 285,271 Net interest rate swaptions (22,787) (232,860) (255,647) Futures 183,383 (577,899) (394,516) Purchase commitments — 2,376 2,376 Credit derivatives 2,777 1,931 4,708 Total $ (357,808) Three Months Ended June 30, 2020 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ 250,525 $ (46,363) $ 204,162 Net interest rate swaptions (29,880) (22,634) (52,514) Futures 246 (17,579) (17,333) Purchase commitments — 9,666 9,666 Credit derivatives 1,203 25,732 26,935 Total $ 170,916 Six Months Ended June 30, 2021 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (277,844) $ (67,002) $ (344,846) Net interest rate swaptions (44,997) 73,130 28,133 Futures 479,547 (60,766) 418,781 Purchase commitments — 469 469 Credit derivatives 4,408 10,954 15,362 Total $ 117,899 Six Months Ended June 30, 2020 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 521,610 $ 114,331 $ 635,941 Net interest rate swaptions 21,566 47,499 69,065 Futures (279,230) (10,687) (289,917) Purchase commitments — (1,143) (1,143) Credit derivatives 3,128 (39,732) (36,604) Total $ 377,342 |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis | The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. June 30, 2021 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 66,468,519 $ — $ 66,468,519 Credit risk transfer securities — 827,328 — 827,328 Non-Agency mortgage-backed securities — 1,582,323 — 1,582,323 Commercial mortgage-backed securities — 154,165 — 154,165 Loans Residential mortgage loans — 1,029,928 — 1,029,928 Mortgage servicing rights — — 202,616 202,616 Interests in MSR — — 49,035 49,035 Assets transferred or pledged to securitization vehicles — 4,073,156 — 4,073,156 Derivative assets Other derivatives 8,141 173,748 — 181,889 Total assets $ 8,141 $ 74,309,167 $ 251,651 $ 74,568,959 Liabilities Debt issued by securitization vehicles — 3,315,087 — 3,315,087 Participations issued — 315,810 — 315,810 Derivative liabilities Interest rate swaps — 806,952 — 806,952 Other derivatives 87,814 5,493 — 93,307 Total liabilities $ 87,814 $ 4,443,342 $ — $ 4,531,156 December 31, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 74,067,059 $ — $ 74,067,059 Credit risk transfer securities — 532,403 — 532,403 Non-Agency mortgage-backed securities — 972,192 — 972,192 Commercial mortgage-backed securities — 80,742 — 80,742 Loans Residential mortgage loans — 345,810 — 345,810 Mortgage servicing rights — — 100,895 100,895 Assets transferred or pledged to securitization vehicles — 6,035,671 — 6,035,671 Derivative assets Other derivatives 506 170,628 — 171,134 Total assets $ 506 $ 82,204,505 $ 100,895 $ 82,305,906 Liabilities Debt issued by securitization vehicles $ — $ 5,652,982 $ — $ 5,652,982 Participations issued — 39,198 — 39,198 Derivative liabilities Interest rate swaps — 1,006,492 — 1,006,492 Other derivatives 19,413 7,440 — 26,853 Total liabilities $ 19,413 $ 6,706,112 $ — $ 6,725,525 |
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs | The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR and Interests in MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. June 30, 2021 Unobservable Input (1) / Range (Weighted Average) (2) Discount rate Prepayment rate Delinquency rate Cost to service MSR consolidated with VIE 9.0% - 12.0% (9.0%) 9.4% - 30.7% (20.2%) 0.0% - 6.0% (2.4%) $84 - $114 ($99) MSR held directly 1.8% - 21.7% (9.0%) 6.7% - 14.4% (7.5%) 0.9% - 1.8% (1.1%) $99 - $106 ($101) Interests in MSR 9.5% - 11.4% (10.0%) 4.8% - 14.6% (9.0%) 0.6% - 5.0% (1.8%) $78 - $86 ($85) December 31, 2020 Unobservable Input (1) / Range (Weighted Average) (2) Discount rate Prepayment rate Delinquency rate Cost to service MSR consolidated with VIE 9.0% - 12.0% (9.4%) 19.3% - 55.5% (42.0%) 0.0% - 6.0% (2.5%) $83 - $108 ($98) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR. |
Schedule of Estimated Fair Value for All Financial Assets and Liabilities | The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at June 30, 2021 and December 31, 2020. June 30, 2021 December 31, 2020 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $— $— $1,372,430 $1,442,071 Corporate debt, held for investment 2,066,709 2,080,002 2,239,930 2,226,045 Assets transferred or pledged to securitization vehicles — — 874,349 928,732 Corporate debt, held for sale 466,370 466,370 — — Financial liabilities Repurchase agreements $60,221,067 $60,221,067 $64,825,239 $64,825,239 Other secured financing 909,655 909,655 917,876 917,876 Mortgages payable — — 426,256 474,779 (1) Includes assets of consolidated VIEs. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Schedule of Finite-Lived Intangible Assets | The following table presents the activity of finite lived intangible assets for the six months ended June 30, 2021. Intangible Assets, net (dollars in thousands) Balance at December 31, 2020 $ 55,526 Impairment (9,549) Intangible assets included in disposal group held for sale (14,528) Less: amortization expense (4,947) Balance at June 30, 2021 $ 26,502 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At June 30, 2021 and December 31, 2020, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2021 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities (1) Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 10,052,550 $ — $ — $ — $ 142,617 $ 10,195,167 0.09 % 2 to 29 days 15,688,201 178,719 290,174 — 64,188 16,221,282 0.14 % 30 to 59 days 5,981,872 66,309 212,087 177,401 — 6,437,669 0.27 % 60 to 89 days 4,495,510 3,147 126,747 — 14,549 4,639,953 0.16 % 90 to 119 days 5,873,992 — — — — 5,873,992 0.16 % Over 119 days (2) 16,713,446 — 98,417 41,141 — 16,853,004 0.18 % Total $ 58,805,571 $ 248,175 $ 727,425 $ 218,542 $ 221,354 $ 60,221,067 0.16 % December 31, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,151,875 129,993 354,904 $ 76,799 — 128,267 30,841,838 0.29 % 30 to 59 days 10,247,972 16,073 161,274 $ — — 142,336 10,567,655 0.42 % 60 to 89 days 8,181,410 99,620 259,401 $ — — 28,406 8,568,837 0.30 % 90 to 119 days 2,154,733 — — $ — — — 2,154,733 0.23 % Over 119 days (2) 12,008,920 — 274,860 $ 107,924 271,801 28,671 12,692,176 0.36 % Total $ 62,744,910 $ 245,686 $ 1,050,439 $ 184,723 $ 271,801 $ 327,680 $ 64,825,239 0.32 % (1) Includes commercial mortgage-backed securities held for sale. (2) No repurchase agreements had a remaining maturity over 1 year at June 30, 2021. Less than 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2020. |
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement | The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at June 30, 2021 and December 31, 2020. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. June 30, 2021 December 31, 2020 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ — $ 60,221,067 $ 250,000 $ 65,075,239 Amounts offset — — (250,000) (250,000) Netted amounts $ — $ 60,221,067 $ — $ 64,825,239 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
Schedule of Stock by Class | The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at June 30, 2021 and December 31, 2020. Shares authorized Shares issued and outstanding June 30, 2021 December 31, 2020 June 30, 2021 December 31, 2020 Par Value Common stock 2,936,500,000 2,914,850,000 1,444,156,029 1,398,240,618 $0.01 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at June 30, 2021 and December 31, 2020. 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 June 30, 2021 December 31, 2020 June 30, 2021 December 31, 2020 June 30, 2021 December 31, 2020 Fixed-rate (dollars in thousands) Series D — 18,400,000 — — — — 7.50% 9/13/2017 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 17,000,000 19,550,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Series I 17,700,000 18,400,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 63,500,000 85,150,000 63,500,000 63,500,000 $ 1,536,569 $ 1,536,569 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. |
Summary of Dividend Distribution Activity | The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended For the Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 318,534 $ 309,972 $ 626,880 $ 667,791 Distributions declared per common share $ 0.22 $ 0.22 $ 0.44 $ 0.47 Distributions paid to common stockholders after period end $ 317,714 $ 309,686 $ 317,714 $ 309,686 Distributions paid per common share after period end $ 0.22 $ 0.22 $ 0.22 $ 0.22 Date of distributions paid to common stockholders after period end July 30, 2021 July 31, 2020 July 30, 2021 July 31, 2020 Dividends declared to series D preferred stockholders $ — $ 8,625 $ — $ 17,250 Dividends declared per share of series D preferred stock $ — $ 0.469 $ — $ 0.938 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 25,020 $ 25,020 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 0.869 $ 0.869 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 13,812 $ 13,812 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 0.813 $ 0.813 Dividends declared to series I preferred stockholders $ 7,467 $ 7,468 $ 14,934 $ 14,936 Dividends declared per share of series I preferred stock $ 0.422 $ 0.422 $ 0.844 $ 0.844 |
INTEREST INCOME AND INTEREST _2
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Banking and Thrift, Interest [Abstract] | |
Summary of Interest Income Recognition Methodology for Residential Investment Securities | The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows CMO (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime jumbo (2) Prospective 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 presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2021 and June 30, 2020. For the Three Months Ended June 30, For the Six Months Ended June 30, 2021 2020 2021 2020 Interest income (dollars in thousands) Residential Securities (1) $ 275,278 $ 457,684 $ 919,912 $ 868,064 Residential mortgage loans (1) 38,963 42,871 76,072 90,428 Commercial investment portfolio (1) (2) 69,663 84,208 151,264 179,884 Reverse repurchase agreements 2 49 36 1,462 Total interest income $ 383,906 $ 584,812 $ 1,147,284 $ 1,139,838 Interest expense Repurchase agreements 29,140 136,962 71,725 570,983 Debt issued by securitization vehicles 23,216 38,757 49,492 80,876 Participations issued 1,739 — 2,336 — Other 6,952 10,313 13,467 37,646 Total interest expense 61,047 186,032 137,020 689,505 Net interest income $ 322,859 $ 398,780 $ 1,010,264 $ 450,333 (1) Includes assets transferred or pledged to securitization vehicles. (2 ) Includes commercial real estate debt and preferred equity and corporate debt. |
NET INCOME (LOSS) PER COMMON _2
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of Net Income (Loss) Per Share Reconciliation | The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and six months ended June 30, 2021 and June 30, 2020. For the Three Months Ended For the Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 (dollars in thousands, except per share data) Net income (loss) $ (294,848) $ 856,234 $ 1,456,286 $ (2,783,955) Net income (loss) attributable to noncontrolling interests 794 32 1,115 98 Net income (loss) attributable to Annaly (295,642) 856,202 1,455,171 (2,784,053) Dividends on preferred stock 26,883 35,509 53,766 71,018 Net income (loss) available (related) to common stockholders $ (322,525) $ 820,693 $ 1,401,405 $ (2,855,071) Weighted average shares of common stock outstanding-basic 1,410,239,138 1,423,909,112 1,404,755,496 1,427,451,716 Add: Effect of stock awards, if dilutive — — 1,008,776 — Weighted average shares of common stock outstanding-diluted 1,410,239,138 1,423,909,112 1,405,764,272 1,427,451,716 Net income (loss) per share available (related) to common share Basic $ (0.23) $ 0.58 $ 1.00 $ (2.00) Diluted $ (0.23) $ 0.58 $ 1.00 $ (2.00) |
LEASE COMMITMENTS AND CONTING_2
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Leases [Abstract] | |
Supplemental Information Regarding Leases | Supplemental information related to leases as of and for the six months ended June 30, 2021 was as follows: Operating Leases Classification June 30, 2021 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 11,843 Liabilities Operating lease liabilities (1) Other liabilities $ 15,437 Lease term and discount rate Weighted average remaining lease term 4.2 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 1,983 (1) As the Company’s leases do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. |
Operating Lease Liability Schedule of Maturity | The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2021 (remaining) $ 1,935 2022 3,862 2023 3,862 2024 3,862 2025 2,895 Total lease payments $ 16,416 Less imputed interest 979 Present value of lease liabilities $ 15,437 |
BASIS OF PRESENTATION (Details)
BASIS OF PRESENTATION (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Reclassification [Line Items] | |||||
Decrease in general and administrative expenses | $ (53,526) | $ (64,770) | $ (101,431) | $ (134,635) | |
Decrease in other income (loss) | $ (1,675) | (12,328) | $ (15,143) | (19,490) | |
