Annaly Capital Management (NLY) 10-Q 5 May 16 2016 Q1 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2016	Apr. 30, 2016
Document Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Mar. 31, 2016
Document Fiscal Year Focus	2,016
Document Fiscal Period Focus	Q1
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		924,862,679

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015
ASSETS
Cash and cash equivalents (including cash pledged as collateral of $2,223,009 and $1,584,686, respectively)	[1]	$ 2,416,136	$ 1,769,258	[2]
Investments, at fair value:
Mortgage-backed securities, including pledged assets		67,255,533	67,233,494
Agency debentures (including pledged assets of $0 and $0, respectively)		157,035	152,038	[2]
Credit risk transfer securities (including pledged assets of $150,479 and $184,160, respectively)		501,167	456,510	[2]
Commercial real estate debt investments (including pledged assets of $4,401,725 and $2,911,828, respectively)	[3]	4,401,725	2,911,828	[2]
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $523,787 and $578,820, respectively)	[4]	1,177,468	1,348,817	[2]
Loans held for sale		278,600	278,600	[2]
Investments in commercial real estate		527,786	535,946	[2]
Corporate debt		639,481	488,508	[2]
Interest rate swaps, at fair value		93,312	19,642	[2]
Other derivatives, at fair value		77,449	22,066	[2]
Receivable for investments sold		2,220	121,625	[2]
Accrued interest and dividends receivable		232,180	231,336	[2]
Other assets		234,407	119,422	[2]
Goodwill		71,815	71,815	[2]
Intangible assets, net		35,853	38,536	[2]
Total assets		77,443,965	75,190,893	[2]
Liabilities:
Repurchase agreements		54,448,141	56,230,860	[2]
Other secured financing		3,588,326	1,845,048	[2]
Securitized debt of consolidated VIEs	[5]	3,802,682	2,540,711	[2]
Participation sold		13,182	13,286	[2]
Mortgages payable		334,765	334,707	[2]
Interest rate swaps, at fair value		2,782,961	1,677,571	[2]
Other derivatives, at fair value		69,171	49,963	[2]
Dividends payable		277,456	280,779	[2]
Payable for investments purchased		250,612	107,115	[2]
Accrued interest payable		163,983	151,843	[2]
Accounts payable and other liabilities		54,679	53,088	[2]
Total liabilities		65,785,958	63,284,971	[2]
Stockholders' Equity:
Common stock, par value $0.01 per share, 1,956,937,500 authorized, 924,853,133 and 935,929,561 issued and outstanding, respectively		9,249	9,359	[2]
Additional paid-in capital		14,573,760	14,675,768	[2]
Accumulated other comprehensive income (loss)		640,366	(377,596)	[2]
Accumulated deficit		(4,487,982)	(3,324,616)	[2]
Total stockholders' equity		11,648,452	11,895,974	[2]
Noncontrolling interest		9,555	9,948	[2]
Total equity		11,658,007	11,905,922	[2]
Total liabilities and equity		77,443,965	75,190,893	[2]
Agency Mortgage Backed Securities
Investments, at fair value:
Mortgage-backed securities, including pledged assets		65,439,824	65,718,224	[2]
Liabilities:
Repurchase agreements		53,523,183	55,472,998
Non-Agency mortgage-backed securities [Member]
Investments, at fair value:
Mortgage-backed securities, including pledged assets		1,157,507	906,722	[2]
7.875% Series A Cumulative Redeemable Preferred Stock
Stockholders' Equity:
Cumulative Redeemable Preferred Stock		177,088	177,088	[2]
Total equity		177,088	177,088
7.625% Series C Cumulative Redeemable Preferred Stock
Stockholders' Equity:
Cumulative Redeemable Preferred Stock		290,514	290,514	[2]
Total equity		290,514	290,514
7.50% Series D Cumulative Redeemable Preferred Stock
Stockholders' Equity:
Cumulative Redeemable Preferred Stock		445,457	445,457	[2]
Total equity		$ 445,457	$ 445,457
[1]	Includes cash of consolidated VIEs of $50.7 million and $48.5 million at March 31, 2016 and December 31, 2015, respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2015.
[3]	Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $4.0 billion and $2.6 billion at March 31, 2016 and December 31, 2015, respectively.
[4]	Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $211.9 million and $262.7 million carried at amortized cost, net of an allowance for losses of $0, at March 31, 2016 and December 31, 2015, respectively.
[5]	Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at March 31, 2016 and December 31, 2015, respectively.

CONSOLIDATED STATEMENTS OF FIN3

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015	[1]
Cash pledged as collateral		$ 2,223,009	$ 1,584,686
Agency debentures, pledged assets		0	0
Credit risk transfer securities, pledged assets		150,479	184,160
Commercial real estate debt investments, pledged assets		4,401,725	2,911,828
Commercial real estate debt and preferred equity, held for investment, pledged assets	[2]	$ 523,787	$ 578,820
Common Stock, par value		$ 0.01	$ 0.01
Common Stock, shares authorized		1,956,937,500	1,956,937,500
Common Stock, shares issued		924,853,133	935,929,561
Common Stock, shares outstanding		924,853,133	935,929,561
Senior Secured mortgages of Consolidated VIE, carrying value		$ 211,900	$ 262,700
Cash of Consolidated VIE	[3]	2,416,136	1,769,258
Commercial real estate debt and preferred equity, held for investment, allowance for losses		0	0
Securitized debt of a consolidated VIE		3,677,079	2,366,878
FREMF Trust
Cash of Consolidated VIE		50,700	48,500
Non-Agency mortgage-backed securities [Member]
Mortgage-backed securities, pledged assets		$ 1,057,282	$ 744,783
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
Agency Mortgage Backed Securities
Mortgage-backed securities, pledged assets		$ 60,742,440	$ 60,678,548
[1]	Derived from the audited consolidated financial statements at December 31, 2015.
[2]	Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $211.9 million and $262.7 million carried at amortized cost, net of an allowance for losses of $0, at March 31, 2016 and December 31, 2015, respectively.
[3]	Includes cash of consolidated VIEs of $50.7 million and $48.5 million at March 31, 2016 and December 31, 2015, respectively.

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015
Net interest income:
Interest income		$ 388,143	$ 519,114
Interest expense		147,447	129,420
Net interest income		240,696	389,694
Realized and unrealized gains (losses):
Realized gains (losses) on interest rate swaps	[1],[2]	(147,475)	(158,239)
Realized gains (losses) on termination of interest rate swaps			(226,462)
Unrealized gains (losses) on interest rate swaps		(1,031,720)	(466,202)
Subtotal		(1,179,195)	(850,903)
Net gains (losses) on disposal of investments		(1,675)	62,356
Net gains (losses) on trading assets		125,189	(6,906)
Net unrealized gains (losses) on financial instruments measured at fair value through earnings		128	(33,546)
Subtotal		123,642	21,904
Total realized and unrealized gains (losses)		(1,055,553)	(828,999)
Other income (loss):
Investment advisory income			10,464
Dividend income from affiliate			4,318
Other income (loss)		(6,115)	(1,024)
Total other income (loss)		(6,115)	13,758
General and administrative expenses:
Compensation and management fee		36,997	38,629
Other general and administrative expenses		10,948	12,309
Total general and administrative expenses		47,945	50,938
Income (loss) before income taxes		(868,917)	(476,485)
Income taxes		(837)	14
Net income (loss)		(868,080)	(476,499)
Net income (loss) attributable to noncontrolling interest		(162)	(90)
Net income (loss) attributable to Annaly		(867,918)	(476,409)
Dividends on preferred stock		17,992	17,992
Net income (loss) available (related) to common stockholders		$ (885,910)	$ (494,401)
Net income (loss) per share available (related) to common stockholders:
Basic		$ (0.96)	$ (0.52)
Diluted		$ (0.96)	$ (0.52)
Weighted average number of common shares outstanding:
Basic		926,813,588	947,669,831
Diluted		926,813,588	947,669,831
Dividends Declared Per Share of Common Stock		$ 0.30	$ 0.30
Net income (loss)		$ (868,080)	$ (476,499)
Other comprehensive income (loss):
Unrealized gains (losses) on available-for-sale securities		1,017,707	631,472
Reclassification adjustment for net (gains) losses included in net income (loss)		255	(62,356)
Other comprehensive income (loss)		1,017,962	569,116
Comprehensive income (loss)		149,882	92,617
Comprehensive income (loss) attributable to noncontrolling interest		(162)	(90)
Comprehensive income (loss) attributable to Annaly		150,044	92,707
Dividends on preferred stock		17,992	17,992
Comprehensive income (loss) attributable to common stockholders		$ 132,052	$ 74,715
[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
Beginning balance at Dec. 31, 2014	$ 13,333,781		$ 177,088	$ 290,514	$ 445,457	$ 9,476	$ 14,786,509	$ 204,883	$ (2,585,436)				$ 13,328,491				$ 5,290
Net income (loss)	(476,409)								(476,409)				(476,409)
Net income (loss) attributable to noncontrolling interest	(90)																(90)
Unrealized gains (losses) on available-for-sale securities	631,472							631,472					631,472
Reclassification adjustment for net (gains) losses included in net income (loss)	(62,356)							(62,356)					(62,356)
Stock compensation expense	39						39						39
Net proceeds from direct purchase and dividend reinvestment	570					1	569						570
Equity contributions from (distributions to) noncontrolling interest	(115)																(115)
Common dividends declared, $0.30 per share in 2015 and $0.30 per share in 2016	(284,310)								(284,310)				(284,310)
Ending balance at Mar. 31, 2015	13,124,590		177,088	290,514	445,457	9,477	14,787,117	773,999	(3,364,147)				13,119,505				5,085
Preferred dividends declared			(3,648)	(5,719)	(8,625)					$ (3,648)	$ (5,719)	$ (8,625)		$ (3,648)	$ (5,719)	$ (8,625)
Beginning balance at Dec. 31, 2015	11,905,922	[1]	177,088	290,514	445,457	9,359	14,675,768	(377,596)	(3,324,616)				11,895,974				9,948
Net income (loss)	(867,918)								(867,918)				(867,918)
Net income (loss) attributable to noncontrolling interest	(162)																(162)
Unrealized gains (losses) on available-for-sale securities	1,017,707							1,017,707					1,017,707
Reclassification adjustment for net (gains) losses included in net income (loss)	255							255					255
Stock compensation expense	69						69						69
Net proceeds from direct purchase and dividend reinvestment	524					1	523						524
Buyback of common stock	(102,711)					(111)	(102,600)						(102,711)
Equity contributions from (distributions to) noncontrolling interest	(231)																(231)
Common dividends declared, $0.30 per share in 2015 and $0.30 per share in 2016	(277,456)								(277,456)				(277,456)
Ending balance at Mar. 31, 2016	$ 11,658,007		177,088	290,514	445,457	$ 9,249	$ 14,573,760	$ 640,366	$ (4,487,982)				$ 11,648,452				$ 9,555
Preferred dividends declared			$ (3,648)	$ (5,719)	$ (8,625)					$ (3,648)	$ (5,719)	$ (8,625)		$ (3,648)	$ (5,719)	$ (8,625)
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

CONSOLIDATED STATEMENTS OF STO6

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Dividends Declared Per Share of Common Stock	$ 0.30	$ 0.30
7.875% Series A Cumulative Redeemable Preferred Stock
Preferred series dividends declared, per share	0.492	0.492
7.625% Series C Cumulative Redeemable Preferred Stock
Preferred series dividends declared, per share	0.477	0.477
7.50% Series D Cumulative Redeemable Preferred Stock
Preferred series dividends declared, per share	$ 0.469	$ 0.469

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS $ in Thousands	3 Months Ended
	Mar. 31, 2016USD ($)		Mar. 31, 2015USD ($)
Cash flows from operating activities:
Net income (loss)	$ (868,080)		$ (476,499)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Amortization of Residential Investment Securities premiums and discounts, net	355,671		284,777
Amortization of commercial real estate investment premiums and discounts, net	(247)		(160)
Amortization of intangibles	2,429		1,195
Amortization of deferred financing costs	520		2,914
Amortization of net origination fees and costs, net	(1,737)		(1,190)
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes			11,758
Depreciation expense	4,570		2,823
Net (gains) losses on sales of Residential Investment Securities	1,675		(62,356)
Stock compensation expense	69		39
Unrealized (gains) losses on interest rate swaps	1,031,720		466,202
Net unrealized (gains) losses on financial instruments measured at fair value through earnings	(128)		33,546
Equity in net income from unconsolidated joint ventures	3,147
Net (gains) losses on trading assets	(125,189)		6,906
Proceeds from repurchase agreements of RCap	466,225,000		386,000,000
Payments on repurchase agreements of RCap	(466,825,000)		(391,250,000)
Proceeds from reverse repurchase agreements	14,550,000		15,325,000
Payments on reverse repurchase agreements	(14,550,000)		(15,325,000)
Net payments on derivatives	91,358		(66,604)
Due to / from brokers	(5)
Other assets	(66,389)		(2,627)
Accrued interest and dividends receivable	(1,547)		28,886
Receivable for investment advisory income			134
Accrued interest payable	12,140		(25,425)
Accounts payable and other liabilities	26,530		3,709
Net cash provided by (used in) operating activities	(133,493)		(5,041,972)
Cash flows from investing activities:
Payments on purchases of Residential Investment Securities	(4,644,731)		(5,065,764)
Proceeds from sales of Residential Investment Securities	3,596,677		13,973,224
Principal payments on Agency mortgage-backed securities	1,946,498		2,596,964
Payments on purchases of corporate debt	(181,079)		(63,015)
Principal payments on corporate debt	30,578		1,733
Purchases of commercial real estate debt investments	(76,862)		(185,925)
Sales of commercial real estate debt investments			41,016
Purchase of securitized loans at fair value	(1,489,268)		(1,370,011)
Origination of commercial real estate investments, net	(179,099)		(61,502)
Principal payments on commercial real estate debt investments	1,374
Principal payments on securitized loans at fair value	52,287
Principal payments on commercial real estate investments	351,930		82,408
Purchase of investments in real estate	(610)
Distributions in excess of cumulative earnings from unconsolidated joint ventures	1,053
Purchase of equity securities	(88,062)		(3,602)
Proceeds from sales of equity securities	16,112
Net cash provided by (used in) investing activities	(663,202)		9,945,526
Cash flows from financing activities:
Proceeds from repurchase agreements	43,970,988		57,776,249
Principal payments on repurchase agreements	(45,153,707)		(63,410,797)
Payments on maturity of convertible senior notes			(107,541)
Proceeds from other secured financing	2,146,084		90,000
Payments on other secured financing	(402,806)
Proceeds from issuance of securitized debt	1,381,640		1,267,914
Principal repayments on securitized debt	(96,861)		(37,680)
Payment of deferred financing cost	(400)		(641)
Net proceeds from direct purchases and dividend reinvestments	524		569
Principal payments on participation sold	(77)		(76)
Principal payments on mortgages payable	(99)		(69)
Distributions to noncontrolling interests	(230)		(115)
Net payment on share repurchase	(102,712)
Dividends paid	(298,771)		(302,285)
Net cash provided by (used in) financing activities	1,443,573		(4,724,472)
Net (decrease) increase in cash and cash equivalents	646,878		179,082
Cash and cash equivalents, beginning of period	1,769,258	[1],[2]	1,920,326
Cash and cash equivalents, end of period	2,416,136	[2]	2,099,408
Supplemental disclosure of cash flow information:
Interest received	726,930		815,765
Dividends received			4,048
Investment advisory income received			10,992
Interest paid (excluding interest paid on interest rate swaps)	127,449		124,673
Net interest paid on interest rate swaps	152,458		176,395
Taxes paid	244		643
Noncash investing activities:
Receivable for investments sold	2,220		2,009,937
Payable for investments purchased	250,612		5,205
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment	1,017,962		569,116
Dividends declared, not yet paid	$ 277,456		$ 284,310
[1]	Derived from the audited consolidated financial statements at December 31, 2015.
[2]	Includes cash of consolidated VIEs of $50.7 million and $48.5 million at March 31, 2016 and December 31, 2015, respectively.

DESCRIPTION OF BUSINESS

DESCRIPTION OF BUSINESS	3 Months Ended
	Mar. 31, 2016
DESCRIPTION OF BUSINESS	1. 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, credit risk transfer (“CRT”) securities, other securities representing interests in or obligations backed by pools of mortgage loans, commercial real estate assets and corporate debt. The Company’s principal business objectives are to generate net income for distribution to its stockholders from its investments and capital preservation. 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 Agency mortgage-backed securities and related derivatives to hedge these investments. Its portfolio also includes residential credit investments such as CRT and non-Agency mortgage-backed securities. · Annaly Commercial Real Estate Group, Inc. (“ACREG,” formerly known as CreXus Investment Corp.), a wholly-owned subsidiary that was acquired during the second quarter of 2013 which specializes in acquiring, financing and managing commercial real estate loans and other commercial real estate debt, commercial mortgage-backed securities and other commercial real estate-related assets. · Annaly Middle Market Lending LLC (“MML,” formerly known as Charlesfort Capital Management LLC), a wholly-owned subsidiary which engages in corporate middle market lending transactions. · RCap Securities, Inc. (“RCap”), a wholly-owned subsidiary, which operates as a broker-dealer and is a member of the Financial Industry Regulatory Authority (“FINRA”). The Company has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”).

