Annaly Capital Management (NLY) 10-Q/A 2 Nov 18 2018 Q3 Quarterly report (amended) Financial data

Document and Entity Information

Document and Entity Information - shares	9 Months Ended
	Sep. 30, 2018	Oct. 31, 2018
Document And Entity Information [Abstract]
Document Type	10-Q/A
Amendment Flag	true
Document Period End Date	Sep. 30, 2018
Document Fiscal Year Focus	2,018
Document Fiscal Period Focus	Q3
Trading Symbol	NLY
Entity Registrant Name	ANNALY CAPITAL MANAGEMENT INC
Entity Central Index Key	1,043,219
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Entity Common Stock, Shares Outstanding		1,313,722,699
Amendment Description	Removed a header that was unintentionally included in the cover page of the initial filing. No other changes made to our Quarterly Report on Form 10-Q for the quarter ended September 30, 2018 that we filed with the Securities and Exchange Commission ("SEC") on November 2, 2018.

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
ASSETS
Cash and cash equivalents (includes pledged assets $924,891 and $579,213, respectively)	$ 1,082,747	$ 706,589
Securities (includes pledged assets of $84,613,575 and $84,752,790, respectively)	91,338,611	92,563,572
Loans (includes pledged assets of $2,519,340 and $1,811,062, respectively)	4,224,203	2,999,148
Mortgage servicing rights (includes pledged assets of $2,958 and $5,224, respectively)	588,833	580,860
Assets transferred or pledged to securitization vehicles	4,287,821	3,306,133
Real estate, net	753,014	485,953
Derivative assets	404,841	313,885
Reverse repurchase agreements	1,234,704	0
Receivable for unsettled trades	1,266,840	1,232
Interest receivable	347,278	323,526
Goodwill and intangible assets, net	103,043	95,035
Other assets	329,868	384,117
Total assets	105,961,803	101,760,050	[1]
Liabilities:
Repurchase agreements	79,073,026	77,696,343
Other secured financing	4,108,547	3,837,528
Debt issued by securitization vehicles	3,799,542	2,971,771
Mortgages payable	511,588	309,686
Derivative liabilities	379,794	607,854
Payable for unsettled trades	2,505,428	656,581
Interest payable	399,605	253,068
Dividends payable	102,811	347,876
Other liabilities	125,606	207,770
Total liabilities	91,005,947	86,888,477	[1]
Stockholders’ Equity:
Preferred stock, par value $0.01 per share, 75,950,000 and 70,700,000 authorized, 73,400,000 and 70,700,000 issued and outstanding, respectively	1,778,168	1,720,381	[1]
Common stock, par value $0.01 per share, 1,924,050,000 and 1,929,300,000 authorized, 1,303,079,555 and 1,159,585,078 issued and outstanding, respectively	13,031	11,596
Additional paid-in capital	18,793,706	17,221,265
Accumulated other comprehensive income (loss)	(3,822,956)	(1,126,020)
Accumulated deficit	(1,811,955)	(2,961,749)
Total stockholders’ equity	14,949,994	14,865,473
Noncontrolling interests	5,862	6,100
Total equity	14,955,856	14,871,573
Total liabilities and equity	105,961,803	101,760,050
Mortgage-backed securities, including pledged assets	91,338,611	92,563,572
Consolidated VIEs
ASSETS
Cash and cash equivalents (includes pledged assets $924,891 and $579,213, respectively)	28,400	42,300
Consolidated VIEs | Consolidation, Eliminations
Stockholders’ Equity:
Mortgage-backed securities, including pledged assets	275,800	0
Consolidated VIEs | Non-Agency Mortgage-backed Securities
Stockholders’ Equity:
Mortgage-backed securities, including pledged assets	$ 129,800	$ 66,300
[1]	Derived from the audited consolidated financial statements at December 31, 2017.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Statement of Financial Position [Abstract]
Cash pledged as collateral	$ 924,891	$ 579,213
Securities, pledged assets	84,613,575	84,752,790
Loans, pledged assets	2,519,340	1,811,062
Mortgage servicing rights, pledged assets	$ 2,958	$ 5,224
Preferred Stock, par value (in dollars per share)	$ 0.01	$ 0.01
Cumulative redeemable preferred stock, shares authorized (in shares)	75,950,000	70,700,000
Cumulative redeemable preferred stock, shares issued (in shares)	73,400,000	70,700,000
Cumulative redeemable preferred stock, shares outstanding (in shares)	73,400,000	70,700,000
Common Stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common Stock, shares authorized (in shares)	1,924,050,000	1,929,300,000
Common Stock, shares issued (in shares)	1,303,079,555	1,159,585,078
Common Stock, shares outstanding (in shares)	1,303,079,555	1,159,585,078

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Net interest income:
Interest income		$ 816,596	$ 622,550	$ 2,472,889	$ 1,747,703
Interest expense		500,973	268,937	1,311,086	689,643
Net interest income		315,623	353,613	1,161,803	1,058,060
Realized and unrealized gains (losses):
Net interest component of interest rate swaps		51,349	(88,211)	34,664	(288,837)
Realized gains (losses) on termination or maturity of interest rate swaps		575	0	1,409	(58)
Unrealized gains (losses) on interest rate swaps		417,203	56,854	1,737,963	28,471
Subtotal		469,127	(31,357)	1,774,036	(260,424)
Net gains (losses) on disposal of investments		(324,294)	(11,552)	(376,943)	(11,833)
Net gains (losses) on other derivatives		94,827	154,208	81,871	140,104
Net unrealized gains (losses) on instruments measured at fair value through earnings		(39,944)	(67,492)	(139,913)	(27,569)
Subtotal		(269,411)	75,164	(434,985)	100,702
Total realized and unrealized gains (losses)		199,716	43,807	1,339,051	(159,722)
Other income (loss)		(10,643)	28,282	57,550	90,793
General and administrative expenses:
Compensation and management fee		45,983	41,993	136,091	120,193
Other general and administrative expenses		80,526	15,023	116,709	44,674
Total general and administrative expenses		126,509	57,016	252,800	164,867
Income (loss) before income taxes		378,187	368,686	2,305,604	824,264
Income taxes		(7,242)	1,371	(3,416)	2,019
Net income (loss)		385,429	367,315	2,309,020	822,245
Net income (loss) attributable to noncontrolling interests		(149)	(232)	(277)	(437)
Net income (loss) attributable to Annaly		385,578	367,547	2,309,297	822,682
Dividends on preferred stock	[1]	31,675	30,355	96,818	77,301
Net income (loss) available (related) to common stockholders		$ 353,903	$ 337,192	$ 2,212,479	$ 745,381
Net income (loss) per share available (related) to common stockholders:
Basic (in dollars per share)		$ 0.29	$ 0.31	$ 1.88	$ 0.72
Diluted (in dollars per share)		$ 0.29	$ 0.31	$ 1.88	$ 0.72
Weighted average number of common shares outstanding:
Basic (in shares)		1,202,353,851	1,072,566,395	1,174,292,701	1,037,033,076
Diluted (in shares)		1,202,353,851	1,073,040,637	1,174,292,701	1,037,445,177
Dividends declared per share of common stock (in dollars per share)		$ 0.3	$ 0.3	$ 0.9	$ 0.9
Net income (loss)		$ 385,429	$ 367,315	$ 2,309,020	$ 822,245
Other comprehensive income (loss):
Unrealized gains (losses) on available-for-sale securities		(719,609)	195,251	(3,104,218)	397,600
Reclassification adjustment for net (gains) losses included in net income (loss)		331,100	15,367	407,282	48,144
Other comprehensive income (loss)		(388,509)	210,618	(2,696,936)	445,744
Comprehensive income (loss)		(3,080)	577,933	(387,916)	1,267,989
Comprehensive income (loss) attributable to noncontrolling interests		(149)	(232)	(277)	(437)
Comprehensive income (loss) attributable to Annaly		(2,931)	578,165	(387,639)	1,268,426
Comprehensive income (loss) attributable to common stockholders		$ (34,606)	547,810	$ (484,457)	1,191,125
Series F Preferred Stock
Cumulative and undeclared dividends			$ 8,300		$ 8,300
[1]	Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017.