Revision of Prior Period, Reclassification, Adjustment | |||||
Reclassification [Line Items] | |||||
Decrease in general and administrative expenses | $ 1,800 | 2,900 | 10,700 | ||
Decrease in other income (loss) | $ 1,800 | $ 2,900 | $ 10,700 |
SIGNIFICANT ACCOUNTING POLICI_4
SIGNIFICANT ACCOUNTING POLICIES - Narrative (Details) - USD ($) $ in Billions | Jun. 30, 2021 | Dec. 31, 2020 |
Interest rate swaps, at fair value | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Margin deposit assets | $ 1.2 | $ 1.1 |
SIGNIFICANT ACCOUNTING POLICI_5
SIGNIFICANT ACCOUNTING POLICIES - Recent Accounting Pronouncements (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Allowance for loan loss | $ 33,900 | $ 169,500 | ||
Accumulated deficit | $ 9,892,863 | $ 10,667,388 | [1] | |
Cumulative effect of change in accounting principle for credit losses | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Allowance for loan loss | $ 37,400 | |||
Off-balance sheet credit loss, liability | 2,200 | |||
Accumulated deficit | $ 39,600 | |||
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
FINANCIAL INSTRUMENTS - Summary
FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | $ 82,376,305 | $ 88,455,103 | [1] |
Liabilities | 68,737,129 | 74,433,307 | [1] |
Total securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 69,032,335 | 75,652,396 | |
Agency mortgage-backed securities, recognized through comprehensive income | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 65,898,975 | 73,562,972 | |
Agency mortgage-backed securities, recognized through earnings | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 569,544 | 504,087 | |
Residential credit risk transfer securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 827,328 | 532,403 | |
Non-agency mortgage-backed securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 1,582,323 | 972,192 | |
Commercial real estate debt investment, securities, recognized through other comprehensive income | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 0 | 31,603 | |
Commercial real estate debt investment, securities, recognized through earnings | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 150,005 | 45,254 | |
Commercial real estate debt investment, credit risk transfer securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 4,160 | 3,885 | |
Total loans, net | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 3,563,008 | 3,083,821 | |
Residential mortgage loans | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 1,029,929 | 345,810 | |
Commercial real estate debt and preferred equity, held for investment | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 0 | 498,081 | |
Corporate debt, held for investment | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 2,066,709 | 2,239,930 | |
Corporate debt, held for sale | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 466,370 | 0 | |
Total assets transferred or pledged to securitization vehicles | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 4,073,156 | 6,910,020 | |
Excess spread agreements, recognized through earnings | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 49,035 | 0 | |
Mortgage-backed securities, recognized through other comprehensive income | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 605,163 | 620,347 | |
Residential mortgage loans, recognized through earnings | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 3,467,993 | 3,249,251 | |
Commercial mortgage loans, recognized through earnings | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 0 | 2,166,073 | |
Commercial mortgage loans, amortized cost | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 0 | 874,349 | |
Repurchase agreements | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 60,221,067 | 64,825,239 | |
Other secured financing | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 909,655 | 917,876 | |
Debt issued by securitization vehicles | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 3,315,087 | 5,652,982 | |
Participations issued | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 315,810 | 39,198 | |
Mortgages payable | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | $ 0 | $ 426,256 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
SECURITIES - Narrative (Details
SECURITIES - Narrative (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||||
Residential Investment securities sold, carrying value | $ 3,300,000,000 | $ 5,500,000,000 | $ 6,200,000,000 | $ 47,400,000,000 | |
Commercial Mortgage Backed Securities | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Impairment, available-for-sale debt security | $ 400,000 | $ 0 | $ 0 |
SECURITIES - Summary of Residen
SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance January 1, 2021 | $ 75,652,396 |
Purchases | 11,834,619 |
Sales and transfers | (6,344,212) |
Principal paydowns | (10,228,923) |
(Amortization) / accretion | (307,699) |
Fair value adjustment | (1,573,846) |
Ending balance June 30, 2021 | 69,032,335 |
Residential Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance January 1, 2021 | 75,571,654 |
Purchases | 11,684,613 |
Sales and transfers | (6,265,442) |
Principal paydowns | (10,228,923) |
(Amortization) / accretion | (307,987) |
Fair value adjustment | (1,575,745) |
Ending balance June 30, 2021 | 68,878,170 |
Commercial Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance January 1, 2021 | 80,742 |
Purchases | 150,006 |
Sales and transfers | (78,770) |
Principal paydowns | 0 |
(Amortization) / accretion | 288 |
Fair value adjustment | 1,899 |
Ending balance June 30, 2021 | $ 154,165 |
SECURITIES - Portfolio (Details
SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | $ 68,367,873 | $ 72,253,465 |
Remaining Premium | 3,999,063 | 3,971,492 |
Remaining Discount | (84,402) | (95,734) |
Amortized Cost | 67,439,938 | 72,487,080 |
Unrealized Gains | 2,019,802 | 3,332,263 |
Unrealized Losses | (427,405) | (166,947) |
Estimated Fair Value | 69,032,335 | 75,652,396 |
Total Residential Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 68,213,873 | 72,163,607 |
Remaining Premium | 3,999,057 | 3,971,492 |
Remaining Discount | (84,295) | (88,263) |
Amortized Cost | 67,286,039 | 72,404,693 |
Unrealized Gains | 2,019,535 | 3,332,209 |
Unrealized Losses | (427,404) | (165,248) |
Estimated Fair Value | 68,878,170 | 75,571,654 |
Agency | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 65,525,973 | 70,144,080 |
Remaining Premium | 3,977,486 | 3,948,694 |
Remaining Discount | (25,020) | (26,569) |
Amortized Cost | 64,918,567 | 70,921,106 |
Unrealized Gains | 1,969,188 | 3,294,122 |
Unrealized Losses | (419,236) | (148,169) |
Estimated Fair Value | 66,468,519 | 74,067,059 |
Agency | Fixed-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 59,813,415 | 64,800,235 |
Remaining Premium | 3,280,197 | 3,325,020 |
Remaining Discount | (20,729) | (22,143) |
Amortized Cost | 63,072,883 | 68,103,112 |
Unrealized Gains | 1,905,748 | 3,200,542 |
Unrealized Losses | (259,706) | (1,076) |
Estimated Fair Value | 64,718,925 | 71,302,578 |
Agency | Adjustable-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 375,657 | 455,675 |
Remaining Premium | 1,972 | 2,869 |
Remaining Discount | (3,286) | (3,369) |
Amortized Cost | 374,343 | 455,175 |
Unrealized Gains | 20,677 | 22,341 |
Unrealized Losses | 0 | 0 |
Estimated Fair Value | 395,020 | 477,516 |
Agency | CMO | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 127,620 | 139,664 |
Remaining Premium | 2,016 | 2,177 |
Remaining Discount | 0 | 0 |
Amortized Cost | 129,636 | 141,841 |
Unrealized Gains | 6,720 | 7,926 |
Unrealized Losses | 0 | 0 |
Estimated Fair Value | 136,356 | 149,767 |
Agency | Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 2,398,620 | 2,790,537 |
Remaining Premium | 519,494 | 564,297 |
Remaining Discount | 0 | 0 |
Amortized Cost | 519,494 | 564,297 |
Unrealized Gains | 781 | 3,513 |
Unrealized Losses | (157,583) | (145,901) |
Estimated Fair Value | 362,692 | 421,909 |
Agency | Multifamily | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 2,769,722 | 1,910,384 |
Remaining Premium | 169,915 | 50,148 |
Remaining Discount | (1,005) | (1,057) |
Amortized Cost | 777,380 | 1,604,913 |
Unrealized Gains | 35,262 | 59,548 |
Unrealized Losses | (1,260) | (954) |
Estimated Fair Value | 811,382 | 1,663,507 |
Agency | Reverse mortgages | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 40,939 | 47,585 |
Remaining Premium | 3,892 | 4,183 |
Remaining Discount | 0 | 0 |
Amortized Cost | 44,831 | 51,768 |
Unrealized Gains | 0 | 252 |
Unrealized Losses | (687) | (238) |
Estimated Fair Value | 44,144 | 51,782 |
Residential credit | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 2,687,900 | 2,019,527 |
Remaining Premium | 21,571 | 22,798 |
Remaining Discount | (59,275) | (61,694) |
Amortized Cost | 2,367,472 | 1,483,587 |
Unrealized Gains | 50,347 | 38,087 |
Unrealized Losses | (8,168) | (17,079) |
Estimated Fair Value | 2,409,651 | 1,504,595 |
Residential credit | Multifamily Interest-Only Security | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 2,200,000 | 354,600 |
Residential credit | CRT | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 824,024 | 544,780 |
Remaining Premium | 6,925 | 7,324 |
Remaining Discount | (1,868) | (2,430) |
Amortized Cost | 818,842 | 538,941 |
Unrealized Gains | 10,215 | 3,062 |
Unrealized Losses | (1,729) | (9,600) |
Estimated Fair Value | 827,328 | 532,403 |
Residential credit | CRT interest-only security | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 10,200 | 10,700 |
Residential credit | Alt-A | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 78,793 | 93,001 |
Remaining Premium | 52 | 51 |
Remaining Discount | (17,019) | (17,368) |
Amortized Cost | 61,826 | 75,684 |
Unrealized Gains | 4,031 | 4,644 |
Unrealized Losses | (6) | 0 |
Estimated Fair Value | 65,851 | 80,328 |
Residential credit | Prime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 191,516 | 177,852 |
Remaining Premium | 5,527 | 5,126 |
Remaining Discount | (15,517) | (15,999) |
Amortized Cost | 181,526 | 166,979 |
Unrealized Gains | 12,914 | 14,607 |
Unrealized Losses | (367) | (77) |
Estimated Fair Value | 194,073 | 181,509 |
Residential credit | Prime interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 97,065 | 194,687 |
Remaining Premium | 1,378 | 1,882 |
Remaining Discount | 0 | 0 |
Amortized Cost | 1,378 | 1,882 |
Unrealized Gains | 0 | 0 |
Unrealized Losses | (854) | (642) |
Estimated Fair Value | 524 | 1,240 |
Residential credit | Subprime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 189,138 | 197,779 |
Remaining Premium | 460 | 584 |
Remaining Discount | (17,102) | (18,181) |
Amortized Cost | 172,496 | 180,182 |
Unrealized Gains | 10,120 | 8,312 |
Unrealized Losses | (20) | (61) |
Estimated Fair Value | 182,596 | 188,433 |
Residential credit | NPL/RPL | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 1,056,963 | 475,108 |
Remaining Premium | 1,281 | 821 |
Remaining Discount | (2,482) | (2,416) |
Amortized Cost | 1,055,762 | 473,513 |
Unrealized Gains | 8,887 | 3,782 |
Unrealized Losses | (565) | (1,448) |
Estimated Fair Value | 1,064,084 | 475,847 |
Residential credit | Prime jumbo (>=2010 vintage) | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 74,981 | 44,696 |
Remaining Premium | 530 | 207 |
Remaining Discount | (5,287) | (5,300) |
Amortized Cost | 70,224 | 39,603 |
Unrealized Gains | 4,180 | 3,680 |
Unrealized Losses | (102) | 0 |
Estimated Fair Value | 74,302 | 43,283 |
Residential credit | Prime jumbo (>=2010 vintage) Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 175,420 | 291,624 |
Remaining Premium | 5,418 | 6,803 |
Remaining Discount | 0 | 0 |
Amortized Cost | 5,418 | 6,803 |
Unrealized Gains | 0 | 0 |
Unrealized Losses | (4,525) | (5,251) |
Estimated Fair Value | 893 | 1,552 |
Commercial Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / Notional | 154,000 | 89,858 |
Remaining Premium | 6 | 0 |
Remaining Discount | (107) | (7,471) |
Amortized Cost | 153,899 | 82,387 |
Unrealized Gains | 267 | 54 |
Unrealized Losses | (1) | (1,699) |
Estimated Fair Value | $ 154,165 | $ 80,742 |
SECURITIES - Component of Agenc
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | [1] | $ 69,032,335 | $ 75,652,396 | [2] |
Agency Mortgage-Backed Securities | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | 66,468,519 | 74,067,059 | ||
Agency Mortgage-Backed Securities | Fannie Mae | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | 52,611,769 | 56,218,033 | ||
Agency Mortgage-Backed Securities | Freddie Mac | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | 13,762,498 | 17,735,041 | ||
Agency Mortgage-Backed Securities | Ginnie Mae | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Mortgage-backed securities | $ 94,252 | $ 113,985 | ||
