MARYLAND
|
22-3479661
|
(State or other jurisdiction of incorporation or organization)
|
(IRS Employer Identification No.)
|
1211 AVENUE OF THE AMERICAS
|
|
NEW YORK, NEW YORK
|
10036 ……
|
(Address of principal executive offices)
|
(Zip Code) ……..
|
Large accelerated filer ☑
|
Accelerated filer ☐
|
Non-accelerated filer ☐
|
Smaller reporting company ☐
|
Class
|
Outstanding at April 30, 2016
|
Common Stock, $.01 par value
|
924,862,679
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||||
(dollars in thousands, except per share data)
|
||||||||
March 31,
|
December 31,
|
|||||||
2016
|
2015 (1)
|
|||||||
(Unaudited)
|
||||||||
ASSETS
|
||||||||
Cash and cash equivalents (including cash pledged as collateral of $2,223,009 and $1,584,686, respectively) (2)
|
$
|
2,416,136
|
$
|
1,769,258
|
||||
Investments, at fair value:
|
||||||||
Agency mortgage-backed securities (including pledged assets of $60,742,440 and $60,678,548, respectively)
|
65,439,824
|
65,718,224
|
||||||
Agency debentures (including pledged assets of $0 and $0, respectively)
|
157,035
|
152,038
|
||||||
Credit risk transfer securities (including pledged assets of $150,479 and $184,160, respectively)
|
501,167
|
456,510
|
||||||
Non-Agency mortgage-backed securities (including pledged assets of $1,057,282 and $744,783, respectively)
|
1,157,507
|
906,722
|
||||||
Commercial real estate debt investments (including pledged assets of $4,401,725 and $2,911,828, respectively) (3)
|
4,401,725
|
2,911,828
|
||||||
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $523,787 and
$578,820, respectively) (4)
|
1,177,468
|
1,348,817
|
||||||
Loans held for sale
|
278,600
|
278,600
|
||||||
Investments in commercial real estate
|
527,786
|
535,946
|
||||||
Corporate debt
|
639,481
|
488,508
|
||||||
Interest rate swaps, at fair value
|
93,312
|
19,642
|
||||||
Other derivatives, at fair value
|
77,449
|
22,066
|
||||||
Receivable for investments sold
|
2,220
|
121,625
|
||||||
Accrued interest and dividends receivable
|
232,180
|
231,336
|
||||||
Other assets
|
234,407
|
119,422
|
||||||
Goodwill
|
71,815
|
71,815
|
||||||
Intangible assets, net
|
35,853
|
38,536
|
||||||
Total assets
|
$
|
77,443,965
|
$
|
75,190,893
|
||||
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
||||||||
Liabilities:
|
||||||||
Repurchase agreements
|
$
|
54,448,141
|
$
|
56,230,860
|
||||
Other secured financing
|
3,588,326
|
1,845,048
|
||||||
Securitized debt of consolidated VIEs (5)
|
3,802,682
|
2,540,711
|
||||||
Participation sold
|
13,182
|
13,286
|
||||||
Mortgages payable
|
334,765
|
334,707
|
||||||
Interest rate swaps, at fair value
|
2,782,961
|
1,677,571
|
||||||
Other derivatives, at fair value
|
69,171
|
49,963
|
||||||
Dividends payable
|
277,456
|
280,779
|
||||||
Payable for investments purchased
|
250,612
|
107,115
|
||||||
Accrued interest payable
|
163,983
|
151,843
|
||||||
Accounts payable and other liabilities
|
54,679
|
53,088
|
||||||
Total liabilities
|
65,785,958
|
63,284,971
|
||||||
Stockholders’ Equity:
|
||||||||
7.875% Series A Cumulative Redeemable Preferred Stock:
7,412,500 authorized, issued and outstanding
|
177,088
|
177,088
|
||||||
7.625% Series C Cumulative Redeemable Preferred Stock:
12,650,000 authorized, 12,000,000 issued and outstanding
|
290,514
|
290,514
|
||||||
7.50% Series D Cumulative Redeemable Preferred Stock:
18,400,000 authorized, issued and outstanding
|
445,457
|
445,457
|
||||||
Common stock, par value $0.01 per share, 1,956,937,500 authorized,
924,853,133 and 935,929,561 issued and outstanding, respectively
|
9,249
|
9,359
|
||||||
Additional paid-in capital
|
14,573,760
|
14,675,768
|
||||||
Accumulated other comprehensive income (loss)
|
640,366
|
(377,596
|
)
|
|||||
Accumulated deficit
|
(4,487,982
|
)
|
(3,324,616
|
)
|
||||
Total stockholders’ equity
|
11,648,452
|
11,895,974
|
||||||
Noncontrolling interest
|
9,555
|
9,948
|
||||||
Total equity
|
11,658,007
|
11,905,922
|
||||||
Total liabilities and equity
|
$
|
77,443,965
|
$
|
75,190,893
|
(1) | Derived from the audited consolidated financial statements at December 31, 2015. |
(2) | Includes cash of consolidated VIEs of $50.7 million and $48.5 million at March 31, 2016 and December 31, 2015, respectively. |
(3) | Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $4.0 billion and $2.6 billion at March 31, 2016 and December 31, 2015, respectively. |
(4) | Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $211.9 million and $262.7 million carried at amortized cost, net of an allowance for losses of $0, at March 31, 2016 and December 31, 2015, respectively. |
(5) | Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at March 31, 2016 and December 31, 2015, respectively. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
||||||||
(dollars in thousands, except per share data)
|
||||||||
(Unaudited)
|
||||||||
For the Quarters Ended
|
||||||||
March 31,
|
March 31,
|
|||||||
2016
|
2015
|
|||||||
Net interest income:
|
||||||||
Interest income
|
$
|
388,143
|
$
|
519,114
|
||||
Interest expense
|
147,447
|
129,420
|
||||||
Net interest income
|
240,696
|
389,694
|
||||||
Realized and unrealized gains (losses):
|
||||||||
Realized gains (losses) on interest rate swaps(1)
|
(147,475
|
)
|
(158,239
|
)
|
||||
Realized gains (losses) on termination of interest rate swaps
|
-
|
(226,462
|
)
|
|||||
Unrealized gains (losses) on interest rate swaps
|
(1,031,720
|
)
|
(466,202
|
)
|
||||
Subtotal
|
(1,179,195
|
)
|
(850,903
|
)
|
||||
Net gains (losses) on disposal of investments
|
(1,675
|
)
|
62,356
|
|||||
Net gains (losses) on trading assets
|
125,189
|
(6,906
|
)
|
|||||
Net unrealized gains (losses) on financial instruments measured at fair value through earnings
|
128
|
(33,546
|
)
|
|||||
Subtotal
|
123,642
|
21,904
|
||||||
Total realized and unrealized gains (losses)
|
(1,055,553
|
)
|
(828,999
|
)
|
||||
Other income (loss):
|
||||||||
Investment advisory income
|
-
|
10,464
|
||||||
Dividend income from affiliate
|
-
|
4,318
|
||||||
Other income (loss)
|
(6,115
|
)
|
(1,024
|
)
|
||||
Total other income (loss)
|
(6,115
|
)
|
13,758
|
|||||
General and administrative expenses:
|
||||||||
Compensation and management fee
|
36,997
|
38,629
|
||||||
Other general and administrative expenses
|
10,948
|
12,309
|
||||||
Total general and administrative expenses
|
47,945
|
50,938
|
||||||
Income (loss) before income taxes
|
(868,917
|
)
|
(476,485
|
)
|
||||
Income taxes
|
(837
|
)
|
14
|
|||||
Net income (loss)
|
(868,080
|
)
|
(476,499
|
)
|
||||
Net income (loss) attributable to noncontrolling interest
|
(162
|
)
|
(90
|
)
|
||||
Net income (loss) attributable to Annaly
|
(867,918
|
)
|
(476,409
|
)
|
||||
Dividends on preferred stock
|
17,992
|
17,992
|
||||||
Net income (loss) available (related) to common stockholders
|
$
|
(885,910
|
)
|
$
|
(494,401
|
)
|
||
Net income (loss) per share available (related) to common stockholders:
|
||||||||
Basic
|
$
|
(0.96
|
)
|
$
|
(0.52
|
)
|
||
Diluted
|
$
|
(0.96
|
)
|
$
|
(0.52
|
)
|
||
Weighted average number of common shares outstanding:
|
||||||||
Basic
|
926,813,588
|
947,669,831
|
||||||
Diluted
|
926,813,588
|
947,669,831
|
||||||
Dividends Declared Per Share of Common Stock
|
$
|
0.30
|
$
|
0.30
|
||||
Net income (loss)
|
$
|
(868,080
|
)
|
$
|
(476,499
|
)
|
||
Other comprehensive income (loss):
|
||||||||
Unrealized gains (losses) on available-for-sale securities
|
1,017,707
|
631,472
|
||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
255
|
(62,356
|
)
|
|||||
Other comprehensive income (loss)
|
1,017,962
|
569,116
|
||||||
Comprehensive income (loss)
|
$
|
149,882
|
$
|
92,617
|
||||
Comprehensive income (loss) attributable to noncontrolling interest
|
(162
|
)
|
(90
|
)
|
||||
Comprehensive income (loss) attributable to Annaly
|
150,044
|
92,707
|
||||||
Dividends on preferred stock
|
17,992
|
17,992
|
||||||
Comprehensive income (loss) attibutable to common stockholders
|
$
|
132,052
|
$
|
74,715
|
(1) | Consists of interest expense on interest rate swaps. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
||||||||||||||||||||||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||||||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||||||||||||||||||
7.875% Series A Cumulative Redeemable Preferred Stock
|
7.625% Series C Cumulative Redeemable Preferred Stock
|
7.50% Series D Cumulative Redeemable Preferred Stock
|
Common stock par value
|
Additional paid-in capital
|
Accumulated other comprehensive income (loss)
|
Accumulated deficit
|
Total stockholders’ equity
|
Noncontrolling interest
|
Total
|
|||||||||||||||||||||||||||||||
BALANCE, December 31, 2014
|
$
|
177,088
|
$
|
290,514
|
$
|
445,457
|
$
|
9,476
|
$
|
14,786,509
|
$
|
204,883
|
$
|
(2,585,436
|
)
|
$
|
13,328,491
|
$
|
5,290
|
$
|
13,333,781
|
|||||||||||||||||||
Net income (loss) attributable to Annaly
|
-
|
-
|
-
|
-
|
-
|
-
|
(476,409
|
)
|
(476,409
|
)
|
-
|
(476,409
|
)
|
|||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(90
|
)
|
(90
|
)
|
||||||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
-
|
-
|
-
|
-
|
-
|
631,472
|
-
|
631,472
|
-
|
631,472
|
||||||||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
-
|
-
|
-
|
-
|
-
|
(62,356
|
)
|
-
|
(62,356
|
)
|
-
|
(62,356
|
)
|
|||||||||||||||||||||||||||
Stock compensation expense
|
-
|
-
|
-
|
-
|
39
|
-
|
-
|
39
|
-
|
39
|
||||||||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment
|
-
|
-
|
-
|
1
|
569
|
-
|
-
|
570
|
-
|
570
|
||||||||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(115
|
)
|
(115
|
)
|
||||||||||||||||||||||||||||
Preferred Series A dividends, declared $0.492 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(3,648
|
)
|
(3,648
|
)
|
-
|
(3,648
|
)
|
|||||||||||||||||||||||||||
Preferred Series C dividends, declared $0.477 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(5,719
|
)
|
(5,719
|
)
|
-
|
(5,719
|
)
|
|||||||||||||||||||||||||||
Preferred Series D dividends, declared $0.469 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(8,625
|
)
|
(8,625
|
)
|
-
|
(8,625
|
)
|
|||||||||||||||||||||||||||
Common dividends declared, $0.30 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(284,310
|
)
|
(284,310
|
)
|
-
|
(284,310
|
)
|
|||||||||||||||||||||||||||
BALANCE, March 31, 2015
|
$
|
177,088
|
$
|
290,514
|
$
|
445,457
|
$
|
9,477
|
$
|
14,787,117
|
$
|
773,999
|
$
|
(3,364,147
|
)
|
$
|
13,119,505
|
$
|
5,085
|
$
|
13,124,590
|
|||||||||||||||||||
BALANCE, December 31, 2015
|
$
|
177,088
|
$
|
290,514
|
$
|
445,457
|
$
|
9,359
|
$
|
14,675,768
|
$
|
(377,596
|
)
|
$
|
(3,324,616
|
)
|
$
|
11,895,974
|
$
|
9,948
|
$
|
11,905,922
|
||||||||||||||||||
Net income (loss) attributable to Annaly
|
-
|
-
|
-
|
-
|
-
|
-
|
(867,918
|
)
|
(867,918
|
)
|
-
|
(867,918
|
)
|
|||||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interest
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(162
|
)
|
(162
|
)
|
||||||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
-
|
-
|
-
|
-
|
-
|
1,017,707
|
-
|
1,017,707
|
-
|
1,017,707
|
||||||||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
-
|
-
|
-
|
-
|
-
|
255
|
-
|
255
|
-
|
255
|
||||||||||||||||||||||||||||||
Stock compensation expense
|
-
|
-
|
-
|
-
|
69
|
-
|
-
|
69
|
-
|
69
|
||||||||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment
|
-
|
-
|
-
|
1
|
523
|
-
|
-
|
524
|
-
|
524
|
||||||||||||||||||||||||||||||
Buyback of common stock
|
-
|
-
|
-
|
(111
|
)
|
(102,600
|
)
|
-
|
-
|
(102,711
|
)
|
-
|
(102,711
|
)
|
||||||||||||||||||||||||||
Equity contributions from (distributions to) noncontrolling interest
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
(231
|
)
|
(231
|
)
|
||||||||||||||||||||||||||||
Preferred Series A dividends, declared $0.492 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(3,648
|
)
|
(3,648
|
)
|
-
|
(3,648
|
)
|
|||||||||||||||||||||||||||
Preferred Series C dividends, declared $0.477 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(5,719
|
)
|
(5,719
|
)
|
-
|
(5,719
|
)
|
|||||||||||||||||||||||||||
Preferred Series D dividends, declared $0.469 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(8,625
|
)
|
(8,625
|
)
|
-
|
(8,625
|
)
|
|||||||||||||||||||||||||||
Common dividends declared, $0.30 per share
|
-
|
-
|
-
|
-
|
-
|
-
|
(277,456
|
)
|
(277,456
|
)
|
-
|
(277,456
|
)
|
|||||||||||||||||||||||||||
BALANCE, March 31, 2016
|
$
|
177,088
|
$
|
290,514
|
$
|
445,457
|
$
|
9,249
|
$
|
14,573,760
|
$
|
640,366
|
$
|
(4,487,982
|
)
|
$
|
11,648,452
|
$
|
9,555
|
$
|
11,658,007
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
||||||||
(dollars in thousands)
|
||||||||
(Unaudited)
|
||||||||
For the Quarters Ended March 31,
|
||||||||
2016
|
2015
|
|||||||
Cash flows from operating activities:
|
||||||||
Net income (loss)
|
$
|
(868,080
|
)
|
$
|
(476,499
|
)
|
||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
||||||||
Amortization of Residential Investment Securities premiums and discounts, net
|
355,671
|
284,777
|
||||||
Amortization of commercial real estate investment premiums and discounts, net
|
(247
|
)
|
(160
|
)
|
||||
Amortization of intangibles
|
2,429
|
1,195
|
||||||
Amortization of deferred financing costs
|
520
|
2,914
|
||||||
Amortization of net origination fees and costs, net
|
(1,737
|
)
|
(1,190
|
)
|
||||
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes
|
-
|
11,758
|
||||||
Depreciation expense
|
4,570
|
2,823
|
||||||