CONSOLIDATED STATEMENTS OF STOC

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) - USD ($) $ in Thousands	Total	7.875% Series A Cumulative Redeemable Preferred Stock	7.625% Series C Cumulative Redeemable Preferred Stock	7.50% Series D Cumulative Redeemable Preferred Stock	7.625% Series E Cumulative Redeemable Preferred Stock	6.95% Series F Cumulative Redeemable Preferred Stock	6.50% Series G Cumulative Redeemable Preferred Stock	Preferred Stock	Common Stock	Additional paid-in capital	Accumulated other comprehensive income (loss)	Accumulated deficit	Total stockholder’s equity	Noncontrolling interests
Beginning balance at Dec. 31, 2016								$ 1,200,559	$ 10,189	$ 15,579,342	$ (1,085,893)	$ (3,136,017)		$ 7,792
Stock compensation expense										1,276
Issuance								696,910	690	803,464
Acquisition of subsidiary								0	0	0
Redemption of preferred stock								(177,088)		(8,224)
Direct purchase and dividend reinvestment	$ 1,949								2	1,947
Unrealized gains (losses) on available-for-sale securities	397,600										397,600
Reclassification adjustment for net (gains) losses included in net income (loss)	48,144										48,144
Net income (loss) attributable to Annaly	822,682											822,682
Dividends declared on preferred stock		$ (9,527)	$ (17,157)	$ (25,875)	$ (16,441)	$ 0	$ 0					(69,000)
Dividends and dividend equivalents declared on common stock and share-based awards	(937,825)											(937,825)
Net income (loss) attributable to noncontrolling interests	437													(437)
Equity contributions from (distributions to) noncontrolling interest														(895)
Ending balance at Sep. 30, 2017	14,155,218							1,720,381	10,881	16,377,805	(640,149)	(3,320,160)	$ 14,148,758	6,460
Beginning balance at Dec. 31, 2017	14,871,573							1,720,381	11,596	17,221,265	(1,126,020)	(2,961,749)		6,100
Stock compensation expense										1,789
Issuance								411,335	1,103	1,116,409
Acquisition of subsidiary								55,000	330	455,613
Redemption of preferred stock			(125,000)		(287,500)			(408,548)		(3,952)
Direct purchase and dividend reinvestment	2,584								2	2,582
Unrealized gains (losses) on available-for-sale securities	(3,104,218)										(3,104,218)
Reclassification adjustment for net (gains) losses included in net income (loss)	407,282										407,282
Net income (loss) attributable to Annaly	2,309,297											2,309,297
Dividends declared on preferred stock		$ 0	$ (10,987)	$ (25,875)	$ (2,253)	$ (37,530)	$ (19,875)					(96,818)
Dividends and dividend equivalents declared on common stock and share-based awards	(1,062,685)											(1,062,685)
Net income (loss) attributable to noncontrolling interests	277													(277)
Equity contributions from (distributions to) noncontrolling interest														39
Ending balance at Sep. 30, 2018	$ 14,955,856							$ 1,778,168	$ 13,031	$ 18,793,706	$ (3,822,956)	$ (1,811,955)	$ 14,949,994	$ 5,862

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017
Cash flows from operating activities:
Net income (loss)	$ 2,309,020	$ 822,245
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Amortization of premiums and discounts of investments, net	474,449	668,195
Amortization of securitized debt premiums and discounts and deferred financing costs	991	618
Depreciation, amortization and other noncash expenses	63,839	21,686
Net (gains) losses on disposals of investments	376,943	11,833
Net (gains) losses on investments and derivatives	(1,679,921)	(141,006)
Income from unconsolidated joint ventures	6,441	2,223
Payments on purchases of loans held for sale	(191,641)	(230,503)
Proceeds from sales and repayments of loans held for sale	64,460	330,285
Net receipts (payments) on derivatives	1,519,228	(732,998)
Net change in:
Other assets	100,010	(30,387)
Interest receivable	(8,468)	(17,322)
Interest payable	124,316	68,598
Other liabilities	(136,510)	(43,936)
Net cash provided by (used in) operating activities	3,023,157	729,531
Cash flows from investing activities:
Payments on purchases of Residential Securities	(17,053,068)	(25,852,497)
Proceeds from sales of Residential Securities	9,558,735	11,598,472
Principal payments on Residential Securities	8,696,239	8,971,444
Payments on purchases of MSRs	(381)	(11,081)
Payments on purchases of corporate debt	(744,071)	(374,358)
Principal payments on corporate debt	235,423	295,380
Originations and purchases of commercial real estate related assets	(697,753)	(388,951)
Proceeds from sales of commercial real estate related assets	134,538	11,960
Principal repayments on commercial real estate related assets	478,726	852,381
Proceeds from reverse repurchase agreements	70,016,988	50,280,000
Payments on reverse repurchase agreements	(70,313,441)	(50,280,000)
Distributions in excess of cumulative earnings from unconsolidated joint ventures	5,434	6,160
Payments on purchases of residential mortgage loans held for investment	(729,917)	(668,977)
Proceeds from repayments of residential mortgage loans held for investment	251,407	131,052
Payments on purchases of equity securities	0	(2,104)
Cash paid related to asset acquisition, net of cash acquired	(258,334)	0
Net payment from disposal of subsidiary	0	5,337
Net cash provided by (used in) investing activities	(419,475)	(5,425,782)
Cash flows from financing activities:
Proceeds from repurchase agreements and other secured financing	3,866,183,872	2,505,995,751
Principal payments on repurchase agreements and other secured financing	(3,868,097,943)	(2,501,952,817)
Proceeds from issuance of securitized debt	588,111	0
Principal repayments on securitized debt	(614,536)	(334,386)
Payment of deferred financing cost	0	(2,054)
Net proceeds from stock offerings, direct purchases and dividend reinvestments	1,531,690	1,503,013
Redemption of preferred stock	(412,500)	(185,312)
Principal payments on participation sold	0	(12,827)
Principal payments on mortgages payable	(49)	(54)
Net contributions (distributions) from (to) noncontrolling interests	(780)	(895)
Dividends paid	(1,405,389)	(986,074)
Net cash provided by (used in) financing activities	(2,227,524)	4,024,345
Net (decrease) increase in cash and cash equivalents	376,158	(671,906)
Cash and cash equivalents including cash pledged as collateral, beginning of period	706,589	1,539,746
Cash and cash equivalents including cash pledged as collateral, end of period	1,082,747	867,840
Supplemental disclosure of cash flow information:
Interest received	2,846,535	2,460,097
Dividends received	5,448	3,774
Interest paid (excluding interest paid on interest rate swaps)	1,159,384	693,983
Net interest paid (received) on interest rate swaps	(243,946)	264,965
Taxes paid	86	2,612
Noncash investing activities:
Receivable for unsettled trades	1,266,840	340,033
Payable for unsettled trades	2,505,428	5,243,868
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment	(2,696,936)	445,744
Noncash financing activities:
Dividends declared, not yet paid	$ 102,811	$ 326,425

DESCRIPTION OF BUSINESS

DESCRIPTION OF BUSINESS	9 Months Ended
	Sep. 30, 2018
Accounting Policies [Abstract]
DESCRIPTION OF BUSINESS	DESCRIPTION OF BUSINESS Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company is a leading diversified capital manager that invests in and finances residential and commercial assets. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, credit risk transfer (“CRT”) securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans, mortgage servicing rights (“MSRs”), commercial real estate assets and corporate debt. The Company’s principal business objective is to generate net income for distribution to its stockholders and to preserve capital through prudent selection of investments and continuous management of its portfolio. The Company is externally managed by Annaly Management Company LLC (the “Manager”). The Company’s four investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Annaly Residential Credit Group Invests primarily in non-Agency residential mortgage assets within securitized products and residential mortgage loan markets. Annaly Commercial Real Estate Group Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. Annaly Middle Market Lending Group Provides financing to private equity-backed middle market businesses across the capital structure. The Company has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”).

BASIS OF PRESENTATION

BASIS OF PRESENTATION	9 Months Ended
	Sep. 30, 2018
Accounting Policies [Abstract]
BASIS OF PRESENTATION	BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2017 (the “2017 Form 10-K”). The consolidated financial information as of December 31, 2017 has been derived from audited consolidated financial statements included in the Company’s 2017 Form 10-K. The Company reclassified previously presented financial information to conform to the current presentation. The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year.

SIGNIFICANT ACCOUNTING POLICIES

SIGNIFICANT ACCOUNTING POLICIES	9 Months Ended
	Sep. 30, 2018
Accounting Policies [Abstract]
SIGNIFICANT ACCOUNTING POLICIES	SIGNIFICANT ACCOUNTING POLICIES The Company’s significant accounting policies are described below or are included in the following notes: Notes Note 1. Description of Business Note 9. Real Estate Note 17. Income Taxes Note 2. Basis of Presentation Note 10. Derivative Instruments Note 18. Risk Management Note 3. Significant Accounting Policies Note 11. Fair Value Measurements Note 19. Related Party Transactions Note 4. Financial Instruments Note 12. Goodwill and Intangible Assets, Net Note 20. Lease Commitments and Contingencies Note 5. Securities Note 13. Secured Financing Note 21. Arcola Regulatory Requirements Note 6. Loans Note 14. Capital Stock Note 22. Acquisition of MTGE Investment Corp. Note 7. Mortgage Servicing Rights Note 15. Interest Income and Interest Expense Note 23. Subsequent Events Note 8. Variable Interest Entities Note 16. Net Income (Loss) Per Common Share Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in Real estate, net and Other assets with income or loss included in Other income (loss). Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled $924.9 million and $579.2 million at September 30, 2018 and December 31, 2017 , respectively. Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings. Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. If an item is accounted for at fair value, including financial instruments elected under the FVO, it is presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). The Company made elections to account for the investments at fair value as these elections simplify the accounting. For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurement” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Financing” Note for further discussion on reverse repurchase and repurchase agreements. Derivative Instruments – Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion. Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award. Interest Income - Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). Refer to the “Interest Income and Interest Expense” Note for further discussion on interest income. Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted, or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that are not yet adopted ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While the Company is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. The Company needs to complete the development of an appropriate allowance methodology, assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2017-01 Business Combinations (Topic 805): Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-15 Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. January 1, 2018 As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods.

