Annaly Capital Management (NLY) 10-Q 6 Aug 15 2015 Q2 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	6 Months Ended
	Jun. 30, 2015	Jul. 31, 2015
Document Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Jun. 30, 2015
Document Fiscal Year Focus	2,015
Document Fiscal Period Focus	Q2
Trading Symbol	NLY
Entity Registrant Name	ANNALY CAPITAL MANAGEMENT INC
Entity Central Index Key	1,043,219
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Entity Common Stock, Shares Outstanding		947,778,980

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - Entity [Domain] - USD ($) $ in Thousands		Jun. 30, 2015	Dec. 31, 2014
ASSETS
Cash and cash equivalents (including cash pledged as collateral of $1,412,141 and $1,584,701, respectively)		$ 1,785,158	$ 1,741,244	[1]
Reverse repurchase agreements	[1]		100,000
Investments, at fair value:
Agency mortgage-backed securities (including pledged assets of $60,926,741 and $74,006,480, respectively)		67,605,287	81,565,256	[1]
Agency debentures (including pledged assets of $95,239 and $1,368,350, respectively)		429,845	1,368,350	[1]
Agency CRT securities		214,130
Commercial real estate debt investments (including pledged assets of $2,812,824 and $0, respectively)	[2]	2,812,824
Investment in affiliate		123,343	143,045	[1]
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $179,300 and $0, respectively)	[3]	1,332,955	1,518,165	[1]
Investments in commercial real estate		216,800	210,032	[1]
Corporate debt		311,640	166,464	[1]
Receivable for investments sold		247,361	1,010,094	[1]
Accrued interest and dividends receivable		234,006	278,489	[1]
Receivable for investment advisory income (including from affiliate of $10,589 and $10,402, respectively)		10,589	10,402	[1]
Goodwill		71,815	94,781	[1]
Interest rate swaps, at fair value		30,259	75,225	[1]
Other derivatives, at fair value		38,074	5,499	[1]
Other assets		81,594	68,321	[1]
Total assets		75,545,680	88,355,367	[1]
Liabilities:
Repurchase Agreements		57,459,552	71,361,926	[1]
Other secured financing		203,200
Convertible Senior Notes	[1]		845,295
Securitized debt of consolidated VIEs	[4]	2,610,974	260,700	[1]
Mortgages payable		146,359	146,553	[1]
Participation sold		13,490	13,693	[1]
Payable for investments purchased		673,933	264,984	[1]
Accrued interest payable		131,629	180,501	[1]
Dividends payable		284,331	284,293	[1]
Interest rate swaps, at fair value		1,328,729	1,608,286	[1]
Other derivatives, at fair value		40,539	8,027	[1]
Accounts payable and other liabilities		58,139	47,328	[1]
Total liabilities		62,950,875	75,021,586	[1]
Stockholders' Equity:
Common stock, par value $0.01 per share, 1,956,937,500 authorized, 947,768,496 and 947,643,079 issued and outstanding, respectively		9,478	9,476	[1]
Additional paid-in capital		14,788,677	14,786,509	[1]
Accumulated other comprehensive income (loss)		(354,965)	204,883	[1]
Accumulated deficit		(2,766,250)	(2,585,436)	[1]
Total stockholders' equity		12,589,999	13,328,491	[1]
Noncontrolling interest		4,806	5,290	[1]
Total equity		12,594,805	13,333,781	[1]
Total liabilities and equity		75,545,680	88,355,367	[1]
7.875% Series A Cumulative Redeemable Preferred Stock
Stockholders' Equity:
Cumulative Redeemable Preferred Stock		177,088	177,088	[1]
7.625% Series C Cumulative Redeemable Preferred Stock
Stockholders' Equity:
Cumulative Redeemable Preferred Stock		290,514	290,514	[1]
7.50% Series D Cumulative Redeemable Preferred Stock
Stockholders' Equity:
Cumulative Redeemable Preferred Stock		$ 445,457	$ 445,457	[1]
[1]	Derived from the audited consolidated financial statements at December 31, 2014.
[2]	Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.6 billion and $0 at June 30, 2015 and December 31, 2014, respectively.
[3]	Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $361.2 million and $398.6 million carried at amortized cost, net of an allowance for losses of $0, at June 30, 2015 and December 31, 2014.
[4]	Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion and $0 at June 30, 2015 and December 31, 2014, respectively.

CONSOLIDATED STATEMENTS OF FIN3

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - Entity [Domain] - USD ($) $ in Thousands		Jun. 30, 2015	Dec. 31, 2014	[1]
Cash pledged as collateral		$ 1,412,141	$ 1,584,701
Agency mortgage-backed securities, pledged assets		60,926,741	74,006,480
Agency debentures, pledged assets		95,239	1,368,350
Commercial real estate debt investments, pledged assets		2,812,824	0
Commercial real estate debt and preferred equity, held for investment, pledged assets	[2]	179,300	0
Receivable for investment advisory income, from affiliates		$ 10,589	$ 10,402
Common Stock, par value		$ 0.01	$ 0.01
Common Stock, shares authorized		1,956,937,500	1,956,937,500
Common Stock, shares issued		947,768,496	947,643,079
Common Stock, shares outstanding		947,768,496	947,643,079
Senior Secured mortgages of Consolidated VIE, carrying value		$ 361,200	$ 398,600
Subordinated Secured mortgages of Consolidated VIE, fair value		2,600,000	0
Commercial real estate debt and preferred equity, held for investment, allowance for losses		0	0
Securitized debt of a consolidated VIE		$ 2,610,974	$ 0
7.875% Series A Cumulative Redeemable Preferred Stock
Preferred Stock, shares authorized		7,412,500	7,412,500
Preferred Stock, shares issued		7,412,500	7,412,500
Preferred Stock, shares outstanding		7,412,500	7,412,500
7.625% Series C Cumulative Redeemable Preferred Stock
Preferred Stock, shares authorized		12,650,000	12,650,000
Preferred Stock, shares issued		12,000,000	12,000,000
Preferred Stock, shares outstanding		12,000,000	12,000,000
7.50% Series D Cumulative Redeemable Preferred Stock
Preferred Stock, shares authorized		18,400,000	18,400,000
Preferred Stock, shares issued		18,400,000	18,400,000
Preferred Stock, shares outstanding		18,400,000	18,400,000
[1]	Derived from the audited consolidated financial statements at December 31, 2014.
[2]	Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.6 billion and $0 at June 30, 2015 and December 31, 2014, respectively.

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - Entity [Domain] - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Net interest income:
Interest income		$ 624,346	$ 683,962	$ 1,143,518	$ 1,339,863
Interest expense		113,072	126,107	242,492	251,078
Net interest income		511,274	557,855	901,026	1,088,785
Realized and unrealized gains (losses):
Realized gains (losses) on interest rate swaps	[1],[2]	(144,465)	(220,934)	(302,704)	(481,369)
Realized gains (losses) on termination of interest rate swaps			(772,491)	(226,462)	(779,333)
Unrealized gains (losses) on interest rate swaps		700,792	175,062	234,590	(173,880)
Subtotal		556,327	(818,363)	(294,576)	(1,434,582)
Net gains (losses) on disposal of investments		3,833	5,893	66,189	85,603
Net gains (losses) on trading assets		(114,230)	(46,489)	(121,136)	(192,717)
Net unrealized gains (losses) on financial instruments measured at fair value through earnings		17,581	2,085	(15,965)	(18,708)
Impairment of goodwill		(22,966)		(22,966)
Subtotal		(115,782)	(38,511)	(93,878)	(125,822)
Total realized and unrealized gains (losses)		440,545	(856,874)	(388,454)	(1,560,404)
Other income (loss):
Investment advisory income		10,604	6,109	21,068	12,232
Dividend income from affiliate		4,318	4,048	8,636	17,093
Other income (loss)		(22,344)	4,687	(23,426)	6,147
Total other income (loss)		(7,422)	14,844	6,278	35,472
General and administrative expenses:
Compensation and management fee		37,014	39,277	75,643	77,798
Other general and administrative expenses		14,995	12,912	27,304	21,769
Total general and administrative expenses		52,009	52,189	102,947	99,567
Income (loss) before income taxes		892,388	(336,364)	415,903	(535,714)
Income taxes		(7,683)	(852)	(7,669)	3,149
Net income (loss)		900,071	(335,512)	423,572	(538,863)
Net income (loss) attributable to noncontrolling interest		(149)		(239)
Net income (loss) attributable to Annaly		900,220	(335,512)	423,811	(538,863)
Dividends on preferred stock		17,992	17,992	35,984	35,984
Net income (loss) available (related) to common stockholders		$ 882,228	$ (353,504)	$ 387,827	$ (574,847)
Net income (loss) per share available (related) to common stockholders:
Basic		$ 0.93	$ (0.37)	$ 0.41	$ (0.61)
Diluted		$ 0.93	$ (0.37)	$ 0.41	$ (0.61)
Weighted average number of common shares outstanding:
Basic		947,731,493	947,515,127	947,700,832	947,487,125
Diluted		947,929,762	947,515,127	947,878,958	947,487,125
Dividends declared per share of common stock		$ 0.30	$ 0.30	$ 0.60	$ 0.60
Net income (loss)		$ 900,071	$ (335,512)	$ 423,572	$ (538,863)
Other comprehensive income (loss):
Unrealized gains (losses) on available-for-sale securities		(1,125,043)	1,522,126	(493,571)	2,263,298
Reclassification adjustment for net (gains) losses included in net income (loss)		(3,921)	(5,903)	(66,277)	(86,621)
Other comprehensive income (loss)		(1,128,964)	1,516,223	(559,848)	2,176,677
Comprehensive income (loss)		(228,893)	1,180,711	(136,276)	1,637,814
Comprehensive income (loss) attributable to noncontrolling interest		(149)		(239)
Comprehensive income (loss) attributable to Annaly		(228,744)	1,180,711	(136,037)	1,637,814
Dividends on preferred stock		17,992	17,992	35,984	35,984
Comprehensive income (loss) attributable to common stockholders		$ (246,736)	$ 1,162,719	$ (172,021)	$ 1,601,830
[1]	Consists of interest expense on interest rate swaps.
[2]	Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).

CONSOLIDATED STATEMENTS OF STOC

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands	Total		7.875% Series A Cumulative Redeemable Preferred Stock	7.625% Series C Cumulative Redeemable Preferred Stock	7.50% Series D Cumulative Redeemable Preferred Stock	Common stock par value	Additional paid-in capital	Accumulated other comprehensive income (loss)	Accumulated deficit	Accumulated deficit7.875% Series A Cumulative Redeemable Preferred Stock	Accumulated deficit7.625% Series C Cumulative Redeemable Preferred Stock	Accumulated deficit7.50% Series D Cumulative Redeemable Preferred Stock	Total stockholders' equity	Total stockholders' equity7.875% Series A Cumulative Redeemable Preferred Stock	Total stockholders' equity7.625% Series C Cumulative Redeemable Preferred Stock	Total stockholders' equity7.50% Series D Cumulative Redeemable Preferred Stock	Noncontrolling interest	7.875% Series A Cumulative Redeemable Preferred Stock	7.625% Series C Cumulative Redeemable Preferred Stock	7.50% Series D Cumulative Redeemable Preferred Stock
Beginning balance at Dec. 31, 2013	$ 12,405,055					$ 9,474	$ 14,765,761	$ (2,748,933)	$ (534,306)				$ 12,405,055					$ 177,088	$ 290,514	$ 445,457
Net income (loss)	(538,863)								(538,863)				(538,863)
Unrealized gains (losses) on available-for-sale securities	2,263,298							2,263,298					2,263,298
Reclassification adjustment for net (gains) losses included in net income (loss)	(86,621)							(86,621)					(86,621)
Stock compensation expense	998						998						998
Net proceeds from direct purchase and dividend reinvestment	1,208					1	1,207						1,208
Contingent beneficial conversion feature on 4% Convertible Senior Notes	8,336						8,336						8,336
Preferred dividends declared			$ (7,296)	$ (11,438)	$ (17,250)					$ (7,296)	$ (11,438)	$ (17,250)		$ (7,296)	$ (11,438)	$ (17,250)
Common dividends declared, $0.30 per share	(568,508)								(568,508)				(568,508)
Ending balance at Jun. 30, 2014	13,448,919					9,475	14,776,302	(572,256)	(1,677,661)				13,448,919					177,088	290,514	445,457
Beginning balance at Dec. 31, 2014	13,333,781	[1]				9,476	14,786,509	204,883	(2,585,436)				13,328,491				$ 5,290	177,088	290,514	445,457
Net income (loss)	423,811								423,811				423,811
Net income (loss) attributable to noncontrolling interest	(239)																(239)
Net income (loss) attributable to noncontrolling interest	(239)																(239)
Unrealized gains (losses) on available-for-sale securities	(493,571)							(493,571)					(493,571)
Reclassification adjustment for net (gains) losses included in net income (loss)	(66,277)							(66,277)					(66,277)
Stock compensation expense	1,024						1,024						1,024
Net proceeds from direct purchase and dividend reinvestment	1,146					2	1,144						1,146
Equity contributions from (distributions to) noncontrolling interest	(245)																(245)
Preferred dividends declared			$ (7,296)	$ (11,438)	$ (17,250)					$ (7,296)	$ (11,438)	$ (17,250)		$ (7,296)	$ (11,438)	$ (17,250)
Common dividends declared, $0.30 per share	(568,641)								(568,641)				(568,641)
Ending balance at Jun. 30, 2015	$ 12,594,805					$ 9,478	$ 14,788,677	$ (354,965)	$ (2,766,250)				$ 12,589,999				$ 4,806	$ 177,088	$ 290,514	$ 445,457
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

CONSOLIDATED STATEMENTS OF STO6

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares	6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014
Dividends declared per share of common stock	$ 0.60	$ 0.60
7.875% Series A Cumulative Redeemable Preferred Stock
Preferred series dividends declared, per share	0.984	0.984
7.625% Series C Cumulative Redeemable Preferred Stock
Preferred series dividends declared, per share	0.953	0.953
7.50% Series D Cumulative Redeemable Preferred Stock
Preferred series dividends declared, per share	$ 0.938	$ 0.938

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - Entity [Domain] - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2015		Jun. 30, 2014
Cash flows from operating activities:
Net income (loss)	$ 423,572		$ (538,863)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Amortization of Investment Securities premiums and discounts, net	378,814		268,629
Amortization of commercial real estate investment premiums and discounts, net	(581)		391
Amortization of intangibles	3,586		228
Amortization of deferred financing costs	4,561		5,460
Amortization of net origination fees and costs, net	(2,350)		(2,090)
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes	12,246		14,241
Depreciation expense	5,687		736
Net gain on sale of commercial real estate			(2,748)
Net loss on sale of commercial real estate debt held for investment	100
Net (gains) losses on sales of Investment Securities	(66,289)		(86,621)
Stock compensation expense	1,024		998
Impairment of goodwill	22,966
Unrealized (gains) losses on interest rate swaps	(234,590)		173,880
Net unrealized (gains) losses on financial instruments measured at fair value through earnings	15,965		18,708
Net (gains) losses on trading assets	121,136		192,717
Proceeds from repurchase agreements of RCap	895,400,000		531,215,774
Payments on repurchase agreements of RCap	(900,650,000)		(524,667,907)
Proceeds from reverse repurchase agreements	26,925,000		55,923,453
Payments on reverse repurchase agreements	(26,825,000)		(55,823,453)
Proceeds from securities borrowed			23,888,955
Payments on securities borrowed			(21,306,062)
Proceeds from securities loaned			41,939,298
Payments on securities loaned			(44,466,959)
Proceeds from U.S. Treasury securities			3,159,253
Payments on U.S. Treasury securities			(3,920,425)
Net payments on derivatives	(116,122)		(92,716)
Net change in:
Due to / from brokers			8,596
Other assets	(15,686)		(9,444)
Accrued interest and dividends receivable	45,897		(25,419)
Receivable for investment advisory income	(187)		459
Accrued interest payable	(48,857)		12,170
Accounts payable and other liabilities	13,952		(3,925)
Net cash provided by (used in) operating activities	(4,585,156)		5,877,314
Cash flows from investing activities:
Payments on purchases of Investment Securities	(8,638,138)		(21,722,521)
Proceeds from sales of Investment Securities	18,278,224		11,375,718
Principal payments on Agency mortgage-backed securities	5,342,053		3,570,508
Payments on purchases of corporate debt	(187,035)		(69,748)
Principal payments on corporate debt	42,352		36,429
Purchases of commercial real estate debt investments	(276,918)
Sales of commercial real estate debt investments	41,016
Purchase of securitized loans at fair value	(2,574,353)
Origination of commercial real estate investments, net	(180,531)		(172,120)
Proceeds from sale of commercial real estate investments	46,806
Principal payments on commercial real estate debt investments	1,616
Proceeds from sales of commercial real estate held for sale			26,019
Principal payments on commercial real estate investments	321,050		171,190
Purchase of investments in real estate	(121)		(36,743)
Investment in unconsolidated joint venture	(12,410)
Purchase of equity securities	(8,130)		(200)
Net cash provided by (used in) investing activities	12,195,481		(6,821,468)
Cash flows from financing activities:
Proceeds from repurchase agreements	105,819,378		98,482,785
Principal payments on repurchase agreements	(114,471,752)		(96,439,435)
Payments on maturity of convertible senior notes	(857,541)
Proceeds from other secured financing	203,200		5,000
Proceeds from issuance of securitized debt	2,382,810		260,700
Principal repayments on securitized debt	(37,915)
Principal repayments on securitized loans	50
Payment of deferred financing cost	(641)		(4,288)
Net proceeds from direct purchases and dividend reinvestments	1,144		1,208
Proceeds from mortgages payable			11,025
Principal payments on participation sold	(147)		(139)
Principal payments on mortgages payable	(165)		(11)
Distributions to noncontrolling interests	(245)
Dividends paid	(604,587)		(604,461)
Net cash provided by (used in) financing activities	(7,566,411)		1,712,384
Net (decrease) increase in cash and cash equivalents	43,914		768,230
Cash and cash equivalents, beginning of period	1,741,244	[1]	552,436
Cash and cash equivalents, end of period	1,785,158		1,320,666
Supplemental disclosure of cash flow information:
Interest received	1,541,718		1,617,804
Dividends received	8,366		17,093
Investment advisory income received	20,881		12,691
Interest paid (excluding interest paid on interest rate swaps)	218,272		267,103
Net interest paid on interest rate swaps	305,327		479,006
Taxes paid	1,901		5,061
Noncash investing activities:
Receivable for investments sold	247,361		856,983
Payable for investments purchased	673,933		781,227
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment	(559,848)		2,176,677
Noncash financing activities:
Dividends declared, not yet paid	$ 284,331		284,261
Convertible Senior Notes 5.00 Percent Due 2015
Noncash financing activities:
Contingent beneficial conversion feature on 4% Convertible Senior Notes			$ 8,336
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

DESCRIPTION OF BUSINESS

DESCRIPTION OF BUSINESS	6 Months Ended
	Jun. 30, 2015
DESCRIPTION OF BUSINESS	1. DESCRIPTION OF BUSINESS Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, Agency debentures, Agency credit risk transfer (“CRT”) securities, other securities representing interests in or obligations backed by pools of mortgage loans, commercial real estate assets and corporate loans. The Company’s principal business objective is to generate net income for distribution to its stockholders from its investments. The Company is externally managed by Annaly Management Company LLC (the “Manager”). The Company’s business operations are primarily comprised of the following: -- Annaly, the parent company, which invests primarily in various types of Agency mortgage-backed securities and related derivatives to hedge these investments. -- Annaly Commercial Real Estate Group, Inc. (“ACREG,” formerly known as CreXus Investment Corp. (“CreXus”)), 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. -- 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”). -- Fixed Income Discount Advisory Company (“FIDAC”), a wholly-owned subsidiary which manages an affiliated real estate investment trust (“REIT”) for which it earns fee income. -- 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. The Company has elected to be taxed as a REIT as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”).

BASIS OF PRESENTATION

BASIS OF PRESENTATION	6 Months Ended
	Jun. 30, 2015
BASIS OF PRESENTATION	2. BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent annual report on Form 10-K. The consolidated financial information as of December 31, 2014 has been derived from audited consolidated financial statements not included herein. In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year.