BASIS OF PRESENTATION

BASIS OF PRESENTATION	3 Months Ended
	Mar. 31, 2016
BASIS OF PRESENTATION	2. 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, 2015 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	3 Months Ended
	Mar. 31, 2016
SIGNIFICANT ACCOUNTING POLICIES	3. 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, Non-Agency Mortgage-Backed Securities and CRT Securities Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Investment Securities.” Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). The fair value of Residential Investment Securities classified as available-for-sale is estimated by management and is compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. The Company previously changed its accounting policy for determining the realized gains and losses on sales of Residential 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 interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain CRT securities. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific mortgage-backed securities. Interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain 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 Residential Investment Securities and their contractual terms. In addition, the Company recognizes income under the retrospective method on a substantial portion of its Residential Investment Securities classified as available-for-sale. Premiums and discounts associated with the purchase of Residential Investment Securities are amortized or accreted into income over the remaining projected lives of the securities. Using a third-party supplied model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the investment is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amoritization recognized in any given period. 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 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. An impairment of the goodwill associated with the Company’s acquisition of Fixed Income Discount Advisory Company (“FIDAC”) was recorded during the year ended December 31, 2015. Intangible assets with an estimated useful life are amortized over their expected useful lives. Convertible Senior Notes – Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively. Stock Based Compensation Income Taxes The provisions of ASC 740, Income Taxes Use of Estimates Commercial Real Estate Investments Commercial Real Estate Debt Investments - comprised of commercial mortgage-backed securities and loans held by consolidated collateralized financing entities. Commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). Commercial Real Estate Loans 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 30 - 40 years Site improvements 1 - 28 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 applies the equity method of accounting for its investments in joint ventures where it is not considered to have a controlling financial interest. Under the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. 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, that do not meet the criteria to be classified as held for sale are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded. The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property. Revenue Recognition – Commercial Real Estate Investments - Corporate Debt Corporate Loans – Corporate Debt Securities Other-Than-Temporary Impairment 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 credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics 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 and those affecting the property specifically, and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. In connection with the quarterly surveillance review process, loans are assigned an internal risk rating. Effective December 31, 2015, the loan risk ratings were enhanced and considered guidance provided by the Office of the Controller of the Currency for commercial real estate lending. The initial internal risk ratings (“Initial Ratings”) are based on loan-to-values and the NOI debt yields of the underlying collateral of the Company’s CRE Debt and Preferred Equity Investments and based upon leverage and cash flow coverages of the borrowers’ debt and operating obligations. The final internal risk ratings are influenced by other quantitative and qualitative factors that can result in an adjustment to the Initial Ratings, subject to review and approval by the respective committee. The internal risk rating categories include “Performing”, “Closely Monitored”, “Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Closely Monitored loans are transitional or could be exhibiting some weakness in both leverage and liquidity, which if not corrected, could jeopardize timely repayment. Special Mention loans exhibit potential weakness that deserves management’s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation. No allowance for loan losses was deemed necessary as of March 31, 2016 and December 31, 2015. 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 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 2016-02 Leases (Topic 842) The amendments require lessees to recognize a right-of-use asset and a liability to make lease payments in the statement of financial position for most leases. The accounting for lessors is largely unchanged. January 1, 2019 (early adoption permitted) Not expected to have a significant impact on the consolidated financial statements. ASU 2016-01 Financial Instruments - Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Financial Liabilities The amendments address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. January 1, 2018 (early adoption permitted for a provision related presentation of instrument-specific credit risk of liabilities accounted for under the fair value option) Expected to impact disclosures only and not have a significant impact on the consolidated finanical statements. ASU 2014-15, Presentation of Financial Statements – Going Concern (Subtopic 205-04) Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern This ASU requires management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company’s ability to continue as a going concern within one year after the date the financial statements are issued. January 1, 2017 (early adoption permitted) Not expected to have an impact on the consolidated financial statements. ASU 2014-09 , Revenue from Contracts with Customers This guidance applies to contracts with customers to transfer goods or services and contracts to transfer nonfinancial assets unless those contracts are within the scope of other standards (for example, lease transactions). January 1, 2018 Not expected to have a significant impact on the consolidated financial statements. Standard Description Date of Adoption Effect on the financial statements or other significant matters Standards that were adopted ASU 2015-16 Business Combinations (Topic 805) Simplifying the Accounting Measurement-Period Adjustments This amendment removed the requirement to present adjustments to provisional amounts retrospectively. The update required that an acquirer record, in the same period's financial statements, the effect on earnings of changes in depreciation, amortization, or other income effects, if any, as a result of the change to provisional amounts. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2015-15, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements - Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015 EITF Meeting (SEC Update) This amendment provided SEC guidance that it would not object to filers presenting debt issue costs related to line-of-credit arrangements as an asset and ratably amortizing the costs over the term of the arrangement. June 18, 2015 (early adoption permitted) Did not have an impact on the consolidated financial statements. ASU 2015-10 , Technical Corrections and Improvements This perpetual project updated the codification for technical corrections and improvements. January 1, 2016 (early adoption permitted), for amendments subject to transition guidance Did not have a significant impact on the consolidated financial statements. ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) This update removed the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and also removes certain disclosure requirements for these investments. January 1, 2016 (early adoption permitted) Did not have an impact on the consolidated financial statements. ASU 2015-05, Customer's Accounting for Fees Paid in a Cloud Computing Arrangement This update clarified that customers should determine whether a cloud computing arrangement includes the license of software by applying the same guidance cloud service providers use. The guidance also eliminated the current requirement that customers analogize to the leasing standard when determining the asset acquired in a software licensing arrangement. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2015-03, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation of Debt Issuance Costs This ASU required that debt issue costs are presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The recognition and measurement of debt issue costs were not affected. January 1, 2016 (early adoption permitted) Impacted presentation only and did not have a significant impact on the consolidated financial statements. ASU 2015-02, Consolidation (Topic 810) Amendments to the Consolidation Analysis This update affected the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2015-01, Income Statement - Extraordinary and Unusual Items (Subtopic 225-20 This update eliminated from GAAP the concept of extraordinary items. January 1, 2016 (early adoption permitted) Did not have an impact on the consolidated financial statements. ASU 2014-16, Derivatives and Hedging (Topic 815) Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or Equity This ASU provided additional guidance for evaluating whether conversion rights, redemption rights, voting rights, liquidation rights and dividend payment preferences and other features embedded in a share, including preferred stock, contain embedded derivatives requiring bifurcation. The update requires that an entity determine the nature of the host contract by considering all stated and implied terms and features in a hybrid instrument. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity This update provided a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis. January 1, 2016 (early adoption permitted) The Company adopted this ASU and applied the guidance to commercial mortgage backed securitization transactions. See "Commercial Real Estate Investments" footnote for further disclosure. ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure This update made limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. January 1, 2015 Impacted disclosures only and did not have a significant impact on the consolidated financial statements. ASU 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant and Equipment (Topic 360) Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity This ASU raised the threshold for a disposal to be treated as discontinued operations. April 1, 2015 Did not have a significant impact on the consolidated financial statements. ASU 2014-04 Receivables–Troubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure This update clarified that an in-substance repossession or foreclosure has occurred, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, when the creditor obtains legal title to the property upon completion of a foreclosure or the borrower conveys all interest in the property to the creditor through a deed in lieu of foreclosure or similar arrangement. January 1, 2015 Did not have a significant impact on the consolidated financial statements.

RESIDENTIAL INVESTMENT SECURITI

RESIDENTIAL INVESTMENT SECURITIES	3 Months Ended
	Mar. 31, 2016
RESIDENTIAL INVESTMENT SECURITIES	4. RESIDENTIAL INVESTMENT SECURITIES The following tables present the Company’s Residential Investment Securities portfolio carried at fair value as of March 31, 2016 and December 31, 2015: March 31, 2016 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains (1) Unrealized Losses (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 56,120,429 $ 3,093,155 $ (2,392 ) $ 59,211,192 $ 765,776 $ (204,912 ) $ 59,772,056 Adjustable-rate pass-through 3,064,341 68,241 (6,974 ) 3,125,608 70,485 (220 ) 3,195,873 CMO 922,196 24,962 (387 ) 946,771 16,943 (4,417 ) 959,297 Debentures 158,803 - (638 ) 158,165 - (1,130 ) 157,035 Interest-only 9,362,596 1,614,332 - 1,614,332 33,802 (135,536 ) 1,512,598 Total Agency investments $ 69,628,365 $ 4,800,690 $ (10,391 ) $ 65,056,068 $ 887,006 $ (346,215 ) $ 65,596,859 Residential Credit CRT $ 517,207 $ 1,586 $ (14,763 ) $ 504,030 $ 3,138 $ (6,001 ) $ 501,167 Legacy (2) 484,784 879 (52,182 ) 433,481 1,251 (4,306 ) 430,426 NPL/RPL 428,656 50 (1,579 ) 427,127 153 (941 ) 426,339 New issue 280,060 1,233 (1,446 ) 279,847 3,713 - 283,560 New issue interest-only 1,114,234 17,823 - 17,823 324 (965 ) 17,182 Total residential credit securities $ 2,824,941 $ 21,571 $ (69,970 ) $ 1,662,308 $ 8,579 $ (12,213 ) $ 1,658,674 Total Residential Investment Securities $ 72,453,306 $ 4,822,261 $ (80,361 ) $ 66,718,376 $ 895,585 $ (358,428 ) $ 67,255,533 December 31, 2015 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains (1) Unrealized Losses (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 57,339,705 $ 3,270,521 $ (2,832 ) $ 60,607,394 $ 400,350 $ (824,862 ) $ 60,182,882 Adjustable-rate pass-through 2,894,192 61,781 (6,427 ) 2,949,546 70,849 (10,317 ) 3,010,078 CMO 964,095 27,269 (477 ) 990,887 9,137 (12,945 ) 987,079 Debentures 158,802 - (648 ) 158,154 - (6,116 ) 152,038 Interest-only 9,499,332 1,634,312 - 1,634,312 18,699 (114,826 ) 1,538,185 Total Agency investments $ 70,856,126 $ 4,993,883 $ (10,384 ) $ 66,340,293 $ 499,035 $ (969,066 ) $ 65,870,262 Residential Credit CRT $ 476,084 $ 2,225 $ (12,840 ) $ 465,469 $ 250 $ (9,209 ) $ 456,510 Legacy (2) 378,527 773 (37,150 ) 342,150 698 (1,140 ) 341,708 NPL/RPL 354,945 19 (1,270 ) 353,694 19 (1,172 ) 352,541 New issue 197,695 566 - 198,261 - (1,060 ) 197,201 New issue interest-only 811,245 15,430 - 15,430 - (158 ) 15,272 Total residential credit securities $ 2,218,496 $ 19,013 $ (51,260 ) $ 1,375,004 $ 967 $ (12,739 ) $ 1,363,232 Total Residential Investment Securities $ 73,074,622 $ 5,012,896 $ (61,644 ) $ 67,715,297 $ 500,002 $ (981,805 ) $ 67,233,494 (1) Unrealized gains and losses on Agency investments, excluding interest-only investments, are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit securities and Agency interest-only investments are generally reported in Net unrealized gains (losses) on financial instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). (2) Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009. The following tables present the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of March 31, 2016 and December 31, 2015: Investment Type March 31, 2016 December 31, 2015 (dollars in thousands) Fannie Mae $ 41,990,479 $ 42,647,075 Freddie Mac 23,341,571 22,960,595 Ginnie Mae 107,774 110,554 Total $ 65,439,824 $ 65,718,224 Actual maturities of the Company’s Residential Investment Securities portfolio are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on underlying mortgages. The following table summarizes the Company’s available-for-sale Residential Investment Securities as of March 31, 2016 and December 31, 2015 March 31, 2016 December 31, 2015 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 72,348 $ 73,220 $ 37,862 $ 37,850 Greater than one year through five years 46,745,799 46,268,066 20,278,111 20,066,435 Greater than five years through ten years 20,238,032 20,176,740 46,473,701 47,174,319 Greater than ten years 199,354 200,350 443,820 436,693 Total $ 67,255,533 $ 66,718,376 $ 67,233,494 $ 67,715,297 The weighted average lives of the Agency mortgage-backed securities at and December 31, 2015 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Agency mortgage-backed securities could be materially 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 and December 31, 2015. March 31, 2016 December 31, 2015 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 Months $ 2,633,437 $ (7,176 ) 67 $ 20,072,072 $ (164,259 ) 463 12 Months or More 20,732,579 (203,503 ) 188 21,705,764 (689,981 ) 189 Total $ 23,366,016 $ (210,679 ) 255 $ 41,777,836 $ (854,240 ) 652 (1) Excludes interest-only mortgage-backed securities. 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 government agency. During the quarter ended , the Company disposed of $3.5 billion of , resulting in a net realized loss of ($1.7) million. During the quarter ended , the Company disposed of $14.9 billion of Residential Investment Securities, resulting in a net realized gain of $62.3 million.

COMMERCIAL REAL ESTATE INVESTME

COMMERCIAL REAL ESTATE INVESTMENTS	3 Months Ended
	Mar. 31, 2016
COMMERCIAL REAL ESTATE INVESTMENTS	5. COMMERCIAL REAL ESTATE INVESTMENTS On December 11, 2015, the Company originated a $335.0 million recapitalization financing with respect to eight class A/B office properties in Orange County, California. As of March 31, 2016, such financing is comprised of a $280.0 million senior mortgage loan ($278.6 million, net of origination fees), and mezzanine loan with an initial principal balance of $55.0 million ($52.7 million, net of origination) and a future funding component of $30.0 million. The senior mortgage loan was held for sale as of March 31, 2016 The following tables present commercial real estate investments held for investment at March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) (dollars in thousands) Senior mortgages $ 477,302 $ 474,559 40.3 % $ 387,314 $ 385,838 28.6 % Senior securitized mortgages (3) 212,072 211,855 17.9 % 263,072 262,703 19.4 % Mezzanine loans 486,081 482,101 41.0 % 582,592 578,503 43.0 % Preferred equity 9,000 8,953 0.8 % 122,444 121,773 9.0 % Total (4) $ 1,184,455 $ 1,177,468 100.0 % $ 1,355,422 $ 1,348,817 100.0 % (1) Carrying value includes unamortized origination fees of $7.1 million and $6.9 million as of March 31, 2016 and December 31, 2015, respectively. (2) Based on outstanding principal. (3) Assets of consolidated VIEs. (4) Excludes Loans held for sale. March 31, 2016 Senior Mortgages Senior Securitized Mortgages (1) Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 385,838 $ 262,703 $ 578,503 $ 121,773 $ 1,348,817 Originations & advances (principal) 155,065 - 25,897 - 180,962 Principal payments (65,077 ) (51,000 ) (122,408 ) (113,445 ) (351,930 ) Sales (principal) - - - - - Amortization & accretion of (premium) discounts (34 ) - (221 ) - (255 ) Net (increase) decrease in origination fees (1,578 ) - (285 ) - (1,863 ) Amortization of net origination fees 345 152 615 625 1,737 Transfers - - - - - Allowance for loan losses - - - - - Net carrying value (2) $ 474,559 $ 211,855 $ 482,101 $ 8,953 $ 1,177,468 (1) Assets of consolidated VIE. (2) Excludes Loans held for sale. December 31, 2015 Senior Mortgages Senior Securitized Mortgages(1) Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 383,895 $ 398,634 $ 522,731 $ 212,905 $ 1,518,165 Originations & advances (principal) 293,925 - 195,312 - 489,237 Principal payments (243,270 ) (136,469 ) (153,693 ) (92,210 ) (625,642 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (142 ) - (232 ) 517 143 Net (increase) decrease in origination fees (3,702 ) (279 ) (4,806 ) - (8,787 ) Amortization of net origination fees 2,077 817 691 561 4,146 Transfers - - 18,500 - 18,500 Allowance for loan losses - - - - - Net carrying value (2) $ 385,838 $ 262,703 $ 578,503 $ 121,773 $ 1,348,817 (1) Assets of consolidated VIE. (2) Excludes Loans held for sale. Internal CRE Debt and Preferred Equity Investment Ratings March 31, 2016 Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Outstanding Principal (1) Performing Closely-Monitored Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 477,302 40.3 % $ 91,321 $ 243,681 $ 142,300 $ - $ - $ - $ 477,302 Senior securitized mortgages (2) 212,072 17.9 % 55,770 15,500 140,802 - - - 212,072 Mezzanine loans 486,081 41.0 % 295,950 160,814 29,317 - - - 486,081 Preferred equity 9,000 0.8 % - - 9,000 - - - 9,000 $ 1,184,455 100.0 % $ 443,041 $ 419,995 $ 321,419 $ - $ - $ - $ 1,184,455 (1) Excludes Loans held for sale. (2) Assets of consolidated VIE. December 31, 2015 Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Outstanding Principal (1) Performing Closely-Monitored Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 387,314 28.6 % $ 71,000 $ 283,148 $ 33,166 $ - $ - $ - $ 387,314 Senior securitized mortgages (2) 263,072 19.4 % 106,770 15,500 140,802 - - - 263,072 Mezzanine loans 582,592 43.0 % 342,493 219,969 20,130 - - - 582,592 Preferred equity 122,444 9.0 % - 81,944 40,500 - - - 122,444 $ 1,355,422 100.0 % $ 520,263 $ 600,561 $ 234,598 $ - $ - $ - $ 1,355,422 (1) Excludes Loans held for sale. (2) Assets of consolidated VIE. Real Estate Investments Date of Acquisition Type Location Purchase Price Remaining Lease Term (Years) (1) (dollars in thousands) July 2015 Multi Tenant Retail Ohio $ 11,000 4.6 August 2015 Multi Tenant Retail Florida $ 18,900 5.1 October 2015 Multifamily Property Washington, DC $ 75,000 0.3 October 2015 Multi Tenant Retail California $ 37,750 3.0 November 2015 Multi Tenant Retail Texas $ 131,950 4.3 March 31, 2016 December 31, 2015 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 113,494 $ 113,494 Buildings and improvements 374,213 373,603 Subtotal 487,707 487,097 Less: accumulated depreciation (21,456 ) (16,886 ) Total real estate held for investment, at amortized cost, net 466,251 470,211 Equity in unconsolidated joint ventures 61,535 65,735 Investments in commercial real estate, net $ 527,786 $ 535,946 Depreciation expense was $4.6 million and $2.8 million for the quarters ended March 31, 2016 and 2015, respectively and is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). Rental Income The minimum rental amounts due under leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse us for certain operating costs. Approximate future minimum rents payments under non-cancelable operating leases in effect at March 31, 2016 for consolidated investments in real estate are as follows: March 31, 2016 (dollars in thousands) 2016 (remaining) $ 26,105 2017 30,305 2018 26,238 2019 22,157 2020 17,848 Later years 53,326 $ 175,979 Mortgage loans payable as of March 31, 2016 March 31, 2016 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 292,821 $ 296,325 2.30% to 4.61% Floating (1) 2016 and 2025 First liens Tennessee 12,236 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,012 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,271 16,227 3.50 % Fixed 1/1/2017 First liens Nevada 2,425 2,419 3.45 % Floating (2) 3/29/2017 First liens $ 334,765 $ 338,346 (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 4.31%, receive floating rate of L+215). (2) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). December 31, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 292,658 $ 296,325 2.30% to 4.61% Floating (1) 2016 and 2025 First liens Tennessee 12,228 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,012 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,365 16,308 3.50 % Fixed 1/1/2017 First liens Nevada 2,444 2,436 3.45 % Floating (2) 3/29/2017 First liens $ 334,707 $ 338,444 (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 4.31%, receive floating rate of L+215). (2) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). Mortgage Loan Principal Payments (dollars in thousands) 2016 (remaining) $ 7,502 2017 18,344 2018 - 2019 23,375 2020 - Later years 289,125 $ 338,346 VIEs Securitization 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 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 Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition. As of March 31, 2016 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 $1.3 billion and $1.2 billion, respectively, at March 31, 2016. 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 $1.1 billion and $1.0 billion, respectively, at March 31, 2016. In February 2016, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREM Mortgage Trust 2016-KLH1 ("FREM 2016-KLH1") for $107.6 million, net of a $4.4 million discount to face value of $112.0 million. The underlying portfolio is a pool of 28 floating rate multifamily mortgage loans with a cut-off principal balance of $1.5 billion. The Company was required to consolidate the FREM 2016-KLH1 Trust's assets and liabilities of $1.5 billion and $1.4 billion, respectively, at March 31, 2016. FREMF 2015-KLSF, FREMF 2015-KF07 and FREM 2016-KLH1 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 is generally limited to the Company's investment in the FREMF Trusts of $291.0 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 $0.2 million and $0.8 million of related costs were expensed during the quarter ended March 31, 2016 and the year ended December 31, 2015, respectively. The FREMF Trusts' assets are included in Commercial real estate debt investments and the FREMF Trusts' liabilities are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition. 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 accurately 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 adopted ASU 2014-13 and applied the practical expedient fair value measurement 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 is more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily mortgage-backed securities, while the fair value of 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 is 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 Trusts that is reflected in the Company's Consolidated Statements of Financial Condition at March 31, 2016 is as March 31, 2016 (dollars in thousands) Assets Senior securitized commercial mortgages carried at fair value $ 3,968,118 Accrued interest receivable 8,351 Total assets $ 3,976,469 Liabilities Securitized debt (non-recourse) at fair value $ 3,677,079 Accrued interest payable 4,311 Total liabilities $ 3,681,390 The FREMF Trusts mortgage loans had an unpaid principal balance of $4.0 billion at March 31, 2016. As of March 31, 2016 The statement of comprehensive income (loss) of the FREMF Trusts that is reflected in the Company's Consolidated Statements of Comprehensive Income (Loss) for the quarter ended March 31, 2016 is as For the Quarter Ended March 31, 2016 (dollars in thousands) Net interest income: Interest income $ 21,030 Interest expense 7,876 Net interest income 13,154 Other income (loss): Unrealized gain (loss) on financial instruments at fair value (1) 147 Guarantee fees and servicing costs (5,297 ) Other income (loss) (5,150 ) General and administration expenses 2 Net income $ 8,002 (1) Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings. The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF Trusts as of March 31, 2016 are as Securitized Loans at Fair Value Geographic Concentration of Credit Risk Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 749,569 18.8 % North Carolina 537,375 13.5 % Maryland 499,495 12.5 % Florida 456,663 11.4 % Other 1,751,963 43.8 % Total $ 3,995,065 100.0 %

CORPORATE DEBT

CORPORATE DEBT	3 Months Ended
	Mar. 31, 2016
CORPORATE DEBT	6. CORPORATE DEBT The Company invests in corporate loans and corporate debt securities through the MML subsidiary. The industry and interest rate characteristics of the portfolio as of March 31, 2016 are as follows: Industry Dispersion Fixed Rate Floating Rate Total (dollars in thousands) Healthcare $ - $ 173,896 $ 173,896 Security services 74,700 - 74,700 Technology - 93,292 93,292 Business services 4,359 134,515 138,874 Agriculture and protein processing - 41,576 41,576 Food & beverage - 27,930 27,930 Mining & minerals - 24,671 24,671 Consumer products - 23,230 23,230 Manufacturing - 7,477 7,477 Education services - 21,168 21,168 Packaging - 12,667 12,667 Total $ 79,059 $ 560,422 $ 639,481 The table below reflects the Company's aggregate positions by their respective place in the capital structure of the borrowers as of March 31, 2016. March 31, 2016 (dollars in thousands) First lien loans $ 397,693 Second lien loans 162,729 Second lien notes 74,700 Subordinated notes 4,359 Total $ 639,481

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS	3 Months Ended
	Mar. 31, 2016
FAIR VALUE MEASUREMENTS	7. 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 trading, available for sale or held to maturity 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. Futures contracts are valued using quoted prices for identical instruments in active markets. Residential 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 Residential 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 Residential 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 Residential 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 March 31, 2016 (dollars in thousands) Assets: Agency mortgage-backed securities $ - 65,439,824 $ - $ 65,439,824 Agency debentures - 157,035 - 157,035 Credit risk transfer securities - 501,167 - 501,167 Non-Agency mortgage-backed securities - 1,157,507 - 1,157,507 Commercial real estate debt investments - 4,401,725 - 4,401,725 Interest rate swaps - 93,312 - 93,312 Other derivatives 717 76,732 - 77,449 Total assets $ 717 $ 71,827,302 $ - $ 71,828,019 Liabilities: Securitized debt of consolidated VIEs $ - 3,677,079 $ - $ 3,677,079 Interest rate swaps - 2,782,961 - 2,782,961 Other derivatives 69,171 - - 69,171 Total liabilities $ 69,171 $ 6,460,040 $ - $ 6,529,211 Level 1 Level 2 Level 3 Total December 31, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 65,718,224 $ - $ 65,718,224 Agency debentures - 152,038 - 152,038 Credit risk transfer securities - 456,510 - 456,510 Non-Agency mortgage-backed securities - 906,722 - 906,722 Commercial real estate debt investments - 2,911,828 - 2,911,828 Interest rate swaps - 19,642 - 19,642 Other derivatives 12,443 9,623 - 22,066 Total assets $ 12,443 $ 70,174,587 $ - $ 70,187,030 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,366,878 $ - $ 2,366,878 Interest rate swaps - 1,677,571 - 1,677,571 Other derivatives 32,778 17,185 - 49,963 Total liabilities $ 32,778 $ 4,061,634 $ - $ 4,094,412 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, repurchase agreements and other secured financing 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 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 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 and December 31, 2015. March 31, 2016 December 31, 2015 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents 1 $ 2,416,136 $ 2,416,136 $ 1,769,258 $ 1,769,258 Agency mortgage-backed securities 2 65,439,824 65,439,824 65,718,224 65,718,224 Agency debentures 2 157,035 157,035 152,038 152,038 Credit risk transfer securities 2 501,167 501,167 456,510 456,510 Non-Agency mortgage-backed securities 2 1,157,507 1,157,507 906,722 906,722 Commercial real estate debt investments 2 4,401,725 4,401,725 2,911,828 2,911,828 Commercial real estate debt and preferred equity, held for investment 3 1,177,468 1,170,280 1,348,817 1,350,968 Loans held for sale 3 278,600 278,600 278,600 278,600 Corporate debt (1) 2 639,481 626,486 488,508 470,894 Interest rate swaps 2 93,312 93,312 19,642 19,642 Other derivatives 1,2 77,449 77,449 22,066 22,066 Financial liabilities: Repurchase agreements 1,2 $ 54,448,141 $ 54,562,824 $ 56,230,860 $ 56,361,623 Other secured financing 1,2 3,588,326 3,590,225 1,845,048 1,846,095 Securitized debt of consolidated VIEs 2 3,802,682 3,802,898 2,540,711 2,541,193 Participation sold 2 13,182 12,691 13,286 13,138 Mortgage payable 3 334,765 350,599 334,707 339,849 Interest rate swaps 2 2,782,961 2,782,961 1,677,571 1,677,571 Other derivatives 1,2 69,171 69,171 49,963 49,963 (1) Includes a held-to-maturity debt security carried at amortized cost of $74.7 million as of March 31, 2016 and December 31, 2015.