FINANCIAL INSTRUMENTS

FINANCIAL INSTRUMENTS	9 Months Ended
	Sep. 30, 2018
Investments, All Other Investments [Abstract]
FINANCIAL INSTRUMENTS	FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at September 30, 2018 and December 31, 2017 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 30, 2018 December 31, 2017 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 88,363,876 $ 89,426,437 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 926,252 1,125,326 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 688,521 651,764 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,173,467 1,097,294 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 162,678 244,636 Securities Commercial real estate debt investments - Conduit CMBS Fair value, with unrealized gains (losses) through earnings 23,817 18,115 Total securities 91,338,611 92,563,572 Loans Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,217,139 958,546 Loans Commercial real estate debt and preferred equity, held for investment Amortized cost 1,435,865 1,029,327 Loans Loans held for sale, net Lower of amortized cost or fair value 42,325 — Loans Corporate debt Amortized cost 1,528,874 1,011,275 Total loans 4,224,203 2,999,148 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 765,876 479,776 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 3,521,945 2,826,357 Total assets transferred or pledged to securitization vehicles 4,287,821 3,306,133 Reverse repurchase agreements Reverse repurchase agreements Amortized cost 1,234,704 — Liabilities Repurchase agreements Repurchase agreements Amortized cost 79,073,026 77,696,343 Other secured financing Loans Amortized cost 4,108,547 3,837,528 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,799,542 2,971,771 Mortgages payable Loans Amortized cost 511,588 309,686 (1) Receivable for unsettled trades, Interest receivable, Dividends payable, Payable for unsettled trades and Interest payable are accounted for at cost. (2) Includes Agency pass-through, CMO and multifamily securities. (3) Includes interest-only securities and reverse mortgages.

SECURITIES

SECURITIES	9 Months Ended
	Sep. 30, 2018
Investments, Debt and Equity Securities [Abstract]
SECURITIES	SECURITIES The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt are classified as available-for-sale. Available-for-sale securities are carried at fair value with changes in fair value recognized in other comprehensive income unless the fair value option is elected. Transactions for securities are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on disposals of securities are recorded on trade date based on the specific identification method. The Company accounts for equity securities at fair value unless it is accounted for under the equity method of accounting or the measurement alternative for equity securities without readily determinable fair values. Other-Than-Temporary Impairment - Management evaluates available-for-sale securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). There was no other-than-temporary impairment recognized for the three or nine months ended September 30, 2018 and 2017. Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). TBA securities without intent to accept delivery (“TBA derivatives”), are accounted for as derivatives as discussed in the “Derivative Instruments” Note. Credit Risk Transfer Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Commercial Mortgage-Backed Securities (“Commercial Securities”) - Certain commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of Other comprehensive income (loss). Management evaluates such Commercial Securities for other-than-temporary impairment at least quarterly. The Company elected the fair value option on certain Commercial Securities, including conduit commercial mortgage-backed securities, to simplify the accounting where the unrealized gains and losses on these financial instruments are recorded through earnings. Agency mortgage-backed securities, non-agency mortgage-backed securities and CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio. The following represents a rollforward of the activity for the Company’s securities: September 30, 2018 Residential Securities Commercial Securities Total (dollars in thousands) Beginning Balance January 1 $ 92,300,821 $ 262,751 $ 92,563,572 Purchases 25,395,018 62,402 25,457,420 Sales (14,532,225 ) (40,900 ) (14,573,125 ) Principal paydowns (8,695,247 ) (96,397 ) (8,791,644 ) Amortization / accretion (485,804 ) 501 (485,303 ) Fair value adjustment (2,830,447 ) (1,862 ) (2,832,309 ) Ending Balance September 30 $ 91,152,116 $ 186,495 $ 91,338,611 The following tables present the Company’s securities that were carried at fair value at September 30, 2018 and December 31, 2017 : September 30, 2018 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains Unrealized Losses Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 80,917,596 $ 4,376,927 $ (7,643 ) $ 85,286,880 $ 28,156 $ (3,664,420 ) $ 81,650,616 Adjustable-rate pass-through 5,415,559 268,852 (1,568 ) 5,682,843 9,098 (164,520 ) 5,527,421 CMO 11,610 55 — 11,665 — (124 ) 11,541 Interest-only 6,248,885 1,226,033 — 1,226,033 2,500 (340,766 ) 887,767 Multifamily 1,204,773 8,596 (8,242 ) 1,205,127 306 (31,135 ) 1,174,298 Reverse mortgages 34,552 4,272 — 38,824 — (339 ) 38,485 Total Agency Securities $ 93,832,975 $ 5,884,735 $ (17,453 ) $ 93,451,372 $ 40,060 $ (4,201,304 ) $ 89,290,128 Residential Credit CRT $ 651,360 $ 33,670 $ (14,996 ) $ 670,034 $ 18,537 $ (50 ) $ 688,521 Alt-A 239,990 385 (36,910 ) 203,465 12,730 (131 ) 216,064 Prime 386,193 2,111 (25,419 ) 362,885 15,341 (596 ) 377,630 Subprime 449,425 1,973 (67,841 ) 383,557 45,238 (109 ) 428,686 NPL/RPL 3,431 — (37 ) 3,394 45 — 3,439 Prime Jumbo (>= 2010 Vintage) 137,953 587 (4,644 ) 133,896 49 (3,977 ) 129,968 Prime Jumbo (>= 2010 Vintage) Interest-Only 884,325 13,265 — 13,265 4,415 — 17,680 Total Residential Credit Securities $ 2,752,677 $ 51,991 $ (149,847 ) $ 1,770,496 $ 96,355 $ (4,863 ) $ 1,861,988 Total Residential Securities $ 96,585,652 $ 5,936,726 $ (167,300 ) $ 95,221,868 $ 136,415 $ (4,206,167 ) $ 91,152,116 Commercial Commercial Securities 196,407 339 (9,903 ) 186,843 575 (923 ) 186,495 Total Securities $ 96,782,059 $ 5,937,065 $ (177,203 ) $ 95,408,711 $ 136,990 $ (4,207,090 ) $ 91,338,611 December 31, 2017 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains Unrealized Losses Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 78,509,335 $ 4,514,815 $ (1,750 ) $ 83,022,400 $ 140,115 $ (1,178,673 ) $ 81,983,842 Adjustable-rate pass-through 6,760,991 277,212 (1,952 ) 7,036,251 15,776 (103,121 ) 6,948,906 Interest-only 6,804,715 1,326,761 — 1,326,761 1,863 (242,862 ) 1,085,762 Multifamily 490,753 5,038 (341 ) 495,450 84 (1,845 ) 493,689 Reverse mortgages 35,000 4,527 — 39,527 37 — 39,564 Total Agency Securities $ 92,600,794 $ 6,128,353 $ (4,043 ) $ 91,920,389 $ 157,875 $ (1,526,501 ) $ 90,551,763 Residential Credit CRT $ 593,027 $ 25,463 $ (3,456 ) $ 615,034 $ 36,730 $ — $ 651,764 Alt-A 204,213 499 (34,000 ) 170,712 13,976 (802 ) 183,886 Prime 197,756 358 (24,158 ) 173,956 18,804 — 192,760 Subprime 554,470 2,037 (78,561 ) 477,946 56,024 (90 ) 533,880 NPL/RPL 42,585 14 (117 ) 42,482 506 — 42,988 Prime Jumbo (>= 2010 Vintage) 130,025 627 (3,956 ) 126,696 1,038 (1,112 ) 126,622 Prime Jumbo (>= 2010 Vintage) Interest-Only 989,052 15,287 — 15,287 1,871 — 17,158 Total Residential Credit Securities 2,711,128 44,285 (144,248 ) 1,622,113 128,949 (2,004 ) 1,749,058 Total Residential Securities $ 95,311,922 $ 6,172,638 $ (148,291 ) $ 93,542,502 $ 286,824 $ (1,528,505 ) $ 92,300,821 Commercial Commercial Securities $ 270,288 $ 680 $ (9,731 ) $ 261,237 $ 1,843 $ (329 ) $ 262,751 Total Securities $ 95,582,210 $ 6,173,318 $ (158,022 ) $ 93,803,739 $ 288,667 $ (1,528,834 ) $ 92,563,572 The following table presents the Company’s Agency mortgage-backed securities portfolio concentration by issuing Agency at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 Investment Type (dollars in thousands) Fannie Mae $ 59,568,293 $ 63,361,415 Freddie Mac 29,636,443 27,091,978 Ginnie Mae 85,392 98,370 Total $ 89,290,128 $ 90,551,763 Actual maturities of the Company’s Residential Securities portfolio are generally shorter than stated contractual maturities because actual maturities of the portfolio are generally affected by periodic payments and prepayments of principal on underlying mortgages. The following table summarizes the Company’s available-for-sale Residential Securities at September 30, 2018 and December 31, 2017 , according to their estimated weighted average life classifications: September 30, 2018 December 31, 2017 Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost Weighted Average Life (dollars in thousands) Less than one year $ 19,335 $ 19,339 $ 471,977 $ 476,538 Greater than one year through five years 10,442,022 10,737,675 13,838,890 13,925,749 Greater than five years through ten years 79,260,878 83,003,720 77,273,833 78,431,852 Greater than ten years 1,429,881 1,461,134 716,121 708,363 Total $ 91,152,116 $ 95,221,868 $ 92,300,821 $ 93,542,502 The weighted average lives of the Residential Securities at September 30, 2018 and December 31, 2017 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected. The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 . September 30, 2018 December 31, 2017 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 Months $ 46,457,384 $ (1,401,491 ) 2,213 $ 39,878,158 $ (272,234 ) 1,114 12 Months or More 40,098,674 (2,458,708 ) 1,233 39,491,238 (1,011,405 ) 911 Total $ 86,556,058 $ (3,860,199 ) 3,446 $ 79,369,396 $ (1,283,639 ) 2,025 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. During the three and nine months ended September 30, 2018 , the Company disposed of $9.1 billion and $14.5 billion of Residential Securities, resulting in net realized (losses) of ($322.4) million and ($372.5) million , respectively. During the three and nine months ended September 30, 2017, the Company disposed of $6.8 billion and $11.4 billion of Residential Securities, resulting in net realized losses of ($10.2) million and ($14.3) million , respectively.