[1] | Excludes $48.4 million and $81.5 million at June 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $191.8 million and $576.6 million at June 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at June 30, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. |
SECURITIES - Weighted Average L
SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | ||
Estimated Fair Value | ||||
Total | [1] | $ 69,032,335 | $ 75,652,396 | [2] |
Amortized Cost | ||||
Amortized Cost | 67,439,938 | 72,487,080 | ||
Total Residential Securities | ||||
Estimated Fair Value | ||||
Less than one year | 234,798 | 110,203 | ||
Greater than one year through five years | 17,843,706 | 45,643,138 | ||
Greater than five years through ten years | 50,258,367 | 28,509,058 | ||
Greater than ten years | 541,299 | 1,309,255 | ||
Total | 68,878,170 | 75,571,654 | ||
Amortized Cost | ||||
Less than one year | 233,247 | 109,540 | ||
Greater than one year through five years | 17,273,287 | 43,404,877 | ||
Greater than five years through ten years | 49,253,011 | 27,610,923 | ||
Greater than ten years | 526,494 | 1,279,353 | ||
Amortized Cost | $ 67,286,039 | $ 72,404,693 | ||
[1] | Excludes $48.4 million and $81.5 million at June 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $191.8 million and $576.6 million at June 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at June 30, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. |
SECURITIES - Unrealized Loss Po
SECURITIES - Unrealized Loss Position (Details) $ in Thousands | Jun. 30, 2021USD ($)security | Dec. 31, 2020USD ($)security |
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 69,032,335 | $ 75,652,396 |
Gross Unrealized Losses | (427,405) | (166,947) |
Agency Mortgage-Backed Securities | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | 17,620,478 | 777,586 |
Gross Unrealized Losses | $ (260,373) | $ (2,030) |
Number of Securities | security | 364 | 30 |
Agency Mortgage-Backed Securities | Less than 12 months | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 17,620,478 | $ 777,586 |
Gross Unrealized Losses | $ (260,373) | $ (2,030) |
Number of Securities | security | 364 | 30 |
Agency Mortgage-Backed Securities | 12 Months or more | ||
Unrealized Loss Position For: | ||
Estimated Fair Value | $ 0 | $ 0 |
Gross Unrealized Losses | $ 0 | $ 0 |
Number of Securities | security | 0 | 0 |
SECURITIES - Realized Gain (Los
SECURITIES - Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gross Realized Gains | $ 52,485 | $ 272,382 | $ 57,131 | $ 811,637 |
Gross Realized Losses | (17,680) | (12,496) | (83,021) | (284,494) |
Net Realized Gains (Losses) | $ 34,805 | $ 259,886 | $ (25,890) | $ 527,143 |
LOANS - Narrative (Details)
LOANS - Narrative (Details) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2021USD ($) | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($) | Jun. 30, 2020USD ($) | Dec. 31, 2020USD ($)loan | Jan. 01, 2020USD ($) | Dec. 31, 2019USD ($) | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Assets | $ 82,376,305,000 | $ 82,376,305,000 | $ 88,455,103,000 | [1] | ||||
Loan loss provision (reversal) | 494,000 | $ 68,751,000 | (139,126,000) | $ 168,077,000 | ||||
Allowance for loan loss | 33,900,000 | $ 33,900,000 | 169,500,000 | |||||
Minimum | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Senior secured loans, stated maturity (in years) | 5 years | |||||||
Maximum | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Senior secured loans, stated maturity (in years) | 8 years | |||||||
Cumulative effect of change in accounting principle for credit losses | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Allowance for loan loss | $ 37,400,000 | |||||||
Residential Mortgage Loans | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Assets | $ 1,000,000,000 | $ 1,000,000,000 | $ 345,800,000 | |||||
Percent of adjustable-rate loans | 31.00% | 31.00% | 37.00% | |||||
Commercial Mortgage Loans | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Loan loss provision (reversal) | 22,000,000 | 74,100,000 | ||||||
Current period (allowance) reversal | $ 67,400,000 | |||||||
Number of loans restructured | loan | 5 | |||||||
Restructuring, carrying value | $ 243,800,000 | |||||||
Number of contracts modified, partial paydowns | loan | 2 | |||||||
Restructuring, partial paydowns | $ 4,500,000 | |||||||
Future funding commitments | 4,100,000 | |||||||
Loans on nonaccrual status | 46,800,000 | |||||||
Interest income, nonaccrual | 2,100,000 | |||||||
Unfunded commitments | 99,300,000 | |||||||
Unfunded commitments, expected credit loss | $ 5,100,000 | |||||||
Loans receivable with variable interest rates | 94.00% | |||||||
Commercial Mortgage Loans | Extended Maturity | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Allowance for loan loss | $ 23,600,000 | |||||||
Number of loans restructured | loan | 4 | |||||||
Commercial Mortgage Loans | Payment Deferral, Forbearance | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Number of loans restructured | loan | 1 | |||||||
Forbearance duration | 120 days | |||||||
Commercial Mortgage Loans | Cumulative effect, period of adoption, adjusted balance | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Loan loss provision (reversal) | 39,100,000 | 62,300,000 | ||||||
Current period (allowance) reversal | 62,500,000 | |||||||
Commercial Mortgage Loans | Cumulative effect of change in accounting principle for credit losses | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Allowance for loan loss | $ 7,800,000 | |||||||
Corporate Loans | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Loan loss provision (reversal) | 0 | 10,000,000 | ||||||
Loans | $ 2,066,709,000 | 2,066,709,000 | $ 2,239,930,000 | |||||
Unfunded commitments | 228,200,000 | 228,200,000 | 87,300,000 | |||||
Unfunded commitments, expected credit loss | 1,200,000 | 1,200,000 | 700,000 | |||||
Principal balance | 29,300,000 | |||||||
Carrying value | 4,300,000 | |||||||
Debt | 4,800,000 | 4,800,000 | ||||||
Allowance for loan losses, writeoffs | 11,900,000 | |||||||
Corporate Loans | Second lien loans | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Loans | 670,714,000 | 670,714,000 | 750,805,000 | |||||
Debt | 2,800,000 | 2,800,000 | ||||||
Corporate Loans | First lien loans | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Loans | 1,395,995,000 | 1,395,995,000 | $ 1,489,125,000 | |||||
Allowance for loan losses, writeoffs | 19,600,000 | |||||||
Corporate Loans | Cumulative effect, period of adoption, adjusted balance | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Loan loss provision (reversal) | $ 500,000 | $ 7,600,000 | $ (5,700,000) | $ 21,700,000 | ||||
Corporate Loans | Cumulative effect of change in accounting principle for credit losses | ||||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||||
Allowance for loan loss | $ 29,700,000 | |||||||
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
LOANS - Investment Loan Activit
LOANS - Investment Loan Activity (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021USD ($) | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2021 | $ 3,083,821 | [1],[2] |
Purchases / originations | 2,916,124 | |
Sales and transfers | (1,852,306) | |
Principal payments | (570,202) | |
Gains / (losses) | (19,239) | |
(Amortization) / accretion | 4,810 | |
Ending balance June 30, 2021 | 3,563,008 | [2] |
Transfer of residential loans to securitization vehicles, carrying value, noncash | 987,000 | |
Residential | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2021 | 345,810 | |
Purchases / originations | 1,466,056 | |
Sales and transfers | (745,442) | |
Principal payments | (20,340) | |
Gains / (losses) | (12,733) | |
(Amortization) / accretion | (3,422) | |
Ending balance June 30, 2021 | 1,029,929 | |
Commercial | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2021 | 498,081 | |
Purchases / originations | 123,939 | |
Sales and transfers | (525,436) | |
Principal payments | (84,929) | |
Gains / (losses) | (12,199) | |
(Amortization) / accretion | 544 | |
Ending balance June 30, 2021 | 0 | |
Corporate Debt | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2021 | 2,239,930 | |
Purchases / originations | 859,759 | |
Sales and transfers | (581,428) | |
Principal payments | (464,933) | |
Gains / (losses) | 5,693 | |
(Amortization) / accretion | 7,688 | |
Ending balance June 30, 2021 | 2,066,709 | |
Corporate Debt Held for Sale | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance January 1, 2021 | 0 | |
Purchases / originations | 466,370 | |
Sales and transfers | 0 | |
Principal payments | 0 | |
Gains / (losses) | 0 | |
(Amortization) / accretion | 0 | |
Ending balance June 30, 2021 | $ 466,370 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2020. | |
[2] | Includes $3.7 million and $47.0 million of residential mortgage loans held for sale at June 30, 2021 and December 31, 2020, respectively, and $466.4 million and $0 of corporate loans held for sale at June 30, 2021 and December 31, 2020, respectively. |
LOANS - Fair Value and Unpaid P
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage Loans - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 4,497,922 | $ 3,595,061 |
Unpaid principal balance | $ 4,317,278 | $ 3,482,865 |
LOANS - Summary of Comprehensiv
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest income | $ 322,859 | $ 398,780 | $ 1,010,264 | $ 450,333 |
Net gains (losses) on disposal of investments and other | (49,563) | 453,262 | ||
Net income (loss) attributable to Annaly | (295,642) | 856,202 | 1,455,171 | (2,784,053) |
Residential Mortgage Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest income | 38,963 | 42,872 | 76,072 | 90,429 |
Net gains (losses) on disposal of investments and other | (21,721) | (5,376) | (26,941) | (17,376) |
Net unrealized gains (losses) on instruments measured at fair value through earnings | 14,456 | 110,545 | 36,911 | (82,218) |
Net income (loss) attributable to Annaly | $ 31,698 | $ 148,041 | $ 86,042 | $ (9,165) |
LOANS - Geographic Concentratio
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 100.00% | 100.00% |
California | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 52.60% | 48.90% |
New York | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 11.70% | 14.00% |
Florida | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 5.90% | 6.00% |
All other (none individually greater than 5%) | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 29.80% | 31.10% |
LOANS - Additional Data On Resi
LOANS - Additional Data On Residential Mortgage Loans (Details) - Residential Mortgage Loans $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021USD ($)point | Dec. 31, 2020USD ($)point | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 4,317,278 | $ 3,482,865 |
Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 0 | $ 1 |
Interest rate | 0.50% | 0.50% |
FICO score at loan origination | point | 604 | 505 |
Loan-to-value ratio at loan origination | 8.00% | 8.00% |
Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 3,500 | $ 3,448 |
Interest rate | 9.24% | 9.24% |
FICO score at loan origination | point | 829 | 829 |
Loan-to-value ratio at loan origination | 103.00% | 104.00% |
Weighted Average | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 525 | $ 473 |
Interest rate | 4.55% | 4.89% |
FICO score at loan origination | point | 758 | 755 |
Loan-to-value ratio at loan origination | 66.00% | 67.00% |
LOANS - Summary of Sector Attri
LOANS - Summary of Sector Attributes of Commercial Real Estate Investments (Details) - Commercial Mortgage - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 1,341,699 | $ 1,372,430 | $ 1,618,794 |
Percentage of Loan Portfolio | 100.00% | 100.00% | |
Office | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 581,039 | $ 650,034 | |
Percentage of Loan Portfolio | 43.30% | 47.40% | |
Retail | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 249,676 | $ 256,493 | |
Percentage of Loan Portfolio | 18.60% | 18.70% | |
Multifamily | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 220,331 | $ 250,095 | |
Percentage of Loan Portfolio | 16.40% | 18.20% | |
Industrial | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 116,125 | $ 60,097 | |
Percentage of Loan Portfolio | 8.70% | 4.40% | |
Hotel | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 100,942 | $ 115,536 | |
Percentage of Loan Portfolio | 7.50% | 8.40% | |
Other | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 54,441 | $ 20,302 | |
Percentage of Loan Portfolio | 4.10% | 1.50% | |
Healthcare | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Carrying Value | $ 19,145 | $ 19,873 | |
Percentage of Loan Portfolio | 1.40% | 1.40% |
LOANS - Schedule of Commercial
LOANS - Schedule of Commercial Real Estate Investments (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 68,367,873 | $ 72,253,465 | |