Net (gains) losses on sales of Residential Investment Securities
|
1,675
|
(62,356
|
)
|
|||||
Stock compensation expense
|
69
|
39
|
||||||
Unrealized (gains) losses on interest rate swaps
|
1,031,720
|
466,202
|
||||||
Net unrealized (gains) losses on financial instruments measured at fair value through earnings
|
(128
|
)
|
33,546
|
|||||
Equity in net income from unconsolidated joint ventures
|
3,147
|
-
|
||||||
Net (gains) losses on trading assets
|
(125,189
|
)
|
6,906
|
|||||
Proceeds from repurchase agreements of RCap
|
466,225,000
|
386,000,000
|
||||||
Payments on repurchase agreements of RCap
|
(466,825,000
|
)
|
(391,250,000
|
)
|
||||
Proceeds from reverse repurchase agreements
|
14,550,000
|
15,325,000
|
||||||
Payments on reverse repurchase agreements
|
(14,550,000
|
)
|
(15,325,000
|
)
|
||||
Net payments on derivatives
|
91,358
|
(66,604
|
)
|
|||||
Due to / from brokers
|
(5
|
)
|
-
|
|||||
Other assets
|
(66,389
|
)
|
(2,627
|
)
|
||||
Accrued interest and dividends receivable
|
(1,547
|
)
|
28,886
|
|||||
Receivable for investment advisory income
|
-
|
134
|
||||||
Accrued interest payable
|
12,140
|
(25,425
|
)
|
|||||
Accounts payable and other liabilities
|
26,530
|
3,709
|
||||||
Net cash provided by (used in) operating activities
|
(133,493
|
)
|
(5,041,972
|
)
|
||||
Cash flows from investing activities:
|
||||||||
Payments on purchases of Residential Investment Securities
|
(4,644,731
|
)
|
(5,065,764
|
)
|
||||
Proceeds from sales of Residential Investment Securities
|
3,596,677
|
13,973,224
|
||||||
Principal payments on Agency mortgage-backed securities
|
1,946,498
|
2,596,964
|
||||||
Payments on purchases of corporate debt
|
(181,079
|
)
|
(63,015
|
)
|
||||
Principal payments on corporate debt
|
30,578
|
1,733
|
||||||
Purchases of commercial real estate debt investments
|
(76,862
|
)
|
(185,925
|
)
|
||||
Sales of commercial real estate debt investments
|
-
|
41,016
|
||||||
Purchase of securitized loans at fair value
|
(1,489,268
|
)
|
(1,370,011
|
)
|
||||
Origination of commercial real estate investments, net
|
(179,099
|
)
|
(61,502
|
)
|
||||
Principal payments on commercial real estate debt investments
|
1,374
|
-
|
||||||
Principal payments on securitized loans at fair value
|
52,287
|
-
|
||||||
Principal payments on commercial real estate investments
|
351,930
|
82,408
|
||||||
Purchase of investments in real estate
|
(610
|
)
|
-
|
|||||
Distributions in excess of cumulative earnings from unconsolidated joint ventures
|
1,053
|
-
|
||||||
Purchase of equity securities
|
(88,062
|
)
|
(3,602
|
)
|
||||
Proceeds from sales of equity securities
|
16,112
|
-
|
||||||
Net cash provided by (used in) investing activities
|
(663,202
|
)
|
9,945,526
|
Cash flows from financing activities:
|
||||||||
Proceeds from repurchase agreements
|
43,970,988
|
57,776,249
|
||||||
Principal payments on repurchase agreements
|
(45,153,707
|
)
|
(63,410,797
|
)
|
||||
Payments on maturity of convertible senior notes
|
-
|
(107,541
|
)
|
|||||
Proceeds from other secured financing
|
2,146,084
|
90,000
|
||||||
Payments on other secured financing
|
(402,806
|
)
|
-
|
|||||
Proceeds from issuance of securitized debt
|
1,381,640
|
1,267,914
|
||||||
Principal repayments on securitized debt
|
(96,861
|
)
|
(37,680
|
)
|
||||
Payment of deferred financing cost
|
(400
|
)
|
(641
|
)
|
||||
Net proceeds from direct purchases and dividend reinvestments
|
524
|
569
|
||||||
Principal payments on participation sold
|
(77
|
)
|
(76
|
)
|
||||
Principal payments on mortgages payable
|
(99
|
)
|
(69
|
)
|
||||
Distributions to noncontrolling interests
|
(230
|
)
|
(115
|
)
|
||||
Net payment on share repurchase
|
(102,712
|
)
|
-
|
|||||
Dividends paid
|
(298,771
|
)
|
(302,285
|
)
|
||||
Net cash provided by (used in) financing activities
|
1,443,573
|
(4,724,472
|
)
|
|||||
Net (decrease) increase in cash and cash equivalents
|
646,878
|
179,082
|
||||||
Cash and cash equivalents, beginning of period
|
1,769,258
|
1,920,326
|
||||||
Cash and cash equivalents, end of period
|
$
|
2,416,136
|
$
|
2,099,408
|
||||
Supplemental disclosure of cash flow information:
|
||||||||
Interest received
|
$
|
726,930
|
$
|
815,765
|
||||
Dividends received
|
$
|
-
|
$
|
4,048
|
||||
Investment advisory income received
|
$
|
-
|
$
|
10,992
|
||||
Interest paid (excluding interest paid on interest rate swaps)
|
$
|
127,449
|
$
|
124,673
|
||||
Net interest paid on interest rate swaps
|
$
|
152,458
|
$
|
176,395
|
||||
Taxes paid
|
$
|
244
|
$
|
643
|
||||
|
|
|
|
|||||
Noncash investing activities:
|
||||||||
Receivable for investments sold
|
$
|
2,220
|
$
|
2,009,937
|
||||
Payable for investments purchased
|
$
|
250,612
|
$
|
5,205
|
||||
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment
|
$
|
1,017,962
|
$
|
569,116
|
||||
Dividends declared, not yet paid
|
$
|
277,456
|
$
|
284,310
|
· | Annaly, the parent company, which invests primarily in Agency mortgage-backed securities and related derivatives to hedge these investments. Its portfolio also includes residential credit investments such as CRT and non-Agency mortgage-backed securities. |
· | Annaly Commercial Real Estate Group, Inc. (“ACREG,” formerly known as CreXus Investment Corp.), a wholly-owned subsidiary that was acquired during the second quarter of 2013 which specializes in acquiring, financing and managing commercial real estate loans and other commercial real estate debt, commercial mortgage-backed securities and other commercial real estate-related assets. |
· | Annaly Middle Market Lending LLC (“MML,” formerly known as Charlesfort Capital Management LLC), a wholly-owned subsidiary which engages in corporate middle market lending transactions. |
· | RCap Securities, Inc. (“RCap”), a wholly-owned subsidiary, which operates as a broker-dealer and is a member of the Financial Industry Regulatory Authority (“FINRA”). |
Category
|
Term
|
Building
|
30 - 40 years
|
Site improvements
|
1 - 28 years
|
Standard
|
Description
|
Date of Adoption
|
Effect on the financial statements
or other significant matters
|
|||
Standards that are not yet adopted
|
||||||
ASU 2016-02 Leases (Topic 842)
|
The amendments require lessees to recognize a right-of-use asset and a liability to make lease payments in the statement of financial position for most leases. The accounting for lessors is largely unchanged.
|
January 1, 2019 (early adoption permitted)
|
Not expected to have a significant impact on the consolidated financial statements.
|
|||
ASU 2016-01 Financial Instruments - Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Financial Liabilities
|
The amendments address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments.
|
January 1, 2018 (early adoption permitted for a provision related presentation of instrument-specific credit risk of liabilities accounted for under the fair value option)
|
Expected to impact disclosures only and not have a significant impact on the consolidated finanical statements.
|
|||
ASU 2014-15, Presentation of Financial Statements – Going Concern (Subtopic 205-04) Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern
|
This ASU requires management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company’s ability to continue as a going concern within one year after the date the financial statements are issued.
|
January 1, 2017 (early adoption permitted)
|
Not expected to have an impact on the consolidated financial statements.
|
|||
ASU 2014-09, Revenue from Contracts with Customers
|
This guidance applies to contracts with customers to transfer goods or services and contracts to transfer nonfinancial assets unless those contracts are within the scope of other standards (for example, lease transactions).
|
January 1, 2018 |
Not expected to have a significant impact on the consolidated financial statements.
|
|||
Standard
|
Description
|
Date of Adoption
|
Effect on the financial statements
or other significant matters
|
|||
Standards that were adopted
|
||||||
ASU 2015-16 Business Combinations (Topic 805) Simplifying the Accounting Measurement-Period Adjustments
|
This amendment removed the requirement to present adjustments to provisional amounts retrospectively. The update required that an acquirer record, in the same period's financial statements, the effect on earnings of changes in depreciation, amortization, or other income effects, if any, as a result of the change to provisional amounts.
|
January 1, 2016 (early adoption permitted)
|
Did not have a significant impact on the consolidated financial statements.
|
|||
ASU 2015-15, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements - Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015 EITF Meeting (SEC Update)
|
This amendment provided SEC guidance that it would not object to filers presenting debt issue costs related to line-of-credit arrangements as an asset and ratably amortizing the costs over the term of the arrangement.
|
June 18, 2015 (early adoption permitted)
|
Did not have an impact on the consolidated financial statements.
|
|||
ASU 2015-10, Technical Corrections and Improvements
|
This perpetual project updated the codification for technical corrections and improvements.
|
January 1, 2016 (early adoption permitted), for amendments subject to transition guidance
|
Did not have a significant impact on the consolidated financial statements.
|
|||
ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its
Equivalent)
|
This update removed the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and also removes certain disclosure requirements for these investments.
|
January 1, 2016 (early adoption permitted)
|
Did not have an impact on the consolidated financial statements.
|
ASU 2015-05, Customer's Accounting for Fees Paid in a Cloud Computing Arrangement
|
This update clarified that customers should determine whether a cloud computing arrangement includes the license of software by applying the same guidance cloud service providers use. The guidance also eliminated the current requirement that customers analogize to the leasing standard when determining the asset acquired in a software licensing arrangement.
|
January 1, 2016 (early adoption permitted)
|
Did not have a significant impact on the consolidated financial statements.
|
|||
ASU 2015-03, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation of Debt Issuance Costs
|
This ASU required that debt issue costs are presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The recognition and measurement of debt issue costs were not affected.
|
January 1, 2016 (early adoption permitted)
|
Impacted presentation only and did not have a significant impact on the consolidated financial statements.
|
|||
ASU 2015-02, Consolidation (Topic 810) Amendments to the Consolidation Analysis
|
This update affected the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds.
|
January 1, 2016 (early adoption permitted)
|
Did not have a significant impact on the consolidated financial statements.
|
|||
ASU 2015-01, Income Statement - Extraordinary and Unusual Items (Subtopic 225-20)
|
This update eliminated from GAAP the concept of extraordinary items.
|
January 1, 2016 (early adoption permitted)
|
Did not have an impact on the consolidated financial statements.
|
|||
ASU 2014-16, Derivatives and Hedging (Topic 815) Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or Equity
|
This ASU provided additional guidance for evaluating whether conversion rights, redemption rights, voting rights, liquidation rights and dividend payment preferences and other features embedded in a share, including preferred stock, contain embedded derivatives requiring bifurcation. The update requires that an entity determine the nature of the host contract by considering all stated and implied terms and features in a hybrid instrument.
|
January 1, 2016 (early adoption permitted)
|
Did not have a significant impact on the consolidated financial statements.
|
|||
ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity
|
This update provided a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.
|
January 1, 2016 (early adoption permitted)
|
The Company adopted this ASU and applied the guidance to commercial mortgage backed securitization transactions. See "Commercial Real Estate Investments" footnote for further disclosure.
|
|||
ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure
|
This update made limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements.
|
January 1, 2015 |
Impacted disclosures only and did not have a significant impact on the consolidated financial statements.
|
|||
ASU 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant and Equipment (Topic 360) Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity
|
This ASU raised the threshold for a disposal to be treated as discontinued operations.
|
April 1, 2015
|
Did not have a significant impact on the consolidated financial statements.
|
|||
ASU 2014-04 Receivables–Troubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure
|
This update clarified that an in-substance repossession or foreclosure has occurred, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, when the creditor obtains legal title to the property upon completion of a foreclosure or the borrower conveys all interest in the property to the creditor through a deed in lieu of foreclosure or similar arrangement.
|
January 1, 2015
|
Did not have a significant impact on the consolidated financial statements.