LOANS

LOANS	9 Months Ended
	Sep. 30, 2018
Mortgage Loans on Real Estate [Abstract]
LOANS	LOANS The Company invests in residential, commercial and corporate loans. Loans are classified as either held for investment or held for sale. Loans are also eligible to be accounted for under the fair value option. As of September 30, 2018 , the Company reported $1.2 billion of loans elected under the fair value option. If loans are held for investment and the fair value option has not been elected, they are accounted for at amortized cost less impairment. If loans are held for sale and the fair value option has not been elected, they are accounted for at the lower of cost or fair value. Loans can be classified as held for investment if the Company has the intent and ability to hold the loan for the foreseeable future or to maturity or payoff. If the Company has the intent and ability to sell loans, they are classified as held for sale. Nonaccrual Status – If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower. The Company did not have any impaired loans or loans in default as all of the loans were performing at September 30, 2018 and December 31, 2017 . There were no allowances for loan losses at September 30, 2018 or December 31, 2017 . Allowance for Losses – The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality , may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectible. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan, economic trends (both macro and those affecting the property specifically), and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The Company did not have any impaired loans, nonaccrual loans, or loans in default in the commercial loan portfolio as all of the loans were performing at September 30, 2018 and December 31, 2017 . As such, no provision for loan losses was deemed necessary at September 30, 2018 or December 31, 2017 . The following table presents the activity of the Company’s loan investments for the nine months ended September 30, 2018 : Residential Commercial Corporate Total (dollars in thousands) Beginning balance January 1, 2018 $ 958,546 $ 1,029,327 $ 1,011,275 $ 2,999,148 Purchases 430,854 528,835 788,213 1,747,902 Syndications — — (44,125 ) (44,125 ) Principal Payments (156,198 ) (124,559 ) (235,423 ) (516,180 ) Change in fair value (13,812 ) — — (13,812 ) Amortization (2,251 ) 2,262 8,934 8,945 Ending balance September 30, 2018 $ 1,217,139 $ 1,435,865 $ 1,528,874 $ 4,181,878 The carrying value of the Company’s loans held for sale was $42.3 million and $0 at September 30, 2018 and December 31, 2017 , respectively. Residential The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. Additionally, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts. Please refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated Residential Mortgage Loan Trusts. The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 (dollars in thousands) Fair value $ 1,983,015 $ 1,438,322 Unpaid principal balance $ 1,976,077 $ 1,419,807 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2018 and 2017 for these investments: Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands) Net interest income $ 16,423 $ 8,226 $ 45,702 $ 18,935 Net gains (losses) on disposal of investments (1) (2,975 ) (2,093 ) (7,924 ) (3,407 ) Net unrealized gains (losses) on instruments measured at fair value through earnings (3,633 ) (725 ) (14,802 ) 5,400 Total included in net income (loss) $ 9,815 $ 5,408 $ 22,976 $ 20,928 (1) Includes loan premium write offs. The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2018 and December 31, 2017 , for the residential mortgage loans, including loans transferred or pledged to securitization trusts: Geographic Concentrations of Residential Mortgage Loans September 30, 2018 December 31, 2017 Property Location % of Balance Property Location % of Balance California 54.5 % California 49.8 % New York 8.1 % Florida 9.3 % Florida 6.6 % New York 7.1 % All other (none individually greater than 5%) 30.8 % All other (none individually greater than 5%) 33.8 % Total 100.0 % Total 100.0 % The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization trusts, at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 Portfolio Range Portfolio Weighted Average Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,500 $494 $1 - $3,663 $514 Interest rate 2.00% - 7.50% 4.74% 1.63% - 7.50% 4.25% Maturity 1/1/2028 - 9/1/2058 1/5/2045 1/1/2028 - 5/1/2057 2/1/2043 FICO score at loan origination 510 - 823 754 468 - 823 748 Loan-to-value ratio at loan origination 11% - 100% 67% 11% - 100% 68% At September 30, 2018 and December 31, 2017 , approximately 54% and 78% , respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization trusts, were adjustable-rate. Commercial The Company’s commercial real estate loans are comprised of fixed-rate and adjustable-rate loans. The Company designates loans as held for investment if it has the intent and ability to hold the loans until maturity or payoff. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less an allowance for losses, if necessary. Origination fees and costs, premiums or discounts are amortized into interest income over the life of the loan. If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, they are classified as held for sale. Commercial real estate loans that are designated as held for sale are carried at the lower of amortized cost or fair value in the accompanying Consolidated Statements of Financial Condition. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of commercial real estate loans held for sale on an individual loan basis. Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses, if necessary. At September 30, 2018 and December 31, 2017 , approximately 87% and 85% , respectively, of the carrying value of the Company’s CRE Debt and Preferred Equity Investments, excluding loans held for sale, was comprised of floating-rate debt investments. On December 11, 2015, the Company originated a $335.0 million recapitalization financing with respect to eight class A/B office properties in Orange County, California. The Company previously classified the senior mortgage loan as held for sale. During the nine months ended September 30, 2017 , the Company sold the remaining balance of $115.0 million ( $114.4 million , net of origination fees) of the senior loan to unrelated third parties at carrying value. Accordingly, no gain or loss was recorded in connection with the sale. At September 30, 2018 and December 31, 2017 , commercial real estate investments held for investment were comprised of the following: September 30, 2018 December 31, 2017 Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) (dollars in thousands) Senior mortgages $ 1,090,849 $ 1,084,167 75.6 % $ 629,143 $ 625,900 60.9 % Mezzanine loans 343,354 342,700 23.8 % 395,015 394,442 38.2 % Preferred equity 9,000 8,998 0.6 % 9,000 8,985 0.9 % Total $ 1,443,203 $ 1,435,865 100.0 % $ 1,033,158 $ 1,029,327 100.0 % (1) Carrying value includes unamortized origination fees of $5.7 million and $3.8 million at September 30, 2018 and December 31, 2017 , respectively. (2) Based on outstanding principal. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at September 30, 2018 and December 31, 2017 : September 30, 2018 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 489,271 45,334 — 534,605 Principal payments (27,565 ) (96,993 ) — (124,558 ) Net (increase) decrease in origination fees (5,400 ) (370 ) — (5,770 ) Amortization of net origination fees 1,961 287 13 2,261 Net carrying value (September 30, 2018) $ 1,084,167 $ 342,700 $ 8,998 $ 1,435,865 December 31, 2017 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance (January 1, 2017) $ 510,071 $ 451,467 $ 8,967 $ 970,505 Originations & advances (principal) 338,242 69,121 — 407,363 Principal payments (221,421 ) (127,799 ) — (349,220 ) Amortization & accretion of (premium) discounts (44 ) 28 — (16 ) Net (increase) decrease in origination fees (3,317 ) (605 ) — (3,922 ) Amortization of net origination fees 2,369 2,230 18 4,617 Net carrying value (December 31, 2017) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of September 30, 2018 and December 31, 2017 . September 30, 2018 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 1,090,849 75.6 % $ 724,111 $ 302,348 $ — $ 64,390 $ — $ — $ 1,090,849 Mezzanine loans 343,354 23.8 % 135,334 64,323 107,094 36,603 — — 343,354 Preferred equity 9,000 0.6 % — — 9,000 — — — 9,000 Total $ 1,443,203 100.0 % $ 859,445 $ 366,671 $ 116,094 $ 100,993 $ — $ — $ 1,443,203 December 31, 2017 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 629,143 60.9 % $ 409,878 $ 115,075 $ 36,800 $ 67,390 $ — $ — $ 629,143 Mezzanine loans 395,015 38.2 % 206,169 66,498 122,348 — — — 395,015 Preferred equity 9,000 0.9 % — — 9,000 — — — 9,000 Total $ 1,033,158 100.0 % $ 616,047 $ 181,573 $ 168,148 $ 67,390 $ — $ — $ 1,033,158 (1) The Company rated two loans as Substandard as of September 30, 2018 . The Company evaluated whether an impairment exists and determined in each case that, based on quantitative and qualitative factors, the Company expects repayment of contractual amounts due. Corporate Debt The Company’s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the effective interest method. These investments typically take the form of senior secured loans primarily in first or second lien positions. The Company’s senior secured loans generally have stated maturities of three to eight years . In connection with these senior secured loans the Company receives a security interest in certain assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to less credit risk than more junior loans given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at September 30, 2018 and December 31, 2017 are as follows: Industry Dispersion September 30, 2018 December 31, 2017 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ — $ 41,344 $ 41,344 $ — $ 34,814 $ 34,814 Coating, Engraving and Allied Services — 58,850 58,850 — 64,034 64,034 Computer Programming, Data Processing & Other Computer Related Services — 212,969 212,969 — 209,624 209,624 Drugs — 38,735 38,735 — 38,708 38,708 Electrical Work — 43,266 43,266 — — — Electronic Components & Accessories — 24,029 24,029 — 23,916 23,916 Engineering, Architectural & Surveying — 80,741 80,741 — — — Groceries and Related Products — 14,725 14,725 — 14,794 14,794 Grocery Stores — 23,461 23,461 — 23,531 23,531 Home Health Care Services — — — — 23,779 23,779 Insurance Agents, Brokers and Services — 49,211 49,211 — 28,872 28,872 Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,855 14,855 — — — Management and Public Relations Services — 240,740 240,740 — 94,871 94,871 Medical and Dental Laboratories — 26,876 26,876 — 26,956 26,956 Metal Cans & Shipping Containers — 118,006 118,006 — — — Miscellaneous Business Services — 19,650 19,650 — 19,723 19,723 Miscellaneous Equipment Rental and Leasing — 49,433 49,433 — 49,129 49,129 Miscellaneous Health and Allied Services, not elsewhere classified — 54,189 54,189 — 25,963 25,963 Miscellaneous Nonmetallic Minerals, except Fuels — — — — 25,992 25,992 Miscellaneous Plastic Products — 9,963 9,963 — 9,879 9,879 Motor Vehicles and Motor Vehicle Equipment — 16,937 16,937 — — — Motor Vehicles and Motor Vehicle Parts and Supplies — 27,979 27,979 — 12,212 12,212 Nonferrous Foundries (Castings) — 12,953 12,953 — — — Offices and Clinics of Doctors of Medicine — 97,760 97,760 — 600 600 Offices and Clinics of Other Health Practitioners — 21,122 21,122 — 18,979 18,979 Public Warehousing and Storage — 61,912 61,912 — 48,890 48,890 Research, Development and Testing Services — 33,334 33,334 — 33,155 33,155 Schools and Educational Services, not elsewhere classified — 19,794 19,794 — 20,625 20,625 Services Allied with the Exchange of Securities — 14,895 14,895 — 13,960 13,960 Surgical, Medical, and Dental Instruments and Supplies — 39,806 39,806 — 29,687 29,687 Telephone Communications — 61,339 61,339 — 59,182 59,182 Total $ — $ 1,528,874 $ 1,528,874 $ — $ 1,011,275 $ 1,011,275 The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at September 30, 2018 and December 31, 2017 . September 30, 2018 December 31, 2017 (dollars in thousands) First lien loans $ 888,860 $ 582,724 Second lien loans 640,014 428,551 Total $ 1,528,874 $ 1,011,275