Commercial Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | 1,468,278 | 1,507,244 | |
Carrying Value | $ 1,341,699 | $ 1,372,430 | $ 1,618,794 |
Percentage of Loan Portfolio | 100.00% | 100.00% | |
Carrying value, unamortized origination fees | $ 5,300 | $ 4,900 | |
Commercial Mortgage | Mezzanine loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | 171,979 | 181,261 | |
Carrying Value | $ 113,300 | $ 124,156 | 182,726 |
Percentage of Loan Portfolio | 11.70% | 12.00% | |
Commercial Mortgage | Senior mortgages | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 388,293 | $ 387,124 | |
Carrying Value | $ 364,974 | $ 373,925 | 499,690 |
Percentage of Loan Portfolio | 26.40% | 25.70% | |
Commercial Mortgage | Senior Securitized Mortgages | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 908,006 | $ 938,859 | |
Carrying Value | $ 863,425 | $ 874,349 | $ 936,378 |
Percentage of Loan Portfolio | 61.90% | 62.30% |
LOANS - Rollforward of the Acti
LOANS - Rollforward of the Activity of Commercial Real Estate Investments (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Principal payments | $ (570,202) | |
Gains / (losses) | (19,239) | |
Allowance for loan losses | ||
Beginning allowance | (169,500) | |
Ending allowance | (33,900) | $ (169,500) |
Cumulative effect of change in accounting principle for credit losses | ||
Allowance for loan losses | ||
Beginning allowance | (37,400) | |
Commercial Mortgage | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 1,372,430 | 1,618,794 |
Originations & advances (principal) | 125,411 | 218,464 |
Principal payments | (164,376) | (221,730) |
Principal write off | (7,000) | |
Transfers | (121,326) | (109,599) |
Net (increase) decrease in origination fees | (1,403) | (1,788) |
Gains / (losses) | 204 | |
Amortization of net origination fees | 1,030 | 5,018 |
Allowance for loan losses | ||
Beginning allowance | (129,933) | (12,703) |
Current period (allowance) reversal | 129,933 | (133,152) |
Write offs | 23,687 | |
Ending allowance | 0 | (129,933) |
Ending balance | 1,341,699 | 1,372,430 |
Commercial Mortgage | Cumulative effect of change in accounting principle for credit losses | ||
Allowance for loan losses | ||
Beginning allowance | (7,765) | |
Commercial Mortgage | Mezzanine Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 124,156 | 182,726 |
Originations & advances (principal) | 641 | 12,374 |
Principal payments | (9,922) | (78) |
Principal write off | (7,000) | |
Transfers | (58,491) | (7,100) |
Net (increase) decrease in origination fees | 0 | (80) |
Gains / (losses) | 0 | |
Amortization of net origination fees | 43 | 187 |
Allowance for loan losses | ||
Beginning allowance | (56,873) | (12,703) |
Current period (allowance) reversal | 56,873 | (66,521) |
Write offs | 23,687 | |
Ending allowance | 0 | (56,873) |
Ending balance | 113,300 | 124,156 |
Commercial Mortgage | Mezzanine Loans | Cumulative effect of change in accounting principle for credit losses | ||
Allowance for loan losses | ||
Beginning allowance | (1,336) | |
Commercial Mortgage | Senior Mortgages | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 373,925 | 499,690 |
Originations & advances (principal) | 124,701 | 206,090 |
Principal payments | (75,007) | (77,344) |
Principal write off | 0 | |
Transfers | (68,654) | (245,120) |
Net (increase) decrease in origination fees | (1,403) | (1,055) |
Gains / (losses) | 204 | |
Amortization of net origination fees | 501 | 2,371 |
Allowance for loan losses | ||
Beginning allowance | (10,911) | 0 |
Current period (allowance) reversal | 10,911 | (8,648) |
Write offs | 0 | |
Ending allowance | 0 | (10,911) |
Ending balance | 364,974 | 373,925 |
Commercial Mortgage | Senior Mortgages | Cumulative effect of change in accounting principle for credit losses | ||
Allowance for loan losses | ||
Beginning allowance | (2,263) | |
Commercial Mortgage | Senior Securitized Mortgages | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 874,349 | 936,378 |
Originations & advances (principal) | 69 | 0 |
Principal payments | (79,447) | (144,308) |
Principal write off | 0 | |
Transfers | 5,819 | 142,621 |
Net (increase) decrease in origination fees | 0 | (653) |
Gains / (losses) | 0 | |
Amortization of net origination fees | 486 | 2,460 |
Allowance for loan losses | ||
Beginning allowance | (62,149) | 0 |
Current period (allowance) reversal | 62,149 | (57,983) |
Write offs | 0 | |
Ending allowance | 0 | (62,149) |
Ending balance | $ 863,425 | 874,349 |
Commercial Mortgage | Senior Securitized Mortgages | Cumulative effect of change in accounting principle for credit losses | ||
Allowance for loan losses | ||
Beginning allowance | $ (4,166) |
LOANS - Schedule of Industry an
LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 2,066,709 | $ 2,239,930 |
Computer Programming, Data Processing & Other Computer Related Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 457,776 | 483,142 |
Management & Public Relations Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 291,404 | 300,869 |
Industrial Inorganic Chemicals | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 156,642 | 156,391 |
Public Warehousing & Storage | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 121,314 | 132,397 |
Metal Cans & Shipping Containers | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 116,098 | 115,670 |
Surgical, Medical & Dental Instruments & Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 81,821 | 83,161 |
Electronic Components & Accessories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 78,365 | 78,129 |
Engineering, Architectural, and Surveying | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 75,625 | 77,308 |
Offices & Clinics of Doctors of Medicine | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 73,532 | 104,781 |
Telephone Communications | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 58,100 | 58,450 |
Specialty Outpatient Facilities, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 56,304 | 0 |
Miscellaneous Industrial and Commercial | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 53,120 | 77,163 |
Miscellaneous Equipment Rental & Leasing | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,693 | 49,587 |
Research, Development & Testing Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 45,558 | 62,008 |
Insurance Agents, Brokers and Service | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 43,978 | 67,193 |
Electric Work | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 42,347 | 41,128 |
Petroleum and Petroleum Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 33,784 | 33,890 |
Medical & Dental Laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 30,609 | 30,711 |
Schools & Educational Services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 29,172 | 29,040 |
Metal Forgings & Stampings | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 27,340 | 27,523 |
Legal Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 26,382 | 26,399 |
Grocery Stores | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 22,130 | 22,895 |
Coating, Engraving and Allied Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,535 | 19,484 |
Chemicals & Allied Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,720 | 14,686 |
Drugs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,409 | 12,942 |
Mailing, Reproduction, Commercial Art and Photography and Stenographic | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,277 | 12,733 |
Machinery, Equipment & Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 11,708 | 12,096 |
Sanitary Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 10,763 | 0 |
Offices and Clinics of Other Health Practitioners | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 10,092 | 9,730 |
Miscellaneous Business Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 4,111 | 12,980 |
Miscellaneous Food Preparations | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 58,857 |
Home Health Care Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 0 | $ 28,587 |
LOANS - Aggregate Positions in
LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 2,066,709 | $ 2,239,930 |
First lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 1,395,995 | 1,489,125 |
Second lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 670,714 | $ 750,805 |
LOANS - Corporate Debt Held for
LOANS - Corporate Debt Held for Investment (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Principal payments | $ (570,202) | |
Corporate Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 2,239,930 | $ 2,152,213 |
Originations & advances | 859,759 | 1,061,644 |
Sales | (581,428) | (353,090) |
Principal payments | (464,933) | (576,759) |
Amortization & accretion of (premium) discounts | 7,688 | 12,206 |
Loan restructuring | (16,732) | |
Allowance for loan losses | ||
Beginning allowance | (39,552) | (7,363) |
Current period (allowance) reversal | 5,693 | (14,429) |
Write offs | 11,893 | |
Ending allowance | (33,859) | (39,552) |
Carrying Value | 2,066,709 | 2,239,930 |
Corporate Loans | Cumulative effect of change in accounting principle for credit losses | ||
Allowance for loan losses | ||
Beginning allowance | (29,653) | |
Corporate Loans | First lien loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 1,489,125 | 1,403,503 |
Originations & advances | 793,278 | 834,211 |
Sales | (556,980) | (273,887) |
Principal payments | (336,054) | (444,759) |
Amortization & accretion of (premium) discounts | 4,989 | 8,374 |
Loan restructuring | (19,550) | |
Allowance for loan losses | ||
Beginning allowance | (18,767) | (7,363) |
Current period (allowance) reversal | 1,637 | (12,510) |
Write offs | 11,893 | |
Ending allowance | (17,130) | (18,767) |
Carrying Value | 1,395,995 | 1,489,125 |
Corporate Loans | First lien loans | Cumulative effect of change in accounting principle for credit losses | ||
Allowance for loan losses | ||
Beginning allowance | (10,787) | |
Corporate Loans | Second lien loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 750,805 | 748,710 |
Originations & advances | 66,481 | 227,433 |
Sales | (24,448) | (79,203) |
Principal payments | (128,879) | (132,000) |
Amortization & accretion of (premium) discounts | 2,699 | 3,832 |
Loan restructuring | 2,818 | |
Allowance for loan losses | ||
Beginning allowance | (20,785) | 0 |
Current period (allowance) reversal | 4,056 | (1,919) |
Write offs | 0 | |
Ending allowance | (16,729) | (20,785) |
Carrying Value | $ 670,714 | 750,805 |
Corporate Loans | Second lien loans | Cumulative effect of change in accounting principle for credit losses | ||
Allowance for loan losses | ||
Beginning allowance | $ (18,866) |
LOANS - Corporate Debt Amortize
LOANS - Corporate Debt Amortized Costs Basis by Risk Rating and Vintage Year (Details) - Corporate Loans $ in Thousands | Jun. 30, 2021USD ($) |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | $ 2,066,709 |
2021 | 328,869 |
2020 | 471,021 |
2019 | 326,535 |
2018 | 687,363 |
2018 | 200,897 |
2016 | 23,432 |
2015 | 28,592 |
Accrued interest receivable | 8,700 |
Deferred loan feeds on unfunded loans | 3,300 |
Performing | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 1,617,470 |
2021 | 325,936 |
2020 | 432,931 |
2019 | 301,054 |
2018 | 385,586 |
2018 | 119,939 |
2016 | 23,432 |
2015 | 28,592 |
Closely Monitored | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 369,773 |
2021 | 2,933 |
2020 | 26,382 |
2019 | 0 |
2018 | 259,500 |
2018 | 80,958 |
2016 | 0 |
2015 | 0 |
Substandard | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 79,466 |
2021 | 0 |
2020 | 11,708 |
2019 | 25,481 |
2018 | 42,277 |
2018 | 0 |
2016 | 0 |
2015 | 0 |
Doubtful | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 0 |
2021 | 0 |
2020 | 0 |
2019 | 0 |
2018 | 0 |
2018 | 0 |
2016 | 0 |
2015 | 0 |
Loss | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 0 |
2021 | 0 |
2020 | 0 |
2019 | 0 |
2018 | 0 |
2018 | 0 |
2016 | 0 |
2015 | $ 0 |
MORTGAGE SERVICING RIGHTS - MSR
MORTGAGE SERVICING RIGHTS - MSR Activity Rollforward (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Fair value, beginning of period | $ 113,080 | $ 280,558 | $ 100,895 | $ 378,078 |
Purchases | 98,983 | 0 | 98,983 | 0 |
Sales | (376) | 0 | (376) | 0 |
Changes in valuation inputs or assumptions | 4,621 | (27,629) | 32,296 | (106,854) |
Other changes, including realization of expected cash flows | (13,692) | (25,529) | (29,182) | (43,824) |
Fair value, end of period | $ 202,616 | $ 227,400 | $ 202,616 | $ 227,400 |
MORTGAGE SERVICING RIGHTS - Int
MORTGAGE SERVICING RIGHTS - Interest in MSR Rollfoward (Details) - Level 3 - Interest in MSRs $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Servicing Asset at Fair Value, Amount [Roll Forward] | |
Beginning balance | $ 0 |
Purchases | 47,098 |
Gain (loss) included in net income | 1,937 |
Ending balance June 30, 2021 | $ 49,035 |
MORTGAGE SERVICING RIGHTS - Nar