|
March 31, 2016
|
||||||||||||||||||||||||||||
|
Principal / Notional
|
Remaining Premium
|
Remaining Discount
|
Amortized Cost
|
Unrealized
Gains(1)
|
Unrealized Losses(1)
|
Estimated Fair Value
|
|||||||||||||||||||||
Agency
|
(dollars in thousands)
|
|||||||||||||||||||||||||||
Fixed-rate pass-through
|
$
|
56,120,429
|
$
|
3,093,155
|
$
|
(2,392
|
)
|
$
|
59,211,192
|
$
|
765,776
|
$
|
(204,912
|
)
|
$
|
59,772,056
|
||||||||||||
Adjustable-rate pass-through
|
3,064,341
|
68,241
|
(6,974
|
)
|
3,125,608
|
70,485
|
(220
|
)
|
3,195,873
|
|||||||||||||||||||
CMO
|
922,196
|
24,962
|
(387
|
)
|
946,771
|
16,943
|
(4,417
|
)
|
959,297
|
|||||||||||||||||||
Debentures
|
158,803
|
-
|
(638
|
)
|
158,165
|
-
|
(1,130
|
)
|
157,035
|
|||||||||||||||||||
Interest-only
|
9,362,596
|
1,614,332
|
-
|
1,614,332
|
33,802
|
(135,536
|
)
|
1,512,598
|
||||||||||||||||||||
Total Agency investments
|
$
|
69,628,365
|
$
|
4,800,690
|
$
|
(10,391
|
)
|
$
|
65,056,068
|
$
|
887,006
|
$
|
(346,215
|
)
|
$
|
65,596,859
|
||||||||||||
Residential Credit
|
||||||||||||||||||||||||||||
CRT
|
$
|
517,207
|
$
|
1,586
|
$
|
(14,763
|
)
|
$
|
504,030
|
$
|
3,138
|
$
|
(6,001
|
)
|
$
|
501,167
|
||||||||||||
Legacy(2)
|
484,784
|
879
|
(52,182
|
)
|
433,481
|
1,251
|
(4,306
|
)
|
430,426
|
|||||||||||||||||||
NPL/RPL
|
428,656
|
50
|
(1,579
|
)
|
427,127
|
153
|
(941
|
)
|
426,339
|
|||||||||||||||||||
New issue
|
280,060
|
1,233
|
(1,446
|
)
|
279,847
|
3,713
|
-
|
283,560
|
||||||||||||||||||||
New issue interest-only
|
1,114,234
|
17,823
|
-
|
17,823
|
324
|
(965
|
)
|
17,182
|
||||||||||||||||||||
Total residential credit securities
|
$
|
2,824,941
|
$
|
21,571
|
$
|
(69,970
|
)
|
$
|
1,662,308
|
$
|
8,579
|
$
|
(12,213
|
)
|
$
|
1,658,674
|
||||||||||||
Total Residential Investment Securities
|
$
|
72,453,306
|
$
|
4,822,261
|
$
|
(80,361
|
)
|
$
|
66,718,376
|
$
|
895,585
|
$
|
(358,428
|
)
|
$
|
67,255,533
|
December 31, 2015
|
||||||||||||||||||||||||||||
|
Principal / Notional
|
Remaining Premium
|
Remaining Discount
|
Amortized Cost
|
Unrealized
Gains(1)
|
Unrealized Losses(1)
|
Estimated Fair Value
|
|||||||||||||||||||||
Agency
|
(dollars in thousands)
|
|||||||||||||||||||||||||||
Fixed-rate pass-through
|
$
|
57,339,705
|
$
|
3,270,521
|
$
|
(2,832
|
)
|
$
|
60,607,394
|
$
|
400,350
|
$
|
(824,862
|
)
|
$
|
60,182,882
|
||||||||||||
Adjustable-rate pass-through
|
2,894,192
|
61,781
|
(6,427
|
)
|
2,949,546
|
70,849
|
(10,317
|
)
|
3,010,078
|
|||||||||||||||||||
CMO
|
964,095
|
27,269
|
(477
|
)
|
990,887
|
9,137
|
(12,945
|
)
|
987,079
|
|||||||||||||||||||
Debentures
|
158,802
|
-
|
(648
|
)
|
158,154
|
-
|
(6,116
|
)
|
152,038
|
|||||||||||||||||||
Interest-only
|
9,499,332
|
1,634,312
|
-
|
1,634,312
|
18,699
|
(114,826
|
)
|
1,538,185
|
||||||||||||||||||||
Total Agency investments
|
$
|
70,856,126
|
$
|
4,993,883
|
$
|
(10,384
|
)
|
$
|
66,340,293
|
$
|
499,035
|
$
|
(969,066
|
)
|
$
|
65,870,262
|
||||||||||||
Residential Credit
|
||||||||||||||||||||||||||||
CRT
|
$
|
476,084
|
$
|
2,225
|
$
|
(12,840
|
)
|
$
|
465,469
|
$
|
250
|
$
|
(9,209
|
)
|
$
|
456,510
|
||||||||||||
Legacy(2)
|
378,527
|
773
|
(37,150
|
)
|
342,150
|
698
|
(1,140
|
)
|
341,708
|
|||||||||||||||||||
NPL/RPL
|
354,945
|
19
|
(1,270
|
)
|
353,694
|
19
|
(1,172
|
)
|
352,541
|
|||||||||||||||||||
New issue
|
197,695
|
566
|
-
|
198,261
|
-
|
(1,060
|
)
|
197,201
|
||||||||||||||||||||
New issue interest-only
|
811,245
|
15,430
|
-
|
15,430
|
-
|
(158
|
)
|
15,272
|
||||||||||||||||||||
Total residential credit securities
|
$
|
2,218,496
|
$
|
19,013
|
$
|
(51,260
|
)
|
$
|
1,375,004
|
$
|
967
|
$
|
(12,739
|
)
|
$
|
1,363,232
|
||||||||||||
Total Residential Investment Securities
|
$
|
73,074,622
|
$
|
5,012,896
|
$
|
(61,644
|
)
|
$
|
67,715,297
|
$
|
500,002
|
$
|
(981,805
|
)
|
$
|
67,233,494
|
Investment Type
|
March 31, 2016
|
December 31, 2015
|
||||||
(dollars in thousands)
|
||||||||
Fannie Mae
|
$
|
41,990,479
|
$
|
42,647,075
|
||||
Freddie Mac
|
23,341,571
|
22,960,595
|
||||||
Ginnie Mae
|
107,774
|
110,554
|
||||||
Total
|
$
|
65,439,824
|
$
|
65,718,224
|
March 31, 2016
|
December 31, 2015
|
|||||||||||||||
Weighted Average Life
|
Estimated Fair Value
|
Amortized
Cost
|
Estimated Fair Value
|
Amortized
Cost
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Less than one year
|
$
|
72,348
|
$
|
73,220
|
$
|
37,862
|
$
|
37,850
|
||||||||
Greater than one year through five years
|
46,745,799
|
46,268,066
|
20,278,111
|
20,066,435
|
||||||||||||
Greater than five years through ten years
|
20,238,032
|
20,176,740
|
46,473,701
|
47,174,319
|
||||||||||||
Greater than ten years
|
199,354
|
200,350
|
443,820
|
436,693
|
||||||||||||
Total
|
$
|
67,255,533
|
$
|
66,718,376
|
$
|
67,233,494
|
$
|
67,715,297
|
March 31, 2016
|
December 31, 2015
|
|||||||||||||||||||||||
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
|
$
|
2,633,437
|
$
|
(7,176
|
)
|
67
|
$
|
20,072,072
|
$
|
(164,259
|
)
|
463
|
||||||||||||
12 Months or More
|
20,732,579
|
(203,503
|
)
|
188
|
21,705,764
|
(689,981
|
)
|
189
|
||||||||||||||||
Total
|
$
|
23,366,016
|
$
|
(210,679
|
)
|
255
|
$
|
41,777,836
|
$
|
(854,240
|
)
|
652
|
(1)
|
Excludes interest-only mortgage-backed securities.
|
March 31, 2016
|
December 31, 2015
|
|||||||||||||||||||||||
Outstanding Principal
|
Carrying
Value(1)
|
Percentage
of Loan
Portfolio(2)
|
Outstanding Principal
|
Carrying
Value(1)
|
Percentage
of Loan
Portfolio(2)
|
|||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||
Senior mortgages
|
$
|
477,302
|
$
|
474,559
|
40.3
|
%
|
$
|
387,314
|
$
|
385,838
|
28.6
|
%
|
||||||||||||
Senior securitized mortgages(3)
|
212,072
|
211,855
|
17.9
|
%
|
263,072
|
262,703
|
19.4
|
%
|
||||||||||||||||
Mezzanine loans
|
486,081
|
482,101
|
41.0
|
%
|
582,592
|
578,503
|
43.0
|
%
|
||||||||||||||||
Preferred equity
|
9,000
|
8,953
|
0.8
|
%
|
122,444
|
121,773
|
9.0
|
%
|
||||||||||||||||
Total (4)
|
$
|
1,184,455
|
$
|
1,177,468
|
100.0
|
%
|
$
|
1,355,422
|
$
|
1,348,817
|
100.0
|
%
|
(1)
|
Carrying value includes unamortized origination fees of $7.1 million and $6.9 million as of March 31, 2016 and December 31, 2015, respectively.
|
(2) | Based on outstanding principal. |
(3) | Assets of consolidated VIEs. |
(4) | Excludes Loans held for sale. |
March 31, 2016
|
||||||||||||||||||||
Senior Mortgages
|
Senior Securitized Mortgages(1)
|
Mezzanine Loans
|
Preferred
Equity
|
Total
|
||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Beginning balance
|
$
|
385,838
|
$
|
262,703
|
$
|
578,503
|
$
|
121,773
|
$
|
1,348,817
|
||||||||||
Originations & advances (principal)
|
155,065
|
-
|
25,897
|
-
|
180,962
|
|||||||||||||||
Principal payments
|
(65,077
|
)
|
(51,000
|
)
|
(122,408
|
)
|
(113,445
|
)
|
(351,930
|
)
|
||||||||||
Sales (principal)
|
-
|
-
|
-
|
-
|
-
|
|||||||||||||||
Amortization & accretion of (premium) discounts
|
(34
|
)
|
-
|
(221
|
)
|
-
|
(255
|
)
|
||||||||||||
Net (increase) decrease in origination fees
|
(1,578
|
)
|
-
|
(285
|
)
|
-
|
(1,863
|
)
|
||||||||||||
Amortization of net origination fees
|
345
|
152
|
615
|
625
|
1,737
|
|||||||||||||||
Transfers
|
-
|
-
|
-
|
-
|
-
|
|||||||||||||||
Allowance for loan losses
|
-
|
-
|
-
|
-
|
-
|
|||||||||||||||
Net carrying value (2)
|
$
|
474,559
|
$
|
211,855
|
$
|
482,101
|
$
|
8,953
|
$
|
1,177,468
|
(1) | Assets of consolidated VIE. |
(2) | Excludes Loans held for sale. |
|
December 31, 2015
|
|||||||||||||||||||
Senior Mortgages
|
Senior Securitized Mortgages(1)
|
Mezzanine Loans
|
Preferred Equity
|
Total
|
||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Beginning balance
|
$
|
383,895
|
$
|
398,634
|
$
|
522,731
|
$
|
212,905
|
$
|
1,518,165
|
||||||||||
Originations & advances (principal)
|
293,925
|
-
|
195,312
|
-
|
489,237
|
|||||||||||||||
Principal payments
|
(243,270
|
)
|
(136,469
|
)
|
(153,693
|
)
|
(92,210
|
)
|
(625,642
|
)
|
||||||||||
Sales (principal)
|
(46,945
|
)
|
-
|
-
|
-
|
(46,945
|
)
|
|||||||||||||
Amortization & accretion of (premium) discounts
|
(142
|
)
|
-
|
(232
|
)
|
517
|
143
|
|||||||||||||
Net (increase) decrease in origination fees
|
(3,702
|
)
|
(279
|
)
|
(4,806
|
)
|
-
|
(8,787
|
)
|
|||||||||||
Amortization of net origination fees
|
2,077
|
817
|
691
|
561
|
4,146
|
|||||||||||||||
Transfers
|
-
|
-
|
18,500
|
-
|
18,500
|
|||||||||||||||
Allowance for loan losses
|
-
|
-
|
-
|
-
|
-
|
|||||||||||||||
Net carrying value (2)
|
$
|
385,838
|
$
|
262,703
|
$
|
578,503
|
$
|
121,773
|
$
|
1,348,817
|
||||||||||
(1) Assets of consolidated VIE.
|
||||||||||||||||||||
(2) Excludes Loans held for sale.
|
March 31, 2016
|
||||||||||||||||||||||||||||||||||||
Percentage of CRE Debt and Preferred Equity Portfolio
|
Internal Ratings
|
|||||||||||||||||||||||||||||||||||
Investment Type
|
Outstanding Principal (1)
|
Performing
|
Closely-Monitored
|
Special Mention
|
Substandard
|
Doubtful
|
Loss
|
Total
|
||||||||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||||
Senior mortgages
|
$
|
477,302
|
40.3
|
%
|
$
|
91,321
|
$
|
243,681
|
$
|
142,300
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
477,302
|
||||||||||||||||||
Senior securitized mortgages(2)
|
212,072
|
17.9
|
%
|
55,770
|
15,500
|
140,802
|
-
|
-
|
-
|
212,072
|
||||||||||||||||||||||||||
Mezzanine loans
|
486,081
|
41.0
|
%
|
295,950
|
160,814
|
29,317
|
-
|
-
|
-
|
486,081
|
||||||||||||||||||||||||||
Preferred equity
|
9,000
|
0.8
|
%
|
-
|
-
|
9,000
|
-
|
-
|
-
|
9,000
|
||||||||||||||||||||||||||
$
|
1,184,455
|
100.0
|
%
|
$
|
443,041
|
$
|
419,995
|
$
|
321,419
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
1,184,455
|
|||||||||||||||||||
(1) Excludes Loans held for sale.
|
||||||||||||||||||||||||||||||||||||
(2) Assets of consolidated VIE.
|
||||||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
December 31, 2015
|
||||||||||||||||||||||||||||||||||||
Percentage of CRE Debt and Preferred Equity Portfolio
|
Internal Ratings
|
|||||||||||||||||||||||||||||||||||
Investment Type
|
Outstanding Principal (1)
|
Performing
|
Closely-Monitored
|
Special Mention
|
Substandard
|
Doubtful
|
Loss
|
Total
|
||||||||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||||
Senior mortgages
|
$
|
387,314
|
28.6
|
%
|
$
|
71,000
|
$
|
283,148
|
$
|
33,166
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
387,314
|
||||||||||||||||||
Senior securitized mortgages(2)
|
263,072
|
19.4
|
%
|
106,770
|
15,500
|
140,802
|
-
|
-
|
-
|
263,072
|
||||||||||||||||||||||||||
Mezzanine loans
|
582,592
|
43.0
|
%
|
342,493
|
219,969
|
20,130
|
-
|
-
|
-
|
582,592
|
||||||||||||||||||||||||||
Preferred equity
|
122,444
|
9.0
|
%
|
-
|
81,944
|
40,500
|
-
|
-
|
-
|
122,444
|
||||||||||||||||||||||||||
$
|
1,355,422
|
100.0
|
%
|
$
|
520,263
|
$
|
600,561
|
$
|
234,598
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
1,355,422
|
|||||||||||||||||||
(1) Excludes Loans held for sale.
|
||||||||||||||||||||||||||||||||||||
(2) Assets of consolidated VIE.
|
Date of Acquisition
|
Type
|
Location
|
Purchase Price
|
Remaining Lease Term (Years) (1)
|
||||||
(dollars in thousands)
|
||||||||||
|
|
|
||||||||
July 2015
|
Multi Tenant Retail
|
Ohio
|
$
|
11,000
|
4.6
|
|||||
August 2015
|
Multi Tenant Retail
|
Florida
|
$
|
18,900
|
5.1
|
|||||
October 2015
|
Multifamily Property
|
Washington, DC
|
$
|
75,000
|
0.3
|
|||||
October 2015
|
Multi Tenant Retail
|
California
|
$
|
37,750
|
3.0
|
|||||
November 2015
|
Multi Tenant Retail
|
Texas
|
$
|
131,950
|
4.3
|
March 31, 2016
|
December 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Real estate held for investment, at amortized cost
|
||||||||
Land
|
$
|
113,494
|
$
|
113,494
|
||||
Buildings and improvements
|
374,213
|
373,603
|
||||||
Subtotal
|
487,707
|
487,097
|
||||||
Less: accumulated depreciation
|
(21,456
|
)
|
(16,886
|
)
|
||||
Total real estate held for investment, at amortized cost, net
|
466,251
|
470,211
|
||||||
Equity in unconsolidated joint ventures
|
61,535
|
65,735
|
||||||
Investments in commercial real estate, net
|
$
|
527,786
|
$
|
535,946
|
|
March 31, 2016
|
|||
|
(dollars in thousands)
|
|||
2016 (remaining)
|
$
|
26,105
|
||
2017
|
30,305
|
|||
2018
|
26,238
|
|||
2019
|
22,157
|
|||
2020
|
17,848
|
|||
Later years
|
53,326
|
|||
|
$
|
175,979
|
March 31, 2016
|
|||||||||||||||
Property
|
Mortgage Carrying Value
|
Mortgage Principal
|
Interest Rate
|
Fixed/Floating Rate
|
Maturity Date
|
Priority
|
|||||||||
(dollars in thousands)
|
|||||||||||||||
Joint Ventures
|
$
|
292,821
|
$
|
296,325
|
2.30% to 4.61%
|
Floating (1)
|
2016 and 2025
|
First liens
|
|||||||
Tennessee
|
12,236
|
12,350
|
4.01
|
%
|
Fixed
|
6/6/2019
|
First liens
|
||||||||
Virginia
|
11,012
|
11,025
|
3.58
|
%
|
Fixed
|
9/6/2019
|
First liens
|
||||||||
Arizona
|
16,271
|
16,227
|
3.50
|
%
|
Fixed
|
1/1/2017
|
First liens
|
||||||||
Nevada
|
2,425
|
2,419
|
3.45
|
%
|
Floating (2)
|
3/29/2017
|
First liens
|
||||||||
|
$
|
334,765
|
$
|
338,346
|
|
|
|||||||||
|
|
|
|||||||||||||
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 4.31%, receive floating rate of L+215).