MORTGAGE SERVICING RIGHTS

MORTGAGE SERVICING RIGHTS	9 Months Ended
	Sep. 30, 2018
Transfers and Servicing [Abstract]
MORTGAGE SERVICING RIGHTS	MORTGAGE SERVICING RIGHTS MSRs represent the rights associated with servicing pools of residential mortgage loans. The Company and its subsidiaries do not originate or directly service residential mortgage loans. Rather, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSRs. The Company intends to hold the MSRs as investments and elected to account for all of its investments in MSRs at fair value. As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). The following table presents activity related to MSRs for the three and nine months ended September 30, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands) Fair value, beginning of period $ 599,014 $ 605,653 $ 580,860 $ 652,216 Purchases (1) — (30 ) — (27 ) Other — — — 10 Change in fair value due to: Changes in valuation inputs or assumptions (2) (19,913 ) (19,207 ) (61,011 ) (34,645 ) Other changes, including realization of expected cash flows 9,732 (16,198 ) 68,984 (47,336 ) Fair value, end of period $ 588,833 $ 570,218 $ 588,833 $ 570,218 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to be not acceptable. (2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. For the three and nine months ended September 30, 2018 , the Company recognized $27.7 million and $83.8 million , respectively, and for the three and nine months ended September 30, 2017, the Company recognized $31.9 million and $99.7 million , respectively, of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). The Company also owns variable interests in an entity that invests in MSRs, refer to the “Variable Interest Entities” Note for a detailed discussion on this topic.

REAL ESTATE

REAL ESTATE	9 Months Ended
	Sep. 30, 2018
Real Estate [Abstract]
REAL ESTATE	REAL ESTATE Real estate investments are carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance which are not reimbursed by tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life. Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years There was no real estate acquired in settlement of residential mortgage loans at September 30, 2018 or December 31, 2017 other than real estate held by securitization trusts that the Company was required to consolidate. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. Real estate investments, including REO, that do not meet the criteria to be classified as held for sale are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded. The Company’s real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property’s value is considered impaired if the Company’s estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property. The Company acquired real estate holdings in connection with the MTGE Acquisition during the three and nine months ended September 30, 2018 ; refer to the “Acquisition of MTGE Investment Corp.” Note for additional information. There were no acquisitions of real estate holdings during the three and nine months ended September 30, 2017 . The Company sold one of its wholly-owned triple net leased properties during the nine months ended September 30, 2017 for $12.0 million and recognized a gain on sale of $5.1 million . The weighted average amortization period for intangible assets and liabilities at September 30, 2018 is 5.0 years . Above market leases and leasehold intangible assets are included in Goodwill and intangible assets, net and below market leases are included in Other liabilities in the Consolidated Statements of Financial Condition. September 30, 2018 December 31, 2017 Real Estate, Net (dollars in thousands) Land $ 128,742 $ 111,012 Buildings and improvements 580,932 330,959 Furniture, fixtures and equipment 11,205 — Subtotal 720,879 441,971 Less: accumulated depreciation (60,795 ) (48,920 ) Total real estate held for investment, at amortized cost, net 660,084 393,051 Equity in unconsolidated joint ventures 92,930 92,902 Total Real Estate, Net $ 753,014 $ 485,953 Depreciation expense was $4.5 million and $11.9 million for the three and nine months ended September 30, 2018 , respectively. Depreciation expense was $4.0 million and $11.8 million for the three and nine months ended September 30, 2017 , respectively. Depreciation expense is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). Rental Income The minimum rental amounts due under leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse the Company for certain operating costs. Rental income is included in Other income (loss) in the Company’s Consolidated Statements of Comprehensive Income (Loss). Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at September 30, 2018 for consolidated investments in real estate are as follows: September 30, 2018 (dollars in thousands) 2018 (remaining) $ 12,627 2019 49,246 2020 44,973 2021 40,940 2022 36,393 Later years 223,175 Total $ 407,354