MORTGAGE SERVICING RIGHTS - Narrative (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Bank Servicing | ||||
Servicing Assets at Fair Value [Line Items] | ||||
Service income fee | $ 7,900,000 | $ 16,400,000 | $ 14,800,000 | $ 39,200,000 |
Interest in MSRs | ||||
Servicing Assets at Fair Value [Line Items] | ||||
Service income fee | $ 2,000,000 | $ 0 | $ 2,000,000 | $ 0 |
VARIABLE INTEREST ENTITIES - Na
VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended | |||||||
Aug. 31, 2017 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | Mar. 31, 2020 | Nov. 30, 2019 | |||
Variable Interest Entity [Line Items] | ||||||||||
Principal receivable | [1] | $ 3,563,008,000 | $ 3,563,008,000 | $ 3,083,821,000 | [2] | |||||
Securitized debt of consolidated VIEs | 3,315,087,000 | 3,315,087,000 | 5,652,982,000 | [2] | ||||||
Mortgage-backed securities | [3] | 69,032,335,000 | 69,032,335,000 | 75,652,396,000 | [2] | |||||
Costs incurred in connection with securitization | 53,526,000 | $ 64,770,000 | 101,431,000 | $ 134,635,000 | ||||||
Other secured financing | 909,655,000 | 909,655,000 | 917,876,000 | [2] | ||||||
Participations issued | 315,810,000 | 315,810,000 | 39,198,000 | [2] | ||||||
MSR Silo | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Variable interest entity, ownership percentage | 100.00% | |||||||||
Consolidated VIEs | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Exposure to obligations of VIEs | 2,300,000,000 | 2,300,000,000 | ||||||||
Consolidated VIEs | Residential mortgage loans | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Securitized debt of consolidated VIEs | 14,500,000 | 14,500,000 | ||||||||
Consolidated VIEs | OBX Trust | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Contractual principal amount of debt held by third parties | 2,700,000,000 | 2,700,000,000 | ||||||||
Securitized debt of consolidated VIEs | 2,700,000,000 | 2,700,000,000 | ||||||||
Costs incurred in connection with securitization | 1,200,000 | $ 0 | 1,800,000 | 3,700,000 | ||||||
Consolidated VIEs | Consolidation, Eliminations | Residential mortgage loans | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Mortgage-backed securities | 12,600,000 | 12,600,000 | ||||||||
Consolidated VIEs | Consolidation, Eliminations | OBX Trust | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Mortgage-backed securities | 642,300,000 | 642,300,000 | ||||||||
Consolidated VIEs | Residential Trusts | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Contractual principal amount of debt held by third parties | 14,400,000 | 14,400,000 | 23,000,000 | |||||||
Other secured financing | 0 | |||||||||
Consolidated VIEs | Borrower | June 2016 Credit Facility | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Credit facility, maximum borrowing capacity | 675,000,000 | 675,000,000 | ||||||||
Other secured financing | 441,400,000 | 441,400,000 | ||||||||
Consolidated VIEs | Borrower | June 2016 Credit Facility | Corporate Loans | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Transferred loans pledged as collateral for credit facility | 670,400,000 | 670,400,000 | ||||||||
Consolidated VIEs | Borrower | July 2017 Credit Facility | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Credit facility, maximum borrowing capacity | 400,000,000 | 400,000,000 | ||||||||
Consolidated VIEs | Borrower | July 2017 Credit Facility | Corporate Loans | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Transferred loans pledged as collateral for credit facility | 366,400,000 | 366,400,000 | ||||||||
Other secured financing | 239,200,000 | 239,200,000 | ||||||||
Consolidated VIEs | Borrower | January 2019 Credit Facility | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Credit facility, maximum borrowing capacity | 400,000,000 | 400,000,000 | ||||||||
Consolidated VIEs | Borrower | January 2019 Credit Facility | Corporate Loans | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Transferred loans pledged as collateral for credit facility | 341,200,000 | 341,200,000 | ||||||||
Other secured financing | 229,100,000 | 229,100,000 | ||||||||
Consolidated VIEs | Borrower | Consolidation, Eliminations | June 2016 Credit Facility | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Principal receivable | 441,400,000 | 441,400,000 | ||||||||
VIE, Not Primary Beneficiary | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Loans transferred for cash | 59,900,000 | 75,000,000 | ||||||||
VIE, Not Primary Beneficiary | Residential mortgage loans | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Participations issued | $ 315,800,000 | $ 315,800,000 | $ 39,200,000 | |||||||
Multifamily | Consolidated VIEs | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Cut-off date principal balance | $ 500,000,000 | $ 1,000,000,000 | ||||||||
Costs incurred | $ 1,100,000 | |||||||||
Multifamily | Retained Interest | Consolidated VIEs | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Retained interest notional balance | $ 500,000,000 | 1,000,000,000 | ||||||||
Multifamily | Senior Loans | Consolidated VIEs | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Principal receivable | $ 28,500,000 | |||||||||
[1] | Includes $3.7 million and $47.0 million of residential mortgage loans held for sale at June 30, 2021 and December 31, 2020, respectively, and $466.4 million and $0 of corporate loans held for sale at June 30, 2021 and December 31, 2020, respectively. | |||||||||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. | |||||||||
[3] | Excludes $48.4 million and $81.5 million at June 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $191.8 million and $576.6 million at June 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at June 30, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. |
VARIABLE INTEREST ENTITIES - Sc
VARIABLE INTEREST ENTITIES - Schedule of the Fair Value of OBX Trusts Closed (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Apr. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jul. 31, 2020 | Feb. 29, 2020 | Jan. 31, 2020 | Oct. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2019 | Apr. 30, 2019 | Jan. 31, 2019 | Oct. 31, 2018 | Aug. 31, 2018 | Mar. 31, 2018 |
OBX Trust | Consolidated VIEs | |||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||
Loans | $ 376,004 | $ 353,840 | $ 257,135 | $ 514,609 | $ 489,352 | $ 467,511 | $ 374,609 | $ 465,492 | $ 463,405 | $ 383,760 | $ 388,156 | $ 393,961 | $ 384,027 | $ 383,451 | $ 327,162 |
VARIABLE INTEREST ENTITIES - _2
VARIABLE INTEREST ENTITIES - Schedule of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | ||
Assets | ||||
Cash and cash equivalents | [1] | $ 1,380,456 | $ 1,243,703 | [2] |
Assets transferred or pledged to securitization vehicles | 4,073,156 | 6,910,020 | [2] | |
Mortgage servicing rights | 202,616 | 100,895 | [2] | |
Interests in MSR | 49,035 | 0 | [2] | |
Principal and interest receivable | 250,210 | 268,073 | [2] | |
Other assets | 300,761 | 225,494 | [2] | |
Total assets | 82,376,305 | 88,455,103 | [2] | |
Liabilities | ||||
Other secured financing | 909,655 | 917,876 | [2] | |
Interest payable | 173,721 | 191,116 | [2] | |
Other liabilities | 66,721 | 155,613 | [2] | |
Total liabilities | 68,737,129 | 74,433,307 | [2] | |
Consolidated VIEs | ||||
Assets | ||||
Cash and cash equivalents | 17,200 | 22,200 | ||
Consolidated VIEs | Residential Trusts | ||||
Assets | ||||
Cash and cash equivalents | 0 | 0 | ||
Loans | 0 | 0 | ||
Assets transferred or pledged to securitization vehicles | 28,151 | 40,035 | ||
Mortgage servicing rights | 0 | 0 | ||
Interests in MSR | 0 | |||
Principal and interest receivable | 173 | 226 | ||
Other assets | 0 | |||
Total assets | 28,324 | 40,261 | ||
Liabilities | ||||
Debt issued by securitization vehicles (non-recourse) | 14,547 | 23,351 | ||
Other secured financing | 0 | |||
Payable for unsettled trades | 0 | 0 | ||
Interest payable | 34 | 55 | ||
Other liabilities | 410 | 246 | ||
Total liabilities | 14,991 | 23,652 | ||
Consolidated VIEs | MSR VIEs | ||||
Assets | ||||
Cash and cash equivalents | 17,240 | 22,241 | ||
Loans | 3,709 | 47,048 | ||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||
Mortgage servicing rights | 89,546 | 100,895 | ||
Interests in MSR | 49,035 | |||
Principal and interest receivable | 0 | 0 | ||
Other assets | 14,764 | |||
Total assets | 174,294 | 170,184 | ||
Liabilities | ||||
Debt issued by securitization vehicles (non-recourse) | 0 | 0 | ||
Other secured financing | 30,420 | |||
Payable for unsettled trades | 1,716 | 3,076 | ||
Interest payable | 0 | 0 | ||
Other liabilities | 10,038 | 13,345 | ||
Total liabilities | $ 11,754 | $ 46,841 | ||
[1] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $17.2 million and $22.2 million at June 30, 2021 and December 31, 2020, respectively. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. |
VARIABLE INTEREST ENTITIES - Ge
VARIABLE INTEREST ENTITIES - Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Unpaid Principal Balances (Details) - Consolidated VIEs - Residential Trusts $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Concentration Risk [Line Items] | |
Principal Balance | $ 27,685 |
Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of Balance | 100.00% |
California | |
Concentration Risk [Line Items] | |
Principal Balance | $ 14,222 |
California | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of Balance | 51.40% |
Illinois | |
Concentration Risk [Line Items] | |
Principal Balance | $ 3,542 |
Illinois | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of Balance | 12.80% |
Texas | |
Concentration Risk [Line Items] | |
Principal Balance | $ 2,938 |
Texas | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of Balance | 10.60% |
Other | |
Concentration Risk [Line Items] | |
Principal Balance | $ 6,983 |
Other | Securitized Loans | Geographic Concentration Risk | |
Concentration Risk [Line Items] | |
% of Balance | 25.20% |
SALE OF COMMERCIAL REAL ESTAT_3
SALE OF COMMERCIAL REAL ESTATE BUSINESS - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Mar. 25, 2021 | |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||||||
Business divestiture-related gains (losses) | $ 1,527 | $ 0 | $ (248,036) | $ 0 | ||
CRE Business | Discontinued Operations, Disposed of by Sale | ||||||
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||||||
Sale of business | $ 2,330,000 | |||||
Business divestiture-related gains (losses) | 1,500 | (248,000) | ||||
Goodwill, Impairment Loss | $ 71,800 | |||||
Reversal of loan loss provision | 135,000 | |||||
Unfunded commitments | $ 5,100 | |||||
Pretax loss | 42,000 | $ (66,900) | $ (30,700) | $ (162,300) | ||
Real Estate Property Excluded From Slate Transaction | Disposal Group, Disposed of by Sale, Not Discontinued Operations | ||||||
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||||||
Business divestiture-related gains (losses) | $ 4,800 |
SALE OF COMMERCIAL REAL ESTAT_4
SALE OF COMMERCIAL REAL ESTATE BUSINESS - Carrying Value of Assets and Liabilities of CRE Business (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | [2] | |
Disposal Group, Including Discontinued Operations, Assets [Abstract] | ||||
Total assets of disposal group held for sale | $ 3,302,001 | [1] | $ 0 | |
Disposal Group, Including Discontinued Operation, Liabilities [Abstract] | ||||
Total liabilities of disposal group held for sale | 2,362,690 | $ 0 | ||
CRE Business | Discontinued Operations, Disposed of by Sale | ||||
Disposal Group, Including Discontinued Operations, Assets [Abstract] | ||||
Cash and cash equivalents | 14,175 | |||
Securities | 55,172 | |||
Loans, net | 478,274 | |||
Assets transferred or pledged to securitization vehicles | 2,139,944 | |||
Real estate, net | 566,477 | |||
Intangible assets, net | 14,528 | |||
Other assets | 33,431 | |||
Total assets of disposal group held for sale | 3,302,001 | |||
Disposal Group, Including Discontinued Operation, Liabilities [Abstract] | ||||
Repurchase agreements | 270,650 | |||
Debt issued by securitization vehicles | 1,610,109 | |||
Mortgages payable | 425,873 | |||
Interest payable | 1,230 | |||
Other liabilities | 54,828 | |||
Total liabilities of disposal group held for sale | $ 2,362,690 | |||
[1] | Excludes $251.0 million at June 30, 2021 of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. |
DERIVATIVE INSTRUMENTS - Narrat
DERIVATIVE INSTRUMENTS - Narrative (Details) - USD ($) $ in Millions | Jun. 30, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Aggregate fair value of derivative instruments in a net liability position | $ 725.2 | |
Interest rate swaps, at fair value | ||
Derivative [Line Items] | ||
Variation margin | $ 1,100 | $ 1,500 |
DERIVATIVE INSTRUMENTS - Summar
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Assets | |||
Total derivative assets | $ 181,889 | $ 171,134 | [1] |
Liabilities | |||
Interest rate swaps | 806,952 | 1,006,492 | |