SIGNIFICANT ACCOUNTING POLICIES

SIGNIFICANT ACCOUNTING POLICIES	6 Months Ended
	Jun. 30, 2015
SIGNIFICANT ACCOUNTING POLICIES	3. SIGNIFICANT ACCOUNTING POLICIES Principles of Consolidation The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity’s expected residual returns . To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company applies judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change. Cash and Cash Equivalents Fair Value Measurements Revenue Recognition – Agency Mortgage-Backed Securities, Agency Debentures and Agency Credit Risk Transfer Securities Agency mortgage-backed securities, Agency debentures and Agency CRT securities are referred to herein as “Investment Securities.” Although the Company generally intends to hold most of its Investment Securities until maturity, it may, from time to time, sell any of its Investment Securities as part of its overall management of its portfolio. Investment Securities classified as available-for-sale and reported at fair values estimated by management that are compared to independent sources for reasonableness, with unrealized gains and losses reported as a component of other comprehensive income (loss). Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. The Company changed its accounting policy for determining the realized gains and losses on sales of Investment Securities from the average cost method to the specific identification method. The Company determined that the specific identification method was preferable because it more accurately matches gains or losses with costs and is the methodology predominantly used by its industry peers, among other considerations. The impact of the change was immaterial to the consolidated financial statements and prior periods. The Company elected the fair value option for Agency interest-only mortgage-backed securities and certain Agency CRT securities. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These Agency interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific Agency mortgage-backed securities. Agency interest-only mortgage-backed securities and certain Agency CRT securities are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on financial instruments measured at fair value through earnings in the Company’s Consolidated Statements of Comprehensive Income (Loss). The interest-only securities are included in Agency mortgage-backed securities at fair value on the accompanying Consolidated Statements of Financial Condition. Interest income from coupon payments is accrued based on the outstanding principal amounts of the Investment Securities and their contractual terms. Premiums and discounts associated with the purchase of the Investment Securities are amortized or accreted into interest income over the projected lives of the securities using the interest method. The Company uses a third-party supplied model to project prepayment speeds related to Investment Securities. The Company’s prepayment speed projections incorporate underlying loan characteristics (e.g., coupon, term, original loan size, original loan to value, etc.) and market data, including interest rate and home price index forecasts. Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results. Adjustments are made for actual prepayment activity. Corporate Debt Equity Securities Derivative Instruments – Derivatives and Hedging Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition. Interest rate swap agreements - Interest rate swaptions - The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls - MBS Options – Futures Contracts assets in the Consolidated Statements of Comprehensive Income (Loss). Other-Than-Temporary Impairment Loan Loss Reserves – Repurchase Agreements Transfers and Servicing Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows. Goodwill and Intangible Assets The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. Intangible assets with an estimated useful life are amortized over their expected useful lives. Convertible Senior Notes – Stock Based Compensation compensation expense on a straight-line basis over the requisite service period for the entire award. Income Taxes The provisions of ASC 740, Income Taxes Use of Estimates Commercial Real Estate Investments Commercial Real Estate Loans fair value option for multi-family mortgage loans held in securitization trusts that it was required to consolidate. Interest income is recognized as earned determined by the stated coupon and outstanding principal balance. See “Commercial Real Estate Investments” footnote for additional information. Preferred Equity Interests Held for Investment Allowance for Losses Loans and Debt Securities Acquired with Deteriorated Credit Quality The Company may be exposed to various levels of credit risk depending on the nature of its investments and the nature of the assets underlying the investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties. Management reviews loan-to-value metrics upon either the origination or the acquisition of a new investment but generally does not update the loan-to- value metrics in the course of quarterly surveillance. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan. Management also reviews economic trends, both macro as well as those directly affecting the property, and the supply and demand of competing projects in the sub-market in which each subject property is located. In connection with the quarterly surveillance review process, loans are assigned an internal rating of “Performing”, “Watch List”, “Defaulted-Recovery” or “Impaired”. Loans that are deemed to be Performing meet all present contractual obligations and do not qualify for Watch List designation. Watch List loans are defined as Performing loans that are significantly lagging expectations and/or for which there is an increased potential for default. Defaulted–Recovery loans are currently in default; however full recovery of contractual principal and interest is expected. Impaired loans may or may not be in default, impairment is anticipated, and a loan loss provision has been recognized to reflect expected losses. Investments in Commercial Real Estate Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building 31-40 years Site improvements 1-10 years The Company follows the acquisition method of accounting for acquisitions of operating real estate held for investment, where the purchase price of operating real estate is allocated to tangible assets such as land, building, site improvements and other identified intangibles such as above/below market and in-place leases. The Company evaluates whether real estate acquired in connection with a foreclosure (“REO”) or UCC/deed in lieu of foreclosure (herein collectively referred to as a foreclosure) constitutes a business and whether business combination accounting is applicable. Upon foreclosure of a property, the excess of the carrying value of a loan, if any, over the estimated fair value of the property, less estimated costs to sell, is charged to provision for loan losses. Investments in commercial real estate, including REO, which do not meet the criteria to be classified as held for sale, are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded. The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property. Revenue Recognition – Commercial Real Estate Investments - Broker Dealer Activities In January 2014, RCap ceased its trading activity in U.S. Treasury securities, derivatives and securities borrowed and loaned transactions. Reverse Repurchase Agreements – Securities Borrowed and Loaned Transactions – U.S. Treasury Securities Derivatives RCap maintained a margin account which was settled daily with FCMs. Changes in the unrealized gains or losses on the futures and options contracts as well as any foreign exchange gains and losses were reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statements of Comprehensive Income (Loss). Unrealized gains (losses) were excluded from net income (loss) in arriving at cash flows from operating activities in the Consolidated Statements of Cash Flows. Recent Accounting Pronouncements The following table provides a brief description of recent accounting pronouncements that could potentially impact the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the financial statements or other significant matters Standards that are not yet adopted ASU 2015 -10, Technical Corrections and Improvements This perpetual project updates the Codification for technical corrections and improvements. January 1, 2016 (early adoption permitted) for amendments subject to the transition guidance Not expected to 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 removes 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) Not expected to have an impact on the consolidated financial statements. ASU 2015-05, Customer's Accounting for Fees Paid in a Cloud Computing Arrangement This update clarifies 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 eliminates the current requirement that customers analogized to the leasing standard when determining the asset acquired in a software licensing arrangement. January 1, 2016 (early adoption permitted) Not expected to 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 requires 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 are not affected. January 1, 2016 (early adoption permitted) Impacts presentation only and will not have a significant impact on the consolidated financial statements. ASU 2015-02, Consolidation (Topic 810) Amendments to the Consolidation Analysis This update affects 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) Not expected to have a significant impact on the consolidated financial statements. ASU 2015-01, Income Statement - Extraordinary and Unusual Items (Subtopic 225-20 This update eliminates from GAAP the concept of extraordinary items. January 1, 2016 (early adoption permitted) Not expected to 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 provides 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) Not expected to have an impact on the consolidated financial 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, 2017 Not expected to have a significant impact on the consolidated financial statements. Standards that were adopted ASU 2015-08, Business Combinations Topic 805 Pushdown Accounting Amendments to SEC Paragraphs Pursuant to Staff Accounting Bulletin No. 115 This update amends the codification for SEC Staff Bulletin No. 115 November 18, 2014 Did not have an impact on the consolidated financial statements. ASU 2014-17, Business Combinations (Topic 805): Pushdown Accounting This amendment provides an acquired entity with the option to apply push down accounting in its separate financial statements upon occurrence of an event in which an acquirer obtains control of the acquired entity. November 18, 2014 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 provides 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, 2015 (early adoption permitted) The Company early adopted this ASU and applied the guidance to a commercial mortgage backed securitization transaction. See "Commercial Real Estate Investments" footnote for further disclosure. ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure This update makes limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. January 1, 2015 Impacts disclosures only and does 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 raises 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 clarifies 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. ASU 2013-02, Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income This update requires the provision of information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, it requires presentation of significant amounts reclassified out of accumulated other comprehensive income by the respective line items of net income but only if the amount reclassified is required under GAAP to be reclassified to net income in its entirety in the same reporting period January 1, 2014 Did not have a significant impact on the consolidated financial statements. ASU 2011-11, Balance Sheet: Disclosures about Offsetting Assets and Liabilities Under this update, the Company is required to disclose both gross and net information about both instruments and transactions eligible for offset in the Company’s Consolidated Statements of Financial Condition and transactions subject to an agreement similar to a master netting arrangement. The scope includes derivatives, sale and repurchase agreements and reverse sale and repurchase agreements and securities borrowing and securities lending arrangements. January 1, 2014 Did not have a significant impact on the consolidated financial statements.

AGENCY MORTGAGE-BACKED SECURITI

AGENCY MORTGAGE-BACKED SECURITIES	6 Months Ended
	Jun. 30, 2015
AGENCY MORTGAGE-BACKED SECURITIES	4. AGENCY MORTGAGE-BACKED SECURITIES The following tables present the Company’s available-for-sale Agency mortgage-backed securities portfolio as of June 30, 2015 and December 31, 2014, which were carried at their fair value: June 30, 2015 Freddie Mac Fannie Mae Ginnie Mae Total (dollars in thousands) Principal outstanding $ 23,711,840 $ 39,327,716 $ 88,764 $ 63,128,320 Unamortized premium 1,929,740 2,888,081 18,623 4,836,444 Unamortized discount (6,475 ) (6,946 ) (351 ) (13,772 ) Amortized cost 25,635,105 42,208,851 107,036 67,950,992 Gross unrealized gains 205,399 439,909 6,763 652,071 Gross unrealized losses (429,729 ) (564,527 ) (3,520 ) (997,776 ) Estimated fair value $ 25,410,775 $ 42,084,233 $ 110,279 $ 67,605,287 Fixed Rate Adjustable Rate Total (dollars in thousands) Amortized cost $ 64,478,692 $ 3,472,300 $ 67,950,992 Gross unrealized gains 538,926 113,145 652,071 Gross unrealized losses (971,629 ) (26,147 ) (997,776 ) Estimated fair value $ 64,045,989 $ 3,559,298 $ 67,605,287 December 31, 2014 Freddie Mac Fannie Mae Ginnie Mae Total (dollars in thousands) Principal outstanding $ 27,906,221 $ 47,979,778 $ 97,000 $ 75,982,999 Unamortized premium 1,951,798 3,396,368 20,560 5,368,726 Unamortized discount (8,985 ) (8,857 ) (358 ) (18,200 ) Amortized cost 29,849,034 51,367,289 117,202 81,333,525 Gross unrealized gains 313,761 660,230 8,010 982,001 Gross unrealized losses (322,094 ) (424,800 ) (3,376 ) (750,270 ) Estimated fair value $ 29,840,701 $ 51,602,719 $ 121,836 $ 81,565,256 Fixed Rate Adjustable Rate Total (dollars in thousands) Amortized cost $ 78,250,313 $ 3,083,212 $ 81,333,525 Gross unrealized gains 847,615 134,386 982,001 Gross unrealized losses (732,533 ) (17,737 ) (750,270 ) Estimated fair value $ 78,365,395 $ 3,199,861 $ 81,565,256 Actual maturities of Agency mortgage-backed securities are generally shorter than stated contractual maturities because actual maturities of Agency mortgage-backed securities are affected by periodic payments and prepayments of principal on the underlying mortgages. The following table summarizes the Company’s Agency mortgage-backed securities as of June 30, 2015 and December 31, 2014, according to their estimated weighted average life classifications: June 30, 2015 December 31, 2014 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 14,192 $ 14,747 $ 43,248 $ 42,831 Greater than one year through five years 21,034,470 20,688,236 42,222,114 41,908,586 Greater than five years through ten years 46,141,855 46,850,242 39,018,833 39,098,352 Greater than ten years 414,770 397,767 281,061 283,756 Total $ 67,605,287 $ 67,950,992 $ 81,565,256 $ 81,333,525 The weighted average lives of the Agency mortgage-backed securities at June 30, 2015 and December 31, 2014 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Agency mortgage-backed securities could be longer or shorter than projected. The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2015 and December 31, 2014. June 30, 2015 December 31, 2014 Estimated Fair Value Gross Unrealized Losses Number of Securities Estimated Fair Value Gross Unrealized Losses Number of Securities (dollars in thousands) Less than 12 Months 17,000,465 (168,223 ) 515 4,613,599 (36,959 ) 205 12 Months or More 23,601,763 (829,553 ) 234 35,175,194 (713,311 ) 302 Total 40,602,228 (997,776 ) 749 39,788,793 (750,270 ) 507 The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. Also, the Company is guaranteed payment of the principal amount of the securities by the respective issuing Agency. During the quarter and six months ended June 30, 2015, the Company disposed of $2.0 billion and $16.5 billion of Agency mortgage-backed securities, respectively, resulting in a net realized gain of $6.3 million and $71.6, respectively. During the quarter and six months ended June 30, 2014, the Company disposed of $4.9 billion and $9.2 billion of Agency mortgage-backed securities, respectively, resulting in a net realized gain of $41.5 million and $171.1 million, respectively. The specific identification method is used as the basis on which the realized gain or loss on sale is determined. Agency interest-only mortgage-backed securities represent the right to receive a specified portion of the contractual interest flows of the underlying outstanding principal balance of specific Agency mortgage-backed securities. Agency interest-only mortgage-backed securities in the Company’s portfolio as of June 30, 2015 and December 31, 2014 had net unrealized gains (losses) of $(22.7) million and $(8.0) million and an amortized cost of $1.4 billion and $1.2 billion, respectively.

COMMERCIAL REAL ESTATE INVESTME

COMMERCIAL REAL ESTATE INVESTMENTS	6 Months Ended
	Jun. 30, 2015
COMMERCIAL REAL ESTATE INVESTMENTS	5. COMMERCIAL REAL ESTATE INVESTMENTS At June 30, 2015 and December 31, 2014, commercial real estate investments held for investment were composed of the following: CRE Debt and Preferred Equity Investments June 30, 2015 December 31, 2014 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 262,546 261,684 19.6 % 384,304 383,895 25.2 % Senior securitized mortgages (3) 361,672 361,215 27.1 % 399,541 398,634 26.3 % Mezzanine loans 498,273 498,332 37.3 % 522,474 522,731 34.4 % Preferred equity 213,213 211,724 16.0 % 214,653 212,905 14.1 % Total $ 1,335,704 $ 1,332,955 100.0 % $ 1,520,972 $ 1,518,165 100.0 % (1) (2) (3) June 30, 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) 156,035 - 27,392 - 183,427 Principal payments (230,147 ) (37,869 ) (51,592 ) (1,441 ) (321,049 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (72 ) - (108 ) 50 (130 ) Net (increase) decrease in origination fees (2,660 ) - (236 ) - (2,896 ) Amortization of net origination fees 1,578 450 145 210 2,383 Transfers - - - - - Allowance for loan losses - - - - - Net carrying value $ 261,684 $ 361,215 $ 498,332 $ 211,724 $ 1,332,955 (1) December 31, 2014 Senior Mortgages Senior Securitized Mortgages (1) Subordinate Notes Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 667,299 $ - $ 41,408 $ 628,102 $ 247,160 $ 1,583,969 Originations & advances (principal) 127,112 - - 122,742 - 249,854 Principal payments (12,756 ) - (41,059 ) (227,151 ) (35,116 ) (316,082 ) Sales (principal) - - - - - - Amortization & accretion of (premium) discounts (138 ) - (349 ) (1,093 ) 108 (1,472 ) Net (increase) decrease in origination fees (2,427 ) (116 ) - (478 ) - (3,021 ) Amortization of net origination fees 2,783 772 - 609 753 4,917 Transfers (397,978 ) 397,978 - - - - Allowance for loan losses - - - - - - Net carrying value $ 383,895 $ 398,634 $ - $ 522,731 $ 212,905 $ 1,518,165 (1) Internal CRE Debt and Preferred Equity Investment Ratings June 30, 2015 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted-Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 262,546 19.6 % $ 249,573 $ - $ 12,973 $ - Senior securitized mortgages (1) 361,672 27.1 % 352,422 9,250 - - Mezzanine loans 498,273 37.3 % 498,273 - - - Preferred equity 213,213 16.0 % 162,213 51,000 (3) - - $ 1,335,704 100.0 % $ 1,262,481 $ 60,250 $ 12,973 $ - (1) (2) (3) December 31, 2014 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted-Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 384,304 25.2 % $ 371,331 $ - $ 12,973 $ - Senior securitized mortgages (1) 399,541 26.3 % 390,291 9,250 - - Mezzanine loans 522,474 34.4 % 522,474 - - - Preferred equity 214,653 14.1 % 214,653 - - - $ 1,520,972 100.0 % $ 1,498,749 $ 9,250 $ 12,973 $ - (1) (2) Real Estate Acquisitions In November 2014, a joint venture, in which the Company has a 90% interest, acquired eleven retail properties located in New York, Ohio and Georgia. The purchase price was funded with cash and a new $104.0 million, ten-year, 4.03% fixed-rate interest-only mortgage loan. Refer to Equity Method Investments below for details related to real estate investment activity during the quarter ended June 30, 2015. The following table summarizes acquisitions of real estate held for investment in 2014: Date of Acquisition Type Location Purchase Price Remaining Lease Term (Years) (1) (dollars in thousands) April 2014 Single-tenant retail Tennessee $ 19,000 8 June 2014 Multi-tenant retail Virginia $ 17,743 7 November 2014 Multi-tenant retail New York, Ohio, Georgia $ 154,000 4.6 The aforementioned acquisitions were accounted for using the acquisition method of accounting. No additional real estate acquisition costs were expensed during the period ended June 30, 2015. The following table presents the aggregate final allocation of the purchase price: Tennessee Virginia Joint Venture Total (dollars in thousands) Purchase Price Allocation: Land $ 3,503 $ 6,394 $ 21,441 $ 31,338 Buildings 11,960 10,862 97,680 120,502 Site improvements 1,349 1,184 12,705 15,238 Tenant Improvements - - 9,365 9,365 Real estate held for investment 16,812 18,440 141,191 176,443 Intangible assets (liabilities): Leasehold intangible assets 4,288 3,218 22,297 29,803 Above market lease - - 5,458 5,458 Below market lease value (2,100 ) (3,915 ) (14,946 ) (20,961 ) Total purchase price $ 19,000 $ 17,743 $ 154,000 $ 190,743 The weighted average amortization period for intangible assets and liabilities is 3.7 years. Above market leases and leasehold intangible assets are included in Other assets and below market leases are included in Accounts payable and other liabilities in the Consolidated Statements of Financial Condition. The fair value of the 10% non-controlling interest in the joint venture at the acquisition date was $15.4 million. The fair value of the acquisition and the related non-controlling interest was determined based on the purchase price. During June 2015 the purchase price allocation related to the joint venture was finalized resulting in a net increase to amortization and depreciation expense of $1.3 million during the quarter ended June 30, 2015. Total Commercial Real Estate Investments June 30, 2015 December 31, 2014 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 37,977 $ 38,117 Buildings and improvements 176,324 176,139 Subtotal 214,301 214,256 Less: accumulated depreciation (9,911 ) (4,224 ) Total real estate held for investment, at amortized cost, net 204,390 210,032 Equity in unconsolidated joint venture 12,410 - Total investment in commercial real estate, net 216,800 210,032 Net carrying value of CRE Debt and Preferred Equity Investments 1,332,955 1,518,165 Total commercial real estate investments $ 1,549,755 $ 1,728,197 Depreciation expense was $2.9 million and $5.7 million for the quarter and six months ended June 30, 2015, respectively. Depreciation expense was $0.4 million and $0.7 million for the quarter and six months ended June 30, 2014, respectively. Depreciation expense is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). The table below presents the minimum future rentals on noncancelable leases of the Company’s commercial real estate investments as of June 30, 2015. Rental Income The minimum rental amounts due under the leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse us for certain operating costs. Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at June 30, 2015 for the consolidated properties, including consolidated joint venture properties are as follows (in thousands): June 30, 2015 (dollars in thousands) 2015 (remaining) $ 10,346 2016 18,784 2017 16,055 2018 13,695 2019 11,375 Later years 50,702 $ 120,957 Mortgage loans payable as of June 30, 2015 and December 31, 2014, were as follows: June 30, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Venture $ 103,950 $ 103,950 4.03 % Fixed 12/6/2024 First liens Tennessee 12,350 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,025 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,552 16,495 3.50 % Fixed 1/1/2017 First liens Nevada 2,482 2,471 3.45 % Floating (1) 3/29/2017 First liens $ 146,359 $ 146,291 (1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). December 31, 2014 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Venture $ 103,950 $ 103,950 4.03 % Fixed 12/6/2024 First liens Tennessee 12,350 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,025 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,709 16,600 3.50 % Fixed 1/1/2017 First liens Nevada 2,519 2,505 3.45 % Floating (1) 3/29/2017 First liens $ 146,553 $ 146,430 (1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). The following table details future mortgage loan principal payments as of June 30, 2015: Mortgage Loan Principal Payments (dollars in thousands) 2015 (remaining) $ 228 2016 400 2017 18,338 2018 - 2019 23,375 Later years 103,950 $ 146,291 Equity Method Investments In May 2015, the Company acquired a multifamily property located in Florida through a joint venture partnership and contributed approximately $12 million of capital. The Company has a seventy-five percent interest in the joint venture, but as all major decisions require unanimous consent by the joint venture partners, the Company is not considered to have a controlling financial interest and accounts for its investment under the equity method of accounting. VIEs Securitizations In January 2014, the Company closed NLY Commercial Mortgage Trust 2014-FL1 (the “Trust”), a $399.5 million securitization financing transaction which provides permanent, non-recourse financing collateralized by floating-rate first mortgage debt investments originated or co-originated by the Company and is not subject to margin calls. A total of $260.7 million of investment grade bonds were issued by the Trust, representing an advance rate of 65.3% at a weighted average coupon of LIBOR plus 1.74% at closing. The Company used the proceeds to originate commercial real estate investments. The Company retained bonds rated below investment grade and the only interest-only bond issued by the Trust, which are referred to as the subordinate bonds. The Company incurred approximately $4.3 million of costs in connection with the securitization that have been capitalized and are being amortized to interest expense. Deferred financing costs are included in Other assets in the accompanying Consolidated Statements of Financial Condition. The Trust is structured as a pass-through entity that receives principal and interest on the underlying collateral and distributes those payments to the certificate holders. The Trust is a VIE and the Company is the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership interest in the subordinate bonds. The Company’s exposure to the obligations of the VIE is generally limited to the Company’s investment in the Trust. Assets of the Trust may only be used to settle obligations of the Trust. Creditors of the Trust have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the Trust. No gain or loss was recognized upon initial consolidation of the Trust. As of June 30, 2015 the carrying value of the Trust’s assets was $361.2 million, net of $0.5 million of unamortized origination fees, which are included in Commercial real estate debt and preferred equity in the accompanying Consolidated Statements of Financial Condition. As of June 30, 2015, the carrying value of the Trust’s liabilities was $222.8 million, classified as Securitized debt of consolidated VIE’s in the accompanying Consolidated Statements of Financial Condition. In February 2015, the Company purchased the junior most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KLSF (“FREMF 2015-KLSF”) for $102.1 million. The underlying portfolio is a pool of 11 floating rate multifamily mortgage loans with a cut-off principal balance of $1.4 billion. The Company was required to consolidate the FREMF 2015-KLSF Trust’s assets and liabilities of $1.4 billion and $1.3 billion, respectively, at June 30, 2015. In April 2015, the Company purchased the junior most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KF07 (“FREMF 2015-KF07”) for $89.4 million. The underlying portfolio is a pool of 40 floating rate multifamily mortgage loans with a cut-off principal balance of $1.2 billion. The Company was required to consolidate the FREMF 2015-KF07 Trust’s assets and liabilities of $1.2 billion and $1.1 billion, respectively, at June 30, 2015. FREMF 2015-KLSF and FREMF 2015-KF07 are collectively referred to herein as the FREMF Trusts. The FREMF Trusts are structured as pass-through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The FREMF Trusts are VIEs and the Company is considered to be the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the Class C Certificates and its current designation as the directing certificate holder. The Company’s exposure to the obligations of the VIEs are generally limited to the Company’s investment in the FREMF Trusts of $191.5 million. Assets of the FREMF Trusts may only be used to settle obligations of the FREMF Trusts. Creditors of the FREMF Trusts have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the FREMF Trusts. No gain or loss was recognized upon initial consolidation of the FREMF Trusts, but $0.8 million of related costs were expensed. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the FREMF Trusts in order to avoid an accounting mismatch, and to more faithfully represent the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company has early adopted ASU 2014-13 and applied the fair value measurement practical expedient whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the FREMF Trusts are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the FREMF Trusts are an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. The statement of financial condition of the FREMF Trust, that is reflected in the Company’s Consolidated Statements of Financial Condition at June 30, 2015 follows: June 30, 2015 (dollars in thousands) Senior securitized commercial mortgages carried at fair value $ 2,579,687 Accrued interest receivable 4,672 Total assets $ 2,584,359 Liabilities and equity Securitized debt (non-recourse) at fair value $ 2,388,142 Accrued interest payable 4,062 $ 2,392,204 Equity 192,155 Total liabilities and equity $ 2,584,359 The FREMF Trust mortgage loans had an unpaid principal balance of $2.6 billion, at June 30, 2015. As of June 30, 2015 there are no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or securitized debt securities as of June 30, 2015 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. The statement of comprehensive income (loss) of the FREMF Trust that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at June 30, 2015 follows: For the period February 25, 2015 to June 30, 2015 (dollars in thousands) Net interest income: Interest income $ 14,472 Interest expense (4,575 ) Net interest income 9,897 Other income (loss): Unrealized gain (loss) on financial instruments at fair value (1) (5 ) General, administrative, transaction and acquistion expenses 5,904 Other income (loss) 5,899 General and administration expenses 58 Net income $ 3,940 (1) Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings. The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF Trusts as of June 30, 2015 follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Property Location Principal Balance % of Balance (dollars in thousands) North Carolina $ 537,375 21.0% Texas 749,569 29.4% Ohio 197,455 7.7% Florida 391,291 15.3%