VARIABLE INTEREST ENTITIES

VARIABLE INTEREST ENTITIES	9 Months Ended
	Sep. 30, 2018
Organization, Consolidation and Presentation of Financial Statements [Abstract]
VARIABLE INTEREST ENTITIES	VARIABLE INTEREST ENTITIES The Company has investments in Freddie Mac securitizations (“FREMF Trusts”) which are structured as pass-through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The FREMF Trusts are VIEs and the Company is considered to be the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the Class C Certificates and its current designation as the directing certificate holder. The FREMF Trusts are included in the “Commercial Trusts” in the tables below. The Company purchased approximately $94 million of a subordinated tranche in a securitization trust in 2018. As the directing holder, the Company can remove the special servicer with or without cause as well as direct activities that are considered to be most significant to the economic performance of the trust. As such, the Company was determined to be the primary beneficiary and consolidates the trust. The trust is included in “Commercial Trusts” in the tables below. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the Commercial Trusts in order to avoid an accounting mismatch, and to represent more faithfully the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company applied the practical expedient under ASU 2014-07, whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the Commercial Trusts are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the Commercial Trusts are an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. The Commercial Trusts mortgage loans had an aggregate unpaid principal balance of $3.5 billion at September 30, 2018 . At September 30, 2018 , there were no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or securitized debt securities at September 30, 2018 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. The Company consolidates a securitization trust, which is included in “Residential Trusts” in the tables below, that issued residential mortgage-backed securities that are collateralized by residential mortgage loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns most of the mortgage-backed securities issued by this VIE, including the subordinate securities, and a subsidiary of the Company continues to be the master servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has not elected to apply the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trust are available from third-party pricing services. The contractual principal amount of the residential mortgage trust’s debt held by third parties was $30.4 million at September 30, 2018 . In March 2018, the Company closed OBX 2018-01, with a face value of $327.5 million . In July 2018, the Company closed OBX 2018-EXP1 with a face value of $383.4 million . The OBX 2018-01 Trust and the OBX 2018-EXP1 Trust are referred to collectively as the “OBX Trusts”. These securitizations represent financing transactions which provided non-recourse financing to the Company that is collateralized by residential mortgage loans purchased by the Company. A total of $588.1 million of bonds were issued to third parties and the Company retained $122.5 million of mortgage-backed securities, which are eliminated in consolidation. The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs. The Company has elected the fair value option for the financial assets and liabilities of these VIEs, but has not elected the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trust are available from third-party pricing services. The Company incurred approximately $1.5 million of costs in connection with the OBX 2018-01 securitization and approximately $1.8 million of costs in connection with the OBX 2018-EXP1 securitization that were expensed as incurred during the first quarter ended March 31, 2018 and the third quarter ended September 30, 2018, respectively. The contractual principal amount of the OBX Trusts’ debt held by third parties was $530.1 million at September 30, 2018 . Although the residential mortgage loans have been sold for bankruptcy and state law purposes, the transfers of the residential mortgage loans to the OBX Trusts did not qualify for sale accounting and are reflected as intercompany secured borrowings that are eliminated upon consolidation. In June 2016, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of September 30, 2018 , the borrowing limit on this facility was $400.0 million . The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as collateral manager and because it holds a variable interest in the entity that could potentially be significant to the entity. The Company has pledged as collateral for this facility corporate loans with a carrying amount of $443.6 million at September 30, 2018 . The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At September 30, 2018 , the subsidiary had an intercompany receivable of $300.0 million , which eliminates upon consolidation and an Other secured financing of $300.0 million to the third party financial institution. In July 2017, a consolidated subsidiary of the Company entered into a $150.0 million credit facility with a third party financial institution. The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as servicer and because it holds a variable interest in the entity that could potentially be significant to the entity. The Company has transferred corporate loans to the subsidiary with a carrying amount of $235.6 million at September 30, 2018 , which continue to be reflected in the Company’s Consolidated Statements of Financial Condition in Loans. At September 30, 2018 , the subsidiary had an Other secured financing of $150.0 million to the third party financial institution. The Company also owns variable interests in an entity that invests in MSRs and has structured its operations, funding and capitalization into pools of assets and liabilities, each referred to as a “silo.” Owners of variable interests in a given silo are entitled to all of the returns and subjected to the risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo. While the Company previously held 100% of the voting interests in this entity, in August 2017, the Company sold 100% of such interests, and entered into an agreement with the entity’s affiliated portfolio manager giving the Company the power over the silo in which it owns all of the beneficial interests. As a result, the Company is considered to be the primary beneficiary and consolidates this silo. The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $1.6 billion at September 30, 2018 . Assets of the VIEs may only be used to settle obligations of the VIEs. Creditors of the VIEs have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the VIEs. No gains or losses were recognized upon consolidation of existing VIEs. Interest income and expense are recognized using the effective interest method. The statements of financial condition of the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 28,441 Commercial real estate debt 3,521,945 — — Residential mortgage loans — 107,764 97,825 Mortgage servicing rights — — 588,833 Interest receivable 13,432 555 — Other assets — — 33,522 Total assets $ 3,535,377 $ 108,319 $ 748,621 Liabilities Securitized debt (non-recourse) $ 3,240,043 $ 29,698 $ — Other secured financing — — 70,221 Interest payable 6,383 70 — Other liabilities — 148 2,160 Total liabilities $ 3,246,426 $ 29,916 $ 72,381 December 31, 2017 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 42,293 Commercial real estate debt 2,826,357 — — Residential mortgage loans — 478,811 19,667 Mortgage servicing rights — — 580,860 Interest receivable 10,339 1,599 — Derivative assets — — 1 Other assets — 1,418 32,354 Total assets $ 2,836,696 $ 481,828 $ 675,175 Liabilities Securitized debt (non-recourse) $ 2,620,952 $ 350,819 $ — Other secured financing — — 10,496 Interest payable 4,554 931 — Other liabilities — 112 4,856 Total liabilities $ 2,625,506 $ 351,862 $ 15,352 The statements of comprehensive income (loss) of the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, that are reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2018 and 2017 are as follows: Three Months Ended September 30, 2018 Commercial Trusts Residential Trusts MSR Silo Net interest income: (dollars in thousands) Interest income $ 36,387 $ 1,723 $ 2,678 Interest expense 25,068 773 438 Net interest income 11,319 950 2,240 Net realized gains (losses) on disposal of investments — 147 (516 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 220 242 (13,364 ) Other income (loss) (4,217 ) (70 ) 26,866 Less: General and administrative expenses — 21 481 Net income (loss) $ 7,322 1,248 14,745 Three Months Ended September 30, 2017 Commercial Trusts Residential Trusts MSR Silo Net interest income: (dollars in thousands) Interest income $ 28,841 $ 1,145 $ 514 Interest expense 15,791 282 121 Net interest income 13,050 863 393 Net realized gains (losses) on disposal of investments — (229 ) (1,430 ) Net gains (losses) on trading assets — — (19 ) Net unrealized gains (losses) on instruments measured at fair value through earnings (2,256 ) (20 ) (36,226 ) Other income (loss) (6,073 ) (89 ) 32,001 Less: General and administrative expenses (1 ) 34 560 Net income (loss) $ 4,722 $ 491 $ (5,841 ) Nine Months Ended September 30, 2018 Commercial Trusts Residential Mortgage Loan Trusts MSR Silo Net interest income: (dollars in thousands) Interest income $ 85,325 $ 6,280 $ 4,126 Interest expense 54,265 3,621 875 Net interest income 31,060 2,659 3,251 Net realized gains (losses) on disposal of investments — 2,049 (1,826 ) Net gains (losses) on other derivatives — — 70 Net unrealized gains (losses) on instruments measured at fair value through earnings 1,332 (925 ) 3,101 Other income (loss) (12,986 ) (221 ) 83,924 Less: General and administrative expenses — 50 1,408 Net income (loss) $ 19,406 $ 3,512 $ 87,112 Nine Months Ended September 30, 2017 Commercial Trusts Residential Mortgage Loan Trusts MSR Silo Net interest income: (dollars in thousands) Interest income $ 81,508 $ 3,685 $ 1,005 Interest expense 42,046 854 243 Net interest income 39,462 2,831 762 Net realized gains (losses) on disposal of investments — (611 ) (1,915 ) Net gains (losses) on trading assets — — (17 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 2,833 1,682 (83,340 ) Other income (loss) (18,595 ) (280 ) 99,927 Less: General and administrative expenses — 71 2,500 Net income (loss) $ 23,700 $ 3,551 $ 12,917 The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, at September 30, 2018 are as follows: FREMF Trusts Residential Mortgage Loan Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 478,593 13.7 % California $ 48,718 44.9 % Maryland 448,646 12.8 % Texas 13,981 12.9 % California 360,279 10.3 % Illinois 8,297 7.6 % Virginia 347,002 9.9 % Washington 7,559 7.0 % Pennsylvania 281,384 8.1 % Florida 5,424 5.0 % New York 280,925 8.0 % Other (1) 24,501 22.6 % North Carolina 251,187 7.2 % Massachusetts 179,440 5.1 % Other (1) 867,774 24.9 % Total $ 3,495,230 100.0 % $ 108,480 100.0 % (1) No individual state greater than 5% .