Total derivative liabilities | 900,259 | 1,033,345 | [1] |
Futures contracts | |||
Assets | |||
Other derivative assets | 8,141 | 506 | |
Total derivative assets | 8,141 | 506 | |
Liabilities | |||
Other derivative liabilities | 87,814 | 19,413 | |
Total derivative liabilities | 87,814 | 19,413 | |
Purchase commitments | |||
Assets | |||
Other derivative assets | 3,174 | 49 | |
Total derivative assets | 3,174 | 49 | |
Liabilities | |||
Other derivative liabilities | 2,656 | 0 | |
Total derivative liabilities | 2,656 | ||
Interest rate swaptions | |||
Assets | |||
Other derivative assets | 134,434 | 74,470 | |
Total derivative assets | 134,434 | 74,470 | |
TBA derivatives | |||
Assets | |||
Other derivative assets | 31,944 | 96,109 | |
Total derivative assets | 31,944 | 96,109 | |
Liabilities | |||
Other derivative liabilities | 2,837 | 0 | |
Total derivative liabilities | 2,837 | ||
Credit derivatives | |||
Assets | |||
Other derivative assets | 4,196 | 0 | |
Liabilities | |||
Other derivative liabilities | 0 | 7,440 | |
Total derivative liabilities | 7,440 | ||
Credit derivatives | Maximum | |||
Liabilities | |||
Notional Amount | $ 445,000 | $ 504,000 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
DERIVATIVE INSTRUMENTS - Summ_2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Interest rate swaps, at fair value | ||
Derivative [Line Items] | ||
Current Underlying Notional | $ 41,978,700,000 | $ 34,329,650,000 |
Weighted Average Pay Rate | 0.81% | 0.92% |
Weighted Average Receive Rate | 0.34% | 0.37% |
Weighted Average Underlying Years to Maturity | 3 years 4 months 17 days | 3 years 11 months 8 days |
Interest rate swaps, at fair value | LIBOR | ||
Derivative [Line Items] | ||
Notional Amount, Percentage | 0.13 | 0.17 |
Interest rate swaps, at fair value | Federal funds index swap | ||
Derivative [Line Items] | ||
Notional Amount, Percentage | 0.59 | 0.72 |
Interest rate swaps, at fair value | Secured Overnight Financing Rate | ||
Derivative [Line Items] | ||
Notional Amount, Percentage | 0.28 | 0.11 |
Interest rate swaps, at fair value | 0 - 3 years | ||
Derivative [Line Items] | ||
Minimum Maturity Period | 0 years | 0 years |
Maximum Maturity Period | 3 years | 3 years |
Current Underlying Notional | $ 31,164,200,000 | $ 23,680,150,000 |
Weighted Average Pay Rate | 0.24% | 0.27% |
Weighted Average Receive Rate | 0.09% | 0.11% |
Weighted Average Underlying Years to Maturity | 1 year 6 months 18 days | 1 year 11 months 15 days |
Interest rate swaps, at fair value | 3 - 6 years | ||
Derivative [Line Items] | ||
Minimum Maturity Period | 3 years | 3 years |
Maximum Maturity Period | 6 years | 6 years |
Current Underlying Notional | $ 3,100,000,000 | $ 3,600,000,000 |
Weighted Average Pay Rate | 0.13% | 0.18% |
Weighted Average Receive Rate | 0.08% | 0.09% |
Weighted Average Underlying Years to Maturity | 3 years 10 months 17 days | 4 years 2 months 15 days |
Interest rate swaps, at fair value | 6 - 10 years | ||
Derivative [Line Items] | ||
Minimum Maturity Period | 6 years | 6 years |
Maximum Maturity Period | 10 years | 10 years |
Current Underlying Notional | $ 5,730,500,000 | $ 5,565,500,000 |
Weighted Average Pay Rate | 1.25% | 1.40% |
Weighted Average Receive Rate | 0.61% | 0.62% |
Weighted Average Underlying Years to Maturity | 8 years 2 months 4 days | 7 years 9 months 3 days |
Interest rate swaps, at fair value | Greater than 10 years | ||
Derivative [Line Items] | ||
Minimum Maturity Period | 10 years | 10 years |
Current Underlying Notional | $ 1,984,000,000 | $ 1,484,000,000 |
Weighted Average Pay Rate | 2.68% | 3.06% |
Weighted Average Receive Rate | 0.28% | 0.36% |
Weighted Average Underlying Years to Maturity | 17 years 6 months | 20 years 6 months 7 days |
Forward starting pay fixed swaps | ||
Derivative [Line Items] | ||
Current Underlying Notional | $ 0 | $ 0 |
DERIVATIVE INSTRUMENTS - Summ_3
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Long pay | ||
Derivative [Line Items] | ||
Current Underlying Notional | $ 4,550,000 | $ 8,050,000 |
Weighted Average Underlying Fixed Rate | 1.35% | 1.27% |
Weighted Average Underlying Years to Maturity | 10 years 1 month 20 days | 10 years 4 months 24 days |
Weighted Average Months to Expiration | 2 years 9 months 18 days | 5 years 5 months 1 day |
Long receive | ||
Derivative [Line Items] | ||
Current Underlying Notional | $ 1,500,000 | $ 250,000 |
Weighted Average Underlying Fixed Rate | 1.51% | 1.66% |
Weighted Average Underlying Years to Maturity | 11 years 4 months 24 days | 10 years 7 days |
Weighted Average Months to Expiration | 16 years 11 months 4 days | 1 month 17 days |
DERIVATIVE INSTRUMENTS - Summ_4
DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - Purchase contracts - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Derivative [Line Items] | ||
Notional | $ 17,314,000 | $ 19,635,000 |
Implied Cost Basis | 17,662,043 | 20,277,088 |
Implied Market Value | 17,691,150 | 20,373,197 |
Net Carrying Value | $ 29,107 | $ 96,109 |
DERIVATIVE INSTRUMENTS - Summ_5
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
U.S. Treasury futures | 5 year | ||
Derivative [Line Items] | ||
Maturity Period | 5 years | 5 years |
Weighted Average Underlying Years to Maturity | 4 years 5 months 1 day | 4 years 4 months 24 days |
U.S. Treasury futures | 5 year | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 0 | $ 0 |
U.S. Treasury futures | 5 year | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 2,884,000 | $ 1,240,000 |
U.S. Treasury futures | 10 year and greater | ||
Derivative [Line Items] | ||
Minimum Maturity Period | 10 years | 10 years |
Weighted Average Underlying Years to Maturity | 7 years 5 months 19 days | 6 years 10 months 24 days |
U.S. Treasury futures | 10 year and greater | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 0 | $ 0 |
U.S. Treasury futures | 10 year and greater | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 10,227,500 | $ 9,183,800 |
Futures contracts | ||
Derivative [Line Items] | ||
Weighted Average Underlying Years to Maturity | 6 years 9 months 18 days | 6 years 7 months 6 days |
Futures contracts | Notional - Long Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 0 | $ 0 |
Futures contracts | Notional - Short Positions | ||
Derivative [Line Items] | ||
Notional Amount Long (Short) | $ 13,111,500 | $ 10,423,800 |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Assets | |||
Gross Amounts | $ 181,889 | $ 171,134 | [1] |
Liabilities | |||
Gross Amounts | 900,259 | 1,033,345 | [1] |
Futures contracts, at fair value | |||
Assets | |||
Gross Amounts | 8,141 | 506 | |
Financial Instruments | (8,141) | (506) | |
Cash Collateral | 0 | 0 | |
Net Amounts | 0 | 0 | |
Liabilities | |||
Gross Amounts | 87,814 | 19,413 | |
Financial Instruments | (8,141) | (506) | |
Cash Collateral | (79,673) | (18,907) | |
Net Amounts | 0 | 0 | |
Purchase commitments | |||
Assets | |||
Gross Amounts | 3,174 | 49 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 3,174 | 49 | |
Liabilities | |||
Gross Amounts | 2,656 | ||
Financial Instruments | 0 | ||
Cash Collateral | 0 | ||
Net Amounts | 2,656 | ||
Credit derivatives | |||
Assets | |||
Gross Amounts | 4,196 | ||
Financial Instruments | 0 | ||
Cash Collateral | 0 | ||
Net Amounts | 4,196 | ||
Interest rate swaptions, at fair value | |||
Assets | |||
Gross Amounts | 134,434 | 74,470 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 134,434 | 74,470 | |
TBA derivatives, at fair value | |||
Assets | |||
Gross Amounts | 31,944 | 96,109 | |
Financial Instruments | (2,596) | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 29,348 | 96,109 | |
Liabilities | |||
Gross Amounts | 2,837 | ||
Financial Instruments | (2,596) | ||
Cash Collateral | 0 | ||
Net Amounts | 241 | ||
Credit derivatives | |||
Liabilities | |||
Gross Amounts | 7,440 | ||
Financial Instruments | 0 | ||
Cash Collateral | (7,440) | ||
Net Amounts | 0 | ||
Interest rate swaps, at fair value | |||
Liabilities | |||
Gross Amounts | 806,952 | 1,006,492 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | (83,737) | (108,757) | |
Net Amounts | $ 723,215 | $ 897,735 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
DERIVATIVE INSTRUMENTS - Effect
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Net Interest Component of Interest Rate Swaps | $ (83,087) | $ (64,561) | $ (162,834) | $ (78,541) |
Realized Gains (Losses) on Termination of Interest Rate Swaps | 0 | (1,521,732) | 0 | (1,919,293) |
Unrealized Gains (Losses) on Interest Rate Swaps | $ (141,067) | $ 1,494,628 | $ 631,195 | $ (1,333,095) |
DERIVATIVE INSTRUMENTS - Effe_2
DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Derivative [Line Items] | ||||
Unrealized Gains (Losses) on Interest Rate Swaps | $ (141,067) | $ 1,494,628 | $ 631,195 | $ (1,333,095) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments | (357,808) | 170,916 | 117,899 | 377,342 |
Futures | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | 183,383 | 246 | 479,547 | (279,230) |
Unrealized Gains (Losses) on Interest Rate Swaps | (577,899) | (17,579) | (60,766) | (10,687) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments | (394,516) | (17,333) | 418,781 | (289,917) |
Purchase commitments | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | 0 | 0 | 0 | 0 |
Unrealized Gains (Losses) on Interest Rate Swaps | 2,376 | 9,666 | 469 | (1,143) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments | 2,376 | 9,666 | 469 | (1,143) |
TBA derivatives | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | 10,045 | 250,525 | (277,844) | 521,610 |
Unrealized Gains (Losses) on Interest Rate Swaps | 275,226 | (46,363) | (67,002) | 114,331 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments | 285,271 | 204,162 | (344,846) | 635,941 |
Interest rate swaptions, at fair value | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | (22,787) | (29,880) | (44,997) | 21,566 |
Unrealized Gains (Losses) on Interest Rate Swaps | (232,860) | (22,634) | 73,130 | 47,499 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments | (255,647) | (52,514) | 28,133 | 69,065 |
Credit derivatives | ||||
Derivative [Line Items] | ||||
Realized Gain (Loss) | 2,777 | 1,203 | 4,408 | 3,128 |
Unrealized Gains (Losses) on Interest Rate Swaps | 1,931 | 25,732 | 10,954 | (39,732) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments | $ 4,708 | $ 26,935 | $ 15,362 | $ (36,604) |
FAIR VALUE MEASUREMENTS - Estim
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | ||
Assets | ||||||||
Mortgage-backed securities | [1] | $ 69,032,335 | $ 75,652,396 | [2] | ||||
Loans | ||||||||
Mortgage servicing rights | 202,616 | $ 113,080 | 100,895 | $ 227,400 | $ 280,558 | $ 378,078 | ||
Assets transferred or pledged to securitization vehicles | 4,073,156 | 6,910,020 | [2] | |||||
Liabilities | ||||||||
Participations issued | 315,810 | 39,198 | [2] | |||||
Derivative liabilities | ||||||||
Interest rate swaps | 806,952 | 1,006,492 | ||||||
Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | 4,497,922 | 3,595,061 | ||||||
Fair Value, Measurements, Recurring | ||||||||
Assets | ||||||||
Agency mortgage-backed securities | 66,468,519 | 74,067,059 | ||||||
Credit risk transfer securities | 827,328 | 532,403 | ||||||
Loans | ||||||||
Mortgage servicing rights | 202,616 | 100,895 | ||||||
Interests in MSR | 49,035 | |||||||
Assets transferred or pledged to securitization vehicles | 4,073,156 | 6,035,671 | ||||||
Derivative assets | ||||||||
Other derivatives | 181,889 | 171,134 | ||||||
Total assets | 74,568,959 | 82,305,906 | ||||||
Liabilities | ||||||||
Debt issued by securitization vehicles | 3,315,087 | 5,652,982 | ||||||
Participations issued | 315,810 | 39,198 | ||||||
Derivative liabilities | ||||||||
Interest rate swaps | 806,952 | 1,006,492 | ||||||
Other derivatives | 93,307 | 26,853 | ||||||
Total liabilities | 4,531,156 | 6,725,525 | ||||||
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 1,582,323 | 972,192 | ||||||
Fair Value, Measurements, Recurring | Commercial Mortgage Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 154,165 | 80,742 | ||||||
Fair Value, Measurements, Recurring | Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | 1,029,928 | 345,810 | ||||||
Fair Value, Measurements, Recurring | Level 1 | ||||||||
Assets | ||||||||
Agency mortgage-backed securities | 0 | 0 | ||||||
Credit risk transfer securities | 0 | 0 | ||||||
Loans | ||||||||
Mortgage servicing rights | 0 | 0 | ||||||
Interests in MSR | 0 | |||||||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||||||
Derivative assets | ||||||||
Other derivatives | 8,141 | 506 | ||||||
Total assets | 8,141 | 506 | ||||||
Liabilities | ||||||||
Debt issued by securitization vehicles | 0 | 0 | ||||||
Participations issued | 0 | 0 | ||||||
Derivative liabilities | ||||||||
Interest rate swaps | 0 | 0 | ||||||