SECURED FINANCING

SECURED FINANCING	3 Months Ended
	Mar. 31, 2016
SECURED FINANCING	8. The Company had outstanding $54.4 billion and $56.2 billion of repurchase agreements with weighted average borrowing rates of 1.87% and 1.83%, after giving effect to the Company's interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 136 days and 151 days as of , respectively. At , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: March 31, 2016 Repurchase Agreements by Collateral Type Weighted Average Rate Agency Mortgage-backed Securities Debentures CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements (dollars in thousands) 1 day $ 8,050,000 $ - $ - $ - $ - $ 8,050,000 0.62 % 2 to 29 days 12,466,595 - 54,656 320,677 - 12,841,928 0.75 % 30 to 59 days 4,663,011 - 59,313 156,354 - 4,878,678 0.82 % 60 to 89 days 9,118,832 - - 146,165 - 9,264,997 0.96 % 90 to 119 days 4,270,155 - - - - 4,270,155 0.95 % Over 120 days (1) 14,954,590 - - - 187,793 15,142,383 1.46 % Total $ 53,523,183 $ - $ 113,969 $ 623,196 $ 187,793 $ 54,448,141 0.99 % December 31, 2015 Repurchase Agreements by Collateral Type Weighted Average Rate Agency Mortgage-backed Securities Debentures CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements (dollars in thousands) 1 day $ - $ - $ - $ - $ - $ - 0.00 % 2 to 29 days 20,123,464 - 83,664 260,359 - 20,467,487 0.69 % 30 to 59 days 7,898,646 - 59,189 65,374 - 8,023,209 0.74 % 60 to 89 days 4,046,593 - - 78,833 - 4,125,426 0.74 % 90 to 119 days 4,846,580 - - - - 4,846,580 0.60 % Over 120 days (1) 18,557,715 - - 31,015 179,428 18,768,158 1.33 % Total $ 55,472,998 $ - $ 142,853 $ 435,581 $ 179,428 $ 56,230,860 0.90 % (1) Approximately 12% and 14% of the total repurchase agreements had a remaining maturity over 1 year as of March 31, 2016 and December 31, 2015, respectively. 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 March 31, 2016 and December 31, 2015 . March 31, 2016 December 31, 2015 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 54,448,141 $ - $ 56,230,860 Amounts Offset - - - - Netted Amounts $ - $ 54,448,141 $ - $ 56,230,860 Financial instruments pledged as collateral under secured financing arrangements and interest rate swaps had an estimated fair value and accrued interest of $62.7 billion and $188.6 million, respectively, at March 31, 2016 and $62.3 billion and $171.7 million, respectively, at December 31, 2015.

DERIVATIVE INSTRUMENTS

DERIVATIVE INSTRUMENTS	3 Months Ended
	Mar. 31, 2016
DERIVATIVE INSTRUMENTS	9. 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 Residential 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 March 31, 2016 and December 31, 2015: Derivatives Instruments Balance Sheet Location March 31, 2016 December 31, 2015 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 93,312 $ 19,642 TBA derivatives Other derivatives, at fair value 76,732 9,622 Futures contracts Other derivatives, at fair value 717 12,444 $ 170,761 $ 41,708 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 2,782,961 $ 1,677,571 TBA derivatives Other derivatives, at fair value - 17,185 Futures contracts Other derivatives, at fair value 69,171 32,778 $ 2,852,132 $ 1,727,534 The following table summarizes certain characteristics of the Company's interest rate swaps at and December 31, 2015: March 31, 2016 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 4,290,419 1.79 % 0.47 % 1.87 3 - 6 years 11,925,000 1.87 % 0.73 % 4.22 6 - 10 years 10,227,550 2.49 % 0.76 % 7.88 Greater than 10 years 3,434,400 3.54 % 0.59 % 18.64 Total / Weighted Average $ 29,877,369 2.26 % 0.69 % 6.76 December 31, 2015 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 3,240,436 1.85 % 0.36 % 1.80 3 - 6 years 11,675,000 1.82 % 0.55 % 4.25 6 - 10 years 11,635,250 2.44 % 0.57 % 7.92 Greater than 10 years 3,634,400 3.70 % 0.43 % 19.37 Total / Weighted Average $ 30,185,086 2.26 % 0.53 % 7.02 (1) There were no forward starting pay fixed swaps as of March 31, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015. (2) Excludes forward starting swaps. (3) There were no forward starting pay fixed swaps as of March 31, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015. The following table summarizes certain characteristics of the Company's TBA derivatives as of : March 31, 2016 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 14,273,000 $ 14,847,792 $ 14,924,524 $ 76,732 December 31, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,761,000 $ 14,177,338 $ 14,169,775 $ (7,563 ) The following table summarizes certain characteristics of the Company's futures derivatives as of : March 31, 2016 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (4,375,000 ) 2.00 U.S. Treasury futures - 5 year - (1,847,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (655,600 ) 6.75 Total $ - $ (6,877,800 ) 3.10 December 31, 2015 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (7,000,000 ) 2.00 U.S. Treasury futures - 5 year - (1,847,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (655,600 ) 6.92 Total $ - $ (9,502,800 ) 2.81 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 March 31, 2016 and December 31, 2015 , respectively. March 31, 2016 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 93,312 $ (93,312 ) $ - $ - TBA derivatives, at fair value 76,732 - - 76,732 Futures contracts, at fair value 717 (110 ) - 607 Liabilities: Interest rate swaps, at fair value $ 2,782,961 $ (93,312 ) $ (1,617,530 ) $ 1,072,119 TBA derivatives, at fair value - - - - Futures contracts, at fair value 69,171 (110 ) (69,061 ) - December 31, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 19,642 $ (18,040 ) $ - $ 1,602 TBA derivatives, at fair value 9,622 (7,367 ) - 2,255 Futures contracts, at fair value 12,443 (10,868 ) - 1,575 Liabilities: Interest rate swaps, at fair value $ 1,677,571 $ (18,040 ) $ (913,576 ) $ 745,955 TBA derivatives, at fair value 17,185 (7,367 ) - 9,818 Futures contracts, at fair value 32,778 (10,868 ) (21,910 ) - 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) Quarters Ended: March 31, 2016 $ (147,475 ) $ - $ (1,031,720 ) March 31, 2015 $ (158,239 ) $ (226,462 ) $ (466,202 ) (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: Quarter Ended March 31, 2016 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives (1) $ 219,993 $ 84,295 $ 304,288 Net interest rate swaptions $ - $ - $ - Futures $ (130,994 ) $ (48,120 ) $ (179,114 ) $ 125,174 Quarter Ended March 31, 2015 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives (1) $ (55,644 ) $ 117,188 $ 61,544 Net interest rate swaptions $ (21,891 ) $ 17,083 $ (4,808 ) Futures $ (5,506 ) $ (58,126 ) $ (63,632 ) $ (6,896 ) (1) Includes options on TBA contracts. 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 March 31, 2016 was approximately $2.6 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	3 Months Ended
	Mar. 31, 2016
CONVERTIBLE SENIOR NOTES	10. 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	3 Months Ended
	Mar. 31, 2016
COMMON STOCK AND PREFERRED STOCK	11. 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 March 31, 2016 and December 31, 2015, the Company had issued and outstanding 924,853,133 and 935,929,561 shares of common stock, respectively, with a par value of $0.01 per share. No options were exercised during the three months ended March 31, 2016 and 2015. During the quarter ended March 31, 2016, the Company raised $0.5 million, by issuing 54,000 shares, through the Direct Purchase and Dividend Reinvestment Program. During the quarter ended March 31, 2015, the Company raised $0.6 million, by issuing 53,000 shares, through the Direct Purchase and Dividend Reinvestment Program. In August 2015, the Company announced that its board of directors ("Board") had authorized the repurchase of up to $1.0 billion of its outstanding common shares through December 31, 2016 ("Repurchase Program"). During the quarter ended March 31, 2016, the Company repurchased 11,132,226 shares of its common stock under the Repurchase Program for an aggregate amount of $102.7 million. All common shares purchased were part of a publicly announced plan in open-market transactions. 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 quarters (B) Preferred Stock At March 31, 2016 and December 31, 2015, 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 March 31, 2016, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock. At March 31, 2016 and December 31, 2015, 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 March 31, 2016, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock. At March 31, 2016 and December 31, 2015, 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 March 31, 2016, 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 quarter quarter During the quarter quarter

INTEREST INCOME AND INTEREST EX

INTEREST INCOME AND INTEREST EXPENSE	3 Months Ended
	Mar. 31, 2016
INTEREST INCOME AND INTEREST EXPENSE	12. INTEREST INCOME AND INTEREST EXPENSE The table below presents the components of the Company's interest income and interest expense for the quarters ended and 2015. For the Quarters Ended March 31, 2016 2015 Interest income: (dollars in thousands) Residential Investment Securities $ 315,717 $ 478,239 Commercial investment portfolio (1) 70,187 40,336 Reverse repurchase agreements 2,239 539 Total interest income 388,143 519,114 Interest expense: Repurchase agreements 132,891 102,748 Convertible Senior Notes - 23,627 Securitized debt of consolidated VIEs 9,033 2,882 Participation sold 158 159 Other 5,365 4 Total interest expense 147,447 129,420 Net interest income $ 240,696 $ 389,694 (1)

GOODWILL

GOODWILL	3 Months Ended
	Mar. 31, 2016
GOODWILL	13. GOODWILL At March 31, 2016 and December 31, 2015, goodwill totaled $71.8 million.

NET INCOME (LOSS) PER COMMON SH

NET INCOME (LOSS) PER COMMON SHARE	3 Months Ended
	Mar. 31, 2016
NET INCOME (LOSS) PER COMMON SHARE	14. 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 ended March 31, 2016 and 2015. For the Quarters Ended March 31, 2016 March 31, 2015 (dollars in thousands, except per share data) Net income (loss) $ (868,080 ) $ (476,499 ) Less: Net income (loss) attributable to noncontrolling interest (162 ) (90 ) Net income (loss) attributable to Annaly (867,918 ) (476,409 ) Less: Preferred stock dividends 17,992 17,992 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary (885,910 ) (494,401 ) Add: Interest on Convertible Senior Notes, if dilutive - - Net income (loss) available to common stockholders, as adjusted $ (885,910 ) $ (494,401 ) Weighted average shares of common stock outstanding-basic 926,813,588 947,669,831 Add: Effect of stock awards and Convertible Senior Notes, if dilutive - - Weighted average shares of common stock outstanding-diluted 926,813,588 947,669,831 Net income (loss) per share available (related) to common share: Basic $ (0.96 ) $ (0.52 ) Diluted $ (0.96 ) $ (0.52 ) Options to purchase 1.1 million and 2.3 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 ended March 31, 2016 and 2015, respectively.

LONG-TERM STOCK INCENTIVE PLAN

LONG-TERM STOCK INCENTIVE PLAN	3 Months Ended
	Mar. 31, 2016
LONG-TERM STOCK INCENTIVE PLAN	15. 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 Quarters Ended March 31, 2016 March 31, 2015 Number of Shares Weighted Average Exercise Price Number of Shares Weighted Average Exercise Price Options outstanding at the beginning of period 1,168,775 $ 15.34 2,259,335 $ 15.35 Granted - - - - Exercised - - - - Forfeited (2,500 ) 13.72 (8,799 ) 14.80 Expired (30,500 ) 11.72 - - Options outstanding at the end of period 1,135,775 15.44 2,250,536 15.35 Options exercisable at the end of the period 1,135,775 $ 15.44 2,250,536 $ 15.35 The weighted average remaining contractual term was approximately 2.2 years and 2.8 years for stock options outstanding and exercisable as of and 2015, respectively. As of and 2015, there was no unrecognized compensation cost related to nonvested share-based compensation awards.

INCOME TAXES

INCOME TAXES	3 Months Ended
	Mar. 31, 2016
INCOME TAXES	16. For the quarter ended 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 2013 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 ended , the Company recorded an $837 thousand income tax benefit for income attributable to its TRSs. During the quarter ended , the Company recorded $14 thousand of income tax expense for income attributable to its TRSs. The Company's federal, state and local tax returns from 2012 and forward remain open for examination.

LEASE COMMITMENTS AND CONTINGEN

LEASE COMMITMENTS AND CONTINGENCIES	3 Months Ended
	Mar. 31, 2016
LEASE COMMITMENTS AND CONTINGENCIES	17. 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 September 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 expired in February 2016. The lease expense for the quarters ended was $0.8 million and $0.6 million, respectively. The Company's aggregate future minimum lease payments totaled $35.4 million. The following table details the lease payments. Years Ending December 31, Lease Commitments (dollars in thousands) 2016 (remaining) $ 2,673 2017 3,565 2018 3,565 2019 3,565 2020 3,652 Later years 18,343 $ 35,363 The Company had no material unfunded loan commitments as of March 31, 2016 and December 31, 2015. Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. There were no material contingencies as of March 31, 2016 and December 31, 2015.

RISK MANAGEMENT

RISK MANAGEMENT	3 Months Ended
	Mar. 31, 2016
RISK MANAGEMENT	18. The primary risks to the Company are liquidity, investment/market risk and credit risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company's control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on Interest Earning Assets and the interest expense incurred in connection with the Interest Bearing Liabilities and hedges, 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 path and 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 Residential Investment Securities and commercial real estate investments 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 securities issued by Freddie Mac and Fannie Mae, 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. The majority of the Company's Residential Investment Securities have an actual or implied "AAA" rating. The Company faces credit risk on the portions of its 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 periodically assessing the creditworthiness of issuers, borrowers, tenants and counterparties.

RCAP REGULATORY REQUIREMENTS

RCAP REGULATORY REQUIREMENTS	3 Months Ended
	Mar. 31, 2016
RCAP REGULATORY REQUIREMENTS	19. 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 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 was $140.4 million with excess net capital of $140.1 million.

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS	3 Months Ended
	Mar. 31, 2016
RELATED PARTY TRANSACTIONS	20. RELATED PARTY TRANSACTIONS Investment in Affiliate and Advisory Fees In August 2015, FIDAC entered into an agreement with Chimera Investment Corporation ("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 purchased the Company's approximately 9.0 million shares of Chimera at an aggregate price of $126.4 million. The share repurchase agreement closed in August 2015. For the quarter ended March 31, 2016, the Company did not record any advisory fees. For the quarter ended March 31, 2015, the Company recorded advisory fees from Chimera totaling $10.5 million. 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). Management Agreement The Company and the Manager have entered into a management agreement pursuant to which the Company's management is conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board (the "Externalization"). The management agreement was effective as of July 1, 2013 and 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. and $38.6 million, respectively 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 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. 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	3 Months Ended
	Mar. 31, 2016
SUBSEQUENT EVENTS	21. Pending Acquisition of Hatteras Financial Corp. As previously disclosed in a Form 8-K filed with the SEC on April 11, 2016 (the "Merger 8-K"), on April 10, 2016, the Company, Ridgeback Merger Sub Corporation, a wholly-owned subsidiary of the Company ("Purchaser"), and Hatteras Financial Corp. ("Hatteras") entered into an agreement and plan of merger (the "Merger Agreement"), pursuant to which, subject to the terms and conditions contained therein, the Company agreed to acquire Hatteras (the "Hatteras Acquisition"), an externally managed mortgage REIT that invests primarily in single-family residential mortgage real estate assets, for aggregate consideration to Hatteras common shareholders of approximately $1.5 billion based on the closing price of the Company's common stock on April 8, 2016. Approximately 65% of such consideration will be payable in shares of the Company's common stock, and approximately 35% of which will be payable in cash. In addition, as part of the Hatteras Acquisition, each share of Hatteras 7.625% Series A Cumulative Redeemable Preferred Stock, par value $0.001 per share ("Hatteras Preferred Share"), that is outstanding as of immediately prior to the completion of the Hatteras Acquisition will be converted into one share of a newly-designated series of the Company's preferred stock, par value $0.01 per share, which the Company expects will be classified and designated as 7.625% Series E Cumulative Redeemable Preferred Stock, and which will have rights, preferences, privileges and voting powers substantially the same as a Hatteras Preferred Share. The closing of the Hatteras Acquisition is subject to a number of conditions, including the receipt of specified regulatory approvals. Prior to closing the Hatteras Acquisition, each of Hatteras and the Company will declare a prorated dividend to their respective shareholders with a record and payment date on the last business day prior to the completion of the Hatteras Acquisition. Each of the dividends will be prorated based on the number of days that elapsed since the record date for the most recent quarterly dividend paid to Hatteras and the Company's shareholders, respectively, and the amount of such prior quarterly dividend, as applicable. In connection with the execution of the Merger Agreement, Hatteras and its external manager, Atlantic Capital Advisors LLC, a North Carolina limited liability company ("ACA"), entered into an amendment to the management agreement, dated February 23, 2012, by and between Hatteras and ACA. The amendment provides that upon the completion of the Hatteras Acquisition, the management agreement between Hatteras and ACA will terminate, and as a result of such termination, Hatteras will pay to ACA a termination fee of $45.4 million. The Hatteras Acquisition is expected to be completed before the end of the third quarter of 2016. For additional details regarding the terms and conditions of the Merger Agreement and related matters, please refer to the Merger Agreement and the Merger 8-K and the other documentation filed as exhibits thereto. Additional information regarding the transactions contemplated by the Merger Agreement, including associated risks, will be contained in a registration statement on Form S-4 that the Company expects to file with the SEC in connection with the Hatteras Acquisition.