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS	6 Months Ended
	Jun. 30, 2015
FAIR VALUE MEASUREMENTS	6. FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1– inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. The Company designates its financial instruments as available for sale or trading depending upon the type of instrument and the Company’s intent and ability to hold such instrument to maturity. Instruments classified as available for sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three level fair value hierarchy, with the observability of inputs determining the appropriate level. U.S. Treasury securities, futures contracts and investment in affiliate are valued using quoted prices for identical instruments in active markets. Investment Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. The Investment Securities, interest rate swap and swaption markets are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Investment Securities, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Investment Securities, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. Additionally, as discussed in the “Commercial Real Estate Investments” footnote, Commercial real estate debt investments carried at fair value are classified as Level 2. The following table presents the estimated fair values of financial instruments measured at fair value on a recurring basis. Level 1 Level 2 Level 3 Total June 30, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 67,605,287 $ - $ 67,605,287 Agency debentures - 429,845 - 429,845 Agency CRT securities - 214,130 - 214,130 Commercial real estate debt investments - 2,812,824 - 2,812,824 Investment in affiliate 123,343 - - 123,343 Interest rate swaps - 30,259 - 30,259 Other derivatives 7,734 30,340 - 38,074 Total assets $ 131,077 $ 71,122,685 $ - $ 71,253,762 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,610,543 $ - $ 2,610,974 Interest rate swaps - 1,328,729 - 1,328,729 Other derivatives 16,162 24,377 - 40,539 Total liabilities $ 16,162 $ 3,964,080 $ - $ 3,980,242 Level 1 Level 2 Level 3 Total December 31, 2014 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 81,565,256 $ - $ 81,565,256 Agency debentures - 1,368,350 - 1,368,350 Investment in affiliate 143,045 - - 143,045 Interest rate swaps - 75,225 - 75,225 Other derivatives 117 5,382 - 5,499 Total assets $ 143,162 $ 83,014,213 $ - $ 83,157,375 Liabilities: Interest rate swaps $ - $ 1,608,286 $ - $ 1,608,286 Other derivatives 3,769 4,258 - 8,027 Total liabilities $ 3,769 $ 1,612,544 $ - $ 1,616,313 GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the financial statements, for which it is practical to estimate the value. In cases where quoted market prices are not available, fair values are based upon discounted cash flows using market yields, methodologies that incorporate market-based transactions or other valuation methodologies. Considerable judgment is necessary to interpret market data and develop estimated fair values. Accordingly, fair values are not necessarily indicative of the amount the Company would realize on disposition of the financial instruments. The use of different market assumptions or estimation methodologies could have a material effect on the estimated fair value amounts. The carrying value of short term instruments, including cash and cash equivalents, reverse repurchase agreements and repurchase agreements whose term is less than twelve months, generally approximates fair value due to the short term nature of the instruments. The estimated fair value of commercial real estate debt and preferred equity investments takes into consideration changes in credit spreads and interest rates from the date of origination or purchase to the reporting date. The fair value also reflects consideration of asset-specific maturity dates and other items that could have an impact on the fair value as of the reporting date. Estimates of fair value of corporate debt require the use of judgments and inputs including, but not limited to, the enterprise value of the borrower (i.e., an estimate of the total fair value of the borrower's debt and equity), the nature and realizable value of any collateral, the borrower’s ability to make payments when due and its earnings history. Management also considers factors that affect the macro and local economic markets in which the borrower operates. The fair value of repurchase agreements with remaining maturities greater than one year or with embedded optionality are valued as structured notes, with term to maturity, LIBOR rates and the Treasury curve being primary determinants of estimated fair value. The fair value of mortgages payable is calculated using the estimated yield of a new par loan to value the remaining terms in place. A par loan is created using the identical terms of the existing loan; however, the coupon is derived by using the original spread against the interpolated Treasury. The fair value of mortgages payable also reflects consideration of the value of the underlying collateral and changes in credit risk from the time the debt was originated. The carrying value of participation sold is based on the loan’s amortized cost. The fair value of participation sold is based on the fair value of the underlying related commercial loan. The fair value of Convertible Senior Notes was determined using end of day quoted prices in active markets. The fair value of securitized debt of consolidated VIEs is determined using the average of external vendor pricing services. The following table summarizes the estimated fair value for financial assets and liabilities as of June 30, 2015 and December 31, 2014. June 30, 2015 December 31, 2014 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents 1 $ 1,785,158 $ 1,785,158 $ 1,741,244 $ 1,741,244 Reverse repurchase agreements 1 - - 100,000 100,000 Agency mortgage-backed securities 2 67,605,287 67,605,287 81,565,256 81,565,256 Agency debentures 2 429,845 429,845 1,368,350 1,368,350 Agency CRT securities 2 214,130 214,130 - - Commercial real estate debt investments, at fair value 2 2,812,824 2,812,824 - - Investment in affiliate 1 123,343 123,343 143,045 143,045 Commercial real estate debt and preferred equity, held for investment 3 1,332,955 1,339,843 1,518,165 1,528,444 Corporate debt 2 311,640 309,709 166,464 166,056 Interest rate swaps 2 30,259 30,259 75,225 75,225 Other derivatives 1,2 38,074 38,074 5,499 5,499 Financial liabilities: Repurchase agreements 1,2 $ 57,459,552 $ 57,639,127 $ 71,361,926 $ 71,587,222 Other secured financing 2 203,200 203,376 - - Convertible Senior Notes 1 - - 845,295 863,470 Securitized debt of consolidated VIEs 2 2,610,974 2,610,974 260,700 262,061 Mortgages payable 2 146,359 147,149 146,553 146,611 Participation sold 3 13,490 13,483 13,693 13,655 Interest rate swaps 2 1,328,729 1,328,729 1,608,286 1,608,286 Other derivatives 1,2 40,539 40,539 8,027 8,027

SECURED FINANCING

SECURED FINANCING	6 Months Ended
	Jun. 30, 2015
SECURED FINANCING	7. SECURED FINANCING The Company had outstanding $57.5 billion and $71.4 billion of repurchase agreements with weighted average borrowing rates of 1.73% and 1.62%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 149 days and 141 days as of June 30, 2015 and December 31, 2014, respectively. At June 30, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2015 Repurchase Agreements Collateralized by Agency Mortgage-backed Securities and Debentures Collateralized by Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 7,150,000 $ - $ 7,150,000 0.82 % 2 to 29 days 16,013,749 - 16,013,749 0.43 % 30 to 59 days 8,157,729 - 8,157,729 0.52 % 60 to 89 days 7,132,012 - 7,132,012 0.42 % 90 to 119 days 1,507,387 - 1,507,387 0.43 % Over 120 days (1) 17,376,675 122,000 17,498,675 1.32 % Total $ 57,337,552 $ 122,000 $ 57,459,552 0.76 % December 31, 2014 Repurchase Agreements Collateralized by Agency Mortgage-backed Securities and Debentures Weighted Average Rate (dollars in thousands) 1 day $ - 0.00 % 2 to 29 days 28,354,167 0.35 % 30 to 59 days 17,336,469 0.43 % 60 to 89 days 4,040,677 0.38 % 90 to 119 days 2,945,495 0.50 % Over 120 days (1) 18,685,118 1.24 % Total $ 71,361,926 0.61 % (1) Approximately 17% and 15% of the total repurchase agreements had a remaining maturity over 1 year as of June 30, 2015 and December 31, 2014, respectively. Repurchase agreements and reverse repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements permit netting. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of June 30, 2015 and December 31, 2014. Refer to “Derivative Instruments” footnote for information related to the effect of netting arrangements on the Company’s derivative instruments. June 30, 2015 December 31, 2014 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 57,459,552 $ 700,000 $ 71,961,926 Amounts Offset - - (600,000 ) (600,000 ) Netted Amounts $ - $ 57,459,552 $ 100,000 $ 71,361,926 Investment Securities pledged as collateral under these secured financings and interest rate swaps had an estimated fair value and accrued interest of $61.0 billion and $180.5 million, respectively, at June 30, 2015 and $75.4 billion and $226.6 million, respectively, at December 31, 2014.

DERIVATIVE INSTRUMENTS

DERIVATIVE INSTRUMENTS	6 Months Ended
	Jun. 30, 2015
DERIVATIVE INSTRUMENTS	8. DERIVATIVE INSTRUMENTS In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options and U.S. Treasury or eurodollar futures contracts to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by the counterparty, the Company could have difficulty obtaining its Investment Securities pledged as collateral as well as receiving payments in accordance with the terms of the derivative contracts. The table below summarizes fair value information about our derivative assets and liabilities as of June 30, 2015 and December 31, 2014: Derivatives Instruments Balance Sheet Location June 30, 2015 December 31, 2014 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 30,259 $ 75,225 Interest rate swaptions Other derivative contracts, at fair value 6 5,382 TBA derivatives Other derivative contracts, at fair value 30,334 - Futures contracts Other derivative contracts, at fair value 7,734 117 $ 68,333 $ 80,724 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 1,328,729 $ 1,608,286 TBA derivatives Other derivative contracts, at fair value 24,377 4,258 Futures contracts Other derivative contracts, at fair value 16,162 3,769 $ 1,369,268 $ 1,616,313 The following table summarizes certain characteristics of the Company’s interest rate swaps at June 30, 2015 and December 31, 2014: June 30, 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 $ 2,852,471 1.78 % 0.20 % 2.20 3 - 6 years 11,163,000 1.81 % 0.46 % 4.77 6 - 10 years 11,201,350 2.45 % 0.44 % 8.36 Greater than 10 years 3,734,400 3.70 % 0.23 % 19.87 Total / Weighted Average $ 28,951,221 2.29 % 0.40 % 7.76 December 31, 2014 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 $ 2,502,505 1.63 % 0.17 % 2.64 3 - 6 years 11,138,000 2.06 % 0.22 % 5.18 6 - 10 years 13,069,200 2.67 % 0.23 % 8.57 Greater than 10 years 4,751,800 3.58 % 0.20 % 19.53 Total / Weighted Average $ 31,461,505 2.49 % 0.22 % 8.38 (1) Notional amount includes $2.6 billion and $500.0 million in forward starting pay fixed swaps as of June 30, 2015 (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay fixed swaps was 1.77% and 3.25% as of June 30, 2015 The following table summarizes certain characteristics of the Company’s interest rate swaptions at June 30, 2015 and December 31, 2014: June 30, 2015 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 500,000 2.87% 3M LIBOR 8.55 0.47 December 31, 2014 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 1,750,000 2.88% 3M LIBOR 9.17 3.59 The following table summarizes certain characteristics of the Company’s TBA derivatives as of June 30, 2015 and December 31, 2014: June 30, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,000,000 $ 13,311,297 $ 13,317,254 $ 5,957 Sale contracts - - - - Net TBA derivatives $ 13,000,000 $ 13,311,297 $ 13,317,254 $ 5,957 December 31, 2014 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ - $ - $ - $ - Sale contracts (375,000 ) (375,430 ) (379,688 ) (4,258 ) Net TBA derivatives $ (375,000 ) $ (375,430 ) $ (379,688 ) $ (4,258 ) The following table summarizes certain characteristics of the Company’s futures derivatives as of June 30, 2015: Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (5,000,000 ) 2.00 U.S. Treasury futures - 5 year - (2,273,000 ) 4.42 U.S. Treasury futures - 10 year and greater - (1,007,500 ) 6.92 Total $ - $ (8,280,500 ) 3.26 The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of June 30, 2015 and December 31, 2014, respectively. June 30, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 30,259 $ (27,869 ) $ - $ 2,390 Interest rate swaptions, at fair value 6 - - 6 TBA derivatives, at fair value 30,334 (17,976 ) - 12,358 Futures contracts, at fair value 7,734 (1,594 ) - 6,140 Liabilities: Interest rate swaps, at fair value $ 1,328,729 $ (27,869 ) $ (709,143 ) $ 591,717 TBA derivatives, at fair value 24,377 (17,976 ) - 6,401 Futures contracts, at fair value 16,162 (1,594 ) (14,568 ) - December 31, 2014 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 75,225 $ (66,180 ) $ - $ 9,045 Interest rate swaptions, at fair value 5,382 - - 5,382 Futures contracts, at fair value 117 (117 ) - - Liabilities: Interest rate swaps, at fair value $ 1,608,286 $ (66,180 ) $ (869,302 ) $ 672,804 TBA derivatives, at fair value 4,258 - - 4,258 Futures contracts, at fair value 3,769 (117 ) - 3,652 The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) 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) Quarter Ended: June 30, 2015 $ (144,465 ) $ - $ 700,792 June 30, 2014 $ (220,934 ) $ (772,491 ) $ 175,062 Six Months Ended: June 30, 2015 $ (302,704 ) $ (226,462 ) $ 234,590 June 30, 2014 $ (481,369 ) $ (779,333 ) $ (173,880 ) (1) Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Three Months Ended June 30, 2015 Net TBA derivatives (1) $ (50,801 ) $ (106,974 ) $ (157,775 ) Net interest rate swaptions (7,600 ) 7,033 (567 ) U.S. Treasury futures (9,230 ) 53,351 44,121 $ (114,221 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Three Months Ended June 30, 2014 Net TBA derivatives (1) $ (7,046 ) $ (3,628 ) $ (10,674 ) Net interest rate swaptions (31,039 ) 1,786 (29,253 ) U.S. Treasury futures (6,806 ) 225 (6,581 ) $ (46,508 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Six Months Ended June 30, 2015 Net TBA derivatives (1) $ (106,445 ) $ 10,213 $ (96,232 ) Net interest rate swaptions (29,491 ) 24,116 (5,375 ) Futures (14,737 ) (4,775 ) (19,512 ) $ (121,119 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Six Months Ended June 30, 2014 Net TBA derivatives (1) $ (44,883 ) $ (15,038 ) $ (59,921 ) Net interest rate swaptions $ (71,981 ) $ (51,131 ) $ (123,112 ) U.S. Treasury futures $ (12,475 ) $ (2,824 ) $ (15,299 ) $ (198,332 ) (1) Includes options on TBA securities. Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at June 30, 2015 was approximately $1.3 billion, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized.

CONVERTIBLE SENIOR NOTES

CONVERTIBLE SENIOR NOTES	6 Months Ended
	Jun. 30, 2015
CONVERTIBLE SENIOR NOTES	9. CONVERTIBLE SENIOR NOTES In 2010, the Company issued $600.0 million in aggregate principal amount of its 4% Convertible Senior Notes for net proceeds of approximately $582.0 million. In 2012, the Company repurchased $492.5 million in aggregate principal amount of its 4% Convertible Senior Notes. In February 2015, the 4% Convertible Senior Notes matured and the Company repaid the remaining 4% Convertible Senior Notes for the face amount of $107.5 million. In May 2012, the Company issued $750.0 million in aggregate principal amount of its 5% Convertible Senior Notes due 2015 for net proceeds of approximately $727.5 million. In May 2015, the 5% Convertible Senior Notes matured and the Company repaid the 5% Convertible Senior Notes for the face amount of $750.0 million.

COMMON STOCK AND PREFERRED STOC

COMMON STOCK AND PREFERRED STOCK	6 Months Ended
	Jun. 30, 2015
COMMON STOCK AND PREFERRED STOCK	10. COMMON STOCK AND PREFERRED STOCK The Company’s authorized shares of capital stock, par value of $0.01 per share, consists of 1,956,937,500 shares classified as common stock, 7,412,500 shares classified as 7.875% Series A Cumulative Redeemable Preferred Stock, 4,600,000 shares classified as 6.00% Series B Cumulative Convertible Preferred Stock, 12,650,000 shares classified as 7.625% Series C Cumulative Redeemable Preferred Stock and 18,400,000 shares classified as 7.50% Series D Cumulative Redeemable Preferred Stock. (A) Common Stock At June 30, 2015 and December 31, 2014, the Company had issued and outstanding 947,768,496 and 947,643,079 shares of common stock, with a par value of $0.01 per share. No options were exercised during the six months ended June 30, 2015 and 2014. During the six months ended June 30, 2015 and 2014, the Company raised $1.1 million and $1.2 million by issuing 111,000 shares and 108,000 shares, respectively, through the Direct Purchase and Dividend Reinvestment Program. In March 2012, the Company entered into six separate Distribution Agency Agreements (“Distribution Agency Agreements”) with each of Merrill Lynch, Pierce, Fenner & Smith Incorporated, Credit Suisse Securities (USA) LLC, Goldman, Sachs & Co., J.P. Morgan Securities LLC, Morgan Stanley & Co. LLC and RCap Securities, Inc. (together, the Agents). Pursuant to the terms of the Distribution Agency Agreements, the Company may sell from time to time through the Agents, as its sales agents, up to 125,000,000 shares of the Company’s common stock. The Company did not make any sales under the Distribution Agency Agreements during the six months (B) Preferred Stock At June 30, 2015 and December 31, 2014, the Company had issued and outstanding 7,412,500 shares of Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series A Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company's option commencing on April 5, 2009 (subject to the Company's right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve its qualification as a REIT). Through June 30, 2015, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock. At June 30, 2015 and December 31, 2014, the Company had issued and outstanding 12,000,000 shares of Series C Preferred Stock, with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series C Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series C Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on May 16, 2017 (subject to the Company’s right under limited circumstances to redeem the Series C Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through June 30, 2015, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. At June 30, 2015 and December 31, 2014, the Company had issued and outstanding 18,400,000 shares of Series D Preferred Stock, with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series D Preferred Stock is entitled to a dividend at a rate of 7.50% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series D Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on September 13, 2017 (subject to the Company’s right under limited circumstances to redeem the Series D Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through June 30, 2015, the Company had declared and paid all required quarterly dividends on the Series D Preferred Stock. The 7.875% Series A Cumulative Redeemable Preferred Stock, 7.625% Series C Cumulative Redeemable Preferred Stock and 7.50% Series D Cumulative Redeemable Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders During the six months six months During the six months ended June 30, 2014, the Company declared dividends to common stockholders totaling $568.5 million, or $0.60 per common share, of which $284.3, or $0.30 per common share, was paid to common stockholders on July 29, 2014. During the six months ended June 30, 2014, the Company declared and paid dividends to Series A Preferred stockholders totaling approximately $7.3 million, or $0.984 per preferred share, Series C Preferred stockholders totaling approximately $11.4 million, or $0.953 per preferred share, Series D Preferred stockholders totaling approximately $17.3 million, or $0.938 per preferred share.

INTEREST INCOME AND INTEREST EX

INTEREST INCOME AND INTEREST EXPENSE	6 Months Ended
	Jun. 30, 2015
INTEREST INCOME AND INTEREST EXPENSE	11. INTEREST INCOME AND INTEREST EXPENSE The table below presents the components of the Company’s interest income and interest expense for the quarters and six months ended June 30, 2015 and 2014. For the Quarter Ended June 30, For the Six Months Ended June 30, 2015 2014 2015 2014 Interest income: (dollars in thousands) Investment Securities $ 570,493 $ 640,287 $ 1,048,732 $ 1,254,706 Commercial investment portfolio (1) 52,429 43,325 92,765 82,811 U.S. Treasury securities - - - 1,329 Securities loaned - - - 114 Reverse repurchase agreements 1,355 271 1,894 771 Other 69 79 127 132 Total interest income 624,346 683,962 1,143,518 1,339,863 Interest expense: Repurchase agreements 101,225 103,773 203,973 206,904 Convertible Senior Notes 6,113 20,319 29,740 39,216 U.S. Treasury securities sold, not yet purchased - - - 1,076 Securities borrowed - - - 95 Securitized debt of consolidated VIEs 5,475 1,853 8,357 3,464 Participation sold 159 162 318 323 Other 100 - 104 - Total interest expense 113,072 126,107 242,492 251,078 Net interest income $ 511,274 $ 557,855 $ 901,026 $ 1,088,785 (1)

GOODWILL

GOODWILL	6 Months Ended
	Jun. 30, 2015
GOODWILL	12. GOODWILL At June 30, 2015 and December 31, 2014, goodwill totaled $71.8 million and $94.8 million, respectively. The decline in goodwill is due to a $23.0 million reduction of goodwill related to FIDAC as a result of the Company’s intention to wind down FIDAC's investment advisory operations.

NET INCOME (LOSS) PER COMMON SH

NET INCOME (LOSS) PER COMMON SHARE	6 Months Ended
	Jun. 30, 2015
NET INCOME (LOSS) PER COMMON SHARE	13. NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the quarters and six months ended June 30, 2015 and 2014. For the Quarter Ended For the Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 (dollars in thousands, except per share data) (dollars in thousands, except per share data) Net income (loss) $ 900,071 $ (335,512 ) $ 423,572 $ (538,863 ) Less: Net income (loss) attributable to noncontrolling interest (149 ) - (239 ) - Net income (loss) attributable to Annaly 900,220 (335,512 ) 423,811 (538,863 ) Less: Preferred stock dividends 17,992 17,992 35,984 35,984 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary 882,228 (353,504 ) 387,827 (574,847 ) Add: Interest on Convertible Senior Notes, if dilutive - - - - Net income (loss) available to common stockholders, as adjusted 882,228 (353,504 ) 387,827 (574,847 ) Weighted average shares of common stock outstanding-basic 947,731,493 947,515,127 947,700,832 947,487,125 Add: Effect of stock awards and Convertible Senior Notes, if dilutive 198,269 - 178,126 - Weighted average shares of common stock outstanding-diluted 947,929,762 947,515,127 947,878,958 947,487,125 Net income (loss) per share available (related) to common share: Basic $ 0.93 $ (0.37 ) $ 0.41 $ (0.61 ) Diluted $ 0.93 $ (0.37 ) $ 0.41 $ (0.61 ) Options to purchase 2.0 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the quarters and six months ended June 30, 2015, respectively. Options to purchase 2.4 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the quarters and six months ended June 30, 2014, respectively.