|
|||||||||||||||
(2) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
|
|||||||||||||||
|
|
|
|||||||||||||
|
|
|
|||||||||||||
December 31, 2015
|
|||||||||||||||
Property
|
Mortgage Carrying Value
|
Mortgage Principal
|
Interest Rate
|
Fixed/Floating Rate
|
Maturity Date
|
Priority
|
|||||||||
(dollars in thousands)
|
|||||||||||||||
Joint Ventures
|
$
|
292,658
|
$
|
296,325
|
2.30% to 4.61%
|
Floating (1)
|
2016 and 2025
|
First liens
|
|||||||
Tennessee
|
12,228
|
12,350
|
4.01
|
%
|
Fixed
|
6/6/2019
|
First liens
|
||||||||
Virginia
|
11,012
|
11,025
|
3.58
|
%
|
Fixed
|
9/6/2019
|
First liens
|
||||||||
Arizona
|
16,365
|
16,308
|
3.50
|
%
|
Fixed
|
1/1/2017
|
First liens
|
||||||||
Nevada
|
2,444
|
2,436
|
3.45
|
%
|
Floating (2)
|
3/29/2017
|
First liens
|
||||||||
|
$
|
334,707
|
$
|
338,444
|
|
|
|||||||||
|
|
|
|||||||||||||
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 4.31%, receive floating rate of L+215).
|
|||||||||||||||
(2) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
|
|
Mortgage Loan Principal Payments
|
|||
|
(dollars in thousands)
|
|||
2016 (remaining)
|
$
|
7,502
|
||
2017
|
18,344
|
|||
2018
|
-
|
|||
2019
|
23,375
|
|||
2020
|
-
|
|||
Later years
|
289,125
|
|||
|
$
|
338,346
|
|
March 31, 2016
|
|||
|
(dollars in thousands)
|
|||
Assets
|
||||
Senior securitized commercial mortgages carried at fair value
|
$
|
3,968,118
|
||
Accrued interest receivable
|
8,351
|
|||
Total assets
|
$
|
3,976,469
|
||
|
||||
Liabilities
|
||||
Securitized debt (non-recourse) at fair value
|
$
|
3,677,079
|
||
Accrued interest payable
|
4,311
|
|||
Total liabilities
|
$
|
3,681,390
|
For the Quarter Ended March 31, 2016
|
||||
(dollars in thousands)
|
||||
Net interest income:
|
||||
Interest income
|
$
|
21,030
|
||
Interest expense
|
7,876
|
|||
Net interest income
|
13,154
|
|||
Other income (loss):
|
||||
Unrealized gain (loss) on financial instruments at fair value (1)
|
147
|
|||
Guarantee fees and servicing costs
|
(5,297
|
) | ||
Other income (loss)
|
(5,150
|
)
|
||
General and administration expenses
|
2
|
|||
Net income
|
$
|
8,002
|
||
(1) Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings.
|
Securitized Loans at Fair Value Geographic Concentration of Credit Risk
|
||||||||
Property Location
|
Principal Balance
|
% of Balance
|
||||||
|
(dollars in thousands)
|
|||||||
Texas
|
$
|
749,569
|
18.8
|
%
|
||||
North Carolina
|
537,375
|
13.5
|
%
|
|||||
Maryland
|
499,495
|
12.5
|
%
|
|||||
Florida
|
456,663
|
11.4
|
%
|
|||||
Other
|
1,751,963
|
43.8
|
%
|
|||||
Total
|
$
|
3,995,065
|
100.0
|
%
|
|
Industry Dispersion
|
|||||||||||
|
Fixed Rate
|
Floating Rate
|
Total
|
|||||||||
|
(dollars in thousands)
|
|||||||||||
|
||||||||||||
Healthcare
|
$
|
-
|
$
|
173,896
|
$
|
173,896
|
||||||
Security services
|
74,700
|
-
|
74,700
|
|||||||||
Technology
|
-
|
93,292
|
93,292
|
|||||||||
Business services
|
4,359
|
134,515
|
138,874
|
|||||||||
Agriculture and protein processing
|
-
|
41,576
|
41,576
|
|||||||||
Food & beverage
|
-
|
27,930
|
27,930
|
|||||||||
Mining & minerals
|
-
|
24,671
|
24,671
|
|||||||||
Consumer products
|
-
|
23,230
|
23,230
|
|||||||||
Manufacturing
|
-
|
7,477
|
7,477
|
|||||||||
Education services
|
-
|
21,168
|
21,168
|
|||||||||
Packaging
|
-
|
12,667
|
12,667
|
|||||||||
Total
|
$
|
79,059
|
$
|
560,422
|
$
|
639,481
|
|
March 31, 2016
|
|||
|
(dollars in thousands)
|
|||
|
||||
First lien loans
|
$
|
397,693
|
||
Second lien loans
|
162,729
|
|||
Second lien notes
|
74,700
|
|||
Subordinated notes
|
4,359
|
|||
Total
|
$
|
639,481
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
March 31, 2016
|
(dollars in thousands)
|
|||||||||||||||
Assets:
|
||||||||||||||||
Agency mortgage-backed securities
|
$
|
-
|
65,439,824
|
$
|
-
|
$
|
65,439,824
|
|||||||||
Agency debentures
|
-
|
157,035
|
-
|
157,035
|
||||||||||||
Credit risk transfer securities
|
-
|
501,167
|
-
|
501,167
|
||||||||||||
Non-Agency mortgage-backed securities
|
-
|
1,157,507
|
-
|
1,157,507
|
||||||||||||
Commercial real estate debt investments
|
-
|
4,401,725
|
-
|
4,401,725
|
||||||||||||
Interest rate swaps
|
-
|
93,312
|
-
|
93,312
|
||||||||||||
Other derivatives
|
717
|
76,732
|
-
|
77,449
|
||||||||||||
Total assets
|
$
|
717
|
$
|
71,827,302
|
$
|
-
|
$
|
71,828,019
|
||||||||
Liabilities:
|
||||||||||||||||
Securitized debt of consolidated VIEs
|
$
|
-
|
3,677,079
|
$
|
-
|
$
|
3,677,079
|
|||||||||
Interest rate swaps
|
-
|
2,782,961
|
-
|
2,782,961
|
||||||||||||
Other derivatives
|
69,171
|
-
|
-
|
69,171
|
||||||||||||
Total liabilities
|
$
|
69,171
|
$
|
6,460,040
|
$
|
-
|
$
|
6,529,211
|
||||||||
|
||||||||||||||||
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
December 31, 2015
|
(dollars in thousands)
|
|||||||||||||||
Assets:
|
||||||||||||||||
Agency mortgage-backed securities
|
$
|
-
|
$
|
65,718,224
|
$
|
-
|
$
|
65,718,224
|
||||||||
Agency debentures
|
-
|
152,038
|
-
|
152,038
|
||||||||||||
Credit risk transfer securities
|
-
|
456,510
|
-
|
456,510
|
||||||||||||
Non-Agency mortgage-backed securities
|
-
|
906,722
|
-
|
906,722
|
||||||||||||
Commercial real estate debt investments
|
-
|
2,911,828
|
-
|
2,911,828
|
||||||||||||
Interest rate swaps
|
-
|
19,642
|
-
|
19,642
|
||||||||||||
Other derivatives
|
12,443
|
9,623
|
-
|
22,066
|
||||||||||||
Total assets
|
$
|
12,443
|
$
|
70,174,587
|
$
|
-
|
$
|
70,187,030
|
||||||||
Liabilities:
|
||||||||||||||||
Securitized debt of consolidated VIEs
|
$
|
-
|
$
|
2,366,878
|
$
|
-
|
$
|
2,366,878
|
||||||||
Interest rate swaps
|
-
|
1,677,571
|
-
|
1,677,571
|
||||||||||||
Other derivatives
|
32,778
|
17,185
|
-
|
49,963
|
||||||||||||
Total liabilities
|
$
|
32,778
|
$
|
4,061,634
|
$
|
-
|
$
|
4,094,412
|
March 31, 2016
|
December 31, 2015
|
|||||||||||||||||||
Level in Fair Value Hierarchy
|
Carrying Value
|
Fair Value
|
Carrying Value
|
Fair Value
|
||||||||||||||||
Financial assets:
|
(dollars in thousands)
|
|||||||||||||||||||
Cash and cash equivalents
|
1
|
$
|
2,416,136
|
$
|
2,416,136
|
$
|
1,769,258
|
$
|
1,769,258
|
|||||||||||
Agency mortgage-backed securities
|
2
|
65,439,824
|
65,439,824
|
65,718,224
|
65,718,224
|
|||||||||||||||
Agency debentures
|
2
|
157,035
|
157,035
|
152,038
|
152,038
|
|||||||||||||||
Credit risk transfer securities
|
2
|
501,167
|
501,167
|
456,510
|
456,510
|
|||||||||||||||
Non-Agency mortgage-backed securities
|
2
|
1,157,507
|
1,157,507
|
906,722
|
906,722
|
|||||||||||||||
Commercial real estate debt investments
|
2
|
4,401,725
|
4,401,725
|
2,911,828
|
2,911,828
|
|||||||||||||||
Commercial real estate debt and preferred equity, held for investment
|
3
|
1,177,468
|
1,170,280
|
1,348,817
|
1,350,968
|
|||||||||||||||
Loans held for sale
|
3
|
278,600
|
278,600
|
278,600
|
278,600
|
|||||||||||||||
Corporate debt (1)
|
2
|
639,481
|
626,486
|
488,508
|
470,894
|
|||||||||||||||
Interest rate swaps
|
2
|
93,312
|
93,312
|
19,642
|
19,642
|
|||||||||||||||
Other derivatives
|
1,2
|
77,449
|
77,449
|
22,066
|
22,066
|
|||||||||||||||
|
||||||||||||||||||||
Financial liabilities:
|
||||||||||||||||||||
Repurchase agreements
|
1,2
|
$
|
54,448,141
|
$
|
54,562,824
|
$
|
56,230,860
|
$
|
56,361,623
|
|||||||||||
Other secured financing
|
1,2
|
3,588,326
|
3,590,225
|
1,845,048
|
1,846,095
|
|||||||||||||||
Securitized debt of consolidated VIEs
|
2
|
3,802,682
|
3,802,898
|
2,540,711
|
2,541,193
|
|||||||||||||||
Participation sold
|
2
|
13,182
|
12,691
|
13,286
|
13,138
|
|||||||||||||||
Mortgage payable
|
3
|
334,765
|
350,599
|
334,707
|
339,849
|
|||||||||||||||
Interest rate swaps
|
2
|
2,782,961
|
2,782,961
|
1,677,571
|
1,677,571
|
|||||||||||||||
Other derivatives
|
1,2
|
69,171
|
69,171
|
49,963
|
49,963
|
|||||||||||||||
(1) Includes a held-to-maturity debt security carried at amortized cost of $74.7 million as of March 31, 2016 and December 31, 2015. The held-to-maturity debt security had a fair value of $66.8 million and $61.3 million as of March 31, 2016 and December 31, 2015, respectively. |
March 31, 2016
|
||||||||||||||||||||||||||||
Repurchase Agreements by Collateral Type
|
Weighted Average Rate
|
|||||||||||||||||||||||||||
Agency Mortgage-backed Securities
|
Debentures
|
CRTs
|
Non-Agency Mortgage-backed Securities
|
Commercial Loans
|
Total Repurchase Agreements
|
|||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||
1 day
|
$
|
8,050,000
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
8,050,000
|
0.62
|
%
|
||||||||||||||
2 to 29 days
|
12,466,595
|
-
|
54,656
|
320,677
|
-
|
12,841,928
|
0.75
|
%
|
||||||||||||||||||||
30 to 59 days
|
4,663,011
|
-
|
59,313
|
156,354
|
-
|
4,878,678
|
0.82
|
%
|
||||||||||||||||||||
60 to 89 days
|
9,118,832
|
-
|
-
|
146,165
|
-
|
9,264,997
|
0.96
|
%
|
||||||||||||||||||||
90 to 119 days
|
4,270,155
|
-
|
-
|
-
|
-
|
4,270,155
|
0.95
|
%
|
||||||||||||||||||||
Over 120 days(1)
|
14,954,590
|
-
|
-
|
-
|
187,793
|
15,142,383
|
1.46
|
%
|
||||||||||||||||||||
Total
|
$
|
53,523,183
|
$
|
-
|
$
|
113,969
|
$
|
623,196
|
$
|
187,793
|
$
|
54,448,141
|
0.99
|
%
|
December 31, 2015
|
||||||||||||||||||||||||||||
|
Repurchase Agreements by Collateral Type
|
Weighted Average Rate
|
||||||||||||||||||||||||||
|
Agency Mortgage-backed Securities
|
Debentures
|
CRTs
|
Non-Agency Mortgage-backed Securities
|
Commercial Loans
|
Total Repurchase Agreements
|
||||||||||||||||||||||
|
(dollars in thousands)
|
|||||||||||||||||||||||||||
1 day
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
-
|
0.00
|
%
|
||||||||||||||
2 to 29 days
|
20,123,464
|
-
|
83,664
|
260,359
|
-
|
20,467,487
|
0.69
|
%
|
||||||||||||||||||||
30 to 59 days
|
7,898,646
|
-
|
59,189
|
65,374
|
-
|
8,023,209
|
0.74
|
%
|
||||||||||||||||||||
60 to 89 days
|
4,046,593
|
-
|
-
|
78,833
|
-
|
4,125,426
|
0.74
|
%
|
||||||||||||||||||||
90 to 119 days
|
4,846,580
|
-
|
-
|
-
|
-
|
4,846,580
|
0.60
|
%
|
||||||||||||||||||||
Over 120 days(1)
|
18,557,715
|
-
|
-
|
31,015
|
179,428
|
18,768,158
|
1.33
|
%
|
||||||||||||||||||||
Total
|
$
|
55,472,998
|
$
|
-
|
$
|
142,853
|
$
|
435,581
|
$
|
179,428
|
$
|
56,230,860
|
0.90
|
%
|
||||||||||||||
(1) Approximately 12% and 14% of the total repurchase agreements had a remaining maturity over 1 year as of March 31, 2016 and December 31, 2015, respectively. |
March 31, 2016
|
December 31, 2015
|
|||||||||||||||
Reverse Repurchase Agreements
|
Repurchase Agreements
|
Reverse Repurchase Agreements
|
Repurchase Agreements
|
|||||||||||||
(dollars in thousands)
|
||||||||||||||||
Gross Amounts
|
$
|
-
|
$
|
54,448,141
|
$
|
-
|
$
|
56,230,860
|
||||||||
Amounts Offset
|
-
|
-
|
-
|
-
|
||||||||||||
Netted Amounts
|
$
|
-
|
$
|
54,448,141
|
$
|
-
|
$
|
56,230,860
|
Derivatives Instruments
|
Balance Sheet Location
|
March 31, 2016
|
December 31, 2015
|
||||||
Assets:
|
(dollars in thousands)
|
||||||||
Interest rate swaps
|
Interest rate swaps, at fair value
|
$
|
93,312
|
$
|
19,642
|
||||
TBA derivatives
|
Other derivatives, at fair value
|
76,732
|
9,622
|
||||||
Futures contracts
|
Other derivatives, at fair value
|
717
|
12,444
|
||||||
$
|
170,761
|
$
|
41,708
|
||||||
Liabilities:
|
|||||||||
Interest rate swaps
|
Interest rate swaps, at fair value
|
$
|
2,782,961
|
$
|
1,677,571
|
||||
TBA derivatives
|
Other derivatives, at fair value
|
-
|
17,185
|
||||||
Futures contracts
|
Other derivatives, at fair value
|
69,171
|
32,778
|
||||||
|
$
|
2,852,132
|
$
|
1,727,534
|
March 31, 2016
|
||||||||||||||||
Maturity
|
Current Notional (1)
|
Weighted Average Pay Rate (2) (3)
|
Weighted Average Receive Rate (2)
|
Weighted Average Years to Maturity (2)
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
0 - 3 years
|
$
|
4,290,419
|
1.79
|
%
|
0.47
|
%
|
1.87
|
|||||||||
3 - 6 years
|
11,925,000
|
1.87
|
%
|
0.73
|
%
|
4.22
|
||||||||||
6 - 10 years
|
10,227,550
|
2.49
|
%
|
0.76
|
%
|
7.88
|
||||||||||
Greater than 10 years
|
3,434,400
|
3.54
|
%
|
0.59
|
%
|
18.64
|
||||||||||
Total / Weighted Average
|
$
|
29,877,369
|
2.26
|
%
|
0.69
|
%
|
6.76
|
|||||||||
December 31, 2015
|
||||||||||||||||
Maturity
|
Current Notional (1)
|
Weighted Average Pay Rate (2) (3)
|
Weighted Average Receive Rate (2)
|
Weighted Average Years to Maturity (2)
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
0 - 3 years
|
$
|
3,240,436
|
1.85
|
%
|
0.36
|
%
|
1.80
|
|||||||||
3 - 6 years
|
11,675,000
|
1.82
|
%
|
0.55
|
%
|
4.25
|
||||||||||
6 - 10 years
|
11,635,250
|
2.44
|
%
|
0.57
|
%
|
7.92
|
||||||||||
Greater than 10 years
|
3,634,400
|
3.70
|
%
|
0.43
|
%
|
19.37
|
||||||||||
Total / Weighted Average
|
$
|
30,185,086
|
2.26
|
%
|
0.53
|
%
|
7.02
|
(1) There were no forward starting pay fixed swaps as of March 31, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015.