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS	9 Months Ended
	Sep. 30, 2018
Fair Value Disclosures [Abstract]
FAIR VALUE MEASUREMENTS	FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments that are accounted for at fair value. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1– inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, residential mortgage loans, interest rate swap and swaption markets and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, Commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of securitized debt of consolidated VIEs, refer to the Note titled “Variable Interest Entities” for additional information. The Company classifies its investments in MSRs as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to valuations obtained from third-party pricing providers. Management reviews the valuations received from third-party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSRs requires significant judgment by management and the third-party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. The following tables present the estimated fair values of financial instruments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. September 30, 2018 Level 1 Level 2 Level 3 Total Assets: (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 89,290,128 $ — $ 89,290,128 Credit risk transfer securities — 688,521 — 688,521 Non-Agency mortgage-backed securities — 1,173,467 — 1,173,467 Commercial mortgage-backed securities — 186,495 — 186,495 Loans Residential mortgage loans — 1,217,139 — 1,217,139 Mortgage servicing rights — — 588,833 588,833 Assets transferred or pledged to securitization vehicles — 4,287,821 — 4,287,821 Derivative assets Interest rate swaps — 97,002 — 97,002 Other derivatives 221,516 86,323 — 307,839 Total assets $ 221,516 $ 97,026,896 $ 588,833 $ 97,837,245 Liabilities: Debt issued by securitization vehicles $ — $ 3,799,542 $ — $ 3,799,542 Derivative liabilities Interest rate swaps — 311,729 — 311,729 Other derivatives 482 67,583 — 68,065 Total liabilities $ 482 $ 4,178,854 $ — $ 4,179,336 December 31, 2017 Level 1 Level 2 Level 3 Total Assets: (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 90,551,763 $ — $ 90,551,763 Credit risk transfer securities — 651,764 — 651,764 Non-Agency mortgage-backed securities — 1,097,294 — 1,097,294 Commercial mortgage-backed securities — 262,751 — 262,751 Loans Residential mortgage loans — 958,546 — 958,546 Mortgage servicing rights — — 580,860 580,860 Assets transferred or pledged to securitization vehicles — 3,306,133 — 3,306,133 Derivative assets Interest rate swaps — 30,272 — 30,272 Other derivatives 218,361 65,252 — 283,613 Total assets $ 218,361 $ 96,923,775 $ 580,860 $ 97,722,996 Liabilities: Debt issued by securitization vehicles $ — $ 2,971,771 $ — $ 2,971,771 Derivative liabilities Interest rate swaps — 569,129 — 569,129 Other derivatives 12,285 26,440 — 38,725 Total liabilities $ 12,285 $ 3,567,340 $ — $ 3,579,625 Quantitative Information about Level 3 Fair Value Measurements The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements are described below. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently from changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply. For MSRs, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSRs, which in turn could result in a decline in the estimated fair value of MSRs. Refer to the Note titled “Mortgage Servicing Rights” for additional information. The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. Valuation Technique Unobservable Input (1) September 30, 2018 December 31, 2017 Range (Weighted Average) Discounted cash flow Discount rate 9.0% -12.0% (9.4%) 10.0% -15.0% (10.4%) Prepayment rate 4.5% - 11.3% (7.1%) 4.6% - 22.3% (9.4%) Delinquency rate 0.0% - 5.0% (2.3%) 0.0% - 13.0% (2.2%) Cost to service $82 - $132 ($105) $84 - $181 ($102) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at September 30, 2018 and December 31, 2017 . Level in Fair Value Hierarchy September 30, 2018 December 31, 2017 Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment 3 1,435,865 1,446,062 1,029,327 1,035,095 Commercial loans held for sale, net 3 42,325 43,055 — — Corporate debt 2 1,528,874 1,531,546 1,011,275 1,014,139 Financial liabilities: Repurchase agreements 1,2 $ 79,073,026 $ 79,073,026 $ 77,696,343 $ 77,697,828 Other secured financing 1,2 4,108,547 4,108,801 3,837,528 3,837,595 Mortgages payable 3 511,588 494,690 309,686 310,218

SECURED FINANCING

SECURED FINANCING	9 Months Ended
	Sep. 30, 2018
Debt Disclosure [Abstract]
SECURED FINANCING	SECURED FINANCING Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assesses each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements meet the specified criteria in this guidance. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows. The Company had outstanding $79.1 billion and $77.7 billion of repurchase agreements with weighted average borrowing rates of 2.05% and 1.89% , after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 55 days and 58 days at September 30, 2018 and December 31, 2017 , respectively. At September 30, 2018 and December 31, 2017 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 30, 2018 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 16,400,345 $ — $ — $ — $ — $ 16,400,345 2.38 % 2 to 29 days 19,476,641 365,101 252,960 — 80,474 20,175,176 2.18 % 30 to 59 days 7,256,371 — 65,567 — — 7,321,938 2.26 % 60 to 89 days 17,159,885 71,919 155,479 — 36,076 17,423,359 2.38 % 90 to 119 days 6,518,313 — — — — 6,518,313 2.20 % Over 120 days (1) 10,330,866 — — 764,543 138,486 11,233,895 2.48 % Total $ 77,142,421 $ 437,020 $ 474,006 $ 764,543 $ 255,036 $ 79,073,026 2.32 % December 31, 2017 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — 2 to 29 days 33,421,609 263,528 253,290 — 18,125 33,956,552 1.69 % 30 to 59 days 10,811,515 7,229 3,658 — 6,375 10,828,777 1.44 % 60 to 89 days 13,800,743 7,214 47,830 — — 13,855,787 1.59 % 90 to 119 days 10,128,006 — — — — 10,128,006 1.39 % Over 120 days (1) 8,542,108 — — 385,113 — 8,927,221 1.77 % Total $ 76,703,981 $ 277,971 $ 304,778 $ 385,113 $ 24,500 $ 77,696,343 1.61 % (1) Approximately 0% and 1% of the total repurchase agreements had a remaining maturity over 1 year at September 30, 2018 and December 31, 2017 , respectively. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. September 30, 2018 December 31, 2017 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ 1,484,704 $ 79,323,026 $ 1,250,000 $ 78,946,343 Amounts Offset (250,000 ) (250,000 ) (1,250,000 ) (1,250,000 ) Netted Amounts $ 1,234,704 $ 79,073,026 $ — $ 77,696,343 Other Secured Financing - The Company also finances a portion of its financial assets with advances from the Federal Home Loan Bank of Des Moines (“FHLB Des Moines”). Borrowings from FHLB Des Moines are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. At September 30, 2018 , $3.6 billion of the advances matures between one to three years . At December 31, 2017 , $2.1 billion of advances from the FHLB Des Moines matures beyond three years and $1.4 billion matures between one to three years . The weighted average rate of the advances from the FHLB Des Moines was 2.41% and 1.49% at September 30, 2018 and December 31, 2017 , respectively. The Company held $147.9 million of capital stock in the FHLB Des Moines at September 30, 2018 and December 31, 2017 , which is reported at cost and included in Other assets on the Company’s Consolidated Statements of Financial Condition. Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential and senior securitized commercial mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $87.2 billion and $280.7 million , respectively, at September 30, 2018 and $87.0 billion and $267.3 million , respectively, at December 31, 2017 . The fair value of collateral received in connection with reverse repurchase agreements was $482.3 million and $0 as of September 30, 2018 and December 31, 2017 , respectively. The Company did not sell or repledge any of the collateral received as of September 30, 2018 and December 31, 2017 . Mortgages Payable - Mortgages payable at September 30, 2018 and December 31, 2017 , were as follows: September 30, 2018 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 332,317 $ 334,789 2.75% - 4.96% Fixed 2024 - 2029 First liens Tennessee 12,319 12,350 4.01% Fixed 9/6/2019 First liens Virginia 96,266 98,127 2.34% - 4.55% Fixed 2019-2053 First liens Utah (fixed) 7,297 7,218 3.69% Fixed 6/1/2053 First liens Utah (floating) 9,691 9,706 L+3.50% Floating 1/31/2019 First liens Minnesota 13,470 13,506 3.69% Fixed 6/1/2053 First liens Wisconsin 7,911 7,932 3.69% Fixed 6/1/2053 First liens Texas 32,317 33,875 3.28% Fixed 1/1/1953 First liens Total $ 511,588 $ 517,503 December 31, 2017 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 286,373 $ 289,125 4.03% - 4.61% Fixed 2024 and 2025 First liens Tennessee 12,294 12,350 4.01% Fixed 9/6/2019 First liens Virginia 11,019 11,025 3.58% Fixed 6/6/2019 First liens Total $ 309,686 $ 312,500 The following table details future mortgage loan principal payments at September 30, 2018 : Mortgage Loan Principal Payments (dollars in thousands) 2018 (remaining) $ 717 2019 36,111 2020 19,410 2021 3,493 2022 3,711 Later years 454,061 Total $ 517,503