Other derivatives | 87,814 | 19,413 | ||||||
Total liabilities | 87,814 | 19,413 | ||||||
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 2 | ||||||||
Assets | ||||||||
Agency mortgage-backed securities | 66,468,519 | 74,067,059 | ||||||
Credit risk transfer securities | 827,328 | 532,403 | ||||||
Loans | ||||||||
Mortgage servicing rights | 0 | 0 | ||||||
Interests in MSR | 0 | |||||||
Assets transferred or pledged to securitization vehicles | 4,073,156 | 6,035,671 | ||||||
Derivative assets | ||||||||
Other derivatives | 173,748 | 170,628 | ||||||
Total assets | 74,309,167 | 82,204,505 | ||||||
Liabilities | ||||||||
Debt issued by securitization vehicles | 3,315,087 | 5,652,982 | ||||||
Participations issued | 315,810 | 39,198 | ||||||
Derivative liabilities | ||||||||
Interest rate swaps | 806,952 | 1,006,492 | ||||||
Other derivatives | 5,493 | 7,440 | ||||||
Total liabilities | 4,443,342 | 6,706,112 | ||||||
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 1,582,323 | 972,192 | ||||||
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 154,165 | 80,742 | ||||||
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | 1,029,928 | 345,810 | ||||||
Fair Value, Measurements, Recurring | Level 3 | ||||||||
Assets | ||||||||
Agency mortgage-backed securities | 0 | 0 | ||||||
Credit risk transfer securities | 0 | 0 | ||||||
Loans | ||||||||
Mortgage servicing rights | 202,616 | 100,895 | ||||||
Interests in MSR | 49,035 | |||||||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||||||
Derivative assets | ||||||||
Other derivatives | 0 | 0 | ||||||
Total assets | 251,651 | 100,895 | ||||||
Liabilities | ||||||||
Debt issued by securitization vehicles | 0 | 0 | ||||||
Participations issued | 0 | 0 | ||||||
Derivative liabilities | ||||||||
Interest rate swaps | 0 | 0 | ||||||
Other derivatives | 0 | 0 | ||||||
Total liabilities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage Backed Securities | ||||||||
Assets | ||||||||
Mortgage-backed securities | 0 | 0 | ||||||
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage Loans | ||||||||
Loans | ||||||||
Residential mortgage loans | $ 0 | $ 0 | ||||||
[1] | Excludes $48.4 million and $81.5 million at June 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $191.8 million and $576.6 million at June 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at June 30, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. | |||||||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. |
FAIR VALUE MEASUREMENTS - Infor
FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021USD ($) | Dec. 31, 2020USD ($) | |
Mortgage Servicing Rights | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unobservable input, cost to service | $ 99 | |
Mortgage Servicing Rights | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unobservable input, cost to service | 106 | |
Mortgage Servicing Rights | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unobservable input, cost to service | 101 | |
Interest in MSRs | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unobservable input, cost to service | 78 | |
Interest in MSRs | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unobservable input, cost to service | 86 | |
Interest in MSRs | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unobservable input, cost to service | 85 | |
Consolidated VIEs | Mortgage Servicing Rights | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unobservable input, cost to service | 84 | $ 83 |
Consolidated VIEs | Mortgage Servicing Rights | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unobservable input, cost to service | 114 | 108 |
Consolidated VIEs | Mortgage Servicing Rights | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unobservable input, cost to service | $ 99 | $ 98 |
Discount rate | Mortgage Servicing Rights | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.018 | |
Discount rate | Mortgage Servicing Rights | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.217 | |
Discount rate | Mortgage Servicing Rights | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.090 | |
Discount rate | Interest in MSRs | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.095 | |
Discount rate | Interest in MSRs | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.114 | |
Discount rate | Interest in MSRs | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.100 | |
Discount rate | Consolidated VIEs | Mortgage Servicing Rights | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.090 | 0.090 |
Discount rate | Consolidated VIEs | Mortgage Servicing Rights | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.120 | 0.120 |
Discount rate | Consolidated VIEs | Mortgage Servicing Rights | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.090 | 0.094 |
Prepayment rate | Mortgage Servicing Rights | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.067 | |
Prepayment rate | Mortgage Servicing Rights | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.144 | |
Prepayment rate | Mortgage Servicing Rights | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.075 | |
Prepayment rate | Interest in MSRs | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.048 | |
Prepayment rate | Interest in MSRs | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.146 | |
Prepayment rate | Interest in MSRs | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.090 | |
Prepayment rate | Consolidated VIEs | Mortgage Servicing Rights | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.094 | 0.193 |
Prepayment rate | Consolidated VIEs | Mortgage Servicing Rights | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.307 | 0.555 |
Prepayment rate | Consolidated VIEs | Mortgage Servicing Rights | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.202 | 0.420 |
Delinquency rate | Mortgage Servicing Rights | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.009 | |
Delinquency rate | Mortgage Servicing Rights | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.018 | |
Delinquency rate | Mortgage Servicing Rights | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.011 | |
Delinquency rate | Interest in MSRs | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.006 | |
Delinquency rate | Interest in MSRs | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.050 | |
Delinquency rate | Interest in MSRs | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.018 | |
Delinquency rate | Consolidated VIEs | Mortgage Servicing Rights | Minimum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0 | 0 |
Delinquency rate | Consolidated VIEs | Mortgage Servicing Rights | Maximum | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.060 | 0.060 |
Delinquency rate | Consolidated VIEs | Mortgage Servicing Rights | Weighted Average | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
MSR measurement inputs | 0.024 | 0.025 |
FAIR VALUE MEASUREMENTS - Est_2
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Financial assets | |||
Assets transferred or pledged to securitization vehicles | $ 4,073,156 | $ 6,910,020 | [1] |
Corporate debt, held for sale | 69,032,335 | 75,652,396 | |
Financial liabilities | |||
Other secured financing | 909,655 | 917,876 | [1] |
Carrying Value | Level 3 | |||
Financial assets | |||
Commercial real estate debt and preferred equity, held for investment | 0 | 1,372,430 | |
Corporate debt, held for investment | 2,066,709 | 2,239,930 | |
Financial liabilities | |||
Mortgages payable | 0 | 426,256 | |
Carrying Value | Level 3 | Corporate Loans | |||
Financial assets | |||
Corporate debt, held for sale | 466,370 | 0 | |
Carrying Value | Level 2 | |||
Financial assets | |||
Assets transferred or pledged to securitization vehicles | 0 | 874,349 | |
Financial liabilities | |||
Repurchase agreements | 60,221,067 | 64,825,239 | |
Other secured financing | 909,655 | 917,876 | |
Fair Value | Level 3 | |||
Financial assets | |||
Commercial real estate debt and preferred equity, held for investment | 0 | 1,442,071 | |
Corporate debt, held for investment | 2,080,002 | 2,226,045 | |
Financial liabilities | |||
Mortgages payable | 0 | 474,779 | |
Fair Value | Level 3 | Corporate Loans | |||
Financial assets | |||
Corporate debt, held for sale | 466,370 | 0 | |
Fair Value | Level 2 | |||
Financial assets | |||
Assets transferred or pledged to securitization vehicles | 0 | 928,732 | |
Financial liabilities | |||
Repurchase agreements | 60,221,067 | 64,825,239 | |
Other secured financing | $ 909,655 | $ 917,876 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
GOODWILL AND INTANGIBLE ASSET_2
GOODWILL AND INTANGIBLE ASSETS - Narrative (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 |
Finite-Lived Intangible Assets [Line Items] | ||||
Goodwill | $ 0 | $ 0 | $ 71,800 | |
Impairment | $ 9,549 | |||
Assembled workforce | ||||
Finite-Lived Intangible Assets [Line Items] | ||||
Intangible assets acquired | $ 41,200 | |||
Assembled workforce | Business divesture-related gain (loss) | ||||
Finite-Lived Intangible Assets [Line Items] | ||||
Impairment | 5,200 | |||
Assembled workforce | Other income (loss) | ||||
Finite-Lived Intangible Assets [Line Items] | ||||
Impairment | $ 4,300 |
GOODWILL AND INTANGIBLE ASSET_3
GOODWILL AND INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Intangible Assets, net | |
Balance at December 31, 2020 | $ 55,526 |
Impairment | (9,549) |
Intangible assets included in disposal group held for sale | (14,528) |
Less: amortization expense | (4,947) |
Balance at June 30, 2021 | $ 26,502 |
SECURED FINANCING - Narrative (
SECURED FINANCING - Narrative (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | ||
Debt Disclosure [Abstract] | |||
Netted amounts | $ 60,221,067 | $ 64,825,239 | [1] |
Repurchase agreements - weighted average remaining maturities | 88 days | 64 days | |
Repurchase agreement amount | $ 1,600,000 | ||
Remaining capacity of repurchase agreement | 1,400,000 | ||
Fair value of collateral received for reverse repurchase agreements | 0 | $ 250,000 | |
Secured financings and interest rate swaps - collateral held, estimated fair value | 65,200,000 | 70,600,000 | |
Secured financings and interest rate swaps - collateral held, accrued interest | $ 176,800 | $ 196,900 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
SECURED FINANCING - Repurchase
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Jun. 30, 2021 | ||
Repurchase Agreements: | |||
Netted amounts | $ 64,825,239 | [1] | $ 60,221,067 |
Weighted Average Rate | 0.32% | 0.16% | |
Repurchase agreements, remaining maturities, percentage | 0.00% | ||
Percent of total repurchase agreements with remaining maturity over 1 year (less than) | 1.00% | ||
CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 245,686 | $ 248,175 | |
Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 1,050,439 | 727,425 | |
Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 184,723 | 218,542 | |
Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 271,801 | ||
Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 62,744,910 | 58,805,571 | |
Commercial Mortgage Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 327,680 | 221,354 | |
1 day | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 10,195,167 | |
Weighted Average Rate | 0.00% | 0.09% | |
1 day | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 0 | |
1 day | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
1 day | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
1 day | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | ||
1 day | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 10,052,550 | |
1 day | Commercial Mortgage Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 142,617 | |
2 to 29 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 30,841,838 | $ 16,221,282 | |
Weighted Average Rate | 0.29% | 0.14% | |
2 to 29 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 129,993 | $ 178,719 | |
2 to 29 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 354,904 | 290,174 | |
2 to 29 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 76,799 | 0 | |
2 to 29 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | ||
2 to 29 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 30,151,875 | 15,688,201 | |
2 to 29 days | Commercial Mortgage Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 128,267 | 64,188 | |
30 to 59 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 10,567,655 | $ 6,437,669 | |
Weighted Average Rate | 0.42% | 0.27% | |
30 to 59 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 16,073 | $ 66,309 | |
30 to 59 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 161,274 | 212,087 | |
30 to 59 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 177,401 | |
30 to 59 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | ||
30 to 59 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 10,247,972 | 5,981,872 | |