SIGNIFICANT ACCOUNTING POLICI29

SIGNIFICANT ACCOUNTING POLICIES (Policies)	3 Months Ended
	Mar. 31, 2016
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, Non-Agency Mortgage-Backed Securities and CRT Securities Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Investment Securities.” Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). The fair value of Residential Investment Securities classified as available-for-sale is estimated by management and is compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. The Company previously changed its accounting policy for determining the realized gains and losses on sales of Residential 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 interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain CRT securities. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific mortgage-backed securities. Interest-only mortgage-backed securities, non-Agency mortgage-backed securities and certain 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 Residential Investment Securities and their contractual terms. In addition, the Company recognizes income under the retrospective method on a substantial portion of its Residential Investment Securities classified as available-for-sale. Premiums and discounts associated with the purchase of Residential Investment Securities are amortized or accreted into income over the remaining projected lives of the securities. Using a third-party supplied model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the investment is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amoritization recognized in any given period.
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
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. An impairment of the goodwill associated with the Company’s acquisition of Fixed Income Discount Advisory Company (“FIDAC”) was recorded during the year ended December 31, 2015. Intangible assets with an estimated useful life are amortized over their expected useful lives.
Convertible Senior Notes	Convertible Senior Notes – Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively.
Stock Based Compensation	Stock Based Compensation
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 Debt Investments - comprised of commercial mortgage-backed securities and loans held by consolidated collateralized financing entities. Commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). Commercial Real Estate Loans 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 30 - 40 years Site improvements 1 - 28 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 applies the equity method of accounting for its investments in joint ventures where it is not considered to have a controlling financial interest. Under the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. 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, that do not meet the criteria to be classified as held for sale are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded. The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property. Revenue Recognition – Commercial Real Estate Investments -
Corporate Debt	Corporate Debt Corporate Loans – Corporate Debt Securities Allowance for Losses Loans and Debt Securities Acquired with Deteriorated Credit Quality
Other-Than-Temporary Impairment	Other-Than-Temporary Impairment 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 credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics 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 and those affecting the property specifically, and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. In connection with the quarterly surveillance review process, loans are assigned an internal risk rating. Effective December 31, 2015, the loan risk ratings were enhanced and considered guidance provided by the Office of the Controller of the Currency for commercial real estate lending. The initial internal risk ratings (“Initial Ratings”) are based on loan-to-values and the NOI debt yields of the underlying collateral of the Company’s CRE Debt and Preferred Equity Investments and based upon leverage and cash flow coverages of the borrowers’ debt and operating obligations. The final internal risk ratings are influenced by other quantitative and qualitative factors that can result in an adjustment to the Initial Ratings, subject to review and approval by the respective committee. The internal risk rating categories include “Performing”, “Closely Monitored”, “Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Closely Monitored loans are transitional or could be exhibiting some weakness in both leverage and liquidity, which if not corrected, could jeopardize timely repayment. Special Mention loans exhibit potential weakness that deserves management’s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation. No allowance for loan losses was deemed necessary as of March 31, 2016 and December 31, 2015.
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
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 2016-02 Leases (Topic 842) The amendments require lessees to recognize a right-of-use asset and a liability to make lease payments in the statement of financial position for most leases. The accounting for lessors is largely unchanged. January 1, 2019 (early adoption permitted) Not expected to have a significant impact on the consolidated financial statements. ASU 2016-01 Financial Instruments - Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Financial Liabilities The amendments address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. January 1, 2018 (early adoption permitted for a provision related presentation of instrument-specific credit risk of liabilities accounted for under the fair value option) Expected to impact disclosures only and not have a significant impact on the consolidated finanical statements. ASU 2014-15, Presentation of Financial Statements – Going Concern (Subtopic 205-04) Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern This ASU requires management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company’s ability to continue as a going concern within one year after the date the financial statements are issued. January 1, 2017 (early adoption permitted) Not expected to have an impact on the consolidated financial statements. ASU 2014-09 , Revenue from Contracts with Customers This guidance applies to contracts with customers to transfer goods or services and contracts to transfer nonfinancial assets unless those contracts are within the scope of other standards (for example, lease transactions). January 1, 2018 Not expected to have a significant impact on the consolidated financial statements. Standard Description Date of Adoption Effect on the financial statements or other significant matters Standards that were adopted ASU 2015-16 Business Combinations (Topic 805) Simplifying the Accounting Measurement-Period Adjustments This amendment removed the requirement to present adjustments to provisional amounts retrospectively. The update required that an acquirer record, in the same period's financial statements, the effect on earnings of changes in depreciation, amortization, or other income effects, if any, as a result of the change to provisional amounts. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2015-15, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements - Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015 EITF Meeting (SEC Update) This amendment provided SEC guidance that it would not object to filers presenting debt issue costs related to line-of-credit arrangements as an asset and ratably amortizing the costs over the term of the arrangement. June 18, 2015 (early adoption permitted) Did not have an impact on the consolidated financial statements. ASU 2015-10 , Technical Corrections and Improvements This perpetual project updated the codification for technical corrections and improvements. January 1, 2016 (early adoption permitted), for amendments subject to transition guidance Did not have a significant impact on the consolidated financial statements. ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) This update removed the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and also removes certain disclosure requirements for these investments. January 1, 2016 (early adoption permitted) Did not have an impact on the consolidated financial statements. ASU 2015-05, Customer's Accounting for Fees Paid in a Cloud Computing Arrangement This update clarified that customers should determine whether a cloud computing arrangement includes the license of software by applying the same guidance cloud service providers use. The guidance also eliminated the current requirement that customers analogize to the leasing standard when determining the asset acquired in a software licensing arrangement. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2015-03, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation of Debt Issuance Costs This ASU required that debt issue costs are presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The recognition and measurement of debt issue costs were not affected. January 1, 2016 (early adoption permitted) Impacted presentation only and did not have a significant impact on the consolidated financial statements. ASU 2015-02, Consolidation (Topic 810) Amendments to the Consolidation Analysis This update affected the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2015-01, Income Statement - Extraordinary and Unusual Items (Subtopic 225-20 This update eliminated from GAAP the concept of extraordinary items. January 1, 2016 (early adoption permitted) Did not have an impact on the consolidated financial statements. ASU 2014-16, Derivatives and Hedging (Topic 815) Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or Equity This ASU provided additional guidance for evaluating whether conversion rights, redemption rights, voting rights, liquidation rights and dividend payment preferences and other features embedded in a share, including preferred stock, contain embedded derivatives requiring bifurcation. The update requires that an entity determine the nature of the host contract by considering all stated and implied terms and features in a hybrid instrument. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity This update provided a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis. January 1, 2016 (early adoption permitted) The Company adopted this ASU and applied the guidance to commercial mortgage backed securitization transactions. See "Commercial Real Estate Investments" footnote for further disclosure. ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure This update made limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. January 1, 2015 Impacted disclosures only and did not have a significant impact on the consolidated financial statements. ASU 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant and Equipment (Topic 360) Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity This ASU raised the threshold for a disposal to be treated as discontinued operations. April 1, 2015 Did not have a significant impact on the consolidated financial statements. ASU 2014-04 Receivables–Troubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure This update clarified that an in-substance repossession or foreclosure has occurred, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, when the creditor obtains legal title to the property upon completion of a foreclosure or the borrower conveys all interest in the property to the creditor through a deed in lieu of foreclosure or similar arrangement. January 1, 2015 Did not have a significant impact on the consolidated financial statements.

SIGNIFICANT ACCOUNTING POLICI30

SIGNIFICANT ACCOUNTING POLICIES (Tables)	3 Months Ended
	Mar. 31, 2016
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 2016-02 Leases (Topic 842) The amendments require lessees to recognize a right-of-use asset and a liability to make lease payments in the statement of financial position for most leases. The accounting for lessors is largely unchanged. January 1, 2019 (early adoption permitted) Not expected to have a significant impact on the consolidated financial statements. ASU 2016-01 Financial Instruments - Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Financial Liabilities The amendments address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. January 1, 2018 (early adoption permitted for a provision related presentation of instrument-specific credit risk of liabilities accounted for under the fair value option) Expected to impact disclosures only and not have a significant impact on the consolidated finanical statements. ASU 2014-15, Presentation of Financial Statements – Going Concern (Subtopic 205-04) Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern This ASU requires management to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company’s ability to continue as a going concern within one year after the date the financial statements are issued. January 1, 2017 (early adoption permitted) Not expected to have an impact on the consolidated financial statements. ASU 2014-09 , Revenue from Contracts with Customers This guidance applies to contracts with customers to transfer goods or services and contracts to transfer nonfinancial assets unless those contracts are within the scope of other standards (for example, lease transactions). January 1, 2018 Not expected to have a significant impact on the consolidated financial statements. Standard Description Date of Adoption Effect on the financial statements or other significant matters Standards that were adopted ASU 2015-16 Business Combinations (Topic 805) Simplifying the Accounting Measurement-Period Adjustments This amendment removed the requirement to present adjustments to provisional amounts retrospectively. The update required that an acquirer record, in the same period's financial statements, the effect on earnings of changes in depreciation, amortization, or other income effects, if any, as a result of the change to provisional amounts. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2015-15, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements - Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015 EITF Meeting (SEC Update) This amendment provided SEC guidance that it would not object to filers presenting debt issue costs related to line-of-credit arrangements as an asset and ratably amortizing the costs over the term of the arrangement. June 18, 2015 (early adoption permitted) Did not have an impact on the consolidated financial statements. ASU 2015-10 , Technical Corrections and Improvements This perpetual project updated the codification for technical corrections and improvements. January 1, 2016 (early adoption permitted), for amendments subject to transition guidance Did not have a significant impact on the consolidated financial statements. ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) This update removed the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and also removes certain disclosure requirements for these investments. January 1, 2016 (early adoption permitted) Did not have an impact on the consolidated financial statements. ASU 2015-05, Customer's Accounting for Fees Paid in a Cloud Computing Arrangement This update clarified that customers should determine whether a cloud computing arrangement includes the license of software by applying the same guidance cloud service providers use. The guidance also eliminated the current requirement that customers analogize to the leasing standard when determining the asset acquired in a software licensing arrangement. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2015-03, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation of Debt Issuance Costs This ASU required that debt issue costs are presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The recognition and measurement of debt issue costs were not affected. January 1, 2016 (early adoption permitted) Impacted presentation only and did not have a significant impact on the consolidated financial statements. ASU 2015-02, Consolidation (Topic 810) Amendments to the Consolidation Analysis This update affected the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2015-01, Income Statement - Extraordinary and Unusual Items (Subtopic 225-20 This update eliminated from GAAP the concept of extraordinary items. January 1, 2016 (early adoption permitted) Did not have an impact on the consolidated financial statements. ASU 2014-16, Derivatives and Hedging (Topic 815) Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or Equity This ASU provided additional guidance for evaluating whether conversion rights, redemption rights, voting rights, liquidation rights and dividend payment preferences and other features embedded in a share, including preferred stock, contain embedded derivatives requiring bifurcation. The update requires that an entity determine the nature of the host contract by considering all stated and implied terms and features in a hybrid instrument. January 1, 2016 (early adoption permitted) Did not have a significant impact on the consolidated financial statements. ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity This update provided a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis. January 1, 2016 (early adoption permitted) The Company adopted this ASU and applied the guidance to commercial mortgage backed securitization transactions. See "Commercial Real Estate Investments" footnote for further disclosure. ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosure This update made limited amendments to the guidance in ASC 860 on accounting for certain repurchase agreements. January 1, 2015 Impacted disclosures only and did not have a significant impact on the consolidated financial statements. ASU 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant and Equipment (Topic 360) Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity This ASU raised the threshold for a disposal to be treated as discontinued operations. April 1, 2015 Did not have a significant impact on the consolidated financial statements. ASU 2014-04 Receivables–Troubled Debt Restructurings by Creditors, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure This update clarified that an in-substance repossession or foreclosure has occurred, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, when the creditor obtains legal title to the property upon completion of a foreclosure or the borrower conveys all interest in the property to the creditor through a deed in lieu of foreclosure or similar arrangement. January 1, 2015 Did not have a significant impact on the consolidated financial statements.

RESIDENTIAL INVESTMENT SECURI31

RESIDENTIAL INVESTMENT SECURITIES (Tables)	3 Months Ended
	Mar. 31, 2016
Schedule of Available-for-sale Securities Reconciliation	The following tables present the Company’s Residential Investment Securities portfolio carried at fair value as of March 31, 2016 and December 31, 2015: March 31, 2016 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains (1) Unrealized Losses (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 56,120,429 $ 3,093,155 $ (2,392 ) $ 59,211,192 $ 765,776 $ (204,912 ) $ 59,772,056 Adjustable-rate pass-through 3,064,341 68,241 (6,974 ) 3,125,608 70,485 (220 ) 3,195,873 CMO 922,196 24,962 (387 ) 946,771 16,943 (4,417 ) 959,297 Debentures 158,803 - (638 ) 158,165 - (1,130 ) 157,035 Interest-only 9,362,596 1,614,332 - 1,614,332 33,802 (135,536 ) 1,512,598 Total Agency investments $ 69,628,365 $ 4,800,690 $ (10,391 ) $ 65,056,068 $ 887,006 $ (346,215 ) $ 65,596,859 Residential Credit CRT $ 517,207 $ 1,586 $ (14,763 ) $ 504,030 $ 3,138 $ (6,001 ) $ 501,167 Legacy (2) 484,784 879 (52,182 ) 433,481 1,251 (4,306 ) 430,426 NPL/RPL 428,656 50 (1,579 ) 427,127 153 (941 ) 426,339 New issue 280,060 1,233 (1,446 ) 279,847 3,713 - 283,560 New issue interest-only 1,114,234 17,823 - 17,823 324 (965 ) 17,182 Total residential credit securities $ 2,824,941 $ 21,571 $ (69,970 ) $ 1,662,308 $ 8,579 $ (12,213 ) $ 1,658,674 Total Residential Investment Securities $ 72,453,306 $ 4,822,261 $ (80,361 ) $ 66,718,376 $ 895,585 $ (358,428 ) $ 67,255,533 December 31, 2015 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains (1) Unrealized Losses (1) Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 57,339,705 $ 3,270,521 $ (2,832 ) $ 60,607,394 $ 400,350 $ (824,862 ) $ 60,182,882 Adjustable-rate pass-through 2,894,192 61,781 (6,427 ) 2,949,546 70,849 (10,317 ) 3,010,078 CMO 964,095 27,269 (477 ) 990,887 9,137 (12,945 ) 987,079 Debentures 158,802 - (648 ) 158,154 - (6,116 ) 152,038 Interest-only 9,499,332 1,634,312 - 1,634,312 18,699 (114,826 ) 1,538,185 Total Agency investments $ 70,856,126 $ 4,993,883 $ (10,384 ) $ 66,340,293 $ 499,035 $ (969,066 ) $ 65,870,262 Residential Credit CRT $ 476,084 $ 2,225 $ (12,840 ) $ 465,469 $ 250 $ (9,209 ) $ 456,510 Legacy (2) 378,527 773 (37,150 ) 342,150 698 (1,140 ) 341,708 NPL/RPL 354,945 19 (1,270 ) 353,694 19 (1,172 ) 352,541 New issue 197,695 566 - 198,261 - (1,060 ) 197,201 New issue interest-only 811,245 15,430 - 15,430 - (158 ) 15,272 Total residential credit securities $ 2,218,496 $ 19,013 $ (51,260 ) $ 1,375,004 $ 967 $ (12,739 ) $ 1,363,232 Total Residential Investment Securities $ 73,074,622 $ 5,012,896 $ (61,644 ) $ 67,715,297 $ 500,002 $ (981,805 ) $ 67,233,494 (1) Unrealized gains and losses on Agency investments, excluding interest-only investments, are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit securities and Agency interest-only investments are generally reported in Net unrealized gains (losses) on financial instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). (2) Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.
Types of Agency Mortgage Backed Securities	The following tables present the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of March 31, 2016 and December 31, 2015: Investment Type March 31, 2016 December 31, 2015 (dollars in thousands) Fannie Mae $ 41,990,479 $ 42,647,075 Freddie Mac 23,341,571 22,960,595 Ginnie Mae 107,774 110,554 Total $ 65,439,824 $ 65,718,224
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification	The following table summarizes the Company’s available-for-sale Residential Investment Securities as of March 31, 2016 and December 31, 2015 March 31, 2016 December 31, 2015 Weighted Average Life Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost (dollars in thousands) Less than one year $ 72,348 $ 73,220 $ 37,862 $ 37,850 Greater than one year through five years 46,745,799 46,268,066 20,278,111 20,066,435 Greater than five years through ten years 20,238,032 20,176,740 46,473,701 47,174,319 Greater than ten years 199,354 200,350 443,820 436,693 Total $ 67,255,533 $ 66,718,376 $ 67,233,494 $ 67,715,297
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 and December 31, 2015. March 31, 2016 December 31, 2015 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 Months $ 2,633,437 $ (7,176 ) 67 $ 20,072,072 $ (164,259 ) 463 12 Months or More 20,732,579 (203,503 ) 188 21,705,764 (689,981 ) 189 Total $ 23,366,016 $ (210,679 ) 255 $ 41,777,836 $ (854,240 ) 652 (1) Excludes interest-only mortgage-backed securities.