LONG-TERM STOCK INCENTIVE PLAN

LONG-TERM STOCK INCENTIVE PLAN	6 Months Ended
	Jun. 30, 2015
LONG-TERM STOCK INCENTIVE PLAN	14. LONG-TERM STOCK INCENTIVE PLAN The Company adopted the 2010 Equity Incentive Plan (the “Plan”), which authorizes the Compensation Committee of the Board of Directors to grant options, stock appreciation rights, dividend equivalent rights, or other share-based awards, including restricted shares up to an aggregate of 25,000,000 shares, subject to adjustments as provided in the 2010 Equity Incentive Plan. The Company had previously adopted a long term stock incentive plan for executive officers, key employees and non-employee directors (the “Prior Plan”). The Prior Plan authorized the Compensation Committee of the Board of Directors to grant awards, including non-qualified options as well as incentive stock options as defined under Section 422 of the Code. The Prior Plan authorized the granting of options or other awards for an aggregate of the greater of 500,000 shares or 9.5% of the diluted outstanding shares of the Company’s common stock, up to a ceiling of 8,932,921 shares. No further awards will be made under the Prior Plan, although existing awards remain effective. Stock options were issued at the market price on the date of grant, subject to an immediate or four year vesting in four equal installments with a contractual term of 5 or 10 years. The following table sets forth activity related to the Company’s stock options awarded under the Plan: For the Six Months Ended June 30, 2015 2014 Number of Shares Weighted Average Exercise Price Number of Shares Weighted Average Exercise Price Options outstanding at the beginning of period 2,259,335 $ 15.35 3,581,752 $ 15.44 Granted - - - - Exercised - - - - Forfeited (259,799 ) 15.26 (863,167 ) 15.12 Expired (6,250 ) 17.24 (305,750 ) 17.34 Options outstanding at the end of period 1,993,286 $ 15.36 2,412,835 $ 15.31 Options exercisable at the end of period 1,993,286 $ 15.36 2,412,835 $ 15.31 The weighted average remaining contractual term was approximately 2.6 years and 3.6 years for stock options outstanding and exercisable as of June 30, 2015 and 2014, respectively. As of June 30, 2015 and 2014, there was no unrecognized compensation cost related to nonvested share-based compensation awards.

INCOME TAXES

INCOME TAXES	6 Months Ended
	Jun. 30, 2015
INCOME TAXES	15. INCOME TAXES For the quarter ended June 30, 2015 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. For years prior to 2013, the Company retained the amount of taxable income attributable to certain employee remuneration deductions disallowed for tax purposes pursuant to Section 162(m) of the Code (“Section 162(m)”). As a result of the externalization of management effective as of July 1, 2013, the Company was not subject to the Section 162(m) disallowance for the 2014 tax year. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. During the quarter and six months ended June 30, 2015 , the Company recorded a net income tax benefit of $7.7 million for losses attributable to its TRSs. The Company’s 2013, 2012 and 2011 federal, state and local tax returns remain open for examination.

LEASE COMMITMENTS AND CONTINGEN

LEASE COMMITMENTS AND CONTINGENCIES	6 Months Ended
	Jun. 30, 2015
LEASE COMMITMENTS AND CONTINGENCIES	16. LEASE COMMITMENTS AND CONTINGENCIES Commitments The Company had a non-cancelable lease for office space which commenced in May 2002 and expired in December 2014. In June 2014, the Company entered into a non-cancelable lease for office space which commenced in July 2014 and expires in September 2025. FIDAC has a lease for office space which commenced in October 2010 and expires in February 2016. The lease expense for the quarters ended June 30, 2015 and 2014 was $0.8 million and $0.7 million, respectively. The Company’s aggregate future minimum lease payments total $37.3 million. The following table details the lease payments. Years Ending December 31, Lease Commitments (dollars in thousands) 2015 (remaining) $ 1,071 2016 3,575 2017 3,565 2018 3,565 2019 3,565 Later years 21,993 $ 37,334 The Company had no material unfunded loan commitments as of June 30, 2015 and December 31, 2014. Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies as of June 30, 2015 and December 31, 2014.

RISK MANAGEMENT

RISK MANAGEMENT	6 Months Ended
	Jun. 30, 2015
RISK MANAGEMENT	17. RISK MANAGEMENT The primary risks to the Company are liquidity and investment/market risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges. Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the volatility of future interest rates may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its Investment Securities at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario analyses and utilizing a range of hedging strategies. The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, excluding Agency CRT securities, are guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities are backed by the full faith and credit of the U.S. government. Principal and interest on Agency debentures are guaranteed by the Agency issuing the debenture. Substantially all of the Company’s Investment Securities have an actual or implied “AAA” rating. The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, investments in commercial real estate, commercial mortgage-backed securities, Agency CRT securities and corporate debt. The Company is exposed to risk of loss if an issuer, borrower, tenant or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers, tenants and counterparties.

RCAP REGULATORY REQUIREMENTS

RCAP REGULATORY REQUIREMENTS	6 Months Ended
	Jun. 30, 2015
RCAP REGULATORY REQUIREMENTS	18. RCAP REGULATORY REQUIREMENTS RCap is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees. As a self-clearing, registered broker dealer, RCap is required to maintain minimum net capital by FINRA. As of June 30, 2015 RCap had a minimum net capital requirement of $0.3 million. RCap consistently operates with capital in excess of its regulatory capital requirements. RCap’s regulatory net capital as defined by SEC Rule 15c3-1, as of June 30, 2015 was $397.9 million with excess net capital of $397.6 million.

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS	6 Months Ended
	Jun. 30, 2015
RELATED PARTY TRANSACTIONS	19. RELATED PARTY TRANSACTIONS Investment in Affiliate, Available-For-Sale Equity Security At June 30, 2015, the Company’s available-for-sale equity securities represented shares of Chimera Investment Corporation (“Chimera”), which are reported at fair value. The Company owned approximately 9.0 million shares of Chimera at a fair value of approximately $123.3 million at June 30, 2015 and approximately 9.0 million shares of Chimera at a fair value of approximately $143.0 million at December 31, 2014. On April 6, 2015, Chimera executed a 1:5 reverse stock split. At June 30, 2015 and December 31, 2014, the investment in Chimera had an unrealized gain (loss) of $(15.5) million and $4.2 million, respectively. The Company evaluates the near-term prospects of its current investment in Chimera in relation to the severity and length of time of impairment, if any. Based on this evaluation, management has determined that its investment in Chimera was not considered to be other-than-temporarily impaired as of June 30, 2015 as the Company had the intent and ability to retain its investments for a period of time sufficient to allow for any anticipated recovery in fair value. As of December 31, 2014, the Company’s investment in Chimera was in an unrealized gain position. Advisory fees For the quarter and six months ended June 30, 2015, the Company recorded advisory fees from Chimera totaling $10.6 million and $21.1 million, respectively. In August 2014, the management agreement between FIDAC and Chimera was amended and restated to amend certain of the terms and conditions of the prior agreement. Among other amendments to the terms of the prior agreement, effective August 8, 2014, the management fee was increased from 0.75% to 1.20% of Chimera’s gross stockholders’ equity (as defined in the amended and restated management agreement). For the quarter and six months ended June 30, 2014, the Company recorded advisory fees from Chimera totaling $6.1 million and $12.2 million, respectively. At June 30, 2015 and December 31, 2014, the Company had amounts receivable from Chimera of $10.6 million and $10.4 million, respectively. Management Agreement The Company and the Manager have entered into a management agreement pursuant to which the Company’s management is conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board of Directors (the “Externalization”). The management agreement was effective as of July 1, 2013 and applicable for the entire 2013 calendar year and was amended on November 5, 2014 (the management agreement, as amended, is referred to as “Management Agreement”). Pursuant to the terms of the Management Agreement, the Company pays the Manager a monthly management fee in an amount equal to 1/12th of 1.05% of stockholders’ equity, as defined in the Management Agreement, for its management services. The Management Agreement provides for a two year term ending December 31, 2016 with automatic two-year renewals unless at least two-thirds of the Company’s independent directors or the holders of a majority of the Company’s outstanding shares of common stock elect to terminate the agreement in their sole discretion and for any or no reason. At any time during the term or any renewal term the Company may deliver to the Manager written notice of the Company’s intention to terminate the Management Agreement. The Company must designate a date not less than one year from the date of the notice on which the Management Agreement will terminate. The Management Agreement also provides that the Manager may terminate the Management Agreement by providing to the Company prior written notice of its intention to terminate the Management Agreement no less than one year prior to the date designated by the Manager on which the Manager would cease to provide services or such earlier date as determined by the Company in its sole discretion. Effective July 1, 2013, a majority of the Company’s employees were terminated by the Company and were hired by the Manager. The Company has a limited number of employees following the Externalization, all of whom are employees of the Company’s subsidiaries for regulatory or corporate efficiency reasons. All compensation expenses associated with such retained employees reduce the amount paid to the Manager. The Management Agreement may be amended or modified by agreement between the Company and the Manager. There is no termination fee for a termination of the Management Agreement by either the Company or the Manager.

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS	6 Months Ended
	Jun. 30, 2015
SUBSEQUENT EVENTS	20. Subsequent Events On August 5, 2015, FIDAC entered into an agreement with Chimera to internalize the management of Chimera. As part of the agreement, the companies agreed to terminate the management agreement between FIDAC and Chimera effective August 5, 2015. In connection with the transaction, Annaly and Chimera entered into a share repurchase agreement pursuant to which Chimera will purchase the Company’s approximately 9.0 million shares of Chimera at an aggregate price of $126.4 On August 5, 2015, the Company also announced that its Board of Directors authorized the repurchase of up to $1 billion of its outstanding common shares through December 31, 2016.

SIGNIFICANT ACCOUNTING POLICI28

SIGNIFICANT ACCOUNTING POLICIES (Policies)	6 Months Ended
	Jun. 30, 2015
Principles of Consolidation	Principles of Consolidation The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity’s expected residual returns . To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company applies judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change.
Cash and Cash Equivalents	Cash and Cash Equivalents
Fair Value Measurements	Fair Value Measurements
Revenue Recognition	Revenue Recognition – Agency Mortgage-Backed Securities, Agency Debentures and Agency Credit Risk Transfer Securities Agency mortgage-backed securities, Agency debentures and Agency CRT securities are referred to herein as “Investment Securities.” Although the Company generally intends to hold most of its Investment Securities until maturity, it may, from time to time, sell any of its Investment Securities as part of its overall management of its portfolio. Investment Securities classified as available-for-sale and reported at fair values estimated by management that are compared to independent sources for reasonableness, with unrealized gains and losses reported as a component of other comprehensive income (loss). Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. The Company changed its accounting policy for determining the realized gains and losses on sales of Investment Securities from the average cost method to the specific identification method. The Company determined that the specific identification method was preferable because it more accurately matches gains or losses with costs and is the methodology predominantly used by its industry peers, among other considerations. The impact of the change was immaterial to the consolidated financial statements and prior periods. The Company elected the fair value option for Agency interest-only mortgage-backed securities and certain Agency CRT securities. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These Agency interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific Agency mortgage-backed securities. Agency interest-only mortgage-backed securities and certain Agency CRT securities are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on financial instruments measured at fair value through earnings in the Company’s Consolidated Statements of Comprehensive Income (Loss). The interest-only securities are included in Agency mortgage-backed securities at fair value on the accompanying Consolidated Statements of Financial Condition. Interest income from coupon payments is accrued based on the outstanding principal amounts of the Investment Securities and their contractual terms. Premiums and discounts associated with the purchase of the Investment Securities are amortized or accreted into interest income over the projected lives of the securities using the interest method. The Company uses a third-party supplied model to project prepayment speeds related to Investment Securities. The Company’s prepayment speed projections incorporate underlying loan characteristics (e.g., coupon, term, original loan size, original loan to value, etc.) and market data, including interest rate and home price index forecasts. Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results. Adjustments are made for actual prepayment activity.
Corporate Debt	Corporate Debt
Equity Securities	Equity Securities
Derivative Instruments	Derivative Instruments – Derivatives and Hedging Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition. Interest rate swap agreements - Interest rate swaptions - The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls - MBS Options – Futures Contracts assets in the Consolidated Statements of Comprehensive Income (Loss).
Other-Than-Temporary Impairment	Other-Than-Temporary Impairment
Loan Loss Reserves	Loan Loss Reserves –
Repurchase Agreements	Repurchase Agreements Transfers and Servicing Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows.
Goodwill and Intangible Assets	Goodwill and Intangible Assets The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. Intangible assets with an estimated useful life are amortized over their expected useful lives.
Convertible Senior Notes	Convertible Senior Notes –
Stock Based Compensation	Stock Based Compensation compensation expense on a straight-line basis over the requisite service period for the entire award.
Income Taxes	Income Taxes The provisions of ASC 740, Income Taxes
Use of Estimates	Use of Estimates
Commercial Real Estate Investments	Commercial Real Estate Investments Commercial Real Estate Loans fair value option for multi-family mortgage loans held in securitization trusts that it was required to consolidate. Interest income is recognized as earned determined by the stated coupon and outstanding principal balance. See “Commercial Real Estate Investments” footnote for additional information. Preferred Equity Interests Held for Investment Allowance for Losses Loans and Debt Securities Acquired with Deteriorated Credit Quality The Company may be exposed to various levels of credit risk depending on the nature of its investments and the nature of the assets underlying the investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties. Management reviews loan-to-value metrics upon either the origination or the acquisition of a new investment but generally does not update the loan-to- value metrics in the course of quarterly surveillance. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan. Management also reviews economic trends, both macro as well as those directly affecting the property, and the supply and demand of competing projects in the sub-market in which each subject property is located. In connection with the quarterly surveillance review process, loans are assigned an internal rating of “Performing”, “Watch List”, “Defaulted-Recovery” or “Impaired”. Loans that are deemed to be Performing meet all present contractual obligations and do not qualify for Watch List designation. Watch List loans are defined as Performing loans that are significantly lagging expectations and/or for which there is an increased potential for default. Defaulted–Recovery loans are currently in default; however full recovery of contractual principal and interest is expected. Impaired loans may or may not be in default, impairment is anticipated, and a loan loss provision has been recognized to reflect expected losses. Investments in Commercial Real Estate Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building 31-40 years Site improvements 1-10 years The Company follows the acquisition method of accounting for acquisitions of operating real estate held for investment, where the purchase price of operating real estate is allocated to tangible assets such as land, building, site improvements and other identified intangibles such as above/below market and in-place leases. The Company evaluates whether real estate acquired in connection with a foreclosure (“REO”) or UCC/deed in lieu of foreclosure (herein collectively referred to as a foreclosure) constitutes a business and whether business combination accounting is applicable. Upon foreclosure of a property, the excess of the carrying value of a loan, if any, over the estimated fair value of the property, less estimated costs to sell, is charged to provision for loan losses. Investments in commercial real estate, including REO, which do not meet the criteria to be classified as held for sale, are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded. The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property. Revenue Recognition – Commercial Real Estate Investments -
Broker Dealer Activities	Broker Dealer Activities In January 2014, RCap ceased its trading activity in U.S. Treasury securities, derivatives and securities borrowed and loaned transactions.
Reverse Repurchase Agreements	Reverse Repurchase Agreements –
Securities Borrowed and Loaned Transactions	Securities Borrowed and Loaned Transactions –
U.S. Treasury Securities	U.S. Treasury Securities Derivatives RCap maintained a margin account which was settled daily with FCMs. Changes in the unrealized gains or losses on the futures and options contracts as well as any foreign exchange gains and losses were reflected in Net gains (losses) on trading assets in the Company’s Consolidated Statements of Comprehensive Income (Loss). Unrealized gains (losses) were excluded from net income (loss) in arriving at cash flows from operating activities in the Consolidated Statements of Cash Flows.
Recent Accounting Pronouncements	Recent Accounting Pronouncements The following table provides a brief description of recent accounting pronouncements that could potentially impact the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the financial statements or other significant matters Standards that are not yet adopted ASU 2015 -10, Technical Corrections and Improvements This perpetual project updates the Codification for technical corrections and improvements. January 1, 2016 (early adoption permitted) for amendments subject to the transition guidance Not expected to 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 removes 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) Not expected to have an impact on the consolidated financial statements. ASU 2015-05, Customer's Accounting for Fees Paid in a Cloud Computing Arrangement This update clarifies 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 eliminates the current requirement that customers analogized to the leasing standard when determining the asset acquired in a software licensing arrangement. January 1, 2016 (early adoption permitted) Not expected to 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 requires 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 are not affected. January 1, 2016 (early adoption permitted) Impacts presentation only and will not have a significant impact on the consolidated financial statements. ASU 2015-02, Consolidation (Topic 810) Amendments to the Consolidation Analysis This update affects 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) Not expected to have a significant impact on the consolidated financial statements. ASU 2015-01, Income Statement - Extraordinary and Unusual Items (Subtopic 225-20 This update eliminates from GAAP the concept of extraordinary items. January 1, 2016 (early adoption permitted) Not expected to 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 provides 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) Not expected to have an impact on the consolidated financial 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, 2017 Not expected to have a significant impact on the consolidated financial statements. Standards that were adopted ASU 2015-08, Business Combinations Topic 805 Pushdown Accounting Amendments to SEC Paragraphs Pursuant to Staff Accounting Bulletin No. 115 This update amends the codification for SEC Staff Bulletin No. 115 November 18, 2014 Did not have an impact on the consolidated financial statements. ASU 2014-17, Business Combinations (Topic 805): Pushdown Accounting This amendment provides an acquired entity with the option to apply push down accounting in its separate financial statements upon occurrence of an event in which an acquirer obtains control of the acquired entity. November 18, 2014 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 provides 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, 2015 (early adoption permitted) The Company early adopted this ASU and applied the guidance to a commercial mortgage backed securitization transaction. See "Commercial Real Estate Investments" footnote for further disclosure. ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure This update makes limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. January 1, 2015 Impacts disclosures only and does 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 raises 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 clarifies 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. ASU 2013-02, Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income This update requires the provision of information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, it requires presentation of significant amounts reclassified out of accumulated other comprehensive income by the respective line items of net income but only if the amount reclassified is required under GAAP to be reclassified to net income in its entirety in the same reporting period January 1, 2014 Did not have a significant impact on the consolidated financial statements. ASU 2011-11, Balance Sheet: Disclosures about Offsetting Assets and Liabilities Under this update, the Company is required to disclose both gross and net information about both instruments and transactions eligible for offset in the Company’s Consolidated Statements of Financial Condition and transactions subject to an agreement similar to a master netting arrangement. The scope includes derivatives, sale and repurchase agreements and reverse sale and repurchase agreements and securities borrowing and securities lending arrangements. January 1, 2014 Did not have a significant impact on the consolidated financial statements.

SIGNIFICANT ACCOUNTING POLICI29

SIGNIFICANT ACCOUNTING POLICIES (Tables)	6 Months Ended
	Jun. 30, 2015
Recent Accounting Pronouncements	The following table provides a brief description of recent accounting pronouncements that could potentially impact the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the financial statements or other significant matters Standards that are not yet adopted ASU 2015 -10, Technical Corrections and Improvements This perpetual project updates the Codification for technical corrections and improvements. January 1, 2016 (early adoption permitted) for amendments subject to the transition guidance Not expected to 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 removes 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) Not expected to have an impact on the consolidated financial statements. ASU 2015-05, Customer's Accounting for Fees Paid in a Cloud Computing Arrangement This update clarifies 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 eliminates the current requirement that customers analogized to the leasing standard when determining the asset acquired in a software licensing arrangement. January 1, 2016 (early adoption permitted) Not expected to 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 requires 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 are not affected. January 1, 2016 (early adoption permitted) Impacts presentation only and will not have a significant impact on the consolidated financial statements. ASU 2015-02, Consolidation (Topic 810) Amendments to the Consolidation Analysis This update affects 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) Not expected to have a significant impact on the consolidated financial statements. ASU 2015-01, Income Statement - Extraordinary and Unusual Items (Subtopic 225-20 This update eliminates from GAAP the concept of extraordinary items. January 1, 2016 (early adoption permitted) Not expected to 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 provides 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) Not expected to have an impact on the consolidated financial 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, 2017 Not expected to have a significant impact on the consolidated financial statements. Standards that were adopted ASU 2015-08, Business Combinations Topic 805 Pushdown Accounting Amendments to SEC Paragraphs Pursuant to Staff Accounting Bulletin No. 115 This update amends the codification for SEC Staff Bulletin No. 115 November 18, 2014 Did not have an impact on the consolidated financial statements. ASU 2014-17, Business Combinations (Topic 805): Pushdown Accounting This amendment provides an acquired entity with the option to apply push down accounting in its separate financial statements upon occurrence of an event in which an acquirer obtains control of the acquired entity. November 18, 2014 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 provides 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, 2015 (early adoption permitted) The Company early adopted this ASU and applied the guidance to a commercial mortgage backed securitization transaction. See "Commercial Real Estate Investments" footnote for further disclosure. ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure This update makes limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. January 1, 2015 Impacts disclosures only and does 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 raises 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 clarifies 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. ASU 2013-02, Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income This update requires the provision of information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, it requires presentation of significant amounts reclassified out of accumulated other comprehensive income by the respective line items of net income but only if the amount reclassified is required under GAAP to be reclassified to net income in its entirety in the same reporting period January 1, 2014 Did not have a significant impact on the consolidated financial statements. ASU 2011-11, Balance Sheet: Disclosures about Offsetting Assets and Liabilities Under this update, the Company is required to disclose both gross and net information about both instruments and transactions eligible for offset in the Company’s Consolidated Statements of Financial Condition and transactions subject to an agreement similar to a master netting arrangement. The scope includes derivatives, sale and repurchase agreements and reverse sale and repurchase agreements and securities borrowing and securities lending arrangements. January 1, 2014 Did not have a significant impact on the consolidated financial statements.