30 to 59 days | Commercial Mortgage Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 142,336 | 0 | |
60 to 89 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 8,568,837 | $ 4,639,953 | |
Weighted Average Rate | 0.30% | 0.16% | |
60 to 89 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 99,620 | $ 3,147 | |
60 to 89 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 259,401 | 126,747 | |
60 to 89 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
60 to 89 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | ||
60 to 89 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 8,181,410 | 4,495,510 | |
60 to 89 days | Commercial Mortgage Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 28,406 | 14,549 | |
90 to 119 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 2,154,733 | $ 5,873,992 | |
Weighted Average Rate | 0.23% | 0.16% | |
90 to 119 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 0 | |
90 to 119 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
90 to 119 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
90 to 119 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | ||
90 to 119 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 2,154,733 | 5,873,992 | |
90 to 119 days | Commercial Mortgage Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
Over 119 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 12,692,176 | $ 16,853,004 | |
Weighted Average Rate | 0.36% | 0.18% | |
Over 119 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 0 | |
Over 119 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 274,860 | 98,417 | |
Over 119 days | Residential Mortgage Loans | |||
Repurchase Agreements: | |||
Netted amounts | 107,924 | 41,141 | |
Over 119 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 271,801 | ||
Over 119 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 12,008,920 | 16,713,446 | |
Over 119 days | Commercial Mortgage Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | $ 28,671 | $ 0 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
SECURED FINANCING - Summary of
SECURED FINANCING - Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Reverse Repurchase Agreements | |||
Gross amounts | $ 0 | $ 250,000 | |
Amounts offset | 0 | (250,000) | |
Netted amounts | 0 | 0 | |
Repurchase Agreements | |||
Gross amounts | 60,221,067 | 65,075,239 | |
Amounts offset | 0 | (250,000) | |
Netted amounts | $ 60,221,067 | $ 64,825,239 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
CAPITAL STOCK - Schedule of Com
CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares | Jun. 30, 2021 | Dec. 31, 2020 |
Equity [Abstract] | ||
Shares authorized (in shares) | 2,936,500,000 | 2,914,850,000 |
Shares issued (in shares) | 1,444,156,029 | 1,398,240,618 |
Shares outstanding (in shares) | 1,444,156,029 | 1,398,240,618 |
Par Value (in dollars per share) | $ 0.01 | $ 0.01 |
CAPITAL STOCK - Narrative (Deta
CAPITAL STOCK - Narrative (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended | ||||
Jan. 31, 2018 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | Jun. 30, 2019 | |
Class of Stock [Line Items] | |||||||
Authorized amount of stock available for repurchase (up to) | $ 1,500,000,000 | $ 1,500,000,000 | |||||
Shares repurchased (in shares) | 0 | 22,900,000 | 0 | 22,900,000 | |||
Aggregate cost of shares repurchased | $ 143,300,000 | ||||||
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||||
Preferred stock, redemption price (in dollars per share) | $ 25 | $ 25 | |||||
At-the-market Sale Program | |||||||
Class of Stock [Line Items] | |||||||
Aggregate stock offering price (up to) | $ 1,500,000,000 | ||||||
Sale of stock, shares issued (in shares) | 45,500,000 | 0 | 45,500,000 | 0 | |||
Proceeds from sale of stock | $ 420,400,000 | $ 420,400,000 |
CAPITAL STOCK - Schedule of Pre
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2021 | Dec. 31, 2020 | ||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 63,500,000 | 85,150,000 | |
Shares Issued (in shares) | 63,500,000 | 63,500,000 | |
Shares Outstanding (in shares) | 63,500,000 | 63,500,000 | |
Carrying Value | $ 1,536,569 | $ 1,536,569 | [1] |
Series D | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 0 | 18,400,000 | |
Shares Issued (in shares) | 0 | 0 | |
Shares Outstanding (in shares) | 0 | 0 | |
Carrying Value | $ 0 | $ 0 | |
Contractual Rate | 7.50% | ||
Series F | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 28,800,000 | 28,800,000 | |
Shares Issued (in shares) | 28,800,000 | 28,800,000 | |
Shares Outstanding (in shares) | 28,800,000 | 28,800,000 | |
Carrying Value | $ 696,910 | $ 696,910 | |
Contractual Rate | 6.95% | ||
Floating Annual Rate | 4.993% | ||
Series G | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 17,000,000 | 19,550,000 | |
Shares Issued (in shares) | 17,000,000 | 17,000,000 | |
Shares Outstanding (in shares) | 17,000,000 | 17,000,000 | |
Carrying Value | $ 411,335 | $ 411,335 | |
Contractual Rate | 6.50% | ||
Floating Annual Rate | 4.172% | ||
Series I | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 17,700,000 | 18,400,000 | |
Shares Issued (in shares) | 17,700,000 | 17,700,000 | |
Shares Outstanding (in shares) | 17,700,000 | 17,700,000 | |
Carrying Value | $ 428,324 | $ 428,324 | |
Contractual Rate | 6.75% | ||
Floating Annual Rate | 4.989% | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2020. |
CAPITAL STOCK - Summary of Divi
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Dividends Payable [Line Items] | ||||
Dividends and dividend equivalents declared on common stock and share-based awards | $ 318,534 | $ 309,972 | $ 626,880 | $ 667,791 |
Distributions declared per common share (in dollars per share) | $ 0.22 | $ 0.22 | $ 0.44 | $ 0.47 |
Distributions paid to common stockholders after period end | $ 317,714 | $ 309,686 | $ 317,714 | $ 309,686 |
Distributions paid per common share after period end (in dollars per share) | $ 0.22 | $ 0.22 | $ 0.22 | $ 0.22 |
Series D | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 0 | $ 8,625 | $ 0 | $ 17,250 |
Preferred series dividends declared (in dollars per share) | $ 0 | $ 0.469 | $ 0 | $ 0.938 |
Series F | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 12,510 | $ 12,510 | $ 25,020 | $ 25,020 |
Preferred series dividends declared (in dollars per share) | $ 0.434 | $ 0.434 | $ 0.869 | $ 0.869 |
Series G | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 6,906 | $ 6,906 | $ 13,812 | $ 13,812 |
Preferred series dividends declared (in dollars per share) | $ 0.406 | $ 0.406 | $ 0.813 | $ 0.813 |
Series I | ||||
Dividends Payable [Line Items] | ||||
Preferred dividends declared | $ 7,467 | $ 7,468 | $ 14,934 | $ 14,936 |
Preferred series dividends declared (in dollars per share) | $ 0.422 | $ 0.422 | $ 0.844 | $ 0.844 |
INTEREST INCOME AND INTEREST _3
INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Interest income | ||||
Residential securities | $ 275,278 | $ 457,684 | $ 919,912 | $ 868,064 |
Residential mortgage loans | 38,963 | 42,871 | 76,072 | 90,428 |
Commercial investment portfolio | 69,663 | 84,208 | 151,264 | 179,884 |
Reverse repurchase agreements | 2 | 49 | 36 | 1,462 |
Total interest income | 383,906 | 584,812 | 1,147,284 | 1,139,838 |
Interest expense | ||||
Repurchase agreements | 29,140 | 136,962 | 71,725 | 570,983 |
Debt issued by securitization vehicles | 23,216 | 38,757 | 49,492 | 80,876 |
Participations issued | 1,739 | 0 | 2,336 | 0 |
Other | 6,952 | 10,313 | 13,467 | 37,646 |
Total interest expense | 61,047 | 186,032 | 137,020 | 689,505 |
Net interest income | $ 322,859 | $ 398,780 | $ 1,010,264 | $ 450,333 |
NET INCOME (LOSS) PER COMMON _3
NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Earnings Per Share [Abstract] | ||||
Net income (loss) | $ (294,848) | $ 856,234 | $ 1,456,286 | $ (2,783,955) |
Net income (loss) attributable to noncontrolling interests | 794 | 32 | 1,115 | 98 |
Net income (loss) attributable to Annaly | (295,642) | 856,202 | 1,455,171 | (2,784,053) |
Dividends on preferred stock | 26,883 | 35,509 | 53,766 | 71,018 |
Net income (loss) available (related) to common stockholders | $ (322,525) | $ 820,693 | $ 1,401,405 | $ (2,855,071) |
Weighted average shares of common stock outstanding-basic (in shares) | 1,410,239,138 | 1,423,909,112 | 1,404,755,496 | 1,427,451,716 |
Add: Effect of stock awards, if dilutive (in shares) | 0 | 0 | 1,008,776 | 0 |
Weighted average shares of common stock outstanding-diluted (in shares) | 1,410,239,138 | 1,423,909,112 | 1,405,764,272 | 1,427,451,716 |
Net income (loss) per share available (related) to common share | ||||
Basic (in dollars per share) | $ (0.23) | $ 0.58 | $ 1 | $ (2) |
Diluted (in dollars per share) | $ (0.23) | $ 0.58 | $ 1 | $ (2) |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Narrative (Details) - shares shares in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2020 | |
Earnings Per Share [Abstract] | |||
Options to purchase common stock (in shares) | 3.2 | 0.5 | 0.4 |
INCOME TAXES - Narrative (Detai
INCOME TAXES - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Income Taxes: | ||||
REIT Taxable income distributed | 100.00% | |||
Income tax expense (benefit) | $ 5,134 | $ 2,055 | $ 4,813 | $ (24,647) |
Taxable REIT Subsidiary | ||||
Income Taxes: | ||||
Income tax expense (benefit) | $ 5,100 | $ 2,100 | $ 4,800 | $ (24,600) |
RELATED PARTY TRANSACTIONS - Na
RELATED PARTY TRANSACTIONS - Narrative (Details) $ / shares in Units, $ in Thousands | Feb. 11, 2020USD ($) | Jun. 30, 2021USD ($) | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($) | Jun. 30, 2020USD ($) | Feb. 12, 2020$ / shares |
Related Party Transaction [Line Items] | ||||||
Equity interests (in usd per share) | $ / shares | $ 1 | |||||
Ratio of percentage of stockholders' equity paid up to predetermined amount | 0.000875 | |||||
Predetermined amount of stockholders equity used in calculating monthly management fee | $ 17,280,000 | |||||
Ratio of percentage of stockholders' equity paid over a predetermined amount | 0.0075 | |||||
Compensation and management fee | $ 32,013 | $ 37,036 | $ 63,531 | $ 77,861 | ||
Management Agreement | ||||||
Related Party Transaction [Line Items] | ||||||
Reimbursement payments | $ 7,100 | $ 14,200 |
LEASE COMMITMENTS AND CONTING_3
LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | |
Leases [Abstract] | |||
Remaining lease term, in years | 4 years | ||
Option to extend, in years | 5 years | 5 years | |
Lease cost | $ 0.7 | $ 1.6 | |
Material contingencies | $ 0 | $ 0 | $ 0 |
LEASE COMMITMENTS AND CONTING_4
LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Leases [Abstract] | |
Operating lease right-of-use assets | $ 11,843 |
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible Enumeration] | Other assets |
Operating lease liabilities | $ 15,437 |
Operating Lease, Liability, Statement of Financial Position [Extensible Enumeration] | us-gaap:OtherLiabilities |
Weighted average remaining lease term | 4 years 2 months 12 days |
Weighted average discount rate | 2.90% |
Operating cash flows from operating leases | $ 1,983 |
LEASE COMMITMENTS AND CONTING_5
LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands | Jun. 30, 2021USD ($) |
Leases [Abstract] | |
2021 (remaining) | $ 1,935 |
2022 | 3,862 |
2023 | 3,862 |
2024 | 3,862 |
2025 | 2,895 |
Total lease payments | 16,416 |
Less imputed interest | 979 |
Present value of lease liabilities | $ 15,437 |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - Arcola $ in Millions | Jun. 30, 2021USD ($) |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 516.9 |
Regulatory net capital, excess net capital | $ 516.6 |
SUBSEQUENT EVENTS (Details)
SUBSEQUENT EVENTS (Details) - USD ($) $ in Thousands | 1 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jul. 31, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | |||
Subsequent Event [Line Items] | |||||
Face value of financing receivable | [1] | $ 3,563,008 | $ 3,083,821 | [2] | |
Corporate Loans | |||||
Subsequent Event [Line Items] | |||||
Loans sold | $ 581,428 | $ 353,090 | |||
Subsequent Event | Corporate Loans | |||||
Subsequent Event [Line Items] | |||||
Loans sold | $ 466,400 | ||||
Subsequent Event | OBX 2021--J1 Trust | Consolidated VIEs | |||||
Subsequent Event [Line Items] | |||||
Face value of financing receivable | $ 382,500 | ||||
[1] | Includes $3.7 million and $47.0 million of residential mortgage loans held for sale at June 30, 2021 and December 31, 2020, respectively, and $466.4 million and $0 of corporate loans held for sale at June 30, 2021 and December 31, 2020, respectively. | ||||
[2] | Derived from the audited consolidated financial statements at December 31, 2020. |
Uncategorized Items - nly-20210
Label | Element | Value |
Accounting Standards Update [Extensible Enumeration] | us-gaap_AccountingStandardsUpdateExtensibleList | Accounting Standards Update 2016-13 [Member] |