COMMERCIAL REAL ESTATE INVEST32

COMMERCIAL REAL ESTATE INVESTMENTS (Tables)	3 Months Ended
	Mar. 31, 2016
Commercial Real Estate Investments Held for Investment	The following tables present commercial real estate investments held for investment at March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) (dollars in thousands) Senior mortgages $ 477,302 $ 474,559 40.3 % $ 387,314 $ 385,838 28.6 % Senior securitized mortgages (3) 212,072 211,855 17.9 % 263,072 262,703 19.4 % Mezzanine loans 486,081 482,101 41.0 % 582,592 578,503 43.0 % Preferred equity 9,000 8,953 0.8 % 122,444 121,773 9.0 % Total (4) $ 1,184,455 $ 1,177,468 100.0 % $ 1,355,422 $ 1,348,817 100.0 % (1) Carrying value includes unamortized origination fees of $7.1 million and $6.9 million as of March 31, 2016 and December 31, 2015, respectively. (2) Based on outstanding principal. (3) Assets of consolidated VIEs. (4) Excludes Loans held for sale. March 31, 2016 Senior Mortgages Senior Securitized Mortgages (1) Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 385,838 $ 262,703 $ 578,503 $ 121,773 $ 1,348,817 Originations & advances (principal) 155,065 - 25,897 - 180,962 Principal payments (65,077 ) (51,000 ) (122,408 ) (113,445 ) (351,930 ) Sales (principal) - - - - - Amortization & accretion of (premium) discounts (34 ) - (221 ) - (255 ) Net (increase) decrease in origination fees (1,578 ) - (285 ) - (1,863 ) Amortization of net origination fees 345 152 615 625 1,737 Transfers - - - - - Allowance for loan losses - - - - - Net carrying value (2) $ 474,559 $ 211,855 $ 482,101 $ 8,953 $ 1,177,468 (1) Assets of consolidated VIE. (2) Excludes Loans held for sale. December 31, 2015 Senior Mortgages Senior Securitized Mortgages(1) Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance $ 383,895 $ 398,634 $ 522,731 $ 212,905 $ 1,518,165 Originations & advances (principal) 293,925 - 195,312 - 489,237 Principal payments (243,270 ) (136,469 ) (153,693 ) (92,210 ) (625,642 ) Sales (principal) (46,945 ) - - - (46,945 ) Amortization & accretion of (premium) discounts (142 ) - (232 ) 517 143 Net (increase) decrease in origination fees (3,702 ) (279 ) (4,806 ) - (8,787 ) Amortization of net origination fees 2,077 817 691 561 4,146 Transfers - - 18,500 - 18,500 Allowance for loan losses - - - - - Net carrying value (2) $ 385,838 $ 262,703 $ 578,503 $ 121,773 $ 1,348,817 (1) Assets of consolidated VIE. (2) Excludes Loans held for sale.
Internal Loan and Preferred Equity Ratings	Internal CRE Debt and Preferred Equity Investment Ratings March 31, 2016 Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Outstanding Principal (1) Performing Closely-Monitored Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 477,302 40.3 % $ 91,321 $ 243,681 $ 142,300 $ - $ - $ - $ 477,302 Senior securitized mortgages (2) 212,072 17.9 % 55,770 15,500 140,802 - - - 212,072 Mezzanine loans 486,081 41.0 % 295,950 160,814 29,317 - - - 486,081 Preferred equity 9,000 0.8 % - - 9,000 - - - 9,000 $ 1,184,455 100.0 % $ 443,041 $ 419,995 $ 321,419 $ - $ - $ - $ 1,184,455 (1) Excludes Loans held for sale. (2) Assets of consolidated VIE. December 31, 2015 Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Outstanding Principal (1) Performing Closely-Monitored Special Mention Substandard Doubtful Loss Total (dollars in thousands) Senior mortgages $ 387,314 28.6 % $ 71,000 $ 283,148 $ 33,166 $ - $ - $ - $ 387,314 Senior securitized mortgages (2) 263,072 19.4 % 106,770 15,500 140,802 - - - 263,072 Mezzanine loans 582,592 43.0 % 342,493 219,969 20,130 - - - 582,592 Preferred equity 122,444 9.0 % - 81,944 40,500 - - - 122,444 $ 1,355,422 100.0 % $ 520,263 $ 600,561 $ 234,598 $ - $ - $ - $ 1,355,422 (1) Excludes Loans held for sale. (2) Assets of consolidated VIE.
Summary of Acquisitions of Real Estate Held for Investment	The following table summarizes real estate held for investment as of March 31, 2016: Date of Acquisition Type Location Purchase Price Remaining Lease Term (Years) (1) (dollars in thousands) July 2015 Multi Tenant Retail Ohio $ 11,000 4.6 August 2015 Multi Tenant Retail Florida $ 18,900 5.1 October 2015 Multifamily Property Washington, DC $ 75,000 0.3 October 2015 Multi Tenant Retail California $ 37,750 3.0 November 2015 Multi Tenant Retail Texas $ 131,950 4.3
Total Commercial Real Estate Held for Investments	Investments in Commercial Real Estate March 31, 2016 December 31, 2015 (dollars in thousands) Real estate held for investment, at amortized cost Land $ 113,494 $ 113,494 Buildings and improvements 374,213 373,603 Subtotal 487,707 487,097 Less: accumulated depreciation (21,456 ) (16,886 ) Total real estate held for investment, at amortized cost, net 466,251 470,211 Equity in unconsolidated joint ventures 61,535 65,735 Investments in commercial real estate, net $ 527,786 $ 535,946
Minimum Future Rentals on Non-cancelable Leases	Rental Income March 31, 2016 (dollars in thousands) 2016 (remaining) $ 26,105 2017 30,305 2018 26,238 2019 22,157 2020 17,848 Later years 53,326 $ 175,979
Mortgage loans payable	Mortgage loans payable as of March 31, 2016 March 31, 2016 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 292,821 $ 296,325 2.30% to 4.61% Floating (1) 2016 and 2025 First liens Tennessee 12,236 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,012 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,271 16,227 3.50 % Fixed 1/1/2017 First liens Nevada 2,425 2,419 3.45 % Floating (2) 3/29/2017 First liens $ 334,765 $ 338,346 (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 4.31%, receive floating rate of L+215). (2) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). December 31, 2015 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 292,658 $ 296,325 2.30% to 4.61% Floating (1) 2016 and 2025 First liens Tennessee 12,228 12,350 4.01 % Fixed 6/6/2019 First liens Virginia 11,012 11,025 3.58 % Fixed 9/6/2019 First liens Arizona 16,365 16,308 3.50 % Fixed 1/1/2017 First liens Nevada 2,444 2,436 3.45 % Floating (2) 3/29/2017 First liens $ 334,707 $ 338,444 (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 4.31%, receive floating rate of L+215). (2) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
Future Mortgage Loan Principal Payments	The following table details future mortgage loan principal payments as of March 31, 2016: Mortgage Loan Principal Payments (dollars in thousands) 2016 (remaining) $ 7,502 2017 18,344 2018 - 2019 23,375 2020 - Later years 289,125 $ 338,346
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 March 31, 2016 are as Securitized Loans at Fair Value Geographic Concentration of Credit Risk Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 749,569 18.8 % North Carolina 537,375 13.5 % Maryland 499,495 12.5 % Florida 456,663 11.4 % Other 1,751,963 43.8 % Total $ 3,995,065 100.0 %
FREMF Trust
Statement of financial condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition	The statement of financial condition of the FREMF Trusts that is reflected in the Company's Consolidated Statements of Financial Condition at March 31, 2016 is as March 31, 2016 (dollars in thousands) Assets Senior securitized commercial mortgages carried at fair value $ 3,968,118 Accrued interest receivable 8,351 Total assets $ 3,976,469 Liabilities Securitized debt (non-recourse) at fair value $ 3,677,079 Accrued interest payable 4,311 Total liabilities $ 3,681,390
Statement of Comprehensive Income (Loss) of FREMF Trusts Reflected the Consolidated Statements of Comprehensive Income (Loss)	The statement of comprehensive income (loss) of the FREMF Trusts that is reflected in the Company's Consolidated Statements of Comprehensive Income (Loss) for the quarter ended March 31, 2016 is as follows: For the Quarter Ended March 31, 2016 (dollars in thousands) Net interest income: Interest income $ 21,030 Interest expense 7,876 Net interest income 13,154 Other income (loss): Unrealized gain (loss) on financial instruments at fair value (1) 147 Guarantee fees and servicing costs (5,297 ) Other income (loss) (5,150 ) General and administration expenses 2 Net income $ 8,002 (1) Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings.

CORPORATE DEBT (Tables)

CORPORATE DEBT (Tables)	3 Months Ended
	Mar. 31, 2016
Schedule of Industry and Interest Rate Characteristics	The industry and interest rate characteristics of the portfolio as of March 31, 2016 are as follows: Industry Dispersion Fixed Rate Floating Rate Total (dollars in thousands) Healthcare $ - $ 173,896 $ 173,896 Security services 74,700 - 74,700 Technology - 93,292 93,292 Business services 4,359 134,515 138,874 Agriculture and protein processing - 41,576 41,576 Food & beverage - 27,930 27,930 Mining & minerals - 24,671 24,671 Consumer products - 23,230 23,230 Manufacturing - 7,477 7,477 Education services - 21,168 21,168 Packaging - 12,667 12,667 Total $ 79,059 $ 560,422 $ 639,481
Credit Risk [Member]
Aggregate positions by Respective Place in the Capital Structure of the Borrowers	The table below reflects the Company's aggregate positions by their respective place in the capital structure of the borrowers as of March 31, 2016. March 31, 2016 (dollars in thousands) First lien loans $ 397,693 Second lien loans 162,729 Second lien notes 74,700 Subordinated notes 4,359 Total $ 639,481

FAIR VALUE MEASUREMENTS (Tables

FAIR VALUE MEASUREMENTS (Tables)	3 Months Ended
	Mar. 31, 2016
Schedule of Fair Values, 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 March 31, 2016 (dollars in thousands) Assets: Agency mortgage-backed securities $ - 65,439,824 $ - $ 65,439,824 Agency debentures - 157,035 - 157,035 Credit risk transfer securities - 501,167 - 501,167 Non-Agency mortgage-backed securities - 1,157,507 - 1,157,507 Commercial real estate debt investments - 4,401,725 - 4,401,725 Interest rate swaps - 93,312 - 93,312 Other derivatives 717 76,732 - 77,449 Total assets $ 717 $ 71,827,302 $ - $ 71,828,019 Liabilities: Securitized debt of consolidated VIEs $ - 3,677,079 $ - $ 3,677,079 Interest rate swaps - 2,782,961 - 2,782,961 Other derivatives 69,171 - - 69,171 Total liabilities $ 69,171 $ 6,460,040 $ - $ 6,529,211 Level 1 Level 2 Level 3 Total December 31, 2015 (dollars in thousands) Assets: Agency mortgage-backed securities $ - $ 65,718,224 $ - $ 65,718,224 Agency debentures - 152,038 - 152,038 Credit risk transfer securities - 456,510 - 456,510 Non-Agency mortgage-backed securities - 906,722 - 906,722 Commercial real estate debt investments - 2,911,828 - 2,911,828 Interest rate swaps - 19,642 - 19,642 Other derivatives 12,443 9,623 - 22,066 Total assets $ 12,443 $ 70,174,587 $ - $ 70,187,030 Liabilities: Securitized debt of consolidated VIEs $ - $ 2,366,878 $ - $ 2,366,878 Interest rate swaps - 1,677,571 - 1,677,571 Other derivatives 32,778 17,185 - 49,963 Total liabilities $ 32,778 $ 4,061,634 $ - $ 4,094,412
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 and December 31, 2015. March 31, 2016 December 31, 2015 Level in Fair Value Hierarchy Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Cash and cash equivalents 1 $ 2,416,136 $ 2,416,136 $ 1,769,258 $ 1,769,258 Agency mortgage-backed securities 2 65,439,824 65,439,824 65,718,224 65,718,224 Agency debentures 2 157,035 157,035 152,038 152,038 Credit risk transfer securities 2 501,167 501,167 456,510 456,510 Non-Agency mortgage-backed securities 2 1,157,507 1,157,507 906,722 906,722 Commercial real estate debt investments 2 4,401,725 4,401,725 2,911,828 2,911,828 Commercial real estate debt and preferred equity, held for investment 3 1,177,468 1,170,280 1,348,817 1,350,968 Loans held for sale 3 278,600 278,600 278,600 278,600 Corporate debt (1) 2 639,481 626,486 488,508 470,894 Interest rate swaps 2 93,312 93,312 19,642 19,642 Other derivatives 1,2 77,449 77,449 22,066 22,066 Financial liabilities: Repurchase agreements 1,2 $ 54,448,141 $ 54,562,824 $ 56,230,860 $ 56,361,623 Other secured financing 1,2 3,588,326 3,590,225 1,845,048 1,846,095 Securitized debt of consolidated VIEs 2 3,802,682 3,802,898 2,540,711 2,541,193 Participation sold 2 13,182 12,691 13,286 13,138 Mortgage payable 3 334,765 350,599 334,707 339,849 Interest rate swaps 2 2,782,961 2,782,961 1,677,571 1,677,571 Other derivatives 1,2 69,171 69,171 49,963 49,963 (1) Includes a held-to-maturity debt security carried at amortized cost of $74.7 million as of March 31, 2016 and December 31, 2015.

SECURED FINANCING (Tables)

SECURED FINANCING (Tables)	3 Months Ended
	Mar. 31, 2016
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates	At , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: March 31, 2016 Repurchase Agreements by Collateral Type Weighted Average Rate Agency Mortgage-backed Securities Debentures CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements (dollars in thousands) 1 day $ 8,050,000 $ - $ - $ - $ - $ 8,050,000 0.62 % 2 to 29 days 12,466,595 - 54,656 320,677 - 12,841,928 0.75 % 30 to 59 days 4,663,011 - 59,313 156,354 - 4,878,678 0.82 % 60 to 89 days 9,118,832 - - 146,165 - 9,264,997 0.96 % 90 to 119 days 4,270,155 - - - - 4,270,155 0.95 % Over 120 days (1) 14,954,590 - - - 187,793 15,142,383 1.46 % Total $ 53,523,183 $ - $ 113,969 $ 623,196 $ 187,793 $ 54,448,141 0.99 % December 31, 2015 Repurchase Agreements by Collateral Type Weighted Average Rate Agency Mortgage-backed Securities Debentures CRTs Non-Agency Mortgage-backed Securities Commercial Loans Total Repurchase Agreements (dollars in thousands) 1 day $ - $ - $ - $ - $ - $ - 0.00 % 2 to 29 days 20,123,464 - 83,664 260,359 - 20,467,487 0.69 % 30 to 59 days 7,898,646 - 59,189 65,374 - 8,023,209 0.74 % 60 to 89 days 4,046,593 - - 78,833 - 4,125,426 0.74 % 90 to 119 days 4,846,580 - - - - 4,846,580 0.60 % Over 120 days (1) 18,557,715 - - 31,015 179,428 18,768,158 1.33 % Total $ 55,472,998 $ - $ 142,853 $ 435,581 $ 179,428 $ 56,230,860 0.90 % (1) Approximately 12% and 14% of the total repurchase agreements had a remaining maturity over 1 year as of March 31, 2016 and December 31, 2015, respectively.
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 March 31, 2016 and December 31, 2015 . March 31, 2016 December 31, 2015 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ - $ 54,448,141 $ - $ 56,230,860 Amounts Offset - - - - Netted Amounts $ - $ 54,448,141 $ - $ 56,230,860

DERIVATIVE INSTRUMENTS (Tables)

DERIVATIVE INSTRUMENTS (Tables)	3 Months Ended
	Mar. 31, 2016
Summarizes Fair Value Information about Derivative Assets Liabilities	The table below summarizes fair value information about our derivative assets and liabilities as of March 31, 2016 and December 31, 2015: Derivatives Instruments Balance Sheet Location March 31, 2016 December 31, 2015 Assets: (dollars in thousands) Interest rate swaps Interest rate swaps, at fair value $ 93,312 $ 19,642 TBA derivatives Other derivatives, at fair value 76,732 9,622 Futures contracts Other derivatives, at fair value 717 12,444 $ 170,761 $ 41,708 Liabilities: Interest rate swaps Interest rate swaps, at fair value $ 2,782,961 $ 1,677,571 TBA derivatives Other derivatives, at fair value - 17,185 Futures contracts Other derivatives, at fair value 69,171 32,778 $ 2,852,132 $ 1,727,534
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 March 31, 2016 and December 31, 2015, respectively. March 31, 2016 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 93,312 $ (93,312 ) $ - $ - TBA derivatives, at fair value 76,732 - - 76,732 Futures contracts, at fair value 717 (110 ) - 607 Liabilities: Interest rate swaps, at fair value $ 2,782,961 $ (93,312 ) $ (1,617,530 ) $ 1,072,119 TBA derivatives, at fair value - - - - Futures contracts, at fair value 69,171 (110 ) (69,061 ) - December 31, 2015 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 19,642 $ (18,040 ) $ - $ 1,602 TBA derivatives, at fair value 9,622 (7,367 ) - 2,255 Futures contracts, at fair value 12,443 (10,868 ) - 1,575 Liabilities: Interest rate swaps, at fair value $ 1,677,571 $ (18,040 ) $ (913,576 ) $ 745,955 TBA derivatives, at fair value 17,185 (7,367 ) - 9,818 Futures contracts, at fair value 32,778 (10,868 ) (21,910 ) -
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) Quarters Ended: March 31, 2016 $ (147,475 ) $ - $ (1,031,720 ) March 31, 2015 $ (158,239 ) $ (226,462 ) $ (466,202 ) (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: Quarter Ended March 31, 2016 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives (1) $ 219,993 $ 84,295 $ 304,288 Net interest rate swaptions $ - $ - $ - Futures $ (130,994 ) $ (48,120 ) $ (179,114 ) $ 125,174 Quarter Ended March 31, 2015 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets (dollars in thousands) Net TBA derivatives (1) $ (55,644 ) $ 117,188 $ 61,544 Net interest rate swaptions $ (21,891 ) $ 17,083 $ (4,808 ) Futures $ (5,506 ) $ (58,126 ) $ (63,632 ) $ (6,896 ) (1) Includes options on TBA contracts.
Interest Rate Swaps
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company's interest rate swaps at and December 31, 2015: March 31, 2016 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 4,290,419 1.79 % 0.47 % 1.87 3 - 6 years 11,925,000 1.87 % 0.73 % 4.22 6 - 10 years 10,227,550 2.49 % 0.76 % 7.88 Greater than 10 years 3,434,400 3.54 % 0.59 % 18.64 Total / Weighted Average $ 29,877,369 2.26 % 0.69 % 6.76 December 31, 2015 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 3,240,436 1.85 % 0.36 % 1.80 3 - 6 years 11,675,000 1.82 % 0.55 % 4.25 6 - 10 years 11,635,250 2.44 % 0.57 % 7.92 Greater than 10 years 3,634,400 3.70 % 0.43 % 19.37 Total / Weighted Average $ 30,185,086 2.26 % 0.53 % 7.02 (1) There were no forward starting pay fixed swaps as of March 31, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015. (2) Excludes forward starting swaps. (3) There were no forward starting pay fixed swaps as of March 31, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015.
Future
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company's futures derivatives as of : March 31, 2016 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (4,375,000 ) 2.00 U.S. Treasury futures - 5 year - (1,847,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (655,600 ) 6.75 Total $ - $ (6,877,800 ) 3.10 December 31, 2015 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ - $ (7,000,000 ) 2.00 U.S. Treasury futures - 5 year - (1,847,200 ) 4.42 U.S. Treasury futures - 10 year and greater - (655,600 ) 6.92 Total $ - $ (9,502,800 ) 2.81
TBA Derivatives
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company's TBA derivatives as of : March 31, 2016 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 14,273,000 $ 14,847,792 $ 14,924,524 $ 76,732 December 31, 2015 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,761,000 $ 14,177,338 $ 14,169,775 $ (7,563 )

INTEREST INCOME AND INTEREST 37

INTEREST INCOME AND INTEREST EXPENSE (Tables)	3 Months Ended
	Mar. 31, 2016
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 ended and 2015. For the Quarters Ended March 31, 2016 2015 Interest income: (dollars in thousands) Residential Investment Securities $ 315,717 $ 478,239 Commercial investment portfolio (1) 70,187 40,336 Reverse repurchase agreements 2,239 539 Total interest income 388,143 519,114 Interest expense: Repurchase agreements 132,891 102,748 Convertible Senior Notes - 23,627 Securitized debt of consolidated VIEs 9,033 2,882 Participation sold 158 159 Other 5,365 4 Total interest expense 147,447 129,420 Net interest income $ 240,696 $ 389,694 (1)

NET INCOME (LOSS) PER COMMON 38

NET INCOME (LOSS) PER COMMON SHARE (Tables)	3 Months Ended
	Mar. 31, 2016
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 ended March 31, 2016 and 2015. For the Quarters Ended March 31, 2016 March 31, 2015 (dollars in thousands, except per share data) Net income (loss) $ (868,080 ) $ (476,499 ) Less: Net income (loss) attributable to noncontrolling interest (162 ) (90 ) Net income (loss) attributable to Annaly (867,918 ) (476,409 ) Less: Preferred stock dividends 17,992 17,992 Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary (885,910 ) (494,401 ) Add: Interest on Convertible Senior Notes, if dilutive - - Net income (loss) available to common stockholders, as adjusted $ (885,910 ) $ (494,401 ) Weighted average shares of common stock outstanding-basic 926,813,588 947,669,831 Add: Effect of stock awards and Convertible Senior Notes, if dilutive - - Weighted average shares of common stock outstanding-diluted 926,813,588 947,669,831 Net income (loss) per share available (related) to common share: Basic $ (0.96 ) $ (0.52 ) Diluted $ (0.96 ) $ (0.52 )

LONG-TERM STOCK INCENTIVE PLAN

LONG-TERM STOCK INCENTIVE PLAN (Tables)	3 Months Ended
	Mar. 31, 2016
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 Quarters Ended March 31, 2016 March 31, 2015 Number of Shares Weighted Average Exercise Price Number of Shares Weighted Average Exercise Price Options outstanding at the beginning of period 1,168,775 $ 15.34 2,259,335 $ 15.35 Granted - - - - Exercised - - - - Forfeited (2,500 ) 13.72 (8,799 ) 14.80 Expired (30,500 ) 11.72 - - Options outstanding at the end of period 1,135,775 15.44 2,250,536 15.35 Options exercisable at the end of the period 1,135,775 $ 15.44 2,250,536 $ 15.35

LEASE COMMITMENTS AND CONTING40

LEASE COMMITMENTS AND CONTINGENCIES (Tables)	3 Months Ended
	Mar. 31, 2016
Lease Commitments and Contingencies	The following table details the lease payments. Years Ending December 31, Lease Commitments (dollars in thousands) 2016 (remaining) $ 2,673 2017 3,565 2018 3,565 2019 3,565 2020 3,652 Later years 18,343 $ 35,363

Organization and Significant Ac

Organization and Significant Accounting Policies - Narrative (Detail) - USD ($) $ in Billions	3 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Minimum
Schedule Of Significant Accounting Policies [Line Items]
Senior secured loans, maturity period	3 years
Maximum
Schedule Of Significant Accounting Policies [Line Items]
Senior secured loans, maturity period	8 years
Interest Rate Swaps
Schedule Of Significant Accounting Policies [Line Items]
Cash on margin with counterparty to interest rate swaps	$ 2.2	$ 1.6

Summary of Estimated Useful Liv

Summary of Estimated Useful Lives of Assets (Detail)	3 Months Ended
	Mar. 31, 2016
Building | Minimum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets	30 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	28 years