|
||||||||||||||||
(2) Excludes forward starting swaps.
|
||||||||||||||||
(3) There were no forward starting pay fixed swaps as of March 31, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015.
|
||||||||||||||||
March 31, 2016
|
||||||||||||||||
Purchase and sale contracts for derivative TBAs
|
Notional
|
Implied Cost Basis
|
Implied Market Value
|
Net Carrying Value
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Purchase contracts
|
$
|
14,273,000
|
$
|
14,847,792
|
$
|
14,924,524
|
$
|
76,732
|
||||||||
December 31, 2015
|
||||||||||||||||
Purchase and sale contracts for derivative TBAs
|
Notional
|
Implied Cost Basis
|
Implied Market Value
|
Net Carrying Value
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Purchase contracts
|
$
|
13,761,000
|
$
|
14,177,338
|
$
|
14,169,775
|
$
|
(7,563
|
)
|
March 31, 2016
|
||||||||||||
Notional - Long Positions
|
Notional - Short Positions
|
Weighted Average Years to Maturity
|
||||||||||
(dollars in thousands)
|
||||||||||||
2-year swap equivalent Eurodollar contracts
|
$
|
-
|
$
|
(4,375,000
|
)
|
2.00
|
||||||
U.S. Treasury futures - 5 year
|
-
|
(1,847,200
|
)
|
4.42
|
||||||||
U.S. Treasury futures - 10 year and greater
|
-
|
(655,600
|
)
|
6.75
|
||||||||
Total
|
$
|
-
|
$
|
(6,877,800
|
)
|
3.10
|
||||||
December 31, 2015
|
||||||||||||
Notional - Long Positions
|
Notional - Short Positions
|
Weighted Average Years to Maturity
|
||||||||||
(dollars in thousands)
|
||||||||||||
2-year swap equivalent Eurodollar contracts
|
$
|
-
|
$
|
(7,000,000
|
)
|
2.00
|
||||||
U.S. Treasury futures - 5 year
|
-
|
(1,847,200
|
)
|
4.42
|
||||||||
U.S. Treasury futures - 10 year and greater
|
-
|
(655,600
|
)
|
6.92
|
||||||||
Total
|
$
|
-
|
$
|
(9,502,800
|
)
|
2.81
|
March 31, 2016
|
Amounts Eligible for Offset
|
|||||||||||||||
|
Gross Amounts
|
Financial Instruments
|
Cash Collateral
|
Net Amounts
|
||||||||||||
Assets:
|
(dollars in thousands)
|
|||||||||||||||
Interest rate swaps, at fair value
|
$
|
93,312
|
$
|
(93,312
|
)
|
$
|
-
|
$
|
-
|
|||||||
TBA derivatives, at fair value
|
76,732
|
-
|
-
|
76,732
|
||||||||||||
Futures contracts, at fair value
|
717
|
(110
|
)
|
-
|
607
|
|||||||||||
|
||||||||||||||||
Liabilities:
|
||||||||||||||||
Interest rate swaps, at fair value
|
$
|
2,782,961
|
$
|
(93,312
|
)
|
$
|
(1,617,530
|
)
|
$
|
1,072,119
|
||||||
TBA derivatives, at fair value
|
-
|
-
|
-
|
-
|
||||||||||||
Futures contracts, at fair value
|
69,171
|
(110
|
)
|
(69,061
|
)
|
-
|
||||||||||
|
||||||||||||||||
|
||||||||||||||||
|
||||||||||||||||
December 31, 2015
|
Amounts Eligible for Offset
|
|||||||||||||||
|
Gross Amounts
|
Financial Instruments
|
Cash Collateral
|
Net Amounts
|
||||||||||||
Assets:
|
(dollars in thousands)
|
|||||||||||||||
Interest rate swaps, at fair value
|
$
|
19,642
|
$
|
(18,040
|
)
|
$
|
-
|
$
|
1,602
|
|||||||
TBA derivatives, at fair value
|
9,622
|
(7,367
|
)
|
-
|
2,255
|
|||||||||||
Futures contracts, at fair value
|
12,443
|
(10,868
|
)
|
-
|
1,575
|
|||||||||||
|
||||||||||||||||
Liabilities:
|
||||||||||||||||
Interest rate swaps, at fair value
|
$
|
1,677,571
|
$
|
(18,040
|
)
|
$
|
(913,576
|
)
|
$
|
745,955
|
||||||
TBA derivatives, at fair value
|
17,185
|
(7,367
|
)
|
-
|
9,818
|
|||||||||||
Futures contracts, at fair value
|
32,778
|
(10,868
|
)
|
(21,910
|
)
|
-
|
Location on Consolidated Statements of Comprehensive Income (Loss)
|
||||||||||||
Realized Gains (Losses) on Interest Rate Swaps(1)
|
Realized Gains (Losses) on Termination of Interest Rate Swaps
|
Unrealized Gains (Losses) on Interest Rate Swaps
|
||||||||||
(dollars in thousands)
|
||||||||||||
Quarters Ended:
|
||||||||||||
March 31, 2016
|
$
|
(147,475
|
)
|
$
|
-
|
$
|
(1,031,720
|
)
|
||||
March 31, 2015
|
$
|
(158,239
|
)
|
$
|
(226,462
|
)
|
$
|
(466,202
|
)
|
Quarter Ended March 31, 2016
|
||||||||||||
Derivative Instruments
|
Realized Gain (Loss)
|
Unrealized Gain (Loss)
|
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
|
|||||||||
(dollars in thousands)
|
||||||||||||
Net TBA derivatives (1)
|
$
|
219,993
|
$
|
84,295
|
$
|
304,288
|
||||||
Net interest rate swaptions
|
$
|
-
|
$
|
-
|
$
|
-
|
||||||
Futures
|
$
|
(130,994
|
)
|
$
|
(48,120
|
)
|
$
|
(179,114
|
)
|
|||
|
$
|
125,174
|
||||||||||
Quarter Ended March 31, 2015
|
||||||||||||
Derivative Instruments
|
Realized Gain (Loss)
|
Unrealized Gain (Loss)
|
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
|
|||||||||
(dollars in thousands)
|
||||||||||||
Net TBA derivatives (1)
|
$
|
(55,644
|
)
|
$
|
117,188
|
$
|
61,544
|
|||||
Net interest rate swaptions
|
$
|
(21,891
|
)
|
$
|
17,083
|
$
|
(4,808
|
)
|
||||
Futures
|
$
|
(5,506
|
)
|
$
|
(58,126
|
)
|
$
|
(63,632
|
)
|
|||
|
$
|
(6,896
|
)
|
|
For the Quarters Ended March 31,
|
|||||||
|
2016
|
2015
|
||||||
Interest income:
|
(dollars in thousands)
|
|||||||
Residential Investment Securities
|
$
|
315,717
|
$
|
478,239
|
||||
Commercial investment portfolio(1)
|
70,187
|
40,336
|
||||||
Reverse repurchase agreements
|
2,239
|
539
|
||||||
Total interest income
|
388,143
|
519,114
|
||||||
Interest expense:
|
||||||||
Repurchase agreements
|
132,891
|
102,748
|
||||||
Convertible Senior Notes
|
-
|
23,627
|
||||||
Securitized debt of consolidated VIEs
|
9,033
|
2,882
|
||||||
Participation sold
|
158
|
159
|
||||||
Other
|
5,365
|
4
|
||||||
Total interest expense
|
147,447
|
129,420
|
||||||
Net interest income
|
$
|
240,696
|
$
|
389,694
|
||||
|
||||||||
(1) Includes commercial real estate debt, preferred equity and corporate debt.
|
For the Quarters Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
(dollars in thousands, except per share data)
|
||||||||
Net income (loss)
|
$ |
(868,080
|
)
|
$
|
(476,499
|
)
|
||
Less: Net income (loss) attributable to noncontrolling interest
|
(162
|
)
|
(90
|
)
|
||||
Net income (loss) attributable to Annaly
|
(867,918
|
)
|
(476,409
|
)
|
||||
Less: Preferred stock dividends
|
17,992
|
17,992
|
||||||
Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary
|
(885,910
|
)
|
(494,401
|
)
|
||||
Add: Interest on Convertible Senior Notes, if dilutive
|
-
|
-
|
||||||
Net income (loss) available to common stockholders, as adjusted
|
$
|
(885,910
|
)
|
$
|
(494,401
|
)
|
||
Weighted average shares of common stock outstanding-basic
|
926,813,588
|
947,669,831
|
||||||
Add: Effect of stock awards and Convertible Senior Notes, if dilutive
|
-
|
-
|
||||||
Weighted average shares of common stock outstanding-diluted
|
926,813,588
|
947,669,831
|
||||||
Net income (loss) per share available (related) to common share:
|
||||||||
Basic
|
$
|
(0.96
|
)
|
$
|
(0.52
|
)
|
||
Diluted
|
$
|
(0.96
|
)
|
$
|
(0.52
|
)
|
For the Quarters Ended
|
||||||||||||||||
March 31, 2016
|
March 31, 2015
|
|||||||||||||||
Number of Shares
|
Weighted Average Exercise Price
|
Number of Shares
|
Weighted Average Exercise Price
|
|||||||||||||
Options outstanding at the beginning of period
|
1,168,775
|
$
|
15.34
|
2,259,335
|
$
|
15.35
|
||||||||||
Granted
|
-
|
-
|
-
|
-
|
||||||||||||
Exercised
|
-
|
-
|
-
|
-
|
||||||||||||
Forfeited
|
(2,500
|
)
|
13.72
|
(8,799
|
)
|
14.80
|
||||||||||
Expired
|
(30,500
|
)
|
11.72
|
-
|
-
|
|||||||||||
Options outstanding at the end of period
|
1,135,775
|
15.44
|
2,250,536
|
15.35
|
||||||||||||
Options exercisable at the end of the period
|
1,135,775
|
$
|
15.44
|
2,250,536
|
$
|
15.35
|
Years Ending December 31,
|
Lease Commitments
|
|||
(dollars in thousands)
|
||||
2016 (remaining)
|
$
|
2,673
|
||
2017
|
3,565
|
|||
2018
|
3,565
|
|||
2019
|
3,565
|
|||
2020
|
3,652
|
|||
Later years
|
18,343
|
|||
$
|
35,363
|
Overview
|
41
|
Pending Acquisition of Hatteras | 41 |
Business Environment
|
42
|
Economic Environment
|
42
|
Financial Regulatory Reform
|
43
|
Results of Operations
|
43
|
Net Income (Loss) Summary
|
44
|
Non-GAAP Financial Measures
|
45
|
Core Earnings and Normalized Core Earnings
|
46
|
Normalized Interest Income, Economic Interest Expense, Economic Net Interest Income and Normalized Economic Net Interest Income
|
46
|
Experienced and Projected Long-term CPR | 47 |
Normalized Interest Income and Normalized Average Yield on Interest Earning Assets
|
48
|
Economic Interest Expense and Average Cost of Interest Bearing Liabilities
|
48
|
Normalized Economic Net Interest Income
|
48
|
Realized and Unrealized Gains (Losses)
|
49
|
Other Income (Loss)
|
50
|
General Administrative Expenses
|
50
|
Unrealized Gains and Losses
|
50
|
Net Income (Loss) and Return on Average Equity
|
51
|
Financial Condition
|
51
|
Residential Investment Securities
|
52
|
Contractual Obligations
|
54
|
Off-Balance Sheet Arrangements
|
55
|
Capital Management
|
55
|
Stockholders' Equity
|
55
|
Common and Preferred Stock
|
56
|
Distributions to Stockholders
|
56
|
Leverage and Capital
|
57
|
Risk Management
|
57
|
Risk Appetite
|
57
|
Governance
|
58
|
Description of Risks
|
58
|
Liquidity Risk Management
|
59
|
Funding
|
59
|
Excess Liquidity
|
60
|
Maturity Profile
|
61
|
Stress Testing
|
63
|
Liquidity Management Policies
|
63
|
Investment/Market Risk Management
|
63
|
Credit Risk Management
|
64
|
Counterparty Risk Management | 64 |
Operational Risk Management
|
65
|
Compliance, Regulatory and Legal Risk Management
|
65
|
Critical Accounting Policies and Estimates
|
66
|
Valuation of Financial Instruments
|
66
|
Residential Investment Securities
|
66
|
Commercial Real Estate Investments | 66 |
Interest Rate Swaps
|
66
|
Revenue Recognition
|
67
|
Consolidation of Variable Interest Entities
|
67
|
Use of Estimates
|
67
|
Glossary of Terms
|
68
|
|
Annaly, the parent company
|
Invests primarily in various types of Agency mortgage-backed securities and related derivatives to hedge these investments. Its portfolio also includes residential credit investments such as CRTs and non-Agency mortgage-backed securities.
|
Annaly Commercial Real Estate Group, Inc. (or ACREG)
|
Wholly-owned subsidiary that specializes in originating or acquiring, financing and managing commercial loans and other commercial real estate debt, commercial mortgage-backed securities and other commercial real estate-related assets.
|
Annaly Middle Market Lending LLC
(or MML)
|
Wholly-owned subsidiary that engages in corporate middle market lending transactions.
|
RCap Securities, Inc.