AGENCY MORTGAGE-BACKED SECURI30

AGENCY MORTGAGE-BACKED SECURITIES (Tables)	6 Months Ended
	Jun. 30, 2015
Schedule of Available-for-sale Securities Reconciliation	The following tables present the Company’s available-for-sale Agency mortgage-backed securities portfolio as of June 30, 2015 and December 31, 2014, which were carried at their fair value: June 30, 2015 Freddie Mac Fannie Mae Ginnie Mae Total (dollars in thousands) Principal outstanding $ 23,711,840 $ 39,327,716 $ 88,764 $ 63,128,320 Unamortized premium 1,929,740 2,888,081 18,623 4,836,444 Unamortized discount (6,475 ) (6,946 ) (351 ) (13,772 ) Amortized cost 25,635,105 42,208,851 107,036 67,950,992 Gross unrealized gains 205,399 439,909 6,763 652,071 Gross unrealized losses (429,729 ) (564,527 ) (3,520 ) (997,776 ) Estimated fair value $ 25,410,775 $ 42,084,233 $ 110,279 $ 67,605,287 Fixed Rate Adjustable Rate Total (dollars in thousands) Amortized cost $ 64,478,692 $ 3,472,300 $ 67,950,992 Gross unrealized gains 538,926 113,145 652,071 Gross unrealized losses (971,629 ) (26,147 ) (997,776 ) Estimated fair value $ 64,045,989 $ 3,559,298 $ 67,605,287 December 31, 2014 Freddie Mac Fannie Mae Ginnie Mae Total (dollars in thousands) Principal outstanding $ 27,906,221 $ 47,979,778 $ 97,000 $ 75,982,999 Unamortized premium 1,951,798 3,396,368 20,560 5,368,726 Unamortized discount (8,985 ) (8,857 ) (358 ) (18,200 ) Amortized cost 29,849,034 51,367,289 117,202 81,333,525 Gross unrealized gains 313,761 660,230 8,010 982,001 Gross unrealized losses (322,094 ) (424,800 ) (3,376 ) (750,270 ) Estimated fair value $ 29,840,701 $ 51,602,719 $ 121,836 $ 81,565,256 Fixed Rate Adjustable Rate Total (dollars in thousands) Amortized cost $ 78,250,313 $ 3,083,212 $ 81,333,525 Gross unrealized gains 847,615 134,386 982,001 Gross unrealized losses (732,533 ) (17,737 ) (750,270 ) Estimated fair value $ 78,365,395 $ 3,199,861 $ 81,565,256
Schedule of Agency Mortgage Backed Securities by Estimated Weighted Average Life Classification	The following table summarizes the Company’s Agency mortgage-backed securities as of June 30, 2015 and December 31, 2014, according to their estimated weighted average life classifications: June 30, 2015 December 31, 2014 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 14,192 $ 14,747 $ 43,248 $ 42,831 Greater than one year through five years 21,034,470 20,688,236 42,222,114 41,908,586 Greater than five years through ten years 46,141,855 46,850,242 39,018,833 39,098,352 Greater than ten years 414,770 397,767 281,061 283,756 Total $ 67,605,287 $ 67,950,992 $ 81,565,256 $ 81,333,525
Schedule of Continuous Unrealized Loss Position	The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2015 and December 31, 2014. June 30, 2015 December 31, 2014 Estimated Fair Value Gross Unrealized Losses Number of Securities Estimated Fair Value Gross Unrealized Losses Number of Securities (dollars in thousands) Less than 12 Months 17,000,465 (168,223 ) 515 4,613,599 (36,959 ) 205 12 Months or More 23,601,763 (829,553 ) 234 35,175,194 (713,311 ) 302 Total 40,602,228 (997,776 ) 749 39,788,793 (750,270 ) 507

COMMERCIAL REAL ESTATE INVEST31

COMMERCIAL REAL ESTATE INVESTMENTS (Tables)	6 Months Ended
	Jun. 30, 2015
Commercial Real Estate Investments Held for Investment	CRE Debt and Preferred Equity Investments June 30, 2015 December 31, 2014 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 262,546 261,684 19.6 % 384,304 383,895 25.2 % Senior securitized mortgages (3) 361,672 361,215 27.1 % 399,541 398,634 26.3 % Mezzanine loans 498,273 498,332 37.3 % 522,474 522,731 34.4 % Preferred equity 213,213 211,724 16.0 % 214,653 212,905 14.1 % Total $ 1,335,704 $ 1,332,955 100.0 % $ 1,520,972 $ 1,518,165 100.0 % (1) (2) (3) June 30, 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) 156,035 - 27,392 - 183,427 Principal payments (230,147 ) (37,869 ) (51,592 ) (1,441 ) (321,049 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (72 ) - (108 ) 50 (130 ) Net (increase) decrease in origination fees (2,660 ) - (236 ) - (2,896 ) Amortization of net origination fees 1,578 450 145 210 2,383 Transfers - - - - - Allowance for loan losses - - - - - Net carrying value $ 261,684 $ 361,215 $ 498,332 $ 211,724 $ 1,332,955 (1) December 31, 2014 Senior Mortgages Senior Securitized Mortgages (1) Subordinate Notes Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 667,299 $ - $ 41,408 $ 628,102 $ 247,160 $ 1,583,969 Originations & advances (principal) 127,112 - - 122,742 - 249,854 Principal payments (12,756 ) - (41,059 ) (227,151 ) (35,116 ) (316,082 ) Sales (principal) - - - - - - Amortization & accretion of (premium) discounts (138 ) - (349 ) (1,093 ) 108 (1,472 ) Net (increase) decrease in origination fees (2,427 ) (116 ) - (478 ) - (3,021 ) Amortization of net origination fees 2,783 772 - 609 753 4,917 Transfers (397,978 ) 397,978 - - - - Allowance for loan losses - - - - - - Net carrying value $ 383,895 $ 398,634 $ - $ 522,731 $ 212,905 $ 1,518,165 (1)
Internal Loan and Preferred Equity Ratings	Internal CRE Debt and Preferred Equity Investment Ratings June 30, 2015 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted-Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 262,546 19.6 % $ 249,573 $ - $ 12,973 $ - Senior securitized mortgages (1) 361,672 27.1 % 352,422 9,250 - - Mezzanine loans 498,273 37.3 % 498,273 - - - Preferred equity 213,213 16.0 % 162,213 51,000 (3) - - $ 1,335,704 100.0 % $ 1,262,481 $ 60,250 $ 12,973 $ - (1) (2) (3) December 31, 2014 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Watch List Defaulted-Recovery (2) Impaired (dollars in thousands) Senior mortgages $ 384,304 25.2 % $ 371,331 $ - $ 12,973 $ - Senior securitized mortgages (1) 399,541 26.3 % 390,291 9,250 - - Mezzanine loans 522,474 34.4 % 522,474 - - - Preferred equity 214,653 14.1 % 214,653 - - - $ 1,520,972 100.0 % $ 1,498,749 $ 9,250 $ 12,973 $ - (1) (2)
Summary of Acquisitions of Real Estate Held for Investment	The following table summarizes acquisitions of real estate held for investment in 2014: Date of Acquisition Type Location Purchase Price Remaining Lease Term (Years) (1) (dollars in thousands) April 2014 Single-tenant retail Tennessee $ 19,000 8 June 2014 Multi-tenant retail Virginia $ 17,743 7 November 2014 Multi-tenant retail New York, Ohio, Georgia $ 154,000 4.6
Aggregate Allocation of Purchase Price	The following table presents the aggregate final allocation of the purchase price: Tennessee Virginia Joint Venture Total (dollars in thousands) Purchase Price Allocation: Land $ 3,503 $ 6,394 $ 21,441 $ 31,338 Buildings 11,960 10,862 97,680 120,502 Site improvements 1,349 1,184 12,705 15,238 Tenant Improvements - - 9,365 9,365 Real estate held for investment 16,812 18,440 141,191 176,443 Intangible assets (liabilities): Leasehold intangible assets 4,288 3,218 22,297 29,803 Above market lease - - 5,458 5,458 Below market lease value (2,100 ) (3,915 ) (14,946 ) (20,961 ) Total purchase price $ 19,000 $ 17,743 $ 154,000 $ 190,743
Total Commercial Real Estate Held for Investments	Total Commercial Real Estate Investments June 30, 2015 December 31, 2014 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 37,977 $ 38,117 Buildings and improvements 176,324 176,139 Subtotal 214,301 214,256 Less: accumulated depreciation (9,911 ) (4,224 ) Total real estate held for investment, at amortized cost, net 204,390 210,032 Equity in unconsolidated joint venture 12,410 - Total investment in commercial real estate, net 216,800 210,032 Net carrying value of CRE Debt and Preferred Equity Investments 1,332,955 1,518,165 Total commercial real estate investments $ 1,549,755 $ 1,728,197
Minimum Future Rentals on Noncancelable Leases	Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at June 30, 2015 for the consolidated properties, including consolidated joint venture properties are as follows (in thousands): June 30, 2015 (dollars in thousands) 2015 (remaining) $ 10,346 2016 18,784 2017 16,055 2018 13,695 2019 11,375 Later years 50,702 $ 120,957
Mortgage loans payable	Mortgage loans payable as of June 30, 2015 and December 31, 2014, were as follows: June 30, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Venture $ 103,950 $ 103,950 4.03 % Fixed 12/6/2024 First liens Tennessee 12,350 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,025 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,552 16,495 3.50 % Fixed 1/1/2017 First liens Nevada 2,482 2,471 3.45 % Floating (1) 3/29/2017 First liens $ 146,359 $ 146,291 (1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). December 31, 2014 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Venture $ 103,950 $ 103,950 4.03 % Fixed 12/6/2024 First liens Tennessee 12,350 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,025 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,709 16,600 3.50 % Fixed 1/1/2017 First liens Nevada 2,519 2,505 3.45 % Floating (1) 3/29/2017 First liens $ 146,553 $ 146,430 (1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
Future Mortgage Loan Principal Payments	The following table details future mortgage loan principal payments as of June 30, 2015: Mortgage Loan Principal Payments (dollars in thousands) 2015 (remaining) $ 228 2016 400 2017 18,338 2018 - 2019 23,375 Later years 103,950 $ 146,291
Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Balances	The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF Trusts as of June 30, 2015 follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Property Location Principal Balance % of Balance (dollars in thousands) North Carolina $ 537,375 21.0% Texas 749,569 29.4% Ohio 197,455 7.7% Florida 391,291 15.3%
FREMF Trust
Statement of financial condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition	The statement of financial condition of the FREMF Trust, that is reflected in the Company’s Consolidated Statements of Financial Condition at June 30, 2015 follows: June 30, 2015 (dollars in thousands) Senior securitized commercial mortgages carried at fair value $ 2,579,687 Accrued interest receivable 4,672 Total assets $ 2,584,359 Liabilities and equity Securitized debt (non-recourse) at fair value $ 2,388,142 Accrued interest payable 4,062 $ 2,392,204 Equity 192,155 Total liabilities and equity $ 2,584,359
Statement of Comprehensive Income (Loss) of FREMF Trust Reflected the Consolidated Statements of Comprehensive Income (Loss)	The statement of comprehensive income (loss) of the FREMF Trust that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at June 30, 2015 follows: For the period February 25, 2015 to June 30, 2015 (dollars in thousands) Net interest income: Interest income $ 14,472 Interest expense (4,575 ) Net interest income 9,897 Other income (loss): Unrealized gain (loss) on financial instruments at fair value (1) (5 ) General, administrative, transaction and acquistion expenses 5,904 Other income (loss) 5,899 General and administration expenses 58 Net income $ 3,940 (1) Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings.

FAIR VALUE MEASUREMENTS (Tables

FAIR VALUE MEASUREMENTS (Tables)	6 Months Ended
	Jun. 30, 2015
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis	The following table presents the estimated fair values of financial instruments measured at fair value on a recurring basis. Level 1 Level 2 Level 3 Total June 30, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 67,605,287 $ - $ 67,605,287 Agency debentures - 429,845 - 429,845 Agency CRT securities - 214,130 - 214,130 Commercial real estate debt investments - 2,812,824 - 2,812,824 Investment in affiliate 123,343 - - 123,343 Interest rate swaps - 30,259 - 30,259 Other derivatives 7,734 30,340 - 38,074 Total assets $ 131,077 $ 71,122,685 $ - $ 71,253,762 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,610,543 $ - $ 2,610,974 Interest rate swaps - 1,328,729 - 1,328,729 Other derivatives 16,162 24,377 - 40,539 Total liabilities $ 16,162 $ 3,964,080 $ - $ 3,980,242 Level 1 Level 2 Level 3 Total December 31, 2014 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 81,565,256 $ - $ 81,565,256 Agency debentures - 1,368,350 - 1,368,350 Investment in affiliate 143,045 - - 143,045 Interest rate swaps - 75,225 - 75,225 Other derivatives 117 5,382 - 5,499 Total assets $ 143,162 $ 83,014,213 $ - $ 83,157,375 Liabilities: Interest rate swaps $ - $ 1,608,286 $ - $ 1,608,286 Other derivatives 3,769 4,258 - 8,027 Total liabilities $ 3,769 $ 1,612,544 $ - $ 1,616,313
Schedule of Estimated Fair Value for All Financial Assets and Liabilities	The following table summarizes the estimated fair value for financial assets and liabilities as of June 30, 2015 and December 31, 2014. June 30, 2015 December 31, 2014 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents 1 $ 1,785,158 $ 1,785,158 $ 1,741,244 $ 1,741,244 Reverse repurchase agreements 1 - - 100,000 100,000 Agency mortgage-backed securities 2 67,605,287 67,605,287 81,565,256 81,565,256 Agency debentures 2 429,845 429,845 1,368,350 1,368,350 Agency CRT securities 2 214,130 214,130 - - Commercial real estate debt investments, at fair value 2 2,812,824 2,812,824 - - Investment in affiliate 1 123,343 123,343 143,045 143,045 Commercial real estate debt and preferred equity, held for investment 3 1,332,955 1,339,843 1,518,165 1,528,444 Corporate debt 2 311,640 309,709 166,464 166,056 Interest rate swaps 2 30,259 30,259 75,225 75,225 Other derivatives 1,2 38,074 38,074 5,499 5,499 Financial liabilities: Repurchase agreements 1,2 $ 57,459,552 $ 57,639,127 $ 71,361,926 $ 71,587,222 Other secured financing 2 203,200 203,376 - - Convertible Senior Notes 1 - - 845,295 863,470 Securitized debt of consolidated VIEs 2 2,610,974 2,610,974 260,700 262,061 Mortgages payable 2 146,359 147,149 146,553 146,611 Participation sold 3 13,490 13,483 13,693 13,655 Interest rate swaps 2 1,328,729 1,328,729 1,608,286 1,608,286 Other derivatives 1,2 40,539 40,539 8,027 8,027

SECURED FINANCING (Tables)

SECURED FINANCING (Tables)	6 Months Ended
	Jun. 30, 2015
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates	At June 30, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2015 Repurchase Agreements Collateralized by Agency Mortgage-backed Securities and Debentures Collateralized by Commercial Loans Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 7,150,000 $ - $ 7,150,000 0.82 % 2 to 29 days 16,013,749 - 16,013,749 0.43 % 30 to 59 days 8,157,729 - 8,157,729 0.52 % 60 to 89 days 7,132,012 - 7,132,012 0.42 % 90 to 119 days 1,507,387 - 1,507,387 0.43 % Over 120 days (1) 17,376,675 122,000 17,498,675 1.32 % Total $ 57,337,552 $ 122,000 $ 57,459,552 0.76 % December 31, 2014 Repurchase Agreements Collateralized by Agency Mortgage-backed Securities and Debentures Weighted Average Rate (dollars in thousands) 1 day $ - 0.00 % 2 to 29 days 28,354,167 0.35 % 30 to 59 days 17,336,469 0.43 % 60 to 89 days 4,040,677 0.38 % 90 to 119 days 2,945,495 0.50 % Over 120 days (1) 18,685,118 1.24 % Total $ 71,361,926 0.61 % (1) Approximately 17% and 15% of the total repurchase agreements had a remaining maturity over 1 year as of June 30, 2015 and December 31, 2014, respectively.
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement	The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of June 30, 2015 and December 31, 2014. Refer to “Derivative Instruments” footnote for information related to the effect of netting arrangements on the Company’s derivative instruments. June 30, 2015 December 31, 2014 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 57,459,552 $ 700,000 $ 71,961,926 Amounts Offset - - (600,000 ) (600,000 ) Netted Amounts $ - $ 57,459,552 $ 100,000 $ 71,361,926

DERIVATIVE INSTRUMENTS (Tables)

DERIVATIVE INSTRUMENTS (Tables)	6 Months Ended
	Jun. 30, 2015
Summarizes Fair Value Information about Derivative Assets Liabilities	The table below summarizes fair value information about our derivative assets and liabilities as of June 30, 2015 and December 31, 2014: Derivatives Instruments Balance Sheet Location June 30, 2015 December 31, 2014 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 30,259 $ 75,225 Interest rate swaptions Other derivative contracts, at fair value 6 5,382 TBA derivatives Other derivative contracts, at fair value 30,334 - Futures contracts Other derivative contracts, at fair value 7,734 117 $ 68,333 $ 80,724 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 1,328,729 $ 1,608,286 TBA derivatives Other derivative contracts, at fair value 24,377 4,258 Futures contracts Other derivative contracts, at fair value 16,162 3,769 $ 1,369,268 $ 1,616,313
Offsetting of Derivative Assets and Liabilities	The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of June 30, 2015 and December 31, 2014, respectively. June 30, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 30,259 $ (27,869 ) $ - $ 2,390 Interest rate swaptions, at fair value 6 - - 6 TBA derivatives, at fair value 30,334 (17,976 ) - 12,358 Futures contracts, at fair value 7,734 (1,594 ) - 6,140 Liabilities: Interest rate swaps, at fair value $ 1,328,729 $ (27,869 ) $ (709,143 ) $ 591,717 TBA derivatives, at fair value 24,377 (17,976 ) - 6,401 Futures contracts, at fair value 16,162 (1,594 ) (14,568 ) - December 31, 2014 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 75,225 $ (66,180 ) $ - $ 9,045 Interest rate swaptions, at fair value 5,382 - - 5,382 Futures contracts, at fair value 117 (117 ) - - Liabilities: Interest rate swaps, at fair value $ 1,608,286 $ (66,180 ) $ (869,302 ) $ 672,804 TBA derivatives, at fair value 4,258 - - 4,258 Futures contracts, at fair value 3,769 (117 ) - 3,652
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss	The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) 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) Quarter Ended: June 30, 2015 $ (144,465 ) $ - $ 700,792 June 30, 2014 $ (220,934 ) $ (772,491 ) $ 175,062 Six Months Ended: June 30, 2015 $ (302,704 ) $ (226,462 ) $ 234,590 June 30, 2014 $ (481,369 ) $ (779,333 ) $ (173,880 ) (1) Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss)	The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Three Months Ended June 30, 2015 Net TBA derivatives (1) $ (50,801 ) $ (106,974 ) $ (157,775 ) Net interest rate swaptions (7,600 ) 7,033 (567 ) U.S. Treasury futures (9,230 ) 53,351 44,121 $ (114,221 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Three Months Ended June 30, 2014 Net TBA derivatives (1) $ (7,046 ) $ (3,628 ) $ (10,674 ) Net interest rate swaptions (31,039 ) 1,786 (29,253 ) U.S. Treasury futures (6,806 ) 225 (6,581 ) $ (46,508 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Six Months Ended June 30, 2015 Net TBA derivatives (1) $ (106,445 ) $ 10,213 $ (96,232 ) Net interest rate swaptions (29,491 ) 24,116 (5,375 ) Futures (14,737 ) (4,775 ) (19,512 ) $ (121,119 ) Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Six Months Ended June 30, 2014 Net TBA derivatives (1) $ (44,883 ) $ (15,038 ) $ (59,921 ) Net interest rate swaptions $ (71,981 ) $ (51,131 ) $ (123,112 ) U.S. Treasury futures $ (12,475 ) $ (2,824 ) $ (15,299 ) $ (198,332 ) (1) Includes options on TBA securities.
Interest Rate Swaps
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company’s interest rate swaps at June 30, 2015 and December 31, 2014: June 30, 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 $ 2,852,471 1.78 % 0.20 % 2.20 3 - 6 years 11,163,000 1.81 % 0.46 % 4.77 6 - 10 years 11,201,350 2.45 % 0.44 % 8.36 Greater than 10 years 3,734,400 3.70 % 0.23 % 19.87 Total / Weighted Average $ 28,951,221 2.29 % 0.40 % 7.76 December 31, 2014 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 $ 2,502,505 1.63 % 0.17 % 2.64 3 - 6 years 11,138,000 2.06 % 0.22 % 5.18 6 - 10 years 13,069,200 2.67 % 0.23 % 8.57 Greater than 10 years 4,751,800 3.58 % 0.20 % 19.53 Total / Weighted Average $ 31,461,505 2.49 % 0.22 % 8.38 (1) Notional amount includes $2.6 billion and $500.0 million in forward starting pay fixed swaps as of June 30, 2015 (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay fixed swaps was 1.77% and 3.25% as of June 30, 2015
Interest Rate Swaption
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company’s interest rate swaptions at June 30, 2015 and December 31, 2014: June 30, 2015 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 500,000 2.87% 3M LIBOR 8.55 0.47 December 31, 2014 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 1,750,000 2.88% 3M LIBOR 9.17 3.59
Future
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company’s futures derivatives as of June 30, 2015: Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (5,000,000 ) 2.00 U.S. Treasury futures - 5 year - (2,273,000 ) 4.42 U.S. Treasury futures - 10 year and greater - (1,007,500 ) 6.92 Total $ - $ (8,280,500 ) 3.26
TBA Derivatives
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company’s TBA derivatives as of June 30, 2015 and December 31, 2014: June 30, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,000,000 $ 13,311,297 $ 13,317,254 $ 5,957 Sale contracts - - - - Net TBA derivatives $ 13,000,000 $ 13,311,297 $ 13,317,254 $ 5,957 December 31, 2014 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ - $ - $ - $ - Sale contracts (375,000 ) (375,430 ) (379,688 ) (4,258 ) Net TBA derivatives $ (375,000 ) $ (375,430 ) $ (379,688 ) $ (4,258 )

INTEREST INCOME AND INTEREST 35

INTEREST INCOME AND INTEREST EXPENSE (Tables)	6 Months Ended
	Jun. 30, 2015
Components of Company's Interest Income and Interest Expense	The table below presents the components of the Company’s interest income and interest expense for the quarters and six months ended June 30, 2015 and 2014. For the Quarter Ended June 30, For the Six Months Ended June 30, 2015 2014 2015 2014 Interest income: (dollars in thousands) Investment Securities $ 570,493 $ 640,287 $ 1,048,732 $ 1,254,706 Commercial investment portfolio (1) 52,429 43,325 92,765 82,811 U.S. Treasury securities - - - 1,329 Securities loaned - - - 114 Reverse repurchase agreements 1,355 271 1,894 771 Other 69 79 127 132 Total interest income 624,346 683,962 1,143,518 1,339,863 Interest expense: Repurchase agreements 101,225 103,773 203,973 206,904 Convertible Senior Notes 6,113 20,319 29,740 39,216 U.S. Treasury securities sold, not yet purchased - - - 1,076 Securities borrowed - - - 95 Securitized debt of consolidated VIEs 5,475 1,853 8,357 3,464 Participation sold 159 162 318 323 Other 100 - 104 - Total interest expense 113,072 126,107 242,492 251,078 Net interest income $ 511,274 $ 557,855 $ 901,026 $ 1,088,785 (1)

NET INCOME (LOSS) PER COMMON 36

NET INCOME (LOSS) PER COMMON SHARE (Tables)	6 Months Ended
	Jun. 30, 2015
Schedule of Net Income (Loss) Per Share Reconciliation	The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the quarters and six months ended June 30, 2015 and 2014. For the Quarter Ended For the Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 (dollars in thousands, except per share data) (dollars in thousands, except per share data) Net income (loss) $ 900,071 $ (335,512 ) $ 423,572 $ (538,863 ) Less: Net income (loss) attributable to noncontrolling interest (149 ) - (239 ) - Net income (loss) attributable to Annaly 900,220 (335,512 ) 423,811 (538,863 ) Less: Preferred stock dividends 17,992 17,992 35,984 35,984 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary 882,228 (353,504 ) 387,827 (574,847 ) Add: Interest on Convertible Senior Notes, if dilutive - - - - Net income (loss) available to common stockholders, as adjusted 882,228 (353,504 ) 387,827 (574,847 ) Weighted average shares of common stock outstanding-basic 947,731,493 947,515,127 947,700,832 947,487,125 Add: Effect of stock awards and Convertible Senior Notes, if dilutive 198,269 - 178,126 - Weighted average shares of common stock outstanding-diluted 947,929,762 947,515,127 947,878,958 947,487,125 Net income (loss) per share available (related) to common share: Basic $ 0.93 $ (0.37 ) $ 0.41 $ (0.61 ) Diluted $ 0.93 $ (0.37 ) $ 0.41 $ (0.61 )