Recent Accounting Pronouncement

Recent Accounting Pronouncements (Detail)	3 Months Ended
	Mar. 31, 2016
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2016-01 Financial Instruments - Overall (Subtopic 825-10) Recognition and Measurement of Financial Assets and Financial Liabilities
Description	The amendments address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments.
Date of Adoption	January 1, 2018 (early adoption permitted for a provision related presentation of instrument-specific credit risk of liabilities accounted for under the fair value option)
Effect on the financial statements or other significant matters	Yes
Accounting Standards Update 2016-02
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2016-02 Leases (Topic 842)
Description	The amendments require lessees to recognize a right-of-use asset and a liability to make lease payments in the statement of financial position for most leases. The accounting for lessors is largely unchanged.
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 205-04) Disclosure of Uncertainties about an Entity'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, 2018
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2015-16
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2015-16 Business Combinations (Topic 805) Simplifying the Accounting Measurement-Period Adjustments
Description	This amendment removed the requirement to present adjustments to provisional amounts retrospectively. The update required that an acquirer record, in the same period's financial statements, the effect on earnings of changes in depreciation, amortization, or other income effects, if any, as a result of the change to provisional amounts.
Date of Adoption	January 1, 2016 (early adoption permitted)
Effect on the financial statements or other significant matters	No
Accounting Standards Update 2015-15
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	ASU 2015-15, Interest - Imputation of Interest (Subtopic 835-30) Simplifying the Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements - Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015 EITF Meeting (SEC Update)
Description	This amendment provided SEC guidance that it would not object to filers presenting debt issue costs related to line-of-credit arrangements as an asset and ratably amortizing the costs over the term of the arrangement.
Date of Adoption	June 18, 2015 (early adoption permitted)
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 updated the codification for technical corrections and improvements.
Date of Adoption	January 1, 2016 (early adoption permitted), for amendments subject to 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 removed the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and also removes certain disclosure requirements for these investments.
Date of Adoption	January 1, 2016 (early adoption permitted)
Effect on the financial statements or other significant matters	No
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 clarified that customers should determine whether a cloud computing arrangement includes the license of software by applying the same guidance cloud service providers use. The guidance also eliminated the current requirement that customers analogize to the leasing standard when determining the asset acquired in a software licensing arrangement.
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 required that debt issue costs are presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The recognition and measurement of debt issue costs were not affected.
Date of Adoption	January 1, 2016 (early adoption permitted)
Effect on the financial statements or other significant matters	Yes
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 affected the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds.
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 eliminated 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 provided additional guidance for evaluating whether conversion rights, redemption rights, voting rights, liquidation rights and dividend payment preferences and other features embedded in a share, including preferred stock, contain embedded derivatives requiring bifurcation. The update requires that an entity determine the nature of the host contract by considering all stated and implied terms and features in a hybrid instrument.
Date of Adoption	January 1, 2016 (early adoption permitted)
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 provided a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.
Date of Adoption	January 1, 2016 (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 made 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	No
Accounting Standards Update 2014-08
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Standard	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
Description	This ASU raised 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 clarified that an in substance repossession or foreclosure has occurred, and a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan, when the creditor obtains legal title to the property upon completion of a foreclosure or the borrower conveys all interest in the property to the creditor through a deed in lieu of foreclosure or similar arrangement.
Date of Adoption	January 1, 2015
Effect on the financial statements or other significant matters	No

Residential Investment Securi44

Residential Investment Securities - Portfolio (Detail) - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015
Mortgage-Backed Securities Portfolio:
Estimated Fair Value		$ 67,255,533	$ 67,233,494
Residential Credit Securities Mortgage Backed Securities [Member]
Mortgage-Backed Securities Portfolio:
Principal / Notional		2,824,941	2,218,496
Remaining Premium		21,571	19,013
Remaining Discount		(69,970)	(51,260)
Amortized Cost		1,662,308	1,375,004
Amortized Cost		1,662,308	1,375,004
Unrealized Gains	[1]	8,579	967
Unrealized Losses	[1]	(12,213)	(12,739)
Estimated Fair Value		1,658,674	1,363,232
Residential Credit Securities Mortgage Backed Securities [Member] | CRT
Mortgage-Backed Securities Portfolio:
Principal / Notional		517,207	476,084
Remaining Premium		1,586	2,225
Remaining Discount		(14,763)	(12,840)
Amortized Cost		504,030	465,469
Amortized Cost		504,030	465,469
Unrealized Gains	[1]	3,138	250
Unrealized Losses	[1]	(6,001)	(9,209)
Estimated Fair Value		501,167	456,510
Residential Credit Securities Mortgage Backed Securities [Member] | Legacy
Mortgage-Backed Securities Portfolio:
Principal / Notional	[2]	484,784	378,527
Remaining Premium	[2]	879	773
Remaining Discount	[2]	(52,182)	(37,150)
Amortized Cost	[2]	433,481	342,150
Amortized Cost	[2]	433,481	342,150
Unrealized Gains	[1],[2]	1,251	698
Unrealized Losses	[1],[2]	(4,306)	(1,140)
Estimated Fair Value	[2]	430,426	341,708
Residential Credit Securities Mortgage Backed Securities [Member] | NPL/RPL
Mortgage-Backed Securities Portfolio:
Principal / Notional		428,656	354,945
Remaining Premium		50	19
Remaining Discount		(1,579)	(1,270)
Amortized Cost		427,127	353,694
Amortized Cost		427,127	353,694
Unrealized Gains	[1]	153	19
Unrealized Losses	[1]	(941)	(1,172)
Estimated Fair Value		426,339	352,541
Residential Credit Securities Mortgage Backed Securities [Member] | New Issue
Mortgage-Backed Securities Portfolio:
Principal / Notional		280,060	197,695
Remaining Premium		1,233	566
Remaining Discount		(1,446)
Amortized Cost		279,847	198,261
Amortized Cost		279,847	198,261
Unrealized Gains	[1]	3,713
Unrealized Losses	[1]		(1,060)
Estimated Fair Value		283,560	197,201
Residential Credit Securities Mortgage Backed Securities [Member] | New Issue Interest Only
Mortgage-Backed Securities Portfolio:
Principal / Notional		1,114,234	811,245
Remaining Premium		17,823	15,430
Amortized Cost		17,823	15,430
Amortized Cost		17,823	15,430
Unrealized Gains	[1]	324
Unrealized Losses	[1]	(965)	(158)
Estimated Fair Value		17,182	15,272
Agency Securities [Member]
Mortgage-Backed Securities Portfolio:
Principal / Notional		69,628,365	70,856,126
Remaining Premium		4,800,690	4,993,883
Remaining Discount		(10,391)	(10,384)
Amortized Cost		65,056,068	66,340,293
Amortized Cost		65,056,068	66,340,293
Unrealized Gains	[1]	887,006	499,035
Unrealized Losses	[1]	(346,215)	(969,066)
Estimated Fair Value		65,596,859	65,870,262
Agency Securities [Member] | Fixed Rate Pass-through
Mortgage-Backed Securities Portfolio:
Principal / Notional		56,120,429	57,339,705
Remaining Premium		3,093,155	3,270,521
Remaining Discount		(2,392)	(2,832)
Amortized Cost		59,211,192	60,607,394
Amortized Cost		59,211,192	60,607,394
Unrealized Gains	[1]	765,776	400,350
Unrealized Losses	[1]	(204,912)	(824,862)
Estimated Fair Value		59,772,056	60,182,882
Agency Securities [Member] | Adjustable-rate Pass-through
Mortgage-Backed Securities Portfolio:
Principal / Notional		3,064,341	2,894,192
Remaining Premium		68,241	61,781
Remaining Discount		(6,974)	(6,427)
Amortized Cost		3,125,608	2,949,546
Amortized Cost		3,125,608	2,949,546
Unrealized Gains	[1]	70,485	70,849
Unrealized Losses	[1]	(220)	(10,317)
Estimated Fair Value		3,195,873	3,010,078
Agency Securities [Member] | CMO
Mortgage-Backed Securities Portfolio:
Principal / Notional		922,196	964,095
Remaining Premium		24,962	27,269
Remaining Discount		(387)	(477)
Amortized Cost		946,771	990,887
Amortized Cost		946,771	990,887
Unrealized Gains	[1]	16,943	9,137
Unrealized Losses	[1]	(4,417)	(12,945)
Estimated Fair Value		959,297	987,079
Agency Securities [Member] | Debentures
Mortgage-Backed Securities Portfolio:
Principal / Notional		158,803	158,802
Remaining Discount		(638)	(648)
Amortized Cost		158,165	158,154
Amortized Cost		158,165	158,154
Unrealized Losses	[1]	(1,130)	(6,116)
Estimated Fair Value		157,035	152,038
Agency Securities [Member] | Interest-only
Mortgage-Backed Securities Portfolio:
Principal / Notional		9,362,596	9,499,332
Remaining Premium		1,614,332	1,634,312
Amortized Cost		1,614,332	1,634,312
Amortized Cost		1,614,332	1,634,312
Unrealized Gains	[1]	33,802	18,699
Unrealized Losses	[1]	(135,536)	(114,826)
Estimated Fair Value		1,512,598	1,538,185
Residential Investments [Member]
Mortgage-Backed Securities Portfolio:
Principal / Notional		72,453,306	73,074,622
Remaining Premium		4,822,261	5,012,896
Remaining Discount		(80,361)	(61,644)
Amortized Cost		66,718,376	67,715,297
Amortized Cost		66,718,376	67,715,297
Unrealized Gains	[1]	895,585	500,002
Unrealized Losses	[1]	(358,428)	(981,805)
Estimated Fair Value		$ 67,255,533	$ 67,233,494
[1]	Unrealized gains and losses on Agency investments, excluding interest-only investments, are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit securities and Agency interest-only investments are generally reported in Net unrealized gains (losses) on financial instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).
[2]	Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.

Component of Agency Mortgage-Ba

Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Mortgage-Backed Securities Portfolio:
Estimated Fair Value	$ 67,255,533	$ 67,233,494
Agency Mortgage Backed Securities
Mortgage-Backed Securities Portfolio:
Estimated Fair Value	65,439,824	65,718,224	[1]
Agency Mortgage Backed Securities | Fannie Mae
Mortgage-Backed Securities Portfolio:
Estimated Fair Value	41,990,479	42,647,075
Agency Mortgage Backed Securities | Freddie Mac
Mortgage-Backed Securities Portfolio:
Estimated Fair Value	23,341,571	22,960,595
Agency Mortgage Backed Securities | Ginnie Mae
Mortgage-Backed Securities Portfolio:
Estimated Fair Value	$ 107,774	$ 110,554
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Residential Investment Securi46

Residential Investment Securities - Weighted Average Life (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life:
Less than one year	$ 72,348	$ 37,862
Greater than one year through five years	46,745,799	20,278,111
Greater than five years through ten years	20,238,032	46,473,701
Greater than ten years	199,354	443,820
Total	67,255,533	67,233,494
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life:
Less than one year	73,220	37,850
Greater than one year through five years	46,268,066	20,066,435
Greater than five years through ten years	20,176,740	47,174,319
Greater than ten years	200,350	436,693
Total	$ 66,718,376	$ 67,715,297

Residential Investment Securi47

Residential Investment Securities - Unrealized Loss Position (Detail) $ in Thousands		Mar. 31, 2016USD ($)Securities	Dec. 31, 2015USD ($)Securities
Unrealized Loss Position For:
Estimated Fair Value	[1]	$ 23,366,016	$ 41,777,836
Gross Unrealized Losses	[1]	$ (210,679)	$ (854,240)
Number of Securities | Securities	[1]	255	652
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	[1]	$ 2,633,437	$ 20,072,072
Gross Unrealized Losses	[1]	$ (7,176)	$ (164,259)
Number of Securities | Securities	[1]	67	463
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	[1]	$ 20,732,579	$ 21,705,764
Gross Unrealized Losses	[1]	$ (203,503)	$ (689,981)
Number of Securities | Securities	[1]	188	189
[1]	Excludes interest-only mortgage-backed securities.

Residential Investment Securi48

Residential Investment Securities - Narrative (Detail) - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Mortgage-Backed Securities Sold:
Residential Investment securities sold, carrying value	$ 3,500	$ 14,900
Residential Investment securities sold, realized gain	$ (1.7)	$ 62.3

Commercial Real Estate Invest49

Commercial Real Estate Investments - Additional Information (Detail)	Dec. 11, 2015USD ($)	Apr. 30, 2016USD ($)	Feb. 29, 2016USD ($)Loan	Apr. 30, 2015USD ($)Loan	Feb. 28, 2015USD ($)Loan	Jan. 31, 2014USD ($)	Mar. 31, 2016USD ($)		Mar. 31, 2015USD ($)	Dec. 31, 2015USD ($)
Real Estate Properties [Line Items]
Sales of senior loan										$ 46,945,000
Weighted average amortization period for intangible assets and liabilities							7 years 2 months 12 days
Depreciation expense							$ 4,570,000		$ 2,823,000
Securitization financing transaction, purchase						$ 399,500,000
Securitization financing transaction, total						$ 260,700,000	3,802,682,000	[1]		2,540,711,000	[1],[2]
Securitization financing transaction, weighted average rate						65.30%
Securitization cost						$ 4,300,000
Carrying value of trust's liabilities							125,600,000
Senior Secured mortgages of Consolidated VIE							211,900,000			262,700,000	[2]
Unamortized origination fees							200,000
Deferred financing costs							200,000
FREMF Trust
Real Estate Properties [Line Items]
Exposure to the obligations of the VIE limited to the amount of investment					$ 291,000,000
Gain (Loss) recognized upon initial consolidation					0
Debt issue costs expensed							200,000		800,000
Mortgage loans, unpaid principal balance							4,000,000,000
Loans 90 days or more past due or on nonaccrual status							0
Gain (Loss) attributable to instrument- specific credit risk							0
Freddie Mac | FREMF 2015-KLSF [Member] | FREMF Trust
Real Estate Properties [Line Items]
Variable interest entity, consolidated, carrying amount, assets							1,300,000,000
Variable interest entity, consolidated, carrying amount, liabilities							1,200,000,000
Payment to purchase mortgage loans					$ 102,100,000
Freddie Mac | FREMF 2015-KF07 | FREMF Trust
Real Estate Properties [Line Items]
Variable interest entity, consolidated, carrying amount, assets							1,100,000,000
Variable interest entity, consolidated, carrying amount, liabilities							1,000,000,000
Payment to purchase mortgage loans				$ 89,400,000
Freddie Mac | FREM 2016-KLH1 [Member] | FREMF Trust
Real Estate Properties [Line Items]
Face value			$ 107,600,000
Variable interest entity, consolidated, carrying amount, assets							1,500,000,000
Variable interest entity, consolidated, carrying amount, liabilities							$ 1,400,000,000
Payment to purchase mortgage loans			107,600,000
Discounted value			$ 4,400,000
Freddie Mac | Floating Rate Multifamily Mortgage Loans [Member] | FREMF 2015-KLSF [Member]
Real Estate Properties [Line Items]
Number of loans in the underlying portfolio | Loan					11
Face value					$ 1,400,000,000
Freddie Mac | Floating Rate Multifamily Mortgage Loans [Member] | FREMF 2015-KF07
Real Estate Properties [Line Items]
Number of loans in the underlying portfolio | Loan				40
Face value				$ 1,200,000,000
Freddie Mac | Floating Rate Multifamily Mortgage Loans [Member] | FREM 2016-KLH1 [Member]
Real Estate Properties [Line Items]
Number of loans in the underlying portfolio | Loan			28
Face value			$ 1,500,000,000
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
Commercial Mortgage Loan [Member]
Real Estate Properties [Line Items]
Debt issued							$ 338,346,000			$ 338,444,000
CALIFORNIA | Commercial Mortgage Loan [Member] | Eight Class AB Office Properties In Orange Country California [Member]
Real Estate Properties [Line Items]
Funding for senior mortgage loan, net of origination fees	$ 278,600,000
Future funding commitment	30,000,000
Funding for senior mortgage loan, net of origination fees	280,000,000
Debt issued	335,000,000
CALIFORNIA | Commercial Mortgage Loan [Member] | Eight Class AB Office Properties In Orange Country California [Member] | Subsequent Event
Real Estate Properties [Line Items]
Sales of senior loan		$ 115,000,000
Gain on sales of senior loan		0
CALIFORNIA | Commercial Mortgage Loan [Member] | Eight Class AB Office Properties In Orange Country California [Member] | Mezzanine Loans
Real Estate Properties [Line Items]
Funding for senior mortgage loan, net of origination fees	52,700,000
Debt issued	$ 55,000,000
CALIFORNIA | Commercial Mortgage Loan [Member] | Senior Loans | Eight Class AB Office Properties In Orange Country California [Member] | Subsequent Event
Real Estate Properties [Line Items]
Remains senior loan held for sale		$ 165,000,000
Other Operating Income (Expense) [Member]
Real Estate Properties [Line Items]
Depreciation expense							$ 4,600,000		$ 2,800,000
[1]	Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at March 31, 2016 and December 31, 2015, respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2015.

CRE Debt and Preferred Equity I

CRE Debt and Preferred Equity Investments (Detail) - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015
Transaction to Real Estate Investments [Line Items]
Carrying Value	[1]	$ 1,177,468	$ 1,348,817
Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Carrying Value	[1]	8,953	121,773
Commercial Mortgage
Transaction to Real Estate Investments [Line Items]
Outstanding Principal	[1]	1,184,455	1,355,422
Carrying Value	[1],[2]	$ 1,177,468	$ 1,348,817
Percentage of Loan Portfolio	[1],[3]	100.00%	100.00%
Commercial Mortgage | Senior Mortgages
Transaction to Real Estate Investments [Line Items]
Outstanding Principal		$ 477,302	$ 387,314
Carrying Value	[1],[2]	$ 474,559	$ 385,838
Percentage of Loan Portfolio	[3]	40.30%	28.60%
Commercial Mortgage | Senior Securitized Mortgages
Transaction to Real Estate Investments [Line Items]
Outstanding Principal	[4],[5]	$ 212,072	$ 263,072
Carrying Value	[1],[2],[4],[5]	$ 211,855	$ 262,703
Percentage of Loan Portfolio	[3],[5]	17.90%	19.40%
Commercial Mortgage | Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Outstanding Principal		$ 9,000	$ 122,444
Carrying Value	[2]	$ 8,953	$ 121,773
Percentage of Loan Portfolio	[3]	0.80%	9.00%
Commercial Mortgage | Mezzanine Loans
Transaction to Real Estate Investments [Line Items]
Outstanding Principal		$ 486,081	$ 582,592
Carrying Value	[1],[2]	$ 482,101	$ 578,503
Percentage of Loan Portfolio	[3]	41.00%	43.00%
[1]	Excludes Loans held for sale.
[2]	Carrying value includes unamortized origination fees of $7.1 million and $8.1 million as of March 31, 2016 and December 31, 2015, respectively.
[3]	Based on outstanding principal.
[4]	Assets of consolidated VIE.
[5]	Assets of consolidated VIEs.

CRE Debt and Preferred Equity51

CRE Debt and Preferred Equity Investments (Parenthetical) (Detail) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Commercial Mortgage
Transaction to Real Estate Investments [Line Items]
Net origination fees	$ 7.1	$ 6.9

CRE Debt and Preferred Equity52

CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) - USD ($) $ in Thousands		3 Months Ended	12 Months Ended
		Mar. 31, 2016	Dec. 31, 2015
Transaction to Real Estate Investments [Line Items]
Beginning balance		$ 1,348,817	$ 1,518,165
Originations & advances (principal)		180,962	489,237
Principal payments		(351,930)	(625,642)
Sales (principal)			(46,945)
Amortization & accretion of (premium) discounts		(255)	143
Net (increase) decrease in origination fees		(1,863)	(8,787)
Amortization of net origination fees		1,737	4,146
Transfers			18,500
Allowance for loan losses		0	0
Net carrying value	[1]	1,177,468	1,348,817
Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Beginning balance		121,773	212,905
Principal payments		(113,445)	(92,210)
Amortization & accretion of (premium) discounts			517
Amortization of net origination fees		625	561
Allowance for loan losses		0	0
Net carrying value	[1]	8,953	121,773
Commercial Mortgage
Transaction to Real Estate Investments [Line Items]
Net carrying value	[1],[2]	1,177,468	1,348,817
Commercial Mortgage | Mezzanine Loans
Transaction to Real Estate Investments [Line Items]
Beginning balance		578,503	522,731
Originations & advances (principal)		25,897	195,312
Principal payments		(122,408)	(153,693)
Amortization & accretion of (premium) discounts		(221)	(232)
Net (increase) decrease in origination fees		(285)	(4,806)
Amortization of net origination fees		615	691
Transfers			18,500
Allowance for loan losses		0	0
Net carrying value	[1],[2]	482,101	578,503
Commercial Mortgage | Senior Mortgages
Transaction to Real Estate Investments [Line Items]
Beginning balance		385,838	383,895
Originations & advances (principal)		155,065	293,925
Principal payments		(65,077)	(243,270)
Sales (principal)			(46,945)
Amortization & accretion of (premium) discounts		(34)	(142)
Net (increase) decrease in origination fees		(1,578)	(3,702)
Amortization of net origination fees		345	2,077
Allowance for loan losses		0	0
Net carrying value	[1],[2]	474,559	385,838
Commercial Mortgage | Senior Securitized Mortgages
Transaction to Real Estate Investments [Line Items]
Beginning balance	[3]	262,703	398,634
Principal payments	[3]	(51,000)	(136,469)
Net (increase) decrease in origination fees	[3]		(279)
Amortization of net origination fees	[3]	152	817
Allowance for loan losses	[3]	0	0
Net carrying value	[1],[2],[3],[4]	211,855	262,703
Commercial Mortgage | Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Net carrying value	[2]	$ 8,953	$ 121,773
[1]	Excludes Loans held for sale.
[2]	Carrying value includes unamortized origination fees of $7.1 million and $8.1 million as of March 31, 2016 and December 31, 2015, respectively.
[3]	Assets of consolidated VIE.
[4]	Assets of consolidated VIEs.