(or RCap)
|
Wholly-owned subsidiary that operates as a broker-dealer, and is a member of the Financial Industry Regulatory Authority (or FINRA)
|
|
March 31, 2016
|
December 31, 2015
|
March 31, 2015
|
|||||||||
30-Year mortgage current coupon
|
2.57
|
%
|
3.00
|
%
|
2.65
|
%
|
||||||
Mortgage basis
|
80 bps
|
73 bps
|
73 bps
|
|||||||||
10-Year U.S. Treasury rate
|
1.77
|
%
|
2.27
|
%
|
1.92
|
%
|
||||||
|
||||||||||||
LIBOR:
|
||||||||||||
1-Month
|
0.44
|
%
|
0.43
|
%
|
0.18
|
%
|
||||||
6-Month
|
0.90
|
%
|
0.84
|
%
|
0.40
|
%
|
For the Quarters Ended March 31,
|
||||||||
2016
|
2015
|
|||||||
(dollars in thousands, except per share data)
|
||||||||
Interest income
|
$
|
388,143
|
$
|
519,114
|
||||
Interest expense
|
147,447
|
129,420
|
||||||
Net interest income
|
240,696
|
389,694
|
||||||
Realized and unrealized gains (losses)
|
(1,055,553
|
)
|
(828,999
|
)
|
||||
Other income (loss)
|
(6,115
|
)
|
13,758
|
|||||
General and administrative expenses
|
47,945
|
50,938
|
||||||
Income (loss) before income taxes
|
(868,917
|
)
|
(476,485
|
)
|
||||
Income taxes
|
(837
|
)
|
14
|
|||||
Net income (loss)
|
(868,080
|
)
|
(476,499
|
)
|
||||
Net income (loss) attributable to noncontrolling interest
|
(162
|
)
|
(90
|
)
|
||||
Net income (loss) attributable to Annaly
|
(867,918
|
)
|
(476,409
|
)
|
||||
Dividends on preferred stock
|
17,992
|
17,992
|
||||||
Net income (loss) available (related) to common stockholders
|
$
|
(885,910
|
)
|
$
|
(494,401
|
)
|
||
Net income (loss) per share available (related) to common stockholders:
|
||||||||
Basic
|
$
|
(0.96
|
)
|
$
|
(0.52
|
)
|
||
Diluted
|
$
|
(0.96
|
)
|
$
|
(0.52
|
)
|
||
Weighted average number of common shares outstanding:
|
||||||||
Basic
|
926,813,588
|
947,669,831
|
||||||
Diluted
|
926,813,588
|
947,669,831
|
||||||
|
||||||||
Non-GAAP financial measures (1):
|
||||||||
Normalized interest income (2)
|
$
|
556,551
|
$
|
606,997
|
||||
Economic interest expense
|
$
|
270,571
|
$
|
286,752
|
||||
Normalized economic net interest income (2)
|
$
|
285,980
|
$
|
320,245
|
||||
Core earnings
|
$
|
123,349
|
$
|
254,082
|
||||
Normalized core earnings (2)
|
$
|
291,757
|
$
|
341,965
|
||||
Core earnings per average basic common share
|
$
|
0.11
|
$
|
0.25
|
||||
Normalized core earnings per average basic common share (2)
|
$
|
0.30
|
$
|
0.34
|
||||
|
||||||||
Other information:
|
||||||||
Asset portfolio at period-end
|
$
|
74,280,593
|
$
|
73,941,094
|
||||
Average total assets
|
$
|
76,317,429
|
$
|
83,515,522
|
||||
Average equity
|
$
|
11,781,965
|
$
|
13,229,186
|
||||
Leverage at period-end (3)
|
5.3:1
|
4.8:1
|
||||||
Economic leverage at period-end (4)
|
6.2:1
|
5.7:1
|
||||||
Capital ratio (5)
|
13.2
|
%
|
14.3
|
%
|
||||
Annualized return on average total assets
|
(4.55
|
%)
|
(2.28
|
%)
|
||||
Annualized return (loss) on average equity
|
(29.47
|
%)
|
(14.41
|
%)
|
||||
Annualized core return on average equity
|
4.19
|
%
|
7.69
|
%
|
||||
Annualized normalized core return on average equity (2)
|
9.91
|
%
|
10.34
|
%
|
||||
Net interest margin (6)
|
0.79
|
%
|
1.29
|
%
|
||||
Normalized net interest margin (2)
|
1.54
|
%
|
1.68
|
%
|
||||
Average yield on interest earning assets
|
2.09
|
%
|
2.54
|
%
|
||||
Normalized average yield on interest earning assets (2)
|
3.00
|
%
|
2.96
|
%
|
||||
Average cost of interest bearing liabilities
|
1.73
|
%
|
1.64
|
%
|
||||
Net interest spread
|
0.36
|
%
|
0.90
|
%
|
||||
Normalized net interest spread (2)
|
1.27
|
%
|
1.32
|
%
|
||||
Constant prepayment rate
|
8.8
|
%
|
9.0
|
%
|
||||
Long-term constant prepayment rate
|
11.8
|
%
|
9.2
|
%
|
||||
Common stock book value per share
|
$
|
11.61
|
$
|
12.88
|
For the Quarters Ended March 31,
|
||||||||
2016
|
2015
|
|||||||
(dollars in thousands, except per share data)
|
||||||||
GAAP net income (loss)
|
$
|
(868,080
|
)
|
$
|
(476,499
|
)
|
||
Less:
|
||||||||
Realized (gains) losses on termination of interest rate swaps
|
-
|
226,462
|
||||||
Unrealized (gains) losses on interest rate swaps
|
1,031,720
|
466,202
|
||||||
Net (gains) losses on disposal of investments
|
1,675
|
(62,356
|
)
|
|||||
Net (gains) losses on trading assets
|
(125,189
|
)
|
6,906
|
|||||
Net unrealized (gains) losses on financial instruments measured at fair value through earnings
|
(128
|
)
|
33,546
|
|||||
GAAP net (income) loss attributable to noncontrolling interest
|
162
|
90
|
||||||
Plus:
|
||||||||
TBA dollar roll income (loss) (1)
|
83,189
|
59,731
|
||||||
Core earnings
|
$
|
123,349
|
$
|
254,082
|
||||
Premium Amortization Adjustment cost (benefit)
|
$
|
168,408
|
$
|
87,883
|
||||
Normalized core earnings
|
$
|
291,757
|
$
|
341,965
|
||||
|
||||||||
GAAP net income (loss) per average basic common share
|
$
|
(0.96
|
)
|
$
|
(0.52
|
)
|
||
Core earnings per average basic common share
|
$
|
0.11
|
$
|
0.25
|
||||
Normalized core earnings per average basic common share
|
$
|
0.30
|
$
|
0.34
|
For the Quarters Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Premium amortization expense
|
355,671
|
284,777
|
||||||
Less: PAA Cost (Benefit)
|
168,408
|
87,883
|
||||||
Premium amortization expense exclusive of PAA
|
187,263
|
196,894
|
||||||
For the Quarters Ended
|
||||||||
March 31, 2016
|
March 31, 2015
|
|||||||
(per common share)
|
||||||||
Premium amortization expense
|
0.38
|
0.30
|
||||||
Less: PAA Cost (Benefit)
|
0.19
|
0.09
|
||||||
Premium amortization expense exclusive of PAA
|
0.19
|
0.21
|
|
Total Interest Income
|
PAA Cost (Benefit)
|
Normalized Interest Income
|
|||||||||
Quarters Ended:
|
(dollars in thousands)
|
|||||||||||
March 31, 2016
|
$
|
388,143
|
$
|
168,408
|
$
|
556,551
|
||||||
March 31, 2015
|
$
|
519,114
|
$
|
87,883
|
$
|
606,997
|
GAAP Interest Expense
|
Add: Interest Expense on Interest Rate Swaps Used to Hedge Cost of Funds (1)
|
Economic Interest Expense
|
GAAP Net Interest Income
|
Less: Interest Expense on Interest Rate Swaps Used to Hedge Cost of Funds (1)
|
Economic Net Interest Income
|
|||||||||||||||||||
For the Quarters Ended:
|
(dollars in thousands)
|
(dollars in thousands)
|
||||||||||||||||||||||
March 31, 2016
|
$
|
147,447
|
$
|
123,124
|
$
|
270,571
|
$
|
240,696
|
$
|
123,124
|
$
|
117,572
|
||||||||||||
March 31, 2015
|
$
|
129,420
|
$
|
157,332
|
$
|
286,752
|
$
|
389,694
|
$
|
157,332
|
$
|
232,362
|
||||||||||||
|
||||||||||||||||||||||||
(1) A component of realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).
|
Quarters Ended
|
Experienced CPR(1)
|
Projected
Long-term CPR(2)
|
||||||
March 31, 2016
|
8.8
|
%
|
11.8
|
%
|
||||
March 31, 2015
|
9.0
|
%
|
9.2
|
%
|
||||
(1) For the quarter ended March 31, 2016 and 2015, respectively.
|
||||||||
(2) As of March 31, 2016 and 2015, respectively.
|
Average Interest Bearing Liabilities
|
Interest Bearing Liabilities at Period End
|
Economic Interest Expense(1)
|
Average Cost of Interest Bearing Liabilities
|
Average One-Month LIBOR
|
Average Six-Month LIBOR
|
Average One-Month LIBOR Relative to Average Six-Month LIBOR
|
Average Cost of Interest Bearing Liabilities Relative to Average One-Month LIBOR
|
Average Cost of Interest Bearing Liabilities Relative to Average Six-Month LIBOR
|
||||||||||||||||||||||||||||
For the Quarters Ended:
|
(dollars in thousands)
|
|||||||||||||||||||||||||||||||||||
March 31, 2016
|
$
|
62,379,695
|
$
|
61,852,331
|
$
|
270,571
|
1.73
|
%
|
0.43
|
%
|
0.88
|
%
|
(0.45
|
%)
|
1.30
|
%
|
0.85
|
%
|
||||||||||||||||||
March 31, 2015
|
$
|
70,137,382
|
$
|
62,822,308
|
$
|
286,752
|
1.64
|
%
|
0.17
|
%
|
0.38
|
%
|
(0.21
|
%)
|
1.47
|
%
|
1.26
|
%
|
||||||||||||||||||
(1) Economic interest expense includes interest expense on interest rate swaps used to hedge cost of funds.