LONG-TERM STOCK INCENTIVE PLAN

LONG-TERM STOCK INCENTIVE PLAN (Tables)	6 Months Ended
	Jun. 30, 2015
Schedule of Issued and Outstanding Stock Options	The following table sets forth activity related to the Company’s stock options awarded under the Plan: For the Six Months Ended June 30, 2015 2014 Number of Shares Weighted Average Exercise Price Number of Shares Weighted Average Exercise Price Options outstanding at the beginning of period 2,259,335 $ 15.35 3,581,752 $ 15.44 Granted - - - - Exercised - - - - Forfeited (259,799 ) 15.26 (863,167 ) 15.12 Expired (6,250 ) 17.24 (305,750 ) 17.34 Options outstanding at the end of period 1,993,286 $ 15.36 2,412,835 $ 15.31 Options exercisable at the end of period 1,993,286 $ 15.36 2,412,835 $ 15.31

LEASE COMMITMENTS AND CONTING38

LEASE COMMITMENTS AND CONTINGENCIES (Tables)	6 Months Ended
	Jun. 30, 2015
Lease Commitments and Contingencies	The following table details the lease payments. Years Ending December 31, Lease Commitments (dollars in thousands) 2015 (remaining) $ 1,071 2016 3,575 2017 3,565 2018 3,565 2019 3,565 Later years 21,993 $ 37,334

Organization and Significant Ac

Organization and Significant Accounting Policies - Narrative (Detail) - USD ($)	Jun. 30, 2015	Dec. 31, 2014
Schedule Of Significant Accounting Policies [Line Items]
Allowance for loan losses or other-than temporary impairment	$ 0	$ 0
Interest Rate Swaps
Schedule Of Significant Accounting Policies [Line Items]
Cash on margin with counterparty to interest rate swaps	$ 1,400,000,000	$ 1,600,000,000

Summary of Estimated Useful Liv

Summary of Estimated Useful Lives of Assets (Detail)	6 Months Ended
	Jun. 30, 2015
Building | Minimum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets	31 years
Building | Maximum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets	40 years
Site Improvements | Minimum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets	1 year
Site Improvements | Maximum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets	10 years

Recent Accounting Pronouncement

Recent Accounting Pronouncements (Detail)	6 Months Ended
	Jun. 30, 2015
Accounting Standards Update 2015-05
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2015-05, Customer's Accounting for Fees Paid in a Cloud Computing Arrangement
Description	This update clarifies 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 eliminates the current requirement that customers analogized to the leasing standard when determining the asset acquired in a software licensing arrangement.
Date of Adoption	January 1, 2016 (early adoption permitted)
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2015-03
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2015-03 Interest - Imputation of Interest Subtopic 835-30) Simplifying the Presentation of Debt Issuance Costs
Description	This ASU requires 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 are not affected.
Date of Adoption	January 1, 2016 (early adoption permitted)
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2015-02
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2015-02, consolidation Topic 810) Amendments to the Consolidation Analysis
Description	This update affects 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.
Date of Adoption	January 1, 2016 (early adoption permitted)
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2015-01
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2015-01 Income Statement - Extraordinary and Unusual Items (Subtopic 225-20)
Description	This update eliminates from GAAP the concept of extraordinary items.
Date of Adoption	January 1, 2016 (early adoption permitted)
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2014-16
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	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
Description	This ASU provides 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.
Date of Adoption	January 1, 2016 (early adoption permitted)
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2014-15
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2014-15, Presentation of Financial Statements - Going Concern (Subtopic 05-04) Disclosure of Uncertainties about an Enti ty's Ability to Continue as a Going Concern
Description	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.
Date of Adoption	January 1, 2017 (early adoption permitted)
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2014-09
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2014-09, Revenue from Contracts with Customers
Description	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).
Date of Adoption	January 1, 2017
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2014-17
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2014-17 Business Combinations (Topic 805): Pushdown Accounting
Description	This amendment provides an acquired entity with the option to apply push down accounting in its separate financial statements upon occurrence of an event in which an acquirer obtains control of the acquired entity.
Date of Adoption	November 18, 2014
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2014-13
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity.
Description	This Update provides 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.
Date of Adoption	January 1, 2015 (early adoption permitted)
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2014-11
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure.
Description	This update makes limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements.
Date of Adoption	January 1, 2015
Effect on the financial statements or other significant matters	Yes
Accounting Standards Update 2014-08
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2014-08, Presentation of Financial Statements (Topic 5) and Property, Plant and uipment (Topic 360) Reporting scontinued Operations and sclosures of Disposals of mponents of an Entity
Description	This ASU raises the threshold for a disposal to be treated as discontinued operations.
Date of Adoption	April 1, 2015
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2014-04
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2014-04 Receivables–Troubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure
Description	This update clarifies 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
Date of Adoption	January 1, 2015
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2013-02
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2013-02, Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income
Description	This update requires the provision of information about the amounts reclassified out of accumulated other comprehensive income by component. In addition, it requires presentation of significant amounts reclassified out of accumulated other comprehensive income by the respective line items of net income but only if the amount reclassified is required under GAAP to be reclassified to net income in its entirety in the same reporting period
Date of Adoption	January 1, 2014
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2011-11
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2011-11, Balance Sheet: Disclosures about Offsetting Assets and Liabilities
Description	Under this update, the Company is required to disclose both gross and net information about both instruments and transactions eligible for offset in the Company's Consolidated Statements of Financial Condition and transactions subject to an agreement similar to a master netting arrangement. The scope includes derivatives, sale and repurchase agreements and reverse sale and repurchase agreements and securities borrowing and securities lending arrangements.
Date of Adoption	January 1, 2014
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2015-10 [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2015-10, Technical Corrections and Improvements
Description	This perpetual project updates the Codification for technical corrections and improvements.
Date of Adoption	January 1, 2016 (early adoption permitted) for amendments subject to the transition guidance
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2015-07 [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2015-07, Fair Value Measurement Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)
Description	This update removes 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.
Date of Adoption	January 1, 2016 (early adoption permitted)
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2015-08 [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2015-08, Business Combinations Topic 805 Pushdown Accounting Amendments to SEC Paragraphs Pursuant to Staff Accounting Bulletin No. 115
Description	This update amends the codification for SEC Staff Bulletin No. 115
Date of Adoption	November 18, 2014
Effect on the financial statements or other significant matters	No

Agency Mortgage-Backed Securi42

Agency Mortgage-Backed Securities - Portfolio (Detail) - USD ($) $ in Thousands	Jun. 30, 2015	Dec. 31, 2014
Mortgage-Backed Securities Portfolio:
Estimated fair value	$ 67,605,287	$ 81,565,256	[1]
Agency Mortgage Backed Securities
Mortgage-Backed Securities Portfolio:
Principal outstanding	63,128,320	75,982,999
Unamortized premium	4,836,444	5,368,726
Unamortized discount	(13,772)	(18,200)
Amortized cost	67,950,992	81,333,525
Gross unrealized gains	652,071	982,001
Gross unrealized losses	(997,776)	(750,270)
Estimated fair value	67,605,287	81,565,256
Total amortized cost	67,950,992	81,333,525
Agency Mortgage Backed Securities | Fixed Rate
Mortgage-Backed Securities Portfolio:
Amortized cost	64,478,692	78,250,313
Gross unrealized gains	538,926	847,615
Gross unrealized losses	(971,629)	(732,533)
Estimated fair value	64,045,989	78,365,395
Total amortized cost	64,478,692	78,250,313
Agency Mortgage Backed Securities | Adjustable Rate
Mortgage-Backed Securities Portfolio:
Amortized cost	3,472,300	3,083,212
Gross unrealized gains	113,145	134,386
Gross unrealized losses	(26,147)	(17,737)
Estimated fair value	3,559,298	3,199,861
Total amortized cost	3,472,300	3,083,212
Agency Mortgage Backed Securities | Freddie Mac
Mortgage-Backed Securities Portfolio:
Principal outstanding	23,711,840	27,906,221
Unamortized premium	1,929,740	1,951,798
Unamortized discount	(6,475)	(8,985)
Amortized cost	25,635,105	29,849,034
Gross unrealized gains	205,399	313,761
Gross unrealized losses	(429,729)	(322,094)
Estimated fair value	25,410,775	29,840,701
Total amortized cost	25,635,105	29,849,034
Agency Mortgage Backed Securities | Fannie Mae
Mortgage-Backed Securities Portfolio:
Principal outstanding	39,327,716	47,979,778
Unamortized premium	2,888,081	3,396,368
Unamortized discount	(6,946)	(8,857)
Amortized cost	42,208,851	51,367,289
Gross unrealized gains	439,909	660,230
Gross unrealized losses	(564,527)	(424,800)
Estimated fair value	42,084,233	51,602,719
Total amortized cost	42,208,851	51,367,289
Agency Mortgage Backed Securities | Ginnie Mae
Mortgage-Backed Securities Portfolio:
Principal outstanding	88,764	97,000
Unamortized premium	18,623	20,560
Unamortized discount	(351)	(358)
Amortized cost	107,036	117,202
Gross unrealized gains	6,763	8,010
Gross unrealized losses	(3,520)	(3,376)
Estimated fair value	110,279	121,836
Total amortized cost	$ 107,036	$ 117,202
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Agency Mortgage-Backed Securi43

Agency Mortgage-Backed Securities - Weighted Average Life (Detail) - USD ($) $ in Thousands	Jun. 30, 2015	Dec. 31, 2014
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life:
Total	$ 67,605,287	$ 81,565,256	[1]
Agency Mortgage Backed Securities
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life:
Less than one year	14,192	43,248
Greater than one year through five years	21,034,470	42,222,114
Greater than five years through ten years	46,141,855	39,018,833
Greater than ten years	414,770	281,061
Total	67,605,287	81,565,256
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life:
Less than one year	14,747	42,831
Greater than one year through five years	20,688,236	41,908,586
Greater than five years through ten years	46,850,242	39,098,352
Greater than ten years	397,767	283,756
Total	$ 67,950,992	$ 81,333,525
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Agency Mortgage-Backed Securi44

Agency Mortgage-Backed Securities - Unrealized Loss Position (Detail) $ in Thousands	Jun. 30, 2015USD ($)Securities	Dec. 31, 2014USD ($)Securities
Unrealized Loss Position For:
Estimated Fair Value	$ 40,602,228	$ 39,788,793
Gross Unrealized Losses	$ (997,776)	$ (750,270)
Number of Securities | Securities	749	507
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	$ 17,000,465	$ 4,613,599
Gross Unrealized Losses	$ (168,223)	$ (36,959)
Number of Securities | Securities	515	205
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	$ 23,601,763	$ 35,175,194
Gross Unrealized Losses	$ (829,553)	$ (713,311)
Number of Securities | Securities	234	302

Agency Mortgage-Backed Securi45

Agency Mortgage-Backed Securities - Narrative (Detail) - USD ($) $ in Millions	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014	Dec. 31, 2014
Mortgage-Backed Securities Sold:
Mortgage-Backed securities sold, carrying value	$ 2,000	$ 4,900	$ 16,500	$ 9,200
Mortgage-Backed securities sold, realized gain	6.3	$ 41.5	71.6	$ 171.1
Interest-only securities
Mortgage-Backed Securities Sold:
Amortized cost	$ 1,400		1,400		$ 1,200
Accumulated other comprehensive income (loss) | Interest-only securities
Mortgage-Backed Securities Sold:
Unrealized gains (Losses)			$ (22.7)		$ (8)

CRE Debt and Preferred Equity I

CRE Debt and Preferred Equity Investments (Detail) - USD ($) $ in Thousands		Jun. 30, 2015	Dec. 31, 2014
Transaction to Real Estate Investments [Line Items]
Carrying Value		$ 1,332,955	$ 1,518,165
Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Carrying Value		211,724	212,905
Commercial Mortgage
Transaction to Real Estate Investments [Line Items]
Outstanding Principal		1,335,704	1,520,972
Carrying Value	[1]	$ 1,332,955	$ 1,518,165
Percentage of Loan Portfolio	[2]	100.00%	100.00%
Commercial Mortgage | Senior Mortgages
Transaction to Real Estate Investments [Line Items]
Outstanding Principal		$ 262,546	$ 384,304
Carrying Value	[1]	$ 261,684	$ 383,895
Percentage of Loan Portfolio	[2]	19.60%	25.20%
Commercial Mortgage | Senior Securitized Mortgages
Transaction to Real Estate Investments [Line Items]
Outstanding Principal	[3]	$ 361,672	$ 399,541
Carrying Value	[1],[3],[4]	$ 361,215	$ 398,634
Percentage of Loan Portfolio	[2],[3]	27.10%	26.30%
Commercial Mortgage | Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Outstanding Principal		$ 213,213	$ 214,653
Carrying Value	[1]	$ 211,724	$ 212,905
Percentage of Loan Portfolio	[2]	16.00%	14.10%
Commercial Mortgage | Mezzanine Loans
Transaction to Real Estate Investments [Line Items]
Outstanding Principal		$ 498,273	$ 522,474
Carrying Value	[1]	$ 498,332	$ 522,731
Percentage of Loan Portfolio	[2]	37.30%	34.40%
[1]	Carrying value includes unamortized origination fees of $2.8 million and $3.0 million as of June 30, 2015 and December 31, 2014, respectively.
[2]	Based on outstanding principal.
[3]	Assets of consolidated VIEs.
[4]	Assets of consolidated VIE.

CRE Debt and Preferred Equity47

CRE Debt and Preferred Equity Investments (Parenthetical) (Detail) - USD ($) $ in Millions	Jun. 30, 2015	Dec. 31, 2014
Commercial Mortgage
Transaction to Real Estate Investments [Line Items]
Net origination fees	$ 2.8	$ 3

CRE Debt and Preferred Equity48

CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) - USD ($) $ in Thousands		6 Months Ended	12 Months Ended
		Jun. 30, 2015	Dec. 31, 2014
Transaction to Real Estate Investments [Line Items]
Beginning balance		$ 1,518,165	$ 1,583,969
Originations & advances (principal)		183,427	249,854
Principal payments		(321,049)	(316,082)
Sales (principal)		(46,945)
Amortization & accretion of (premium) discounts		(130)	(1,472)
Net (increase) decrease in origination fees		(2,896)	(3,021)
Amortization of net origination fees		2,383	4,917
Allowance for loan losses		0	0
Net carrying value		1,332,955	1,518,165
Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Beginning balance		212,905	247,160
Principal payments		(1,441)	(35,116)
Amortization & accretion of (premium) discounts		50	108
Amortization of net origination fees		210	753
Allowance for loan losses		0	0
Net carrying value		211,724	212,905
Commercial Mortgage
Transaction to Real Estate Investments [Line Items]
Net carrying value	[1]	1,332,955	1,518,165
Commercial Mortgage | Mezzanine Loans
Transaction to Real Estate Investments [Line Items]
Beginning balance		522,731	628,102
Originations & advances (principal)		27,392	122,742
Principal payments		(51,592)	(227,151)
Amortization & accretion of (premium) discounts		(108)	(1,093)
Net (increase) decrease in origination fees		(236)	(478)
Amortization of net origination fees		145	609
Allowance for loan losses		0	0
Net carrying value	[1]	498,332	522,731
Commercial Mortgage | Senior Mortgages
Transaction to Real Estate Investments [Line Items]
Beginning balance		383,895	667,299
Originations & advances (principal)		156,035	127,112
Principal payments		(230,147)	(12,756)
Sales (principal)		(46,945)
Amortization & accretion of (premium) discounts		(72)	(138)
Net (increase) decrease in origination fees		(2,660)	(2,427)
Amortization of net origination fees		1,578	2,783
Transfers			(397,978)
Allowance for loan losses		0	0
Net carrying value	[1]	261,684	383,895
Commercial Mortgage | Senior Securitized Mortgages
Transaction to Real Estate Investments [Line Items]
Beginning balance	[2]	398,634
Principal payments	[2]	(37,869)
Net (increase) decrease in origination fees	[2]		(116)
Amortization of net origination fees	[2]	450	772
Transfers	[2]		397,978
Allowance for loan losses	[2]	0	0
Net carrying value	[1],[2],[3]	361,215	398,634
Commercial Mortgage | Subordinated Notes
Transaction to Real Estate Investments [Line Items]
Beginning balance			41,408
Principal payments			(41,059)
Amortization & accretion of (premium) discounts			(349)
Allowance for loan losses			0
Commercial Mortgage | Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Net carrying value	[1]	$ 211,724	$ 212,905
[1]	Carrying value includes unamortized origination fees of $2.8 million and $3.0 million as of June 30, 2015 and December 31, 2014, respectively.
[2]	Assets of consolidated VIE.
[3]	Assets of consolidated VIEs.

Internal CRE Debt and Preferred

Internal CRE Debt and Preferred Equity Ratings (Detail) - Commercial Mortgage - USD ($) $ in Thousands		Jun. 30, 2015	Dec. 31, 2014
Transaction to Real Estate Investments [Line Items]
Performing Loans		$ 1,262,481	$ 1,498,749
Internal Ratings Watch List		60,250	9,250
Defaulted-Recovery	[1]	12,973	12,973
Impaired		0	0
Senior Mortgages
Transaction to Real Estate Investments [Line Items]
Performing Loans		249,573	371,331
Defaulted-Recovery	[1]	12,973	12,973
Impaired		0	0
Senior Securitized Mortgages
Transaction to Real Estate Investments [Line Items]
Performing Loans	[2]	352,422	390,291
Internal Ratings Watch List	[2]	9,250	9,250
Impaired	[2]	0	0
Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Performing Loans		162,213	214,653
Internal Ratings Watch List	[3]	51,000
Impaired		0	0
Mezzanine Loans
Transaction to Real Estate Investments [Line Items]
Performing Loans		498,273	522,474
Impaired		$ 0	$ 0
[1]	Related to one loan on non-accrual status.
[2]	Assets of consolidated VIE.
[3]	Borrower made a $25 million principal payment on July 8, 2015 reducing outstanding principal to $26 million.

Internal CRE Debt and Preferr50

Internal CRE Debt and Preferred Equity Ratings (Parenthetical) (Detail) - USD ($) $ in Thousands	Jul. 08, 2015	Jun. 30, 2015	Jun. 30, 2014	Dec. 31, 2014
Transaction to Real Estate Investments [Line Items]
Principal payment		$ (321,050)	$ (171,190)
Mortgage loans, outstanding amount		$ 1,332,955		$ 1,518,165
Subsequent Event
Transaction to Real Estate Investments [Line Items]
Principal payment	$ 25,000
Mortgage loans, outstanding amount	$ 26,000

Commercial Real Estate Invest51

Commercial Real Estate Investments - Additional Information (Detail)	1 Months Ended					3 Months Ended			6 Months Ended
	May. 31, 2015USD ($)	Apr. 30, 2015USD ($)Loan	Feb. 28, 2015USD ($)Loan	Nov. 30, 2014USD ($)Property	Jan. 31, 2014USD ($)	Jun. 30, 2015USD ($)		Jun. 30, 2014USD ($)	Jun. 30, 2015USD ($)		Jun. 30, 2014USD ($)	Dec. 31, 2014USD ($)	[2]
Real Estate Properties [Line Items]
Percentage of ownership interest in joint venture				90.00%
Number of retail property Acquired | Property				11
Transaction costs related to acquisitions									$ 0
Weighted average amortization period for intangible assets and liabilities									3 years 8 months 12 days
Percentage of non-controlling interest						10.00%			10.00%
Fair value of non-controlling interest at acquisition date						$ 15,400,000			$ 15,400,000
Net increase in amortization and depreciation						1,300,000
Depreciation expense						2,900,000		$ 400,000	5,687,000		$ 736,000
Business acquisition of joint venture capital	$ 12,000,000								12,410,000
Securitization financing transaction, purchase					$ 399,500,000
Securitization financing transaction, total					$ 260,700,000	2,610,974,000	[1]		2,610,974,000	[1]		$ 260,700,000	[1]
Securitization financing transaction, weighted average rate					65.30%
Securitization cost					$ 4,300,000
Carrying value of trust's liabilities						222,800,000			222,800,000
Senior Secured mortgages of Consolidated VIE						361,200,000			361,200,000			$ 398,600,000
Unamortized origination fees						500,000			500,000
Joint Venture [Member]
Real Estate Properties [Line Items]
Investment interest in joint venture	75.00%
FREMF Trust
Real Estate Properties [Line Items]
Gain (Loss) recognized upon initial consolidation			$ 0
Debt issue costs expensed			$ 800,000
Mortgage loans, unpaid principal balance						2,600,000,000			2,600,000,000
Loans 90 days or more past due or on nonaccrual status						0			0
Gain (Loss) attributable to instrument- specific credit risk									0
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREMF 2015-KLSF [Member]
Real Estate Properties [Line Items]
Number of loans in the underlying portfolio | Loan			11
Principal balance			$ 1,400,000,000
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREMF 2015-KF07 [Member]
Real Estate Properties [Line Items]
Number of loans in the underlying portfolio | Loan		40
Principal balance		$ 1,200,000,000
Freddie Mac | FREMF Trust | FREMF 2015-KLSF [Member]
Real Estate Properties [Line Items]
Variable interest entity, consolidated, carrying amount, assets						1,400,000,000			1,400,000,000
Variable interest entity, consolidated, carrying amount, liabilities						1,300,000,000			1,300,000,000
Payment to purchase mortgage loans			$ 102,100,000
Freddie Mac | FREMF Trust | FREMF 2015-KF07 [Member]
Real Estate Properties [Line Items]
Variable interest entity, consolidated, carrying amount, assets						1,200,000,000			1,200,000,000
Variable interest entity, consolidated, carrying amount, liabilities						$ 1,100,000,000			$ 1,100,000,000
Payment to purchase mortgage loans		$ 89,400,000
Ten Year Four Point Zero Three Percent Fixed Rate Interest Only Mortgage Loan [Member]
Real Estate Properties [Line Items]
Principal amount of mortgage loan				$ 104,000,000
Debt term				10 years
Debt instrument, interest rate				4.03%
Commercial Mortgage Trust Mo One [Member]
Real Estate Properties [Line Items]
Securitization financing transaction, variable interest rate					1.74%
Securitization financing transaction, variable interest rate description									LIBOR plus 1.74% at closing
[1]	Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion and $0 at June 30, 2015 and December 31, 2014, respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2014.