Internal CRE Debt and Preferred

Internal CRE Debt and Preferred Equity Ratings (Detail) - Commercial Mortgage - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015
Transaction to Real Estate Investments [Line Items]
Performing		$ 443,041	$ 520,263
Closely Monitored		419,995	600,561
Special Mention		321,419	234,598
Internal Rating Substandard		0	0
Doubtful		0	0
Loss		0	0
Total	[1]	1,184,455	1,355,422
Senior Mortgages
Transaction to Real Estate Investments [Line Items]
Performing		91,321	71,000
Closely Monitored		243,681	283,148
Special Mention		142,300	33,166
Internal Rating Substandard		0	0
Doubtful		0	0
Loss		0	0
Total		477,302	387,314
Senior Securitized Mortgages
Transaction to Real Estate Investments [Line Items]
Performing	[2]	55,770	106,770
Closely Monitored	[2]	15,500	15,500
Special Mention	[2]	140,802	140,802
Internal Rating Substandard	[2]	0	0
Doubtful	[2]	0	0
Loss	[2]	0	0
Total	[2],[3]	212,072	263,072
Preferred Equity Interests
Transaction to Real Estate Investments [Line Items]
Closely Monitored			81,944
Special Mention		9,000	40,500
Internal Rating Substandard		0	0
Doubtful		0	0
Loss		0	0
Total		9,000	122,444
Mezzanine Loans
Transaction to Real Estate Investments [Line Items]
Performing		295,950	342,493
Closely Monitored		160,814	219,969
Special Mention		29,317	20,130
Internal Rating Substandard		0	0
Doubtful		0	0
Loss		0	0
Total		$ 486,081	$ 582,592
[1]	Excludes Loans held for sale.
[2]	Assets of consolidated VIE.
[3]	Assets of consolidated VIEs.

Summary of Acquisitions of Real

Summary of Acquisitions of Real Estate Held for Investment (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2016USD ($)
Transaction to Real Estate Investments [Line Items]
Type	$ 610
OHIO | Single Tenant Properties [Member]
Transaction to Real Estate Investments [Line Items]
Date of Acquisition	Jul. 31, 2015
Type	$ 0
Purchase Price	$ 11,000
Remaining Lease Term (Years)	4 years 7 months 6 days
FLORIDA | Multi Tenant Properties
Transaction to Real Estate Investments [Line Items]
Date of Acquisition	Aug. 31, 2015
Type	$ 0
Purchase Price	$ 18,900
Remaining Lease Term (Years)	5 years 1 month 6 days
DISTRICT OF COLUMBIA | Multi Family Real Estate Properties
Transaction to Real Estate Investments [Line Items]
Date of Acquisition	Oct. 31, 2015
Type	$ 0
Purchase Price	$ 75,000
Remaining Lease Term (Years)	3 months 18 days
CALIFORNIA | Multi Tenant Properties
Transaction to Real Estate Investments [Line Items]
Date of Acquisition	Oct. 31, 2015
Type	$ 0
Purchase Price	$ 37,750
Remaining Lease Term (Years)	3 years
TEXAS | Multi Tenant Properties
Transaction to Real Estate Investments [Line Items]
Date of Acquisition	Nov. 30, 2015
Type	$ 0
Purchase Price	$ 131,950
Remaining Lease Term (Years)	4 years 3 months 18 days

Total Commercial Real Estate He

Total Commercial Real Estate Held for Investments (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Real estate held for investment, at amortized cost
Real estate held for investment, at amortized cost	$ 487,707	$ 487,097
Less: accumulated depreciation	(21,456)	(16,886)
Total real estate held for investment, at amortized cost, net	466,251	470,211
Equity in unconsolidated joint ventures	61,535	65,735
Investments in commercial real estate, net	527,786	535,946	[1]
Land
Real estate held for investment, at amortized cost
Real estate held for investment, at amortized cost	113,494	113,494
Building Improvements
Real estate held for investment, at amortized cost
Real estate held for investment, at amortized cost	$ 374,213	$ 373,603
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Minimum Future Rentals to be Re

Minimum Future Rentals to be Received on Non-cancelable Operating Leases (Detail) $ in Thousands	Mar. 31, 2016USD ($)
Operating Leased Assets [Line Items]
2016 (remaining)	$ 26,105
2,017	30,305
2,018	26,238
2,019	22,157
2,020	17,848
Later years	53,326
Operating Leases, Future Minimum Payments Receivable, Total	$ 175,979

Mortgage Loans Payable (Detail)

Mortgage Loans Payable (Detail) - Commercial Mortgage Loan [Member] - USD ($) $ in Thousands		3 Months Ended	12 Months Ended
		Mar. 31, 2016	Dec. 31, 2015
Mortgage Loans on Real Estate [Line Items]
Mortgage Carrying Value		$ 334,765	$ 334,707
Mortgage Principal		338,346	338,444
Joint Venture [Member] | Minimum
Mortgage Loans on Real Estate [Line Items]
Mortgage Carrying Value		292,821	292,658
Mortgage Principal		$ 296,325	$ 296,325
Interest rate		2.30%	2.30%
Fixed/Floating Rate	[1]	Floating
Maturity Date		Dec. 31, 2016	Dec. 31, 2016
Priority		First liens
Joint Venture [Member] | Maximum
Mortgage Loans on Real Estate [Line Items]
Interest rate		4.61%	4.61%
Fixed/Floating Rate		Floating
Maturity Date		Dec. 31, 2025	Dec. 31, 2025
Three Thousand One Hundred South Mall [Member]
Mortgage Loans on Real Estate [Line Items]
Mortgage Carrying Value		$ 12,236	$ 12,228
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		$ 11,012	$ 11,012
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		$ 16,271	$ 16,365
Mortgage Principal		$ 16,227	$ 16,308
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		$ 2,425	$ 2,444
Mortgage Principal		$ 2,419	$ 2,436
Interest rate		3.45%	3.45%
Fixed/Floating Rate	[2]	Floating
Maturity Date		Mar. 29, 2017	Mar. 29, 2017
Priority		First liens
[1]	Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 4.31%, receive floating rate of L+215).
[2]	Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).

Future Mortgage Loan Principal

Future Mortgage Loan Principal Payments (Detail) $ in Thousands	Mar. 31, 2016USD ($)
Schedule Of Long Term Debt Maturities [Line Items]
2016 (remaining)	$ 7,502
2,017	18,344
2,018	0
2,019	23,375
2,020	0
Later years	289,125
Long-term Debt, Total	$ 338,346

Statement of Financial Conditio

Statement of Financial Condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015	[1]
ASSETS
Total assets	$ 77,443,965	$ 75,190,893
Liabilities
Accrued interest payable	163,983	151,843
Total liabilities	65,785,958	$ 63,284,971
FREMF Trust
ASSETS
Senior securitized commercial mortgages carried at fair value	3,968,118
Accrued interest receivable	8,351
Total assets	3,976,469
Liabilities
Securitized debt (non-recourse) at fair value	3,677,079
Accrued interest payable	4,311
Total liabilities	$ 3,681,390
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Statement of Comprehensive Inco

Statement of Comprehensive Income (Loss) of FREMF Trusts Reflected the Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015
Net interest income:
Interest income		$ 388,143		$ 519,114
Interest expense		147,447		129,420
Net interest income		240,696		389,694
Other income (loss):
Other income (loss)		6,115		(13,758)
General and administration expenses		47,945		50,938
Net income (loss)		(868,080)	$ (476,499)	$ (476,499)
FREMF Trust
Net interest income:
Interest income		21,030
Interest expense		7,876
Net interest income		13,154
Other income (loss):
Unrealized gain (loss) on financial instruments at fair value	[1]	147
Guarantee fees and servicing costs		(5,297)
Other income (loss)		(5,150)
General and administration expenses		2
Net income (loss)		$ 8,002
[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) $ in Thousands	3 Months Ended
	Mar. 31, 2016USD ($)
Concentration Risk [Line Items]
Principal Balance	$ 3,995,065
Securitized Loans [Member] | Credit Concentration Risk [Member]
Concentration Risk [Line Items]
Percentage Balance	100.00%
TEXAS
Concentration Risk [Line Items]
Principal Balance	$ 749,569
TEXAS | Securitized Loans [Member] | Credit Concentration Risk [Member]
Concentration Risk [Line Items]
Percentage Balance	18.80%
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	13.50%
MARYLAND
Concentration Risk [Line Items]
Principal Balance	$ 499,495
MARYLAND | Securitized Loans [Member] | Credit Concentration Risk [Member]
Concentration Risk [Line Items]
Percentage Balance	12.50%
FLORIDA
Concentration Risk [Line Items]
Principal Balance	$ 456,663
FLORIDA | Securitized Loans [Member] | Credit Concentration Risk [Member]
Concentration Risk [Line Items]
Percentage Balance	11.40%
Other
Concentration Risk [Line Items]
Principal Balance	$ 1,751,963
Other | Securitized Loans [Member] | Credit Concentration Risk [Member]
Concentration Risk [Line Items]
Percentage Balance	43.80%

Schedule of Industry and Intere

Schedule of Industry and Interest Rate Characteristics (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015	[1]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 639,481	$ 488,508
Healthcare [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	173,896
Security Services [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	74,700
Technology [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	93,292
Business Services [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	138,874
Agriculture And Protein Processing [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	41,576
Food And Beverage [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	27,930
Mining And Minerals [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,671
Consumer Products [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	23,230
Manufacturing [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	7,477
Education [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	21,168
Packaging [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,667
Fixed Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	79,059
Fixed Rate [Member] | Security Services [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	74,700
Fixed Rate [Member] | Business Services [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	4,359
Floating Rate [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	560,422
Floating Rate [Member] | Healthcare [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	173,896
Floating Rate [Member] | Technology [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	93,292
Floating Rate [Member] | Business Services [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	134,515
Floating Rate [Member] | Agriculture And Protein Processing [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	41,576
Floating Rate [Member] | Food And Beverage [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	27,930
Floating Rate [Member] | Mining And Minerals [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,671
Floating Rate [Member] | Consumer Products [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	23,230
Floating Rate [Member] | Manufacturing [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	7,477
Floating Rate [Member] | Education [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	21,168
Floating Rate [Member] | Packaging [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 12,667
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Aggregate Positions in Capital

Aggregate Positions in Capital Structure of Borrowers (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015	[1]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt, total	$ 639,481	$ 488,508
Subordinated Debt [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt, total	4,359
First Lien [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt, total	397,693
Second Lien [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt, total	162,729
Corporate Debt Securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt, total	$ 74,700
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Fair Value Measurements (Detail

Fair Value Measurements (Detail) - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015
Assets:
Agency mortgage-backed securities		$ 65,439,824	$ 65,718,224
Agency debentures		157,035	152,038	[1]
Credit risk transfer securities		501,167	456,510	[1]
Non-Agency mortgage-backed securities		1,157,507
Non-Agency mortgage-backed securities		67,255,533	67,233,494
Commercial real estate debt investments	[2]	4,401,725	2,911,828	[1]
Interest rate swaps		93,312	19,642	[1]
Other derivatives		77,449	22,066
Total assets		71,828,019	70,187,030
Liabilities:
Securitized debt of consolidated VIEs		3,677,079	2,366,878	[1]
Interest rate swaps		2,782,961	1,677,571	[1]
Other derivatives		69,171	49,963
Total liabilities		6,529,211	4,094,412
Non-Agency mortgage-backed securities [Member]
Assets:
Non-Agency mortgage-backed securities		1,157,507	906,722	[1]
Level 1
Assets:
Other derivatives		717	12,443
Total assets		717	12,443
Liabilities:
Other derivatives		69,171	32,778
Total liabilities		69,171	32,778
Level 2
Assets:
Agency mortgage-backed securities		65,439,824	65,718,224
Agency debentures		157,035	152,038
Credit risk transfer securities		501,167	456,510
Non-Agency mortgage-backed securities		1,157,507
Commercial real estate debt investments		4,401,725	2,911,828
Interest rate swaps		93,312	19,642
Other derivatives		76,732	9,623
Total assets		71,827,302	70,174,587
Liabilities:
Securitized debt of consolidated VIEs		3,677,079	2,366,878
Interest rate swaps		2,782,961	1,677,571
Other derivatives			17,185
Total liabilities		$ 6,460,040	4,061,634
Level 2 | Non-Agency mortgage-backed securities [Member]
Assets:
Non-Agency mortgage-backed securities			$ 906,722
[1]	Derived from the audited consolidated financial statements at December 31, 2015.
[2]	Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $4.0 billion and $2.6 billion at March 31, 2016 and December 31, 2015, respectively.

Estimated Fair Values for All F

Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands		Mar. 31, 2016		Dec. 31, 2015		Jan. 31, 2014
Financial assets:
Agency mortgage-backed securities		$ 65,439,824		$ 65,718,224
Agency debentures		157,035		152,038	[1]
Credit risk transfer securities		501,167		456,510	[1]
Non-Agency mortgage-backed securities		1,157,507
Commercial real estate debt investments	[2]	4,401,725		2,911,828	[1]
Interest rate swaps		93,312		19,642	[1]
Other derivatives		77,449		22,066
Financial liabilities:
Other secured financing		3,588,326		1,845,048	[1]
Securitized debt of consolidated VIE		3,802,682	[3]	2,540,711	[1],[3]	$ 260,700
Interest rate swaps		2,782,961		1,677,571	[1]
Other derivatives		69,171		49,963
Level 1
Financial assets:
Other derivatives		717		12,443
Financial liabilities:
Other derivatives		69,171		32,778
Level 2
Financial assets:
Agency mortgage-backed securities		65,439,824		65,718,224
Agency debentures		157,035		152,038
Credit risk transfer securities		501,167		456,510
Non-Agency mortgage-backed securities		1,157,507
Commercial real estate debt investments		4,401,725		2,911,828
Interest rate swaps		93,312		19,642
Other derivatives		76,732		9,623
Financial liabilities:
Interest rate swaps		2,782,961		1,677,571
Other derivatives				17,185
Estimate of Fair Value, Fair Value Disclosure | Level 1
Financial assets:
Cash and cash equivalents		2,416,136		1,769,258
Estimate of Fair Value, Fair Value Disclosure | Level 2
Financial assets:
Agency mortgage-backed securities		65,439,824		65,718,224
Agency debentures		157,035		152,038
Credit risk transfer securities		501,167		456,510
Non-Agency mortgage-backed securities		1,157,507		906,722
Commercial real estate debt investments		4,401,725		2,911,828
Corporate debt	[4]	626,486		470,894
Interest rate swaps		93,312		19,642
Financial liabilities:
Other secured financing		3,590,225		1,846,095
Securitized debt of consolidated VIE		3,802,898		2,541,193
Participation sold		12,691		13,138
Interest rate swaps		2,782,961		1,677,571
Estimate of Fair Value, Fair Value Disclosure | Level 3
Financial assets:
Commercial real estate debt and preferred equity, held for investment		1,170,280		1,350,968
Loans held for sale		278,600		278,600
Financial liabilities:
Mortgage payable		350,599		339,849
Estimate of Fair Value, Fair Value Disclosure | Level 1, Level 2
Financial assets:
Other derivatives		77,449		22,066
Financial liabilities:
Repurchase agreements		54,562,824		56,361,623
Other derivatives		69,171		49,963
Carrying (Reported) Amount, Fair Value Disclosure | Level 1
Financial assets:
Cash and cash equivalents		2,416,136		1,769,258
Carrying (Reported) Amount, Fair Value Disclosure | Level 2
Financial assets:
Agency mortgage-backed securities		65,439,824		65,718,224
Agency debentures		157,035		152,038
Credit risk transfer securities		501,167		456,510
Non-Agency mortgage-backed securities		1,157,507		906,722
Commercial real estate debt investments		4,401,725		2,911,828
Corporate debt	[4]	639,481		488,508
Interest rate swaps		93,312		19,642
Financial liabilities:
Other secured financing		3,588,326		1,845,048
Securitized debt of consolidated VIE		3,802,682		2,540,711
Participation sold		13,182		13,286
Interest rate swaps		2,782,961		1,677,571
Carrying (Reported) Amount, Fair Value Disclosure | Level 3
Financial assets:
Commercial real estate debt and preferred equity, held for investment		1,177,468		1,348,817
Loans held for sale		278,600		278,600
Financial liabilities:
Mortgage payable		334,765		334,707
Carrying (Reported) Amount, Fair Value Disclosure | Level 1, Level 2
Financial assets:
Other derivatives		77,449		22,066
Financial liabilities:
Repurchase agreements		54,448,141		56,230,860
Other derivatives		$ 69,171		$ 49,963
[1]	Derived from the audited consolidated financial statements at December 31, 2015.
[2]	Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $4.0 billion and $2.6 billion at March 31, 2016 and December 31, 2015, respectively.
[3]	Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at March 31, 2016 and December 31, 2015, respectively.
[4]	Includes a held-to-maturity debt security carried at amortized cost of $74.7 million as of March 31, 2016 and December 31, 2015. The held-to-maturity debt security had a fair value of $66.8 million and $61.3 million as of March 31, 2016 and December 31, 2015, respectively.

Estimated Fair Values for All66

Estimated Fair Values for All Financial Assets and Liabilities (Parenthetical) (Detail) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Held-to-maturity debt security, fair value	$ 66.8	$ 61.3
Held-to-maturity debt security, amortized cost	$ 74.7	$ 74.7

Repurchase Agreements - Narrati

Repurchase Agreements - Narrative (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Repurchase Agreements:
Repurchase agreements - outstanding	$ 54,448,141	$ 56,230,860	[1]
Repurchase agreements - weighted average borrowing rates	1.87%	1.83%
Repurchase agreements - weighted average remaining maturities (in days)	136 days	151 days
Other secured financing long term, amount	$ 3,588,326	$ 1,845,048	[1]
Secured financings and interest rate swaps - collateral held, estimated fair value	62,700,000	62,300,000
Secured financings and interest rate swaps - collateral held, accrued interest	$ 188,600	$ 171,700
FHLB De Moines [Member]
Repurchase Agreements:
Debt weighted average interest rate	0.59%	0.59%
FHLB De Moines [Member] | Matured Within 90 Days [Member]
Repurchase Agreements:
Other secured financing long term, amount		$ 402,800
Other secured financing short term amount, expiration period		90 days
FHLB De Moines [Member] | Maturity Period Beyond Three Years [Member]
Repurchase Agreements:
Other secured financing long term, amount	$ 3,600,000	$ 1,400,000
Other secured financing short term amount, expiration period	3 years	3 years
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Repurchase Agreements - Remaini

Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Detail) - USD ($) $ in Thousands		Mar. 31, 2016		Dec. 31, 2015
Repurchase Agreements:
Repurchase agreements		$ 54,448,141		$ 56,230,860	[1]
Weighted Average Rate		0.99%		0.90%
Credit Risk Transfer Securities
Repurchase Agreements:
Repurchase agreements		$ 113,969		$ 142,853
Non Agency MBS
Repurchase Agreements:
Repurchase agreements		623,196		435,581
Commercial Loan [Member]
Repurchase Agreements:
Repurchase agreements		187,793		179,428
Agency Mortgage Backed Securities
Repurchase Agreements:
Repurchase agreements		53,523,183		$ 55,472,998
1 day
Repurchase Agreements:
Repurchase agreements		$ 8,050,000
Weighted Average Rate		0.62%		0.00%
1 day | Agency Mortgage Backed Securities
Repurchase Agreements:
Repurchase agreements		$ 8,050,000
2 to 29 days
Repurchase Agreements:
Repurchase agreements		$ 12,841,928		$ 20,467,487
Weighted Average Rate		0.75%		0.69%
2 to 29 days | Credit Risk Transfer Securities
Repurchase Agreements:
Repurchase agreements		$ 54,656		$ 83,664
2 to 29 days | Non Agency MBS
Repurchase Agreements:
Repurchase agreements		320,677		260,359
2 to 29 days | Agency Mortgage Backed Securities
Repurchase Agreements:
Repurchase agreements		12,466,595		20,123,464
30 to 59 days
Repurchase Agreements:
Repurchase agreements		$ 4,878,678		$ 8,023,209
Weighted Average Rate		0.82%		0.74%
30 to 59 days | Credit Risk Transfer Securities
Repurchase Agreements:
Repurchase agreements		$ 59,313		$ 59,189
30 to 59 days | Non Agency MBS
Repurchase Agreements:
Repurchase agreements		156,354		65,374
30 to 59 days | Agency Mortgage Backed Securities
Repurchase Agreements:
Repurchase agreements		4,663,011		7,898,646
60 to 89 days
Repurchase Agreements:
Repurchase agreements		$ 9,264,997		$ 4,125,426
Weighted Average Rate		0.96%		0.74%
60 to 89 days | Non Agency MBS
Repurchase Agreements:
Repurchase agreements		$ 146,165		$ 78,833
60 to 89 days | Agency Mortgage Backed Securities
Repurchase Agreements:
Repurchase agreements		9,118,832		4,046,593
90 to 119 days
Repurchase Agreements:
Repurchase agreements		$ 4,270,155		$ 4,846,580
Weighted Average Rate		0.95%		0.60%
90 to 119 days | Agency Mortgage Backed Securities
Repurchase Agreements:
Repurchase agreements		$ 4,270,155		$ 4,846,580
Over 120 days
Repurchase Agreements:
Repurchase agreements	[2]	$ 15,142,383		$ 18,768,158
Weighted Average Rate		1.46%	[2]	1.33%
Over 120 days | Non Agency MBS
Repurchase Agreements:
Repurchase agreements	[2]			$ 31,015
Over 120 days | Commercial Loan [Member]
Repurchase Agreements:
Repurchase agreements	[2]	$ 187,793		179,428
Over 120 days | Agency Mortgage Backed Securities
Repurchase Agreements:
Repurchase agreements	[2]	$ 14,954,590		$ 18,557,715
[1]	Derived from the audited consolidated financial statements at December 31, 2015.
[2]	Approximately 12% and 14% of the total repurchase agreements had a remaining maturity over 1 year as of March 31, 2016 and December 31, 2015, respectively.