|
Average
Interest
Earning
Assets(1)
|
Normalized Interest
Income(2)
|
Normalized Average Yield on Interest Earning Assets (2)
|
Average
Interest
Bearing Liabilities
|
Economic Interest
Expense(3)
|
Average Cost
of Interest Bearing Liabilities
|
Normalized Economic
Net Interest Income(2) (3)
|
Normalized
Net
Interest
Spread(2)
|
Normalized
Net
Interest
Margin (4)
|
||||||||||||||||||||||||||||
For the Quarters Ended:
|
(dollars in thousands)
|
|||||||||||||||||||||||||||||||||||
March 31, 2016
|
$
|
74,171,943
|
$
|
556,551
|
3.00
|
%
|
$
|
62,379,695
|
$
|
270,571
|
1.73
|
%
|
$
|
285,980
|
1.27
|
%
|
1.54
|
%
|
||||||||||||||||||
March 31, 2015
|
$
|
81,896,255
|
$
|
606,997
|
2.96
|
%
|
$
|
70,137,382
|
$
|
286,752
|
1.64
|
%
|
$
|
320,245
|
1.32
|
%
|
1.68
|
%
|
|
For the Quarters Ended,
|
|||||||
|
March 31, 2016
|
March 31, 2015
|
||||||
|
(dollars in thousands)
|
|||||||
Net gains (losses) on interest rate swaps (1)
|
$
|
(1,179,195
|
)
|
$
|
(850,903
|
)
|
||
Net gains (losses) on disposal of investments
|
(1,675
|
)
|
62,356
|
|||||
Net gains (losses) on trading assets
|
125,189
|
(6,906
|
)
|
|||||
Net unrealized gains (losses) on financial instruments measured at fair value through earnings
|
128
|
(33,546
|
)
|
|||||
Total
|
$
|
(1,055,553
|
)
|
$
|
(828,999
|
)
|
Total G&A Expenses
|
Total G&A
Expenses/Average Assets |
Total G&A
Expenses/Average Equity |
||||||||||
For the Quarters Ended:
|
(dollars in thousands)
|
|||||||||||
March 31, 2016
|
$
|
47,945
|
0.25
|
%
|
1.63
|
%
|
||||||
March 31, 2015
|
$
|
50,938
|
0.24
|
%
|
1.54
|
%
|
March 31, 2016
|
December 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
Unrealized gain
|
$
|
853,203
|
$
|
480,336
|
||||
Unrealized loss
|
(212,837
|
)
|
(857,932
|
)
|
||||
Net unrealized gain (loss)
|
$
|
640,366
|
$
|
(377,596
|
)
|
Economic Net Interest Income/ Average Equity(1)
|
Realized and Unrealized Gains and Losses/Average Equity(2)
|
Other Income (Loss)/Average Equity(3)
|
G&A Expenses/ Average Equity
|
Income
Taxes/ Average Equity |
Return on Average Equity
|
|||||||||||||||||||
For the Quarters Ended:
|
||||||||||||||||||||||||
March 31, 2016
|
3.99
|
%
|
(31.65
|
%)
|
(0.21
|
%)
|
(1.63
|
%)
|
0.03
|
%
|
(29.47
|
%)
|
||||||||||||
March 31, 2015
|
7.00
|
%
|
(20.28
|
%)
|
0.41
|
%
|
(1.54
|
%)
|
0.00
|
%
|
(14.41
|
%)
|
|
Residential
|
Commercial
|
||||||||||||||||||||||||||||||||||||||
|
Agency MBS
|
TBAs
|
Agency Debentures
|
CRTs
|
Non-Agency MBS
|
CRE Debt & Preferred Equity Investments
|
Loans Held for Sale
|
Investments in CRE
|
Corporate Debt
|
Total(1)
|
||||||||||||||||||||||||||||||
|
(dollars in thousands)
|
|||||||||||||||||||||||||||||||||||||||
Assets:
|
||||||||||||||||||||||||||||||||||||||||
Fair Value/Carrying Value
|
$
|
65,439,824
|
$
|
14,924,524
|
$
|
157,035
|
$
|
501,167
|
$
|
1,157,507
|
$
|
5,579,193
|
$
|
278,600
|
$
|
527,786
|
$
|
639,481
|
$
|
74,280,593
|
||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||
Debt:
|
||||||||||||||||||||||||||||||||||||||||
Repurchase agreements
|
53,523,183
|
14,273,000
|
-
|
113,969
|
623,196
|
187,793
|
-
|
-
|
-
|
54,448,141
|
||||||||||||||||||||||||||||||
Other secured financing
|
2,931,833
|
-
|
-
|
-
|
243,064
|
413,429
|
-
|
-
|
-
|
3,588,326
|
||||||||||||||||||||||||||||||
Securitized debt
|
-
|
-
|
-
|
-
|
-
|
3,802,682
|
-
|
-
|
-
|
3,802,682
|
||||||||||||||||||||||||||||||
Participation sold
|
-
|
-
|
-
|
-
|
-
|
13,182
|
-
|
-
|
-
|
13,182
|
||||||||||||||||||||||||||||||
Mortgages payable
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
334,765
|
-
|
334,765
|
||||||||||||||||||||||||||||||
Net Equity Allocated
|
$
|
8,984,808
|
$
|
651,524
|
$
|
157,035
|
$
|
387,198
|
$
|
291,247
|
$
|
1,162,107
|
$
|
278,600
|
$
|
193,021
|
$
|
639,481
|
$
|
12,093,497
|
||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||
Net Equity Allocated (%)
|
74
|
%
|
5
|
%
|
1
|
%
|
3
|
%
|
3
|
%
|
10
|
%
|
2
|
%
|
2
|
%
|
5
|
%
|
100
|
%
|
||||||||||||||||||||
Debt/Net Equity Ratio
|
6.3:1
|
21.9:1
|
0.0:1
|
0.3:1
|
3.0:1
|
3.8:1
|
0.0:1
|
1.7:1
|
0.0:1
|
5.3:1
|
(2) |
|
March 31,
2016
|
December 31,
2015
|
||||||
|
(dollars in thousands)
|
|||||||
Residential Investment Securities: (1)
|
||||||||
Principal Amount
|
$
|
61,976,476
|
$
|
62,764,045
|
||||
Net Premium
|
3,109,745
|
3,301,510
|
||||||
Amortized Cost
|
65,086,221
|
66,065,555
|
||||||
Amortized Cost/Principal Amount
|
105.02
|
%
|
105.26
|
%
|
||||
Carrying Value
|
65,725,753
|
65,680,037
|
||||||
Carrying Value / Principal Amount
|
106.05
|
%
|
104.65
|
%
|
||||
Weighted Average Coupon Rate
|
3.69
|
%
|
3.68
|
%
|
||||
Weighted Average Yield
|
2.72
|
%
|
2.82
|
%
|
||||
|
||||||||
Adjustable-Rate Residential Investment Securities:(1)
|
||||||||
Principal Amount
|
$
|
3,861,245
|
$
|
3,623,673
|
||||
Weighted Average Coupon Rate
|
3.08
|
%
|
3.06
|
%
|
||||
Weighted Average Yield
|
2.86
|
%
|
2.90
|
%
|
||||
Weighted Average Term to Next Adjustment
|
59 Months
|
57 Months
|
||||||
Weighted Average Lifetime Cap(2)
|
8.99
|
%
|
9.15
|
%
|
||||
Principal Amount at Period End as % of Total Residential Investment Securities
|
6.23
|
%
|
5.77
|
%
|
||||
|
||||||||
Fixed-Rate Residential Investment Securities: (1)
|
||||||||
Principal Amount
|
$
|
58,115,231
|
$
|
59,140,372
|
||||
Weighted Average Coupon Rate
|
3.73
|
%
|
3.72
|
%
|
||||
Weighted Average Yield
|
2.71
|
%
|
2.82
|
%
|
||||
Principal Amount at Period End as % of Total Residential Investment Securities
|
93.77
|
%
|
94.23
|
%
|
||||
|
||||||||
Interest-Only Residential Investment Securities:
|
||||||||
Notional Amount
|
$
|
10,476,830
|
$
|
10,310,577
|
||||
Net Premium
|
1,632,155
|
1,649,742
|
||||||
Amortized Cost
|
1,632,155
|
1,649,742
|
||||||
Amortized Cost/Notional Amount
|
15.58
|
%
|
16.00
|
%
|
||||
Carrying Value
|
1,529,780
|
1,553,457
|
||||||
Carrying Value/Notional Amount
|
14.60
|
%
|
15.07
|
%
|
||||
Weighted Average Coupon Rate
|
3.85
|
%
|
3.97
|
%
|
||||
Weighted Average Yield
|
5.82
|
%
|
8.89
|
%
|
By Sector Product
|
||||||||||||||||||||
Product
|
Market Value
|
Coupon
|
Credit Enhancement
|
60+ Delinquencies
|
3M VPR
|
|||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Alt-A
|
$
|
167,967
|
4.16
|
%
|
6.84
|
%
|
11.10
|
%
|
4.70
|
%
|
||||||||||
Prime
|
106,142
|
4.63
|
%
|
1.48
|
%
|
3.87
|
%
|
3.57
|
%
|
|||||||||||
Subprime
|
156,317
|
2.46
|
%
|
25.25
|
%
|
21.06
|
%
|
3.35
|
%
|
|||||||||||
Prime Jumbo (>=2010 Vintage)
|
283,560
|
3.50
|
%
|
14.76
|
%
|
-
|
9.40
|
%
|
||||||||||||
Prime Jumbo (>=2010 Vintage) Interest Only
|
17,182
|
0.42
|
%
|
-
|
-
|
6.15
|
%
|
|||||||||||||
Re-Performing Loan Securitizations
|
42,565
|
3.63
|
%
|
51.25
|
%
|
14.39
|
%
|
3.83
|
%
|
|||||||||||
Credit Risk Transfer
|
501,167
|
4.44
|
%
|
1.05
|
%
|
0.11
|
%
|
10.44
|
%
|
|||||||||||
Non-Performing Loan Securitizations
|
383,774
|
4.00
|
%
|
51.55
|
%
|
65.32
|
%
|
0.31
|
%
|
|||||||||||
Total/Weighted Average
|
$
|
1,658,674
|
3.91
|
%
|
19.25
|
%
|
18.87
|
%
|
6.02
|
%
|
Market Value By Sector and Payment Structure
|
||||||||||||
Product
|
Senior
|
Subordinate
|
Total
|
|||||||||
(dollars in thousands)
|
||||||||||||
Alt-A
|
$
|
96,298
|
$
|
71,669
|
$
|
167,967
|
||||||
Prime
|
33,990
|
72,152
|
106,142
|
|||||||||
Subprime
|
123,232
|
33,085
|
156,317
|
|||||||||
Prime Jumbo (>=2010 Vintage)
|
277,105
|
6,455
|
283,560
|
|||||||||
Prime Jumbo (>=2010 Vintage) Interest Only
|
17,182
|
-
|
17,182
|
|||||||||
Re-Performing Loan Securitizations
|
42,565
|
-
|
42,565
|
|||||||||
Credit Risk Transfer
|
-
|
501,167
|
501,167
|
|||||||||
Non-Performing Loan Securitizations
|
383,774
|
-
|
383,774
|
|||||||||
Total
|
$
|
974,146
|
$
|
684,528
|
$
|
1,658,674
|
Market Value By Sector and Bond Coupon
|
||||||||||||||||||||
Product
|
ARM
|
Fixed
|
Floater
|
Interest Only
|
Total
|
|||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Alt-A
|
$
|
19,207
|
$
|
94,820
|
$
|
53,940
|
$
|
-
|
$
|
167,967
|
||||||||||
Prime
|
43,281
|
62,861
|
-
|
-
|
106,142
|
|||||||||||||||
Subprime
|
-
|
41,041
|
115,276
|
-
|
156,317
|
|||||||||||||||
Prime Jumbo (>=2010 Vintage)
|
-
|
277,105
|
6,455
|
-
|
283,560
|
|||||||||||||||
Prime Jumbo (>=2010 Vintage) Interest Only
|
-
|
-
|
-
|
17,182
|
17,182
|
|||||||||||||||
Re-Performing Loan Securitizations
|
-
|
42,565
|
-
|
-
|
42,565
|
|||||||||||||||
Credit Risk Transfer
|
-
|
-
|
501,167
|
-
|
501,167
|
|||||||||||||||
Non-Performing Loan Securitizations
|
-
|
383,774
|
-
|
-
|
383,774
|
|||||||||||||||
Total
|
$
|
62,488
|
$
|
902,166
|
$
|
676,838
|
$
|
17,182
|
$
|
1,658,674
|
|
Within One Year
|
One to Three Years
|
Three to Five Years
|
More than Five Years
|
Total
|
|||||||||||||||
|
(dollars in thousands)
|
|||||||||||||||||||
Repurchase agreements
|
$
|
48,038,112
|
$
|
6,410,029
|
$
|
-
|
$
|
-
|
$
|
54,448,141
|
||||||||||
Interest expense on repurchase agreements(1)
|
222,291
|
67,640
|
-
|
-
|
289,931
|
|||||||||||||||
Other secured financing
|
-
|
-
|
3,588,326
|
-
|
3,588,326
|
|||||||||||||||
Interest expense on other secured financing(1)
|
21,310
|
42,620
|
37,357
|
-
|
101,287
|
|||||||||||||||
Securitized debt of consolidated VIEs (principal)
|
125,819
|
-
|
-
|
3,695,433
|
3,821,252
|
|||||||||||||||
Mortgages payable (principal)
|
25,846
|
-
|
-
|
312,500
|
338,346
|
|||||||||||||||
Participation sold (principal)
|
319
|
12,742
|
-
|
-
|
13,061
|
|||||||||||||||
Long-term operating lease obligations
|
3,267
|
7,129
|
7,266
|
17,701
|
35,363
|
|||||||||||||||
Total
|
$
|
48,436,964
|
$
|
6,540,160
|
$
|
3,632,949
|
$
|
4,025,634
|
$
|
62,635,707
|
|
March 31, 2016
|
December 31, 2015
|
||||||
Stockholders' Equity:
|
(dollars in thousands)
|
|||||||
7.875% Series A Cumulative Redeemable Preferred Stock
|
$
|
177,088
|
$
|
177,088
|
||||
7.625% Series C Cumulative Redeemable Preferred Stock
|
290,514
|
290,514
|
||||||
7.50% Series D Cumulative Redeemable Preferred Stock
|
445,457
|
445,457
|
||||||
Common stock
|
9,249
|
9,359
|
||||||
Additional paid-in capital
|
14,573,760
|
14,675,768
|
||||||
Accumulated other comprehensive income (loss)
|
640,366
|
(377,596
|
)
|
|||||
Accumulated deficit
|
(4,487,982
|
)
|
(3,324,616
|
)
|
||||
Total stockholders' equity
|
$
|
11,648,452
|
$
|
11,895,974
|
|
Options Exercised
|
Aggregate Exercise Price
|
Shares Issued Through Direct Purchase
|
Amount Raised from Direct Purchase and Dividend Reinvestment Program
|
||||||||||||
For the Quarters Ended:
|
(dollars in thousands)
|
|||||||||||||||
March 31, 2016
|
-
|
$
|
-
|
56,000
|
$
|
524
|
||||||||||
March 31, 2015
|
-
|
-
|
53,000
|
570
|
|
For the Quarters Ended:
|
|||||||
|
March 31, 2016
|
March 31, 2015
|
||||||
|
(dollars in thousands, except per share data)
|
|||||||
Distributions declared to common stockholders
|
$
|
277,456
|
$
|
284,310
|
||||
Distributions declared per common share
|
$
|
0.30
|
$
|
0.30
|
||||
Distributions paid to common stockholders after period end
|
$
|
277,456
|
$
|
284,310
|
||||
Distributions paid per common share after period end
|
$
|
0.30
|
$
|
0.30
|
||||
Date of distributions paid to common stockholders after period end
|
April 29, 2016
|
April 30, 2015
|
||||||
Dividends declared to Series A Preferred stockholders
|
$
|
3,648
|
$
|
3,648
|
||||
Dividends declared per Series A Preferred share
|
$
|
0.492
|
$
|
0.492
|
||||
Dividends declared to Series C Preferred stockholders
|
$
|
5,719
|
$
|
5,719
|
||||
Dividends declared per Series C Preferred share
|
$
|
0.477
|
$
|
0.477
|
||||
Dividends declared to Series D Preferred stockholders
|
$
|
8,625
|
$
|
8,625
|
||||
Dividends declared per Series D Preferred share
|
$
|
0.469
|
$
|
0.469
|
Portfolio Composition
|
We will maintain a portfolio comprised of target assets approved by our Board and in accordance with our capital allocation policy.
|
Leverage
|
We will operate at an economic leverage ratio no greater than 10:1.
|
Liquidity Risk
|
We will seek to maintain an unencumbered asset portfolio sufficient to meet our liquidity needs under adverse market conditions.
|
Interest Rate Risk
|
We will seek to manage interest rate risk to protect the portfolio from adverse rate movements utilizing derivative instruments targeting both income and capital preservation.
|
Credit Risk
|
We will seek to manage credit risk by making investments which conform within our specific investment policy parameters and optimize risk-adjusted returns.
|
Capital Preservation
|
We will seek to protect our capital base through disciplined risk management practices.
|
Compliance
|
We will comply with regulatory requirements needed to maintain our REIT status and our exemption from registration under the Investment Company Act.
|
Risk
|
Description
|
Liquidity Risk
|
Risk to earnings, capital or business arising from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding.
|
Investment/Market Risk
|
Risk to earnings, capital or business resulting in the decline in value of our assets or an increase in the costs of financing caused by changes in market variables, such as interest rates, which affect the values of investment securities and other investment instruments.
|
Counterparty Risk
|
Risk to earnings, capital or business, resulting from counterparty's failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in funding and hedging activities.
|
Credit Risk
|
Risk to earnings, capital or business resulting from an obligor's failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in lending, and investing activities.
|
Operational Risk
|
Risk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems, human factors or external events. Model risk is included in operational risk.
|
Compliance, Regulatory and Legal Risk
|
Risk to earnings, capital, reputation or conduct of business arising from violations of, or nonconformance with internal and external applicable rules and regulations, losses resulting from lawsuits or adverse judgments, or from changes in the regulatory environment that may impact our business model.