Summary of Acquisitions of Real

Summary of Acquisitions of Real Estate Held for Investment (Detail) - 6 months ended Jun. 30, 2015 - USD ($) $ in Thousands	Total
Transaction to Real Estate Investments [Line Items]
Purchase Price	$ 190,743
TENNESSEE
Transaction to Real Estate Investments [Line Items]
Purchase Price	$ 19,000
TENNESSEE | Single Tenant Properties [Member]
Transaction to Real Estate Investments [Line Items]
Date of Acquisition	Apr. 30, 2014
Purchase Price	$ 19,000
Remaining Lease Term (Years)	8 years
VIRGINIA
Transaction to Real Estate Investments [Line Items]
Purchase Price	$ 17,743
VIRGINIA | Multi Tenant Properties [Member]
Transaction to Real Estate Investments [Line Items]
Date of Acquisition	Jun. 30, 2014
Purchase Price	$ 17,743
Remaining Lease Term (Years)	7 years
New York, Ohio and Georgia [Member] | Multi Tenant Properties [Member]
Transaction to Real Estate Investments [Line Items]
Date of Acquisition	Nov. 30, 2014
Purchase Price	$ 154,000
Remaining Lease Term (Years)	4 years 7 months 6 days

Aggregate Allocation of Purchas

Aggregate Allocation of Purchase Price (Detail) $ in Thousands	6 Months Ended
	Jun. 30, 2015USD ($)
Transaction to Real Estate Investments [Line Items]
Total purchase price	$ 190,743
Real Estate Investment
Transaction to Real Estate Investments [Line Items]
Total purchase price	176,443
TENNESSEE
Transaction to Real Estate Investments [Line Items]
Total purchase price	19,000
TENNESSEE | Real Estate Investment
Transaction to Real Estate Investments [Line Items]
Total purchase price	16,812
VIRGINIA
Transaction to Real Estate Investments [Line Items]
Total purchase price	17,743
VIRGINIA | Real Estate Investment
Transaction to Real Estate Investments [Line Items]
Total purchase price	18,440
Land
Transaction to Real Estate Investments [Line Items]
Total purchase price	31,338
Land | TENNESSEE
Transaction to Real Estate Investments [Line Items]
Total purchase price	3,503
Land | VIRGINIA
Transaction to Real Estate Investments [Line Items]
Total purchase price	6,394
Building
Transaction to Real Estate Investments [Line Items]
Total purchase price	120,502
Building | TENNESSEE
Transaction to Real Estate Investments [Line Items]
Total purchase price	11,960
Building | VIRGINIA
Transaction to Real Estate Investments [Line Items]
Total purchase price	10,862
Site Improvements
Transaction to Real Estate Investments [Line Items]
Total purchase price	15,238
Site Improvements | TENNESSEE
Transaction to Real Estate Investments [Line Items]
Total purchase price	1,349
Site Improvements | VIRGINIA
Transaction to Real Estate Investments [Line Items]
Total purchase price	1,184
Tenant Improvements [Member]
Transaction to Real Estate Investments [Line Items]
Total purchase price	9,365
Leaseholds and Leasehold Improvements [Member]
Transaction to Real Estate Investments [Line Items]
Total purchase price	29,803
Leaseholds and Leasehold Improvements [Member] | TENNESSEE
Transaction to Real Estate Investments [Line Items]
Total purchase price	4,288
Leaseholds and Leasehold Improvements [Member] | VIRGINIA
Transaction to Real Estate Investments [Line Items]
Total purchase price	3,218
Above Market Lease [Member]
Transaction to Real Estate Investments [Line Items]
Total purchase price	5,458
Below Market Lease Liabilities [Member]
Transaction to Real Estate Investments [Line Items]
Total purchase price	20,961
Below Market Lease Liabilities [Member] | TENNESSEE
Transaction to Real Estate Investments [Line Items]
Total purchase price	2,100
Below Market Lease Liabilities [Member] | VIRGINIA
Transaction to Real Estate Investments [Line Items]
Total purchase price	3,915
Joint Venture Agreement [Member]
Transaction to Real Estate Investments [Line Items]
Total purchase price	154,000
Joint Venture Agreement [Member] | Real Estate Investment
Transaction to Real Estate Investments [Line Items]
Total purchase price	141,191
Joint Venture Agreement [Member] | Land
Transaction to Real Estate Investments [Line Items]
Total purchase price	21,441
Joint Venture Agreement [Member] | Building
Transaction to Real Estate Investments [Line Items]
Total purchase price	97,680
Joint Venture Agreement [Member] | Site Improvements
Transaction to Real Estate Investments [Line Items]
Total purchase price	12,705
Joint Venture Agreement [Member] | Tenant Improvements [Member]
Transaction to Real Estate Investments [Line Items]
Total purchase price	9,365
Joint Venture Agreement [Member] | Leaseholds and Leasehold Improvements [Member]
Transaction to Real Estate Investments [Line Items]
Total purchase price	22,297
Joint Venture Agreement [Member] | Above Market Lease [Member]
Transaction to Real Estate Investments [Line Items]
Total purchase price	5,458
Joint Venture Agreement [Member] | Below Market Lease Liabilities [Member]
Transaction to Real Estate Investments [Line Items]
Total purchase price	$ 14,946

Total Commercial Real Estate He

Total Commercial Real Estate Held for Investments (Detail) - USD ($) $ in Thousands		Jun. 30, 2015	Dec. 31, 2014
Real estate held for investment, at amortized cost
Real estate held for investment, at amortized cost		$ 214,301	$ 214,256
Less: accumulated depreciation		(9,911)	(4,224)
Total real estate held for investment, at amortized cost, net		204,390	210,032
Equity in unconsolidated joint venture		12,410
Total investment in commercial real estate, net		216,800	210,032	[1]
Net carrying value of CRE Debt and Preferred Equity Investments	[2]	1,332,955	1,518,165	[1]
Total commercial real estate investments		1,549,755	1,728,197
Land
Real estate held for investment, at amortized cost
Real estate held for investment, at amortized cost		37,977	38,117
Building Improvements
Real estate held for investment, at amortized cost
Real estate held for investment, at amortized cost		$ 176,324	$ 176,139
[1]	Derived from the audited consolidated financial statements at December 31, 2014.
[2]	Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $361.2 million and $398.6 million carried at amortized cost, net of an allowance for losses of $0, at June 30, 2015 and December 31, 2014.

Minimum Future Rentals to be Re

Minimum Future Rentals to be Received on Noncancelable Operating Leases (Detail) $ in Thousands	Jun. 30, 2015USD ($)
Operating Leased Assets [Line Items]
2015 (remaining)	$ 10,346
2,016	18,784
2,017	16,055
2,018	13,695
2,019	11,375
Later years	50,702
Operating Leases, Future Minimum Payments Receivable, Total	$ 120,957

Mortgage Loans Payable (Detail)

Mortgage Loans Payable (Detail) - Commercial Mortgage Loan [Member] - USD ($) $ in Thousands		6 Months Ended	12 Months Ended
		Jun. 30, 2015	Dec. 31, 2014
Mortgage Loans on Real Estate [Line Items]
Mortgage Carrying Value		$ 146,359	$ 146,553
Mortgage Principal		146,291	146,430
Joint Venture [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Carrying Value		103,950	103,950
Mortgage Principal		$ 103,950	$ 103,950
Interest rate		4.03%	4.03%
Fixed/Floating Rate		Fixed
Maturity Date		Dec. 6, 2024	Dec. 6, 2024
Priority		First liens
Three Thousand One Hundred South Mall [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Carrying Value		$ 12,350	$ 12,350
Mortgage Principal		$ 12,350	$ 12,350
Interest rate		4.01%	4.01%
Fixed/Floating Rate		Fixed
Maturity Date		Jun. 6, 2019	Jun. 6, 2019
Priority		First liens
Twelve Thousand One Hundred Fifty-One Jefferson [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Carrying Value		$ 11,025	$ 11,025
Mortgage Principal		$ 11,025	$ 11,025
Interest rate		3.58%	3.58%
Fixed/Floating Rate		Fixed
Maturity Date		Sep. 6, 2019	Sep. 6, 2019
Priority		First liens
ARIZONA
Mortgage Loans on Real Estate [Line Items]
Mortgage Carrying Value		$ 16,552	$ 16,709
Mortgage Principal		$ 16,495	$ 16,600
Interest rate		3.50%	3.50%
Fixed/Floating Rate		Fixed
Maturity Date		Jan. 1, 2017	Jan. 1, 2017
Priority		First liens
NEVADA
Mortgage Loans on Real Estate [Line Items]
Mortgage Carrying Value		$ 2,482	$ 2,519
Mortgage Principal		$ 2,471	$ 2,505
Interest rate		3.45%	3.45%
Fixed/Floating Rate	[1]	Floating
Maturity Date		Mar. 29, 2017	Mar. 29, 2017
Priority		First liens
[1]	Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).

Future Mortgage Loan Principal

Future Mortgage Loan Principal Payments (Detail) $ in Thousands	Jun. 30, 2015USD ($)
Schedule Of Long Term Debt Maturities [Line Items]
2015 (remaining)	$ 228
2,016	400
2,017	18,338
2,018	0
2,019	23,375
Later years	103,950
Long-term Debt, Total	$ 146,291

Statement of Financial Conditio

Statement of Financial Condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition (Detail) - USD ($) $ in Thousands	Jun. 30, 2015	Dec. 31, 2014	[1]
Variable Interest Entity [Line Items]
Senior securitized commercial mortgages carried at fair value	$ 2,600,000	$ 0
Total assets	75,545,680	88,355,367
Liabilities and equity
Accrued interest payable	131,629	180,501
Total liabilities	62,950,875	75,021,586
Equity	12,589,999	13,328,491
Total liabilities and equity	75,545,680	$ 88,355,367
FREMF Trust
Variable Interest Entity [Line Items]
Senior securitized commercial mortgages carried at fair value	2,579,687
Accrued interest receivable	4,672
Total assets	2,584,359
Liabilities and equity
Securitized debt (non-recourse) at fair value	2,388,142
Accrued interest payable	4,062
Total liabilities	2,392,204
Equity	192,155
Total liabilities and equity	$ 2,584,359
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Statement of Comprehensive Inco

Statement of Comprehensive Income (Loss) of FREMF Trust Reflected the Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Net interest income:
Interest income		$ 624,346	$ 683,962	$ 1,143,518	$ 1,339,863
Interest expense		(113,072)	(126,107)	(242,492)	(251,078)
Net interest income		511,274	557,855	901,026	1,088,785
Other income (loss):
General and administration expenses		52,009	52,189	102,947	99,567
Net income (loss)		$ 900,071	$ (335,512)	423,572	$ (538,863)
FREMF Trust
Net interest income:
Interest income				14,472
Interest expense				(4,575)
Net interest income				9,897
Other income (loss):
Unrealized gain (loss) on financial instruments at fair value	[1]			(5)
Other income (loss)				5,899
General and administration expenses				58
Net income (loss)				$ 3,940
[1]	Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings.

Geographic Concentrations of Cr

Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Balances (Detail) - Jun. 30, 2015 - USD ($) $ in Thousands	Total
NORTH CAROLINA
Concentration Risk [Line Items]
Principal Balance	$ 537,375
NORTH CAROLINA | Securitized Loans [Member] | Credit Concentration Risk [Member]
Concentration Risk [Line Items]
Percentage Balance	21.00%
TEXAS
Concentration Risk [Line Items]
Principal Balance	$ 749,569
TEXAS | Securitized Loans [Member] | Credit Concentration Risk [Member]
Concentration Risk [Line Items]
Percentage Balance	29.40%
OHIO
Concentration Risk [Line Items]
Principal Balance	$ 197,455
OHIO | Securitized Loans [Member] | Credit Concentration Risk [Member]
Concentration Risk [Line Items]
Percentage Balance	7.70%
FLORIDA
Concentration Risk [Line Items]
Principal Balance	$ 391,291
FLORIDA | Securitized Loans [Member] | Credit Concentration Risk [Member]
Concentration Risk [Line Items]
Percentage Balance	15.30%

Fair Value Measurements (Detail

Fair Value Measurements (Detail) - USD ($) $ in Thousands		Jun. 30, 2015	Dec. 31, 2014
Assets:
Agency mortgage-backed securities		$ 67,605,287	$ 81,565,256
Agency debentures		429,845	1,368,350	[1]
Agency CRT securities		214,130
Commercial real estate debt investments	[2]	2,812,824
Investment in affiliate		123,343	143,045	[1]
Interest rate swaps		30,259	75,225	[1]
Other derivatives		38,074	5,499
Total assets		71,253,762	83,157,375
Liabilities:
Securitized debt of consolidated VIEs		2,610,974	0	[1]
Interest rate swaps		1,328,729	1,608,286	[1]
Other derivatives		40,539	8,027
Total liabilities		3,980,242	1,616,313
Level 1
Assets:
Investment in affiliate		123,343	143,045
Other derivatives		7,734	117
Total assets		131,077	143,162
Liabilities:
Other derivatives		16,162	3,769
Total liabilities		16,162	3,769
Level 2
Assets:
Agency mortgage-backed securities		67,605,287	81,565,256
Agency debentures		429,845	1,368,350
Agency CRT securities		214,130
Commercial real estate debt investments		2,812,824
Interest rate swaps		30,259	75,225
Other derivatives		30,340	5,382
Total assets		71,122,685	83,014,213
Liabilities:
Securitized debt of consolidated VIEs		2,610,974
Interest rate swaps		1,328,729	1,608,286
Other derivatives		24,377	4,258
Total liabilities		$ 3,964,080	$ 1,612,544
[1]	Derived from the audited consolidated financial statements at December 31, 2014.
[2]	Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.6 billion and $0 at June 30, 2015 and December 31, 2014, respectively.

Estimated Fair Value for All Fi

Estimated Fair Value for All Financial Assets and Liabilities (Detail) - Entity [Domain] - USD ($) $ in Thousands		Jun. 30, 2015		Dec. 31, 2014		Jan. 31, 2014
Financial assets:
Agency mortgage-backed securities		$ 67,605,287		$ 81,565,256
Agency debentures		429,845		1,368,350	[1]
Agency CRT securities		214,130
Commercial real estate debt investments, at fair value	[2]	2,812,824
Investment in affiliate		123,343		143,045	[1]
Interest rate swaps		68,333		80,724
Other derivatives		38,074		5,499
Financial liabilities:
Other secured financing		203,200
Securitized debt of consolidated VIE		2,610,974	[3]	260,700	[1],[3]	$ 260,700
Interest rate swaps		1,369,268		1,616,313
Other derivatives		40,539		8,027
Level 1
Financial assets:
Investment in affiliate		123,343		143,045
Other derivatives		7,734		117
Financial liabilities:
Other derivatives		16,162		3,769
Level 2
Financial assets:
Agency mortgage-backed securities		67,605,287		81,565,256
Agency debentures		429,845		1,368,350
Agency CRT securities		214,130
Commercial real estate debt investments, at fair value		2,812,824
Other derivatives		30,340		5,382
Financial liabilities:
Other derivatives		24,377		4,258
Estimate of Fair Value, Fair Value Disclosure | Level 1
Financial assets:
Cash and cash equivalents		1,785,158		1,741,244
Reverse repurchase agreements				100,000
Investment in affiliate		123,343		143,045
Financial liabilities:
Convertible Senior Notes				863,470
Estimate of Fair Value, Fair Value Disclosure | Level 2
Financial assets:
Agency mortgage-backed securities		67,605,287		81,565,256
Agency debentures		429,845		1,368,350
Agency CRT securities		214,130
Commercial real estate debt investments, at fair value		2,812,824
Corporate debt		309,709		166,056
Interest rate swaps		30,259		75,225
Financial liabilities:
Other secured financing		203,376
Securitized debt of consolidated VIE		2,610,974		262,061
Mortgages payable		147,149		146,611
Interest rate swaps		1,328,729		1,608,286
Estimate of Fair Value, Fair Value Disclosure | Level 3
Financial assets:
Commercial real estate debt and preferred equity, held for investment		1,339,843		1,528,444
Financial liabilities:
Participation sold		13,483		13,655
Estimate of Fair Value, Fair Value Disclosure | Level 1, Level 2
Financial assets:
Other derivatives		38,074		5,499
Financial liabilities:
Repurchase agreements		57,639,127		71,587,222
Other derivatives		40,539		8,027
Carrying (Reported) Amount, Fair Value Disclosure | Level 1
Financial assets:
Cash and cash equivalents		1,785,158		1,741,244
Reverse repurchase agreements				100,000
Investment in affiliate		123,343		143,045
Financial liabilities:
Convertible Senior Notes				845,295
Carrying (Reported) Amount, Fair Value Disclosure | Level 2
Financial assets:
Agency mortgage-backed securities		67,605,287		81,565,256
Agency debentures		429,845		1,368,350
Agency CRT securities		214,130
Commercial real estate debt investments, at fair value		2,812,824
Corporate debt		311,640		166,464
Interest rate swaps		30,259		75,225
Financial liabilities:
Other secured financing		203,200
Securitized debt of consolidated VIE		2,610,974		260,700
Mortgages payable		146,359		146,553
Interest rate swaps		1,328,729		1,608,286
Carrying (Reported) Amount, Fair Value Disclosure | Level 3
Financial assets:
Commercial real estate debt and preferred equity, held for investment		1,332,955		1,518,165
Financial liabilities:
Participation sold		13,490		13,693
Carrying (Reported) Amount, Fair Value Disclosure | Level 1, Level 2
Financial assets:
Other derivatives		38,074		5,499
Financial liabilities:
Repurchase agreements		57,459,552		71,361,926
Other derivatives		$ 40,539		$ 8,027
[1]	Derived from the audited consolidated financial statements at December 31, 2014.
[2]	Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.6 billion and $0 at June 30, 2015 and December 31, 2014, respectively.
[3]	Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion and $0 at June 30, 2015 and December 31, 2014, respectively.

Repurchase Agreements - Narrati

Repurchase Agreements - Narrative (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2015	Dec. 31, 2014
Repurchase Agreements:
Repurchase agreements - outstanding	$ 57,459,552	$ 71,361,926	[1]
Repurchase agreements - weighted average borrowing rates	1.73%	1.62%
Repurchase agreements - weighted average remaining maturities (in days)	149 days	141 days
Secured financings and interest rate swaps - collateral held, estimated fair value	$ 61,000,000	$ 75,400,000
Secured financings and interest rate swaps - collateral held, accrued interest	$ 180,500	$ 226,600
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Repurchase Agreements - Remaini

Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Detail) - USD ($) $ in Thousands		Jun. 30, 2015		Dec. 31, 2014
Repurchase Agreements:
Repurchase Agreements		$ 57,459,552		$ 71,361,926	[1]
Weighted average rate		0.76%		0.61%
Agency Mortgage Backed Securities And Debentures [Member]
Repurchase Agreements:
Repurchase Agreements		$ 57,337,552		$ 71,361,926
Commercial Loan [Member]
Repurchase Agreements:
Repurchase Agreements		122,000
1 day
Repurchase Agreements:
Repurchase Agreements		$ 7,150,000
Weighted average rate		0.82%		0.00%
1 day | Agency Mortgage Backed Securities And Debentures [Member]
Repurchase Agreements:
Repurchase Agreements		$ 7,150,000
2 to 29 days
Repurchase Agreements:
Repurchase Agreements		$ 16,013,749
Weighted average rate		0.43%		0.35%
2 to 29 days | Agency Mortgage Backed Securities And Debentures [Member]
Repurchase Agreements:
Repurchase Agreements		$ 16,013,749		$ 28,354,167
30 to 59 days
Repurchase Agreements:
Repurchase Agreements		$ 8,157,729
Weighted average rate		0.52%		0.43%
30 to 59 days | Agency Mortgage Backed Securities And Debentures [Member]
Repurchase Agreements:
Repurchase Agreements		$ 8,157,729		$ 17,336,469
60 to 89 days
Repurchase Agreements:
Repurchase Agreements		$ 7,132,012
Weighted average rate		0.42%		0.38%
60 to 89 days | Agency Mortgage Backed Securities And Debentures [Member]
Repurchase Agreements:
Repurchase Agreements		$ 7,132,012		$ 4,040,677
90 to 119 days
Repurchase Agreements:
Repurchase Agreements		$ 1,507,387
Weighted average rate		0.43%		0.50%
90 to 119 days | Agency Mortgage Backed Securities And Debentures [Member]
Repurchase Agreements:
Repurchase Agreements		$ 1,507,387		$ 2,945,495
Over 120 days
Repurchase Agreements:
Repurchase Agreements	[2]	$ 17,498,675
Weighted average rate		1.32%	[2]	1.24%
Over 120 days | Agency Mortgage Backed Securities And Debentures [Member]
Repurchase Agreements:
Repurchase Agreements	[2]	$ 17,376,675		$ 18,685,118
Over 120 days | Commercial Loan [Member]
Repurchase Agreements:
Repurchase Agreements	[2]	$ 122,000
[1]	Derived from the audited consolidated financial statements at December 31, 2014.
[2]	Approximately 17% and 15% of the total repurchase agreements had a remaining maturity over 1 year as of June 30, 2015 and December 31, 2014, respectively.