Repurchase Agreements - Remai69

Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Parenthetical) (Detail)	Mar. 31, 2016	Dec. 31, 2015
Repurchase Agreements:
Percentage of repurchase agreements, with remaining maturity over one year	12.00%	14.00%

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	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Repurchase Agreements:
Gross amounts -reverse repurchase agreements	$ 0	$ 0
Amounts offset - reverse repurchase agreement	0	0
Netted amounts -reverse repurchase	0	0
Gross amounts -repurchase agreement	54,448,141	56,230,860
Amounts offset -repurchase agreement	0	0
Netted amounts -repurchase agreement	$ 54,448,141	$ 56,230,860	[1]
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Summary of Fair Value Informati

Summary of Fair Value Information about Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Interest rate swaps, at fair value	$ 93,312	$ 19,642	[1]
Other derivatives, at fair value	77,449	22,066	[1]
Derivative assets	170,761	41,708
Interest rate swaps, at fair value	2,782,961	1,677,571	[1]
Other derivatives, at fair value	69,171	49,963	[1]
Derivative liabilities	2,852,132	1,727,534
Future
Derivatives, Fair Value [Line Items]
Other derivatives, at fair value	717	12,444
Other derivatives, at fair value	69,171	32,778
TBA Derivatives
Derivatives, Fair Value [Line Items]
Other derivatives, at fair value	$ 76,732	9,622
Other derivatives, at fair value		$ 17,185
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Summary of Characteristics of I

Summary of Characteristics of Interest Rate Swaps (Detail) - Interest Rate Swaps - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014
Derivative Instruments:
Current Notional	[1]	$ 29,877,369	$ 30,185,086
Weighted Average Pay Rate	[2],[3]	2.26%	2.26%
Weighted Average Receive Rate	[2]	0.69%	0.53%
Average Years to Maturity	[2]	6 years 9 months 4 days	7 years 7 days
0 - 3 years
Derivative Instruments:
Derivative Instruments minimum maturity period		0 years	0 years
Derivative Instruments maximum maturity period		3 years	3 years
Current Notional	[1]	$ 4,290,419	$ 3,240,436
Weighted Average Pay Rate	[2],[3]	1.79%	1.85%
Weighted Average Receive Rate	[2]	0.47%	0.36%
Average Years to Maturity	[2]	1 year 10 months 13 days	1 year 9 months 18 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]	$ 11,925,000	$ 11,675,000
Weighted Average Pay Rate	[2],[3]	1.87%	1.82%
Weighted Average Receive Rate	[2]	0.73%	0.55%
Average Years to Maturity	[2]	4 years 2 months 19 days	4 years 3 months
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]	$ 10,227,550	$ 11,635,250
Weighted Average Pay Rate	[2],[3]	2.49%	2.44%
Weighted Average Receive Rate	[2]	0.76%	0.57%
Average Years to Maturity	[2]	7 years 10 months 17 days	7 years 11 months 1 day
Greater than 10 years
Derivative Instruments:
Derivative Instruments minimum maturity period		10 years	10 years
Current Notional	[1]	$ 3,434,400	$ 3,634,400
Weighted Average Pay Rate	[2],[3]	3.54%	3.70%
Weighted Average Receive Rate	[2]	0.59%	0.43%
Average Years to Maturity	[2]	18 years 7 months 21 days	19 years 4 months 13 days
[1]	There were no forward starting pay fixed swaps as of March 31, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015.
[2]	Excludes forward starting swaps.
[3]	There were no forward starting pay fixed swaps as of March 31, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015.

Summary of Characteristics of73

Summary of Characteristics of Interest Rate Swaps (Parenthetical) (Detail) - Forward Starting Pay Fixed Swaps - USD ($)	Mar. 31, 2016	Dec. 31, 2015
Derivative Instruments:
Notional amount	$ 0	$ 500,000,000
Weighted average fixed rate	0.00%	1.44%

Summary of Characteristics of T

Summary of Characteristics of TBA Derivatives (Detail) - TBA Derivatives - Long - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Derivative Instruments:
Notional	$ 14,273,000	$ 13,761,000
Implied Cost Basis	14,847,792	14,177,338
Implied Market Value	14,924,524	14,169,775
Carrying Value	$ 76,732	$ (7,563)

Summary of Certain Characterist

Summary of Certain Characteristics of Derivatives (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Swap Equivalent Eurodollar Futures Contract | 2-year
Derivative Instruments:
Derivative Instruments, maturity period	2 years	2 years
Weighted Average Years to Maturity	2 years	2 years
Us Treasury futures | 5 year
Derivative Instruments:
Derivative Instruments, maturity period	5 years	5 years
Weighted Average Years to Maturity	4 years 5 months 1 day	4 years 5 months 1 day
Us Treasury futures | 10 year and greater
Derivative Instruments:
Derivative Instruments minimum maturity period	10 years	10 years
Weighted Average Years to Maturity	6 years 9 months	6 years 11 months 1 day
Future
Derivative Instruments:
Weighted Average Years to Maturity	3 years 1 month 6 days	2 years 9 months 22 days
Short | Swap Equivalent Eurodollar Futures Contract | 2-year
Derivative Instruments:
Notional	$ 4,375,000	$ 7,000,000
Short | Us Treasury futures | 5 year
Derivative Instruments:
Notional	1,847,200	1,847,200
Short | Us Treasury futures | 10 year and greater
Derivative Instruments:
Notional	655,600	655,600
Short | Future
Derivative Instruments:
Notional	$ 6,877,800	$ 9,502,800

Offsetting of Derivative Assets

Offsetting of Derivative Assets and Liabilities (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Offsetting Assets [Line Items]
Gross Amounts, Liabilities	$ 69,171	$ 49,963	[1]
Future
Offsetting Assets [Line Items]
Gross Amounts, Assets	717	12,443
Amounts Eligible for Offset -Financial Instruments, Assets	(110)	(10,868)
Amounts Eligible for Offset-Cash Collateral, Assets	0	0
Net Amounts, Assets	607	1,575
Gross Amounts, Liabilities	69,171	32,778
Amounts Eligible for Offset-Financial Instruments, Liabilities	(110)	(10,868)
Amounts Eligible for Offset -Cash Collateral, Liabilities	(69,061)	(21,910)
Interest Rate Swaps
Offsetting Assets [Line Items]
Gross Amounts, Assets	93,312	19,642
Amounts Eligible for Offset -Financial Instruments, Assets	(93,312)	(18,040)
Amounts Eligible for Offset-Cash Collateral, Assets	0	0
Net Amounts, Assets		1,602
Gross Amounts, Liabilities	2,782,961	1,677,571
Amounts Eligible for Offset-Financial Instruments, Liabilities	(93,312)	(18,040)
Amounts Eligible for Offset -Cash Collateral, Liabilities	(1,617,530)	(913,576)
Net Amounts, Liabilities	1,072,119	745,955
TBA Derivatives
Offsetting Assets [Line Items]
Gross Amounts, Assets	76,732
Amounts Eligible for Offset-Cash Collateral, Assets	0
Net Amounts, Assets	$ 76,732
Gross Amounts, Liabilities		17,185
Amounts Eligible for Offset-Financial Instruments, Liabilities		(7,367)
Net Amounts, Liabilities		9,818
Interest Rate Swaption
Offsetting Assets [Line Items]
Gross Amounts, Assets		9,622
Amounts Eligible for Offset -Financial Instruments, Assets		(7,367)
Amounts Eligible for Offset-Cash Collateral, Assets		0
Net Amounts, Assets		$ 2,255
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Derivative Instruments - Effect

Derivative Instruments - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income Loss (Detail) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015
Effect of Derivatives on Statement of Operations and Comprehensive Income:
Realized gains (losses) on interest rate swaps	[1],[2]	$ (147,475)	$ (158,239)
Realized gain (losses) on termination of interest rate swaps			(226,462)
Unrealized gains (losses) on interest rate swaps		$ (1,031,720)	$ (466,202)
[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		12 Months Ended
		Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Derivative Instruments:
Unrealized Gain (Loss)		$ (1,031,720)	$ (466,202)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets		125,174		$ (6,896)
Us Treasury futures
Derivative Instruments:
Realized Gain (Loss)		(130,994)		(5,506)
Unrealized Gain (Loss)		(48,120)		(58,126)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets		(179,114)		(63,632)
TBA Derivatives
Derivative Instruments:
Realized Gain (Loss)	[1]	219,993		(55,644)
Unrealized Gain (Loss)	[1]	84,295		117,188
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets	[1]	$ 304,288		61,544
Interest Rate Swaption
Derivative Instruments:
Realized Gain (Loss)				(21,891)
Unrealized Gain (Loss)				17,083
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets				$ (4,808)
[1]	Includes options on TBA securities.

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Detail) $ in Billions	Mar. 31, 2016USD ($)
Derivative Instruments:
Derivative instruments, net liability position, aggregate fair value	$ 2.6

Convertible Senior Notes - Narr

Convertible Senior Notes - Narrative (Detail) - USD ($) $ in Thousands	1 Months Ended		3 Months Ended	12 Months Ended
	Feb. 28, 2015	May. 31, 2012	Mar. 31, 2015	Dec. 31, 2010	May. 31, 2015	Dec. 31, 2012
Convertible Senior Notes:
Repayment of convertible senior notes			$ 107,541
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 St81

Common Stock and Preferred Stock - Narrative (Detail) - USD ($)	3 Months Ended		12 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015		Aug. 31, 2015
Class of Stock [Line Items]
Common Stock, par value	$ 0.01		$ 0.01	[1]
Common Stock, shares authorized	1,956,937,500		1,956,937,500	[1]
Common Stock, shares issued	924,853,133		935,929,561	[1]
Common Stock, shares outstanding	924,853,133		935,929,561	[1]
Options exercised under incentive plans, shares	0	0
Direct purchase and dividend reinvestment program - value raised	$ 524,000	$ 570,000
Direct purchase and dividend reinvestment program - issued shares	54,000	53,000
Common stock repurchase program, authorized amount					$ 1,000,000,000
Common stock repurchase program, repurchased share	11,132,226
Common stock repurchase program, repurchased value	$ 102,700,000
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	2012-03
Number of common shares authorized for issuance under the Distribution Agency Agreement	125,000,000	125,000,000
Dividends payable, date to be paid	Apr. 29, 2016	Apr. 30, 2015
Common stock - dividend declared	$ 277,456,000	$ 284,310,000
Dividends Declared Per Share of Common Stock	$ 0.30	$ 0.30
7.625% Series C Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized	12,650,000		12,650,000	[1]
Preferred Stock, shares issued	12,000,000		12,000,000	[1]
Preferred Stock, shares outstanding	12,000,000		12,000,000	[1]
Preferred Stock, par value	$ 0.01		$ 0.01
Preferred Stock liquidation preference, per share	$ 25		$ 25
Preferred Stock dividend rate, percentage	7.625%		7.625%
Preferred Stock redeemable price, per share	$ 25		$ 25
Preferred Stock redemption date	May 16, 2017
Preferred dividends declared	$ 5,719,000	$ 5,719,000
Preferred series dividends declared, per share	$ 0.477	$ 0.477
7.625% Series C Cumulative Redeemable Preferred Stock | Preferred Stock Dividends
Class of Stock [Line Items]
Preferred series dividends declared, per share		$ 0.477
7.50% Series D Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized	18,400,000		18,400,000	[1]
Preferred Stock, shares issued	18,400,000		18,400,000	[1]
Preferred Stock, shares outstanding	18,400,000		18,400,000	[1]
Preferred Stock, par value	$ 0.01		$ 0.01
Preferred Stock liquidation preference, per share	$ 25		$ 25
Preferred Stock dividend rate, percentage	7.50%		7.50%
Preferred Stock redeemable price, per share	$ 25		$ 25
Preferred Stock redemption date	Sep. 13, 2017
Preferred dividends declared	$ 8,625,000	$ 8,625,000
Preferred series dividends declared, per share	$ 0.469	$ 0.469
7.50% Series D Cumulative Redeemable Preferred Stock | Preferred Stock Dividends
Class of Stock [Line Items]
Preferred series dividends declared, per share		$ 0.469
7.875% Series A Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized	7,412,500		7,412,500	[1]
Preferred Stock, shares issued	7,412,500		7,412,500	[1]
Preferred Stock, shares outstanding	7,412,500		7,412,500	[1]
Preferred Stock, par value	$ 0.01		$ 0.01
Preferred Stock liquidation preference, per share	$ 25		$ 25
Preferred Stock dividend rate, percentage	7.875%		7.875%
Preferred Stock redeemable price, per share	$ 25		$ 25
Preferred Stock redemption date	Apr. 5, 2009
Preferred dividends declared	$ 3,648,000	$ 3,648,000
Preferred series dividends declared, per share	$ 0.492	$ 0.492
7.875% Series A Cumulative Redeemable Preferred Stock | Preferred Stock Dividends
Class of Stock [Line Items]
Preferred series dividends declared, per share		$ 0.492
6.00% Series B Cumulative Convertible Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized	4,600,000
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Components of Company's Interes

Components of Company's Interest Income and Interest Expense (Detail) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015
Interest income:
Residential Investment Securities		$ 315,717	$ 478,239
Commercial investment portfolio	[1]	70,187	40,336
Reverse repurchase agreements		2,239	539
Total interest income		388,143	519,114
Interest expense:
Repurchase agreements		132,891	102,748
Convertible Senior Notes			23,627
Securitized debt of consolidated VIEs		9,033	2,882
Participation sold		158	159
Other		5,365	4
Total interest expense		147,447	129,420
Net interest income		$ 240,696	$ 389,694
[1]	Includes commercial real estate debt, preferred equity and corporate debt.

Goodwill - Additional Informati

Goodwill - Additional Information (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Goodwill and Intangible Assets Disclosure [Line Items]
Goodwill	$ 71,815	$ 71,815	[1]
[1]	Derived from the audited consolidated financial statements at December 31, 2015.

Schedule of Net Income (Loss) P

Schedule of Net Income (Loss) Per Share Reconciliation (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015
Net Income Per Common Share:
Net income (loss)	$ (868,080)	$ (476,499)	$ (476,499)
Less: Net income (loss) attributable to noncontrolling interest	(162)	(90)	(90)
Net income (loss) attributable to Annaly	(867,918)	(476,409)	(476,409)
Less: Preferred stock dividends	17,992	17,992	17,992
Net income (loss) per share available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary	(885,910)	(494,401)	$ (494,401)
Add: Interest on Convertible Senior Notes, if dilutive	0	0
Net income (loss) available to common stockholders, as adjusted	$ (885,910)	$ (494,401)
Weighted average shares of common stock outstanding-basic	926,813,588	947,669,831	947,669,831
Add: Effect of stock awards and Convertible Senior Notes, if dilutive	0	0
Weighted average shares of common stock outstanding-diluted	926,813,588	947,669,831	947,669,831
Net income (loss) per share available (related) to common share:
Basic	$ (0.96)	$ (0.52)	$ (0.52)
Diluted	$ (0.96)	$ (0.52)	$ (0.52)

Net Income Per Common Share - N

Net Income Per Common Share - Narrative (Detail) - shares shares in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Net Income Per Common Share:
Options to purchase common stock outstanding that would be considered anti-dilutive	1.1	2.3

Long-Term Stock Incentive Plans

Long-Term Stock Incentive Plans - Narrative (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Long-Term Stock Incentive Plans:
Weighted average remaining contractual term of stock options outstanding, years	2 years 2 months 12 days	2 years 9 months 18 days
Weighted average remaining contractual term of stock options exercisable, years	2 years 2 months 12 days	2 years 9 months 18 days
Unrecognized compensation cost	$ 0	$ 0
Equity Incentive Plan 2010
Long-Term Stock Incentive Plans:
Long-term stock compensation - ceiling shares	25,000,000
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
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

Issued and Outstanding Stock Op

Issued and Outstanding Stock Options (Detail) - $ / shares	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Long-Term Stock Incentive Plans:
Options outstanding at the beginning of period	1,168,775	2,259,335
Granted	0	0
Exercised	0	0
Forfeited	(2,500)	(8,799)
Expired	(30,500)
Options outstanding at the end of period	1,135,775	2,250,536
Options exercisable at the end of the period	1,135,775	2,250,536
Options outstanding at the beginning of year, weighted average exercise price	$ 15.34	$ 15.35
Granted	0	0
Exercised	0	0
Forfeited	13.72	14.80
Expired	11.72
Options outstanding at the end of period, weighted average exercise price	15.44	15.35
Options exercisable at the end of the period, exercise price	$ 15.44	$ 15.35

Income Taxes - Narrative (Detai

Income Taxes - Narrative (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Income Taxes:
REIT Taxable income distributed	100.00%
Income tax benefit for income and losses attributable to its TRSs	$ (837)	$ 14
Years federal and state tax returns remain open for examination	2,012
Taxable REIT Subsidiary [Member]
Income Taxes:
Income tax benefit for income and losses attributable to its TRSs	$ 837	$ 14

Lease Commitments And Conting89

Lease Commitments And Contingencies - Narrative (Detail) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Lease Commitments and Contingencies:
Aggregate future net minimum lease payments	$ 35.4
Lease expense	$ 0.8	$ 0.6

Lease Commitments And Conting90

Lease Commitments And Contingencies (Detail) $ in Thousands	Mar. 31, 2016USD ($)
Lease Commitments and Contingencies:
Lease Commitment - 2016 remaining	$ 2,673
Lease Commitment - 2017	3,565
Lease Commitment - 2018	3,565
Lease Commitment - 2019	3,565
Lease Commitment - 2020	3,652
Lease Commitment - Later years	18,343
Aggregate future minimum lease payments	$ 35,363

RCap Regulatory Requirements -

RCap Regulatory Requirements - Narrative (Detail)	Mar. 31, 2016USD ($)
RCAP Regulatory Requirements:
Minimum net capital requirement	$ 300,000
Regulatory net capital	140,400,000
Regulatory net capital, excess net capital	$ 140,100,000

Related Party Transactions - Na

Related Party Transactions - Narrative (Detail) - USD ($)	Aug. 05, 2015	Nov. 05, 2014	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015	Aug. 31, 2014	Aug. 07, 2014
Shares repurchased, shares			11,132,226
Shares repurchased, value			$ 102,700,000
Compensation and management fee			$ 36,997,000	$ 38,629,000
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 for any or no reason.
Amendment Agreement | Minimum
Management agreement, required period to terminate from the date of the notice		1 year
Chimera
Shares repurchased, shares	9,000,000
Shares repurchased, value	$ 126,400,000
Share repurchase agreement expiration period	2015-08
Advisory fees from affiliate			$ 0	10,500,000
Effective date			Aug. 8, 2014
Management fee percentage						1.20%	0.75%
Management Agreement
Compensation and management fee			$ 37,000,000	$ 38,600,000
Management fee payable			$ 12,000,000		$ 12,100,000

Subsequent Events - Additional

Subsequent Events - Additional Information (Detail) - Subsequent Event $ / shares in Units, $ in Millions	Apr. 10, 2016USD ($)$ / shares
7.625% Series E Cumulative Redeemable Preferred Stock
Subsequent Event [Line Items]
Preferred Stock, par value | $ / shares	$ 0.01
Hatteras
Subsequent Event [Line Items]
Business combination consideration transferred | $	$ 1,500
Percentage of aggregate consideration in common shares	65.00%
Percentage of aggregate consideration in cash	35.00%
Hatteras | Atlantic Capital Advisors LLC
Subsequent Event [Line Items]
Termination Fee payable to ACA | $	$ 45.4
Hatteras | 7.625% Series A Cumulative Redeemable Preferred Stock
Subsequent Event [Line Items]
Preferred Stock, par value | $ / shares	$ 0.001