|
Funding
|
Availability of diverse and stable sources of funds.
|
Excess Liquidity
|
Excess liquidity primarily in the form of unencumbered assets.
|
Maturity Profile
|
Diversity and tenor of liabilities and modest use of leverage.
|
Stress Testing
|
Scenario modeling to measure the resiliency of our liquidity position.
|
Liquidity Management Policies
|
Comprehensive policies including monitoring, risk limits and an escalation protocol.
|
|
Repurchase Agreements
|
Reverse Repurchase Agreements
|
||||||||||||||
|
Average Daily Amount Outstanding
|
Ending Amount Outstanding
|
Average Daily Amount Outstanding
|
Ending Amount Outstanding
|
||||||||||||
Quarter Ended:
|
(dollars in thousands)
|
|||||||||||||||
March 31, 2016
|
$
|
55,753,041
|
$
|
54,448,141
|
$
|
1,294,505
|
$
|
-
|
||||||||
December 31, 2015
|
57,483,870
|
56,230,860
|
214,674
|
-
|
||||||||||||
September 30, 2015
|
57,102,712
|
56,449,364
|
931,522
|
-
|
||||||||||||
June 30, 2015
|
60,643,597
|
57,459,552
|
1,779,121
|
-
|
||||||||||||
March 31, 2015
|
68,572,119
|
60,477,378
|
100,000
|
100,000
|
||||||||||||
December 31, 2014
|
72,117,895
|
71,361,926
|
10,870
|
100,000
|
||||||||||||
September 30, 2014
|
71,312,473
|
69,610,722
|
-
|
-
|
||||||||||||
June 30, 2014
|
70,133,219
|
70,372,218
|
227,640
|
-
|
||||||||||||
March 31, 2014
|
64,443,248
|
64,543,949
|
379,042
|
444,375
|
|
March 31, 2016
|
|||||||||||
|
Principal Balance
|
Weighted Average Rate
|
% of Total
|
|||||||||
|
(dollars in thousands)
|
|||||||||||
1 day
|
$
|
8,050,000
|
0.62
|
%
|
13.9
|
%
|
||||||
2 to 29 days
|
12,841,928
|
0.75
|
%
|
22.1
|
%
|
|||||||
30 to 59 days
|
4,878,678
|
0.82
|
%
|
8.4
|
%
|
|||||||
60 to 89 days
|
9,264,997
|
0.96
|
%
|
16.0
|
%
|
|||||||
90 to 119 days
|
4,270,155
|
0.95
|
%
|
7.4
|
%
|
|||||||
Over 120 days(1)
|
18,730,709
|
1.29
|
%
|
32.2
|
%
|
|||||||
Total
|
$
|
58,036,467
|
0.96
|
%
|
100.0
|
%
|
||||||
|
||||||||||||
(1) Approximately 17% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year.
|
|
Weighted Average
|
|||||||||||
|
Principal Balance
|
Rate
|
Days to Maturity (3)
|
|||||||||
|
(dollars in thousands)
|
|||||||||||
Repurchase agreements
|
$
|
54,448,141
|
0.99
|
%
|
136
|
|||||||
Other secured financing (1)
|
3,588,326
|
0.59
|
%
|
1,735
|
||||||||
Securitized debt of consolidated VIEs (2)
|
3,821,252
|
0.85
|
%
|
2,801
|
||||||||
Participation sold (2)
|
13,061
|
5.58
|
%
|
396
|
||||||||
Mortgages payable (2)
|
338,346
|
4.16
|
%
|
3,064
|
||||||||
Total indebtedness
|
$
|
62,209,126
|
|
Encumbered Assets
|
Unencumbered Assets
|
Total
|
|||||||||
|
(dollars in thousands)
|
|||||||||||
Financial Assets:
|
||||||||||||
Cash and cash equivalents
|
$
|
2,223,009
|
$
|
193,127
|
$
|
2,416,136
|
||||||
Investments, at carrying value:(1)
|
||||||||||||
Agency mortgage-backed securities
|
60,742,440
|
4,675,389
|
65,417,829
|
|||||||||
Agency debentures
|
-
|
157,035
|
157,035
|
|||||||||
Credit risk transfer securities
|
150,479
|
350,688
|
501,167
|
|||||||||
Non-Agency mortgage-backed securities
|
1,057,282
|
100,225
|
1,157,507
|
|||||||||
Commerical real estate debt investments
|
4,401,725
|
-
|
4,401,725
|
|||||||||
Commercial real estate debt and preferred equity, held for investment
|
523,787
|
653,681
|
1,177,468
|
|||||||||
Loans held for sale
|
-
|
278,600
|
278,600
|
|||||||||
Corporate debt
|
-
|
639,481
|
639,481
|
|||||||||
Total financial assets
|
$
|
69,098,722
|
$
|
7,048,226
|
$
|
76,146,948
|
Liquid Assets
|
Carrying Value(1)
|
|||
|
(dollars in thousands)
|
|||
Cash and cash equivalents
|
$
|
2,416,136
|
||
Residential Investment Securities(2)
|
67,233,538
|
|||
Commercial real estate debt investments
|
433,607
|
|||
Commercial real estate debt and preferred equity, held for investment
|
312,033
|
|||
Loans held for sale
|
278,600
|
|||
Corporate debt
|
397,693
|
|||
Total liquid assets
|
$
|
71,071,607
|
||
Percentage of liquid assets to total assets
|
91.77
|
%
|
|
Less than 3
Months |
3-12 Months
|
More than 1 Year
to 3 Years |
3 Years and Over
|
Total
|
|||||||||||||||
Financial Assets:
|
(dollars in thousands)
|
|||||||||||||||||||
Cash and cash equivalents
|
$
|
2,416,136
|
$
|
-
|
$
|
-
|
$
|
-
|
$
|
2,416,136
|
||||||||||
Agency mortgage-backed securities (principal)
|
-
|
12,181
|
1,764,055
|
58,330,730
|
60,106,966
|
|||||||||||||||
Agency debentures (principal)
|
-
|
-
|
-
|
158,803
|
158,803
|
|||||||||||||||
Credit risk transfer securities (principal)
|
-
|
-
|
-
|
517,207
|
517,207
|
|||||||||||||||
Non-Agency mortgage-backed securities (principal)
|
1,069
|
57,136
|
404,772
|
730,523
|
1,193,500
|
|||||||||||||||
Commercial real estate debt investments (principal)
|
-
|
53,505
|
-
|
4,375,821
|
4,429,326
|
|||||||||||||||
Corporate debt (principal)
|
-
|
-
|
7,500
|
640,058
|
647,558
|
|||||||||||||||
Commercial real estate debt and preferred equity (principal)
|
31,500
|
307,922
|
721,775
|
123,258
|
1,184,455
|
|||||||||||||||
Loans held for sale (principal)
|
-
|
-
|
280,000
|
-
|
280,000
|
|||||||||||||||
Total financial assets
|
$
|
2,448,705
|
$
|
430,744
|
$
|
3,178,102
|
$
|
64,876,400
|
$
|
70,933,951
|
||||||||||
|
||||||||||||||||||||
Financial Liabilities:
|
||||||||||||||||||||
Repurchase agreements
|
$
|
35,035,603
|
$
|
13,002,509
|
$
|
6,410,029
|
$
|
-
|
$
|
54,448,141
|
||||||||||
Other secured financing
|
-
|
-
|
-
|
3,588,326
|
3,588,326
|
|||||||||||||||
Securitized debt of consolidated VIE (principal)
|
-
|
125,819
|
-
|
3,695,433
|
3,821,252
|
|||||||||||||||
Participation sold (principal)
|
78
|
241
|
12,742
|
-
|
13,061
|
|||||||||||||||
Total financial liabilities
|
$
|
35,035,681
|
$
|
13,128,569
|
$
|
6,422,771
|
$
|
7,283,759
|
$
|
61,870,780
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Maturity gap
|
$
|
(32,586,976
|
)
|
$
|
(12,697,825
|
)
|
$
|
(3,244,670
|
)
|
$
|
57,592,643
|
$
|
9,063,172
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cumulative maturity gap
|
$
|
(32,586,976
|
)
|
$
|
(45,284,801
|
)
|
$
|
(48,529,471
|
)
|
$
|
9,063,172
|
|||||||||
|
||||||||||||||||||||
Interest rate sensitivity gap
|
$
|
(10,081,325
|
)
|
$
|
(4,779,361
|
)
|
$
|
(2,088,022
|
)
|
$
|
26,011,880
|
$
|
9,063,172
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cumulative rate sensitivity gap
|
$
|
(10,081,325
|
)
|
$
|
(14,860,686
|
)
|
$
|
(16,948,708
|
)
|
$
|
9,063,172
|
|||||||||
|
|
|
|
|
|
|
|
|
||||||||||||
Cumulative rate sensitivity gap as a % of total rate sensitive assets
|
(14.21
|
%)
|
(20.95
|
%)
|
(23.89
|
%)
|
12.78
|
%
|
Change in Interest Rate
|
Projected Percentage Change in Economic Net Interest Income(1)
|
Estimated Percentage Change in Portfolio Value(2)
|
Estimated Change as a % on NAV(2)(3)
|
|||||||||
-75 Basis Points
|
(24.9
|
%)
|
0.0
|
%
|
0.2
|
%
|
||||||
-50 Basis Points
|
(15.1
|
%)
|
0.1
|
%
|
0.8
|
%
|
||||||
-25 Basis Points
|
(8.1
|
%)
|
0.1
|
%
|
0.7
|
%
|
||||||
Base Interest Rate
|
-
|
-
|
-
|
|||||||||
+25 Basis Points
|
7.1
|
%
|
(0.2
|
%)
|
(1.4
|
%)
|
||||||
+50 Basis Points
|
14.6
|
%
|
(0.6
|
%)
|
(3.5
|
%)
|
||||||
+75 Basis Points
|
21.4
|
%
|
(1.1
|
%)
|
(6.5
|
%)
|
||||||
|
||||||||||||
|
||||||||||||
MBS Spread Shock
|
Estimated Change in Portfolio Market Value
|
Estimated Change as a % on NAV(2)(3)
|
||||||||||
-25 Basis Points
|
1.4
|
%
|
8.1
|
%
|
||||||||
-15 Basis Points
|
0.8
|
%
|
4.9
|
%
|
||||||||
-5 Basis Points
|
0.3
|
%
|
1.6
|
%
|
||||||||
Base Interest Rate
|
-
|
-
|
||||||||||
+5 Basis Points
|
(0.3
|
%)
|
(1.6
|
%)
|
||||||||
+15 Basis Points
|
(0.8
|
%)
|
(4.8
|
%)
|
||||||||
+25 Basis Points
|
(1.3
|
%)
|
(7.9
|
%)
|
||||||||
|
(1) Scenarios include Residential Investment Securities, commercial real estate investments, corporate debt, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes interest expense on interest rate swaps.
|
|
(2) Scenarios include Residential Investment Securities and derivative instruments.
|
|
(3) NAV represents book value of equity. |
Asset Portfolio (using balance sheet values)
|
||||||||
Category
|
March 31, 2016
|
December 31, 2015
|
||||||
Agency mortgage-backed securities(1)
|
88.1
|
%
|
90.3
|
%
|
||||
Agency debentures
|
0.2
|
%
|
0.2
|
%
|
||||
Credit risk transfer securities
|
0.7
|
%
|
0.6
|
%
|
||||
Non-Agency mortgage-backed securities
|
1.6
|
%
|
1.2
|
%
|
||||
Commercial real estate(2) (3)
|
8.5
|
%
|
7.0
|
%
|
||||
Corporate debt
|
0.9
|
%
|
0.7
|
%
|
(1) Including TBAs held for delivery.
|
||||||||
(2) Net of unamortized origination fees.
|
||||||||
(3) Including loans held for sale.
|
Country
|
Number of Counterparties
|
Repurchase Agreement Financing
|
Interest Rate Swaps at Fair Value
|
Exposure(1)
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
North America
|
16
|
$
|
42,197,867
|
$
|
(2,036,526
|
)
|
$
|
3,431,215
|
||||||||
Europe
|
10
|
8,789,990
|
(653,123
|
)
|
667,471
|
|||||||||||
Asia (non-Japan)
|
1
|
332,733
|
-
|
22,309
|
||||||||||||
Japan
|
4
|
3,127,551
|
-
|
201,983
|
||||||||||||
Total
|
31
|
$
|
54,448,141
|
$
|
(2,689,649
|
)
|
$
|
4,322,978
|
(1) Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement financing and unrealized loss on swaps for each counterparty.
|
·
|
we will be required to pay certain costs and expenses relating to the Hatteras Acquisition; and
|
·
|
matters relating to the Hatteras Acquisition (including integration planning) may require substantial commitments of time and resources by our management, which could otherwise have been devoted to other opportunities that may have been beneficial to us.
|
Total number of shares
purchased
|
Average price paid per
share
|
Dollar value of shares
purchased
|
Maximum dollar value of
shares that may yet be
purchased under the plan
|
|||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||
January 2016
|
9,632,226
|
$
|
9.15
|
$
|
88,177
|
$
|
797,562
|
|||||||||
February 2016
|
1,500,000
|
$
|
9.69
|
$
|
14,534
|
$
|
783,028
|
|||||||||
Total
|
11,132,226
|
$
|
102,711
|
Exhibit
Number
|
Exhibit Description
|
|
3.11
|
Amended and Restated Bylaws of the Registrant, adopted February 23, 2016 (incorporated by reference to Exhibit 3.11 of the Registrant’s Annual Report on Form 10-K (filed with the Securities and Exchange Commission on February 26, 2016)).
|
|
4.12
|
Form of Indenture between the Registrant and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 4.1 to the Registrant’s Form S-3 filed with the Securities and Exchange Commission on February 9, 2016).
|
|
31.1
|
Certification of Kevin G. Keyes, Chief Executive Officer and President (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
31.2
|
Certification of Glenn A. Votek, Chief Financial Officer (Principal Financial Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
32.1
|
Certification of Kevin G. Keyes, Chief Executive Officer and President (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
32.2
|
Certification of Glenn A. Votek, Chief Financial Officer (Principal Financial Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
Exhibit 101.INS XBRL
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Instance Document †
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Exhibit 101.SCH XBRL
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Taxonomy Extension Schema Document †
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Exhibit 101.CAL XBRL
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Taxonomy Extension Calculation Linkbase Document †
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Exhibit 101.DEF XBRL
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Additional Taxonomy Extension Definition Linkbase Document Created†
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Exhibit 101.LAB XBRL
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Taxonomy Extension Label Linkbase Document †
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Exhibit 101.PRE XBRL
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Taxonomy Extension Presentation Linkbase Document †
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ANNALY CAPITAL MANAGEMENT, INC.
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Dated: May 5, 2016
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By: /s/ Kevin G. Keyes
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Kevin G. Keyes
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Chief Executive Officer, President and Director
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(Principal Executive Officer)
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Dated: May 5, 2016
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By: /s/ Glenn A. Votek
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Glenn A. Votek
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Chief Financial Officer
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(Principal Financial Officer)
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