Repurchase Agreements - Remai65

Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Parenthetical) (Detail)	Jun. 30, 2015	Dec. 31, 2014
Repurchase Agreements:
Percentage of repurchase agreements, with remaining maturity over one year	17.00%	15.00%

Summary of Gross Amounts, Amoun

Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Detail) - USD ($) $ in Thousands		6 Months Ended	12 Months Ended
		Jun. 30, 2015	Dec. 31, 2014
Repurchase Agreements:
Gross amounts -reverse repurchase agreements			$ 700,000
Amounts offset - reverse repurchase agreement			(600,000)
Netted amounts -reverse repurchase	[1]		100,000
Gross amounts -repurchase agreement		$ 57,459,552	71,961,926
Amounts offset -repurchase agreement			(600,000)
Netted amounts -repurchase agreement		$ 57,459,552	$ 71,361,926	[1]
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Summary of Fair Value Informati

Summary of Fair Value Information about Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands	Jun. 30, 2015	Dec. 31, 2014
Derivatives, Fair Value [Line Items]
Interest rate swaps, at fair value	$ 30,259	$ 75,225	[1]
Other derivatives, at fair value	38,074	5,499	[1]
Derivative assets	68,333	80,724
Other derivatives, at fair value	40,539	8,027	[1]
Interest rate swaps, at fair value	1,328,729	1,608,286	[1]
Derivative liabilities	1,369,268	1,616,313
Future
Derivatives, Fair Value [Line Items]
Other derivatives, at fair value	7,734	117
Other derivatives, at fair value	16,162	3,769
Interest Rate Swaption
Derivatives, Fair Value [Line Items]
Other derivatives, at fair value	6	5,382
TBA Derivatives
Derivatives, Fair Value [Line Items]
Other derivatives, at fair value	30,334
Other derivatives, at fair value	$ 24,377	$ 4,258
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Summary of Characteristics of I

Summary of Characteristics of Interest Rate Swaps (Detail) - Interest Rate Swaps - USD ($) $ in Thousands		6 Months Ended	12 Months Ended
		Jun. 30, 2015	Dec. 31, 2014
Derivative Instruments:
Current Notional	[1]	$ 28,951,221	$ 31,461,505
Weighted Average Pay Rate	[2],[3]	2.29%	2.49%
Weighted Average Receive Rate	[2]	0.40%	0.22%
Average Years to Maturity	[2]	7 years 9 months 4 days	8 years 4 months 17 days
0 - 3 years
Derivative Instruments:
Derivative Instruments minimum maturity period
Derivative Instruments maximum maturity period		3 years	3 years
Current Notional	[1]	$ 2,852,471	$ 2,502,505
Weighted Average Pay Rate	[2],[3]	1.78%	1.63%
Weighted Average Receive Rate	[2]	0.20%	0.17%
Average Years to Maturity	[2]	2 years 2 months 12 days	2 years 7 months 21 days
3 - 6 years
Derivative Instruments:
Derivative Instruments minimum maturity period		3 years	3 years
Derivative Instruments maximum maturity period		6 years	6 years
Current Notional	[1]	$ 11,163,000	$ 11,138,000
Weighted Average Pay Rate	[2],[3]	1.81%	2.06%
Weighted Average Receive Rate	[2]	0.46%	0.22%
Average Years to Maturity	[2]	4 years 9 months 7 days	5 years 2 months 5 days
6 - 10 years
Derivative Instruments:
Derivative Instruments minimum maturity period		6 years	6 years
Derivative Instruments maximum maturity period		10 years	10 years
Current Notional	[1]	$ 11,201,350	$ 13,069,200
Weighted Average Pay Rate	[2],[3]	2.45%	2.67%
Weighted Average Receive Rate	[2]	0.44%	0.23%
Average Years to Maturity	[2]	8 years 4 months 10 days	8 years 6 months 26 days
Greater than 10 years
Derivative Instruments:
Derivative Instruments minimum maturity period		10 years	10 years
Current Notional	[1]	$ 3,734,400	$ 4,751,800
Weighted Average Pay Rate	[2],[3]	3.70%	3.58%
Weighted Average Receive Rate	[2]	0.23%	0.20%
Average Years to Maturity	[2]	19 years 10 months 13 days	19 years 6 months 11 days
[1]	Notional amount includes $2.6 billion and $500.0 million in forward starting pay fixed swaps as of June 30, 2015 and December 31, 2014, respectively.
[2]	Excludes forward starting swaps.
[3]	Weighted average fixed rate on forward starting pay fixed swaps was 1.77% and 3.25% as of June 30, 2015 and December 31, 2014, respectively.

Summary of Characteristics of69

Summary of Characteristics of Interest Rate Swaps (Parenthetical) (Detail) - Forward Starting Pay Fixed Swaps - USD ($) $ in Millions	Jun. 30, 2015	Dec. 31, 2014
Derivative Instruments:
Notional amount	$ 2,600	$ 500
Weighted average fixed rate	1.77%	3.25%

Summary of Characteristics of70

Summary of Characteristics of Interest Rate Swaptions (Detail) - Interest Rate Swaption - Long - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2015	Dec. 31, 2014
Derivative Instruments:
Current Underlying Notional	$ 500,000	$ 1,750,000
Underlying Pay Rate	2.87%	2.88%
Underlying Receive Rate	3M LIBOR
Years to Maturity	8 years 6 months 18 days	9 years 2 months 1 day
Months to Expiration	5 months 19 days	3 years 7 months 2 days

Summary of Characteristics of T

Summary of Characteristics of TBA Derivatives (Detail) - TBA Derivatives - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2015	Dec. 31, 2014
Derivative Instruments:
Notional	$ 13,000,000	$ (375,000)
Implied Cost Basis	13,311,297	(375,430)
Implied Market Value	13,317,254	(379,688)
Carrying Value	5,957	(4,258)
Long
Derivative Instruments:
Notional	13,000,000
Implied Cost Basis	13,311,297
Implied Market Value	13,317,254
Carrying Value	$ 5,957
Short
Derivative Instruments:
Notional		(375,000)
Implied Cost Basis		(375,430)
Implied Market Value		(379,688)
Carrying Value		$ (4,258)

Summary of Certain Characterist

Summary of Certain Characteristics of Derivatives (Detail) - Jun. 30, 2015 - USD ($) $ in Thousands	Total
Swap equivalent Eurodollar contracts | 2-year
Derivative Instruments:
Derivative Instruments, maturity period	2 years
Average Years to Maturity	2 years
Us Treasury futures | 5 year
Derivative Instruments:
Derivative Instruments, maturity period	5 years
Average Years to Maturity	4 years 5 months 1 day
Us Treasury futures | 10 year and greater
Derivative Instruments:
Derivative Instruments minimum maturity period	10 years
Average Years to Maturity	6 years 11 months 1 day
Future
Derivative Instruments:
Average Years to Maturity	3 years 3 months 4 days
Short | Swap equivalent Eurodollar contracts | 2-year
Derivative Instruments:
Notional - Long Positions	$ (5,000,000)
Short | Us Treasury futures | 5 year
Derivative Instruments:
Notional - Long Positions	(2,273,000)
Short | Us Treasury futures | 10 year and greater
Derivative Instruments:
Notional - Long Positions	(1,007,500)
Short | Future
Derivative Instruments:
Notional - Long Positions	$ (8,280,500)

Offsetting of Derivative Assets

Offsetting of Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands	Jun. 30, 2015	Dec. 31, 2014
Offsetting Assets [Line Items]
Gross Amounts, Liabilities	$ 40,539	$ 8,027	[1]
Future
Offsetting Assets [Line Items]
Gross Amounts, Assets	7,734	117
Amounts Eligible for Offset -Financial Instruments, Assets	(1,594)	(117)
Amounts Eligible for Offset-Cash Collateral, Assets	0	0
Net Amounts, Assets	6,140
Gross Amounts, Liabilities	16,162	3,769
Amounts Eligible for Offset-Financial Instruments, Liabilities	(1,594)	(117)
Amounts Eligible for Offset -Cash Collateral, Liabilities	(14,568)
Net Amounts, Liabilities		3,652
Interest Rate Swaps
Offsetting Assets [Line Items]
Gross Amounts, Assets	30,259	75,225
Amounts Eligible for Offset -Financial Instruments, Assets	(27,869)	(66,180)
Amounts Eligible for Offset-Cash Collateral, Assets	0	0
Net Amounts, Assets	2,390	9,045
Gross Amounts, Liabilities	1,328,729	1,608,286
Amounts Eligible for Offset-Financial Instruments, Liabilities	(27,869)	(66,180)
Amounts Eligible for Offset -Cash Collateral, Liabilities	(709,143)	(869,302)
Net Amounts, Liabilities	591,717	672,804
TBA Derivatives
Offsetting Assets [Line Items]
Gross Amounts, Assets	30,334
Amounts Eligible for Offset -Financial Instruments, Assets	(17,976)
Amounts Eligible for Offset-Cash Collateral, Assets	0
Net Amounts, Assets	12,358
Gross Amounts, Liabilities	24,377	4,258
Amounts Eligible for Offset-Financial Instruments, Liabilities	(17,976)
Net Amounts, Liabilities	6,401	4,258
Interest Rate Swaption
Offsetting Assets [Line Items]
Gross Amounts, Assets	6	5,382
Amounts Eligible for Offset-Cash Collateral, Assets	0	0
Net Amounts, Assets	$ 6	$ 5,382
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Derivative Instruments - Effect

Derivative Instruments - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income Loss (Detail) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Effect of Derivatives on Statement of Operations and Comprehensive Income:
Realized gains (losses) on interest rate swaps	[1],[2]	$ (144,465)	$ (220,934)	$ (302,704)	$ (481,369)
Realized gain (losses) on termination of interest rate swaps			(772,491)	(226,462)	(779,333)
Unrealized gains (losses) on interest rate swaps		$ 700,792	$ 175,062	$ 234,590	$ (173,880)
[1]	Consists of interest expense on interest rate swaps.
[2]	Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).

Effect of Other Derivative Cont

Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Derivative Instruments:
Unrealized Gain (Loss)		$ 700,792	$ 175,062	$ 234,590	$ (173,880)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets		(114,221)	(46,508)	(121,119)	(198,332)
Future
Derivative Instruments:
Realized Gain (Loss)				(14,737)
Unrealized Gain (Loss)				(4,775)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets				(19,512)
Us Treasury futures
Derivative Instruments:
Realized Gain (Loss)		(9,230)	(6,806)		(12,475)
Unrealized Gain (Loss)		53,351	225		(2,824)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets		44,121	(6,581)		(15,299)
TBA Derivatives
Derivative Instruments:
Realized Gain (Loss)	[1]	(50,801)	(7,046)	(106,445)	(44,883)
Unrealized Gain (Loss)	[1]	(106,974)	(3,628)	10,213	(15,038)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets	[1]	(157,775)	(10,674)	(96,232)	(59,921)
Interest Rate Swaption
Derivative Instruments:
Realized Gain (Loss)		(7,600)	(31,039)	(29,491)	(71,981)
Unrealized Gain (Loss)		7,033	1,786	24,116	(51,131)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets		$ (567)	$ (29,253)	$ (5,375)	$ (123,112)
[1]	Includes options on TBA securities.

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Detail) $ in Billions	Jun. 30, 2015USD ($)
Derivative Instruments:
Derivative instruments, net liability position, aggregate fair value	$ 1.3

Convertible Senior Notes - Narr

Convertible Senior Notes - Narrative (Detail) - USD ($) $ in Thousands	1 Months Ended		6 Months Ended	12 Months Ended
	Feb. 28, 2015	May. 31, 2012	Jun. 30, 2015	Dec. 31, 2010	May. 31, 2015
Convertible Senior Notes:
Repayment of convertible senior notes			$ 857,541
Convertible Senior Notes 4.00 Percent Due 2015
Convertible Senior Notes:
Issued convertible senior notes, aggregate principal amount				$ 600,000
Senior debt maturity date				2015-02
Issued convertible senior notes, interest rate				4.00%
Issued convertible senior notes, net proceeds following underwriting expenses				$ 582,000
Repurchase of Convertible senior notes			$ 492,500
Repayment of convertible senior notes	$ 107,500
Convertible Senior Notes 5.00 Percent Due 2015
Convertible Senior Notes:
Issued convertible senior notes, aggregate principal amount		$ 750,000
Issued convertible senior notes, interest rate		5.00%
Issued convertible senior notes, net proceeds following underwriting expenses		$ 727,500
Debt instrument face amount					$ 750,000

Common Stock and Preferred St78

Common Stock and Preferred Stock - Narrative (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014	Dec. 31, 2014
Class of Stock [Line Items]
Common Stock, par value	$ 0.01		$ 0.01		$ 0.01	[1]
Common Stock, shares authorized	1,956,937,500		1,956,937,500		1,956,937,500	[1]
Common Stock, shares issued	947,768,496		947,768,496		947,643,079	[1]
Common Stock, shares outstanding	947,768,496		947,768,496		947,643,079	[1]
Options exercised under incentive plans, shares			0	0
Direct purchase and dividend reinvestment program - value raised			$ 1,146	$ 1,208
Direct purchase and dividend reinvestment program - issued shares			111,000	108,000
Description of common stock equity distribution agreement			In March 2012, the Company entered into six separate Distribution Agency Agreements ("Distribution Agency Agreements") with each of Merrill Lynch, Pierce, Fenner & Smith Incorporated, Credit Suisse Securities (USA) LLC, Goldman, Sachs & Co., J.P. Morgan Securities LLC, Morgan Stanley & Co. LLC and RCap Securities, Inc. (together, the Agents).
Date of Distribution Agency Agreement with six separate Agents			March 2,012
Number of common shares authorized for issuance under the Distribution Agency Agreement	125,000,000	125,000,000	125,000,000	125,000,000
Common stock - dividend declared			$ 568,641	$ 568,508
Dividends payable, date to be paid			Jul. 30, 2015	Jul. 29, 2014
Dividends declared per share of common stock	$ 0.30	$ 0.30	$ 0.60	$ 0.60
7.875% Series A Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized	7,412,500		7,412,500		7,412,500	[1]
Preferred Stock, shares issued	7,412,500		7,412,500		7,412,500	[1]
Preferred Stock, shares outstanding	7,412,500		7,412,500		7,412,500	[1]
Preferred Stock, par value	$ 0.01		$ 0.01		$ 0.01
Preferred Stock liquidation preference, per share	25		$ 25		$ 25
Preferred Stock dividend rate, percentage			7.875%		7.875%
Preferred Stock redeemable price, per share	$ 25		$ 25		$ 25
Preferred Stock redemption date			Apr. 5, 2009
Preferred dividends declared			$ 7,300	$ 7,300
Preferred series dividends declared, per share			$ 0.984	$ 0.984
6.00% Series B Cumulative Convertible Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized	4,600,000		4,600,000
7.625% Series C Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized	12,650,000		12,650,000		12,650,000	[1]
Preferred Stock, shares issued	12,000,000		12,000,000		12,000,000	[1]
Preferred Stock, shares outstanding	12,000,000		12,000,000		12,000,000	[1]
Preferred Stock, par value	$ 0.01		$ 0.01		$ 0.01
Preferred Stock liquidation preference, per share	25		$ 25		$ 25
Preferred Stock dividend rate, percentage			7.625%		7.625%
Preferred Stock redeemable price, per share	$ 25		$ 25		$ 25
Preferred Stock redemption date			May 16, 2017
Preferred dividends declared			$ 11,400	$ 11,400
Preferred series dividends declared, per share			$ 0.953	$ 0.953
7.50% Series D Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized	18,400,000		18,400,000		18,400,000	[1]
Preferred Stock, shares issued	18,400,000		18,400,000		18,400,000	[1]
Preferred Stock, shares outstanding	18,400,000		18,400,000		18,400,000	[1]
Preferred Stock, par value	$ 0.01		$ 0.01		$ 0.01
Preferred Stock liquidation preference, per share	25		$ 25		$ 25
Preferred Stock dividend rate, percentage			7.50%		7.50%
Preferred Stock redeemable price, per share	$ 25		$ 25		$ 25
Preferred Stock redemption date			Sep. 13, 2017
Preferred dividends declared			$ 17,300	$ 17,300
Preferred series dividends declared, per share			$ 0.938	$ 0.938
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Components of Company's Interes

Components of Company's Interest Income and Interest Expense (Detail) - Entity [Domain] - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Interest income:
Investment Securities		$ 570,493	$ 640,287	$ 1,048,732	$ 1,254,706
Commercial investment portfolio	[1]	52,429	43,325	92,765	82,811
U.S. Treasury securities					1,329
Securities loaned					114
Reverse repurchase agreements		1,355	271	1,894	771
Other		69	79	127	132
Total interest income		624,346	683,962	1,143,518	1,339,863
Interest expense:
Repurchase agreements		101,225	103,773	203,973	206,904
Convertible Senior Notes		6,113	20,319	29,740	39,216
U.S. Treasury securities sold, not yet purchased					1,076
Securities borrowed					95
Securitized debt of consolidated VIEs		5,475	1,853	8,357	3,464
Participation sold		159	162	318	323
Other		100		104
Total interest expense		113,072	126,107	242,492	251,078
Net interest income		$ 511,274	$ 557,855	$ 901,026	$ 1,088,785
[1]	Includes commercial real estate debt, preferred equity and corporate debt.

Goodwill - Additional Informati

Goodwill - Additional Information (Detail) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2015	Dec. 31, 2014	[1]
Goodwill and Intangible Assets Disclosure [Line Items]
Goodwill	$ 71,815	$ 94,781
Reduction of goodwill related to FIDAC	$ (23,000)
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Schedule of Net Income (Loss) P

Schedule of Net Income (Loss) Per Share Reconciliation (Detail) - Entity [Domain] - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Net Income Per Common Share:
Net income (loss)	$ 900,071	$ (335,512)	$ 423,572	$ (538,863)
Less: Net income (loss) attributable to noncontrolling interest	(149)		(239)
Net income (loss) attributable to Annaly	900,220	(335,512)	423,811	(538,863)
Less: Preferred stock dividends	17,992	17,992	35,984	35,984
Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary	882,228	(353,504)	387,827	(574,847)
Add: Interest on Convertible Senior Notes, if dilutive	0	0	0	0
Net income (loss) available to common stockholders, as adjusted	$ 882,228	$ (353,504)	$ 387,827	$ (574,847)
Weighted average shares of common stock outstanding-basic	947,731,493	947,515,127	947,700,832	947,487,125
Add: Effect of stock awards and Convertible Senior Notes, if dilutive	198,269		178,126
Weighted average shares of common stock outstanding-diluted	947,929,762	947,515,127	947,878,958	947,487,125
Net income (loss) per share available (related) to common share:
Basic	$ 0.93	$ (0.37)	$ 0.41	$ (0.61)
Diluted	$ 0.93	$ (0.37)	$ 0.41	$ (0.61)

Net Income Per Common Share - N

Net Income Per Common Share - Narrative (Detail) - shares shares in Millions	6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014
Net Income Per Common Share:
Options to purchase common stock outstanding that would be considered anti-dilutive	2	2.4

Long-Term Stock Incentive Plans

Long-Term Stock Incentive Plans - Narrative (Detail) - USD ($)	6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014
Long-Term Stock Incentive Plans:
Weighted average remaining contractual term of stock options outstanding, years	2 years 7 months 6 days	3 years 7 months 6 days
Weighted average remaining contractual term of stock options exercisable, years	2 years 7 months 6 days	3 years 7 months 6 days
Unrecognized compensation cost	$ 0	$ 0
The Prior Plan | Minimum
Long-Term Stock Incentive Plans:
Long-term stock compensation - ceiling shares	500,000
Long-term stock compensation - granting of options authorized, percent of diluted outstanding common stock	9.50%
The Prior Plan | Maximum
Long-Term Stock Incentive Plans:
Long-term stock compensation - ceiling shares	8,932,921
Stock Options
Long-Term Stock Incentive Plans:
Long-term stock compensation - vesting period	4 years
Long-term stock compensation - vesting installments	4 years
Long-term stock compensation - minimum contractual term	5 years
Long-term stock compensation - maximum contractual term	10 years
Equity Incentive Plan 2010
Long-Term Stock Incentive Plans:
Long-term stock compensation - ceiling shares	25,000,000

Issued and Outstanding Stock Op

Issued and Outstanding Stock Options (Detail) - $ / shares	6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014
Long-Term Stock Incentive Plans:
Options outstanding at the beginning of period	2,259,335	3,581,752
Granted	0	0
Exercised	0	0
Forfeited	(259,799)	(863,167)
Expired	(6,250)	(305,750)
Options outstanding at the end of period	1,993,286	2,412,835
Options exercisable at the end of period	1,993,286	2,412,835
Options outstanding at the beginning of period, weighted average exercise price	$ 15.35	$ 15.44
Granted	0	0
Exercised	0	0
Forfeited	15.26	15.12
Expired	17.24	17.34
Options outstanding at the end of period, weighted average exercise price	15.36	15.31
Options exercisable at the end of period, exercise price	$ 15.36	$ 15.31

Income Taxes - Narrative (Detai

Income Taxes - Narrative (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Income Taxes:
REIT Taxable income distributed	100.00%
Income tax expense for income attributable to its TRSs.	$ (7,683)	$ (852)	$ (7,669)	$ 3,149
Years federal and state tax returns remain open for examination
TRSs
Income Taxes:
Income tax expense for income attributable to its TRSs.	$ (7,700)	$ 1,400	$ (7,700)	$ 5,400

Lease Commitments And Conting86

Lease Commitments And Contingencies - Narrative (Detail) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014
Lease Commitments and Contingencies:
Aggregate future net minimum lease payments	$ 37.3
Lease expense	$ 0.8	$ 0.7

Lease Commitments And Conting87

Lease Commitments And Contingencies (Detail) $ in Thousands	Jun. 30, 2015USD ($)
Lease Commitments and Contingencies:
Lease Commitment - 2015 remaining	$ 1,071
Lease Commitment - 2016	3,575
Lease Commitment - 2017	3,565
Lease Commitment - 2018	3,565
Lease Commitment - 2019	3,565
Lease Commitment - Later years	21,993
Aggregate future minimum lease payments	$ 37,334

RCap Regulatory Requirements -

RCap Regulatory Requirements - Narrative (Detail) $ in Millions	Jun. 30, 2015USD ($)
RCAP Regulatory Requirements:
Minimum net capital requirement	$ 0.3
Regulatory net capital	397.9
Regulatory net capital, excess net capital	$ 397.6

Related Party Transactions - Na

Related Party Transactions - Narrative (Detail) - USD ($) $ in Thousands, shares in Millions	Nov. 05, 2014	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014	Dec. 31, 2014		Aug. 31, 2014
Investments with affiliate, available-for-sale equity securities - fair value		$ 123,343		$ 123,343		$ 143,045	[1]
Receivable for advisory and service fees, from affiliates		$ 10,589		$ 10,589		$ 10,402	[1]
Amendment Agreement
Basis for management fee				Amount equal to 1/12th of 1.05% of stockholders' equity,
Management Agreement, term	2 years
Term of management agreement expiration date	Dec. 31, 2016
Renewal term	2 years
Management agreement, termination, description				At least two-thirds of the Company's independent directors or the holders of a majority of the Company's outstanding shares of common stock elect to terminate the agreement in their sole discretion and for any or no reason.
Amendment Agreement | Minimum
Management agreement, required period to terminate from the date of the notice	1 year
Chimera
Investments with affiliate, available-for-sale equity securities - shares		9		9		9
Investments with affiliate, available-for-sale equity securities - fair value		$ 123,300		$ 123,300		$ 143,000
Reverse stock split description				On April 6, 2015, Chimera executed a 1:5 reverse stock split.
Investments with affiliate, available-for-sale equity securities - unrealized gains				$ (15,500)		4,200
Advisory fees from affiliate		10,600	$ 6,100	$ 21,100	$ 12,200
Effective date				August 8, 2014
Management fee percentage								75.00%
Receivable for advisory and service fees, from affiliates		$ 10,600		$ 10,600		$ 10,400
Chimera | Maximum
Management fee percentage								120.00%
[1]	Derived from the audited consolidated financial statements at December 31, 2014.

Subsequent Events (Detail)

Subsequent Events (Detail) - Aug. 05, 2015 - Subsequent Event - USD ($) $ in Millions	Total
Subsequent Event [Line Items]
Share repurchase program expiration date	Dec. 31, 2016
Maximum
Subsequent Event [Line Items]
Number of shares to be repurchased	1,000,000,000
Chimera
Subsequent Event [Line Items]
Number of shares to be repurchased	9,000,000
Number of shares to be repurchased , value	$ 126.4
Share repurchase program expiration date	Aug. 17, 2015