DERIVATIVE INSTRUMENTS

DERIVATIVE INSTRUMENTS	9 Months Ended
	Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]
DERIVATIVE INSTRUMENTS	DERIVATIVE INSTRUMENTS Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, options on TBA securities (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also enter into other types of mortgage derivatives such as interest-only securities, credit derivatives referencing the commercial mortgage-backed securities index and synthetic total return swaps. In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options and U.S. Treasury or Eurodollar futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value and terms of the derivative contract. In the case of MAC interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swap to compensate for the out of market nature of such interest rate swap. Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. In accordance with a clearing organization’s rulebook, the Company presents the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. At September 30, 2018 , $1.6 billion of variation margin was reported as a reduction to interest rate swaps, at fair value. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps are generally fair valued using the DCO’s market values. We may use market agreed coupon (“MAC”) interest rate swaps in which we may receive or make a payment at the time of entering into the swap to compensate for the out of the market nature of such interest rate swap. MAC interest rate swaps are also centrally cleared and fair valued using internal pricing models and compared to the DCO’s market value. Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls – TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date. Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing. Forward Purchase Commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. Credit Derivatives – The Company may enter into credit derivatives referencing the commercial mortgage-backed securities index, such as the CMBX index, and synthetic total return swaps. Refer to the section titled “Glossary of Terms” located in Part I, Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations” for additional information related to the CMBX index. The table below summarizes fair value information about our derivative assets and liabilities at September 30, 2018 and December 31, 2017 : Derivatives Instruments September 30, 2018 December 31, 2017 Derivative Assets: (dollars in thousands) Interest rate swaps $ 97,002 $ 30,272 Interest rate swaptions 65,356 36,150 TBA derivatives 13,535 29,067 Futures contracts 221,516 218,361 Purchase commitments 189 35 Credit derivatives (1) 7,243 — $ 404,841 $ 313,885 Derivative Liabilities: Interest rate swaps $ 311,729 $ 569,129 TBA derivatives 64,900 21,776 Futures contracts 482 12,285 Purchase commitments 797 157 Credit derivatives (1) 1,886 4,507 $ 379,794 $ 607,854 (1) The notional amount of the credit derivatives in which the Company purchased protection was $70.0 million at September 30, 2018. The maximum potential amount of future payments is the notional amount of $466.0 million and $125.0 million at September 30, 2018 and December 31, 2017 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-. The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2018 and December 31, 2017 : September 30, 2018 Maturity Current (1) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 34,361,800 1.76 % 2.36 % 1.38 3 - 6 years 16,854,750 2.25 % 2.34 % 4.44 6 - 10 years 15,746,900 2.48 % 2.26 % 8.62 Greater than 10 years 4,151,400 3.60 % 2.27 % 17.13 Total / Weighted Average $ 71,114,850 2.10 % 2.33 % 4.34 December 31, 2017 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 6,532,000 1.56 % 1.62 % 2.08 3 - 6 years 14,791,800 2.12 % 1.57 % 4.51 6 - 10 years 10,179,000 2.35 % 1.58 % 8.04 Greater than 10 years 3,826,400 3.65 % 1.51 % 18.47 Total / Weighted Average $ 35,329,200 2.22 % 1.58 % 6.72 (1) There were no forward starting swaps at September 30, 2018 . Notional amount includes $8.1 billion of forward starting pay fixed swaps at December 31, 2017 . (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay fixed swaps was 1.86% at December 31, 2017 . The following table presents swaptions outstanding at September 30, 2018 and December 31, 2017 . September 30, 2018 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 4,500,000 3.18 % 3M LIBOR 10.21 5.09 December 31, 2017 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 6,000,000 2.62 % 3M LIBOR 9.97 4.49 The following table summarizes certain characteristics of the Company’s TBA derivatives at September 30, 2018 and December 31, 2017 : September 30, 2018 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 16,209,160 $ 16,304,558 $ 16,253,193 $ (51,365 ) December 31, 2017 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 15,828,000 $ 16,381,826 $ 16,390,251 $ 8,425 Sale contracts (250,000 ) (254,804 ) (255,938 ) (1,134 ) Net TBA derivatives $ 15,578,000 $ 16,127,022 $ 16,134,313 $ 7,291 The following table summarizes certain characteristics of the Company’s futures contracts at September 30, 2018 and December 31, 2017 : September 30, 2018 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (1,166,000 ) 2.00 U.S. Treasury futures - 5 year — (6,359,400 ) 4.41 U.S. Treasury futures - 10 year and greater — (12,346,600 ) 7.18 Total $ — $ (19,872,000 ) 5.99 December 31, 2017 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ — $ (17,161,000 ) 2.00 U.S. Treasury futures - 5 year — (4,217,400 ) 4.41 U.S. Treasury futures - 10 year and greater — (4,914,500 ) 7.01 Total $ — $ (26,292,900 ) 3.32 The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 , respectively. September 30, 2018 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 97,002 $ (45,805 ) $ — $ 51,197 Interest rate swaptions, at fair value 65,356 — — 65,356 TBA derivatives, at fair value 13,535 (13,535 ) — — Futures contracts, at fair value 221,516 (482 ) — 221,034 Purchase commitments 189 — — 189 Credit derivatives 7,243 (1,886 ) — 5,357 Liabilities: Interest rate swaps, at fair value $ 311,729 $ (45,805 ) $ — $ 265,924 TBA derivatives, at fair value 64,900 (13,535 ) — 51,365 Futures contracts, at fair value 482 (482 ) — — Purchase commitments 797 — — 797 Credit derivatives 1,886 (1,886 ) — — December 31, 2017 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 30,272 $ (27,379 ) $ — $ 2,893 Interest rate swaptions, at fair value 36,150 — — 36,150 TBA derivatives, at fair value 29,067 (12,551 ) — 16,516 Futures contracts, at fair value 218,361 (12,285 ) — 206,076 Purchase commitments 35 — — 35 Liabilities: Interest rate swaps, at fair value $ 569,129 $ (27,379 ) $ — $ 541,750 TBA derivatives, at fair value 21,776 (12,551 ) — 9,225 Futures contracts, at fair value 12,285 (12,285 ) — — Purchase commitments 157 — — 157 Credit derivatives 4,507 — (3,520 ) 987 The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination or Maturity of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps Three Months Ended: (dollars in thousands) September 30, 2018 $ 51,349 $ 575 $ 417,203 September 30, 2017 $ (88,211 ) $ — $ 56,854 Nine Months Ended: September 30, 2018 $ 34,664 $ 1,409 $ 1,737,963 September 30, 2017 $ (288,837 ) $ (58 ) $ 28,471 The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended September 30, 2018 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 8,569 $ (85,741 ) $ (77,172 ) Net interest rate swaptions (28,754 ) (17,663 ) (46,417 ) Futures (114,317 ) 327,787 213,470 Purchase commitments — (841 ) (841 ) Credit derivatives 3,096 1,676 4,772 Total $ 93,812 Three Months Ended September 30, 2017 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 110,067 $ 29,728 $ 139,795 Net interest rate swaptions — (9,137 ) (9,137 ) Futures (70,054 ) 92,784 22,730 Purchase commitments — (108 ) (108 ) Credit derivatives 495 433 928 Total $ 154,208 Nine Months Ended September 30, 2018 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (299,560 ) $ (56,701 ) $ (356,261 ) Net interest rate swaptions (85,854 ) 53,557 (32,297 ) Futures 443,314 14,959 458,273 Purchase commitments — (416 ) (416 ) Credit derivatives 7,498 4,060 11,558 Total $ 80,857 Nine Months Ended September 30, 2017 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gain (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 215,529 $ 39,964 $ 255,493 Net interest rate swaptions — (19,574 ) (19,574 ) Futures (128,478 ) 31,492 (96,986 ) Purchase commitments — 165 165 Credit derivatives 632 356 988 Total $ 140,086 Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features are in a net asset position at September 30, 2018 .

CAPITAL STOCK

CAPITAL STOCK	9 Months Ended
	Sep. 30, 2018
Equity [Abstract]
CAPITAL STOCK	CAPITAL STOCK (A) Common Stock The following table provides a summary of the Company’s common shares authorized and issued and outstanding at September 30, 2018 and December 31, 2017. Shares authorized Shares issued and outstanding September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Par Value Common stock 1,924,050,000 1,929,300,000 1,303,079,555 1,159,585,078 $0.01 The Company issued 43.6 million shares of common stock as part of the consideration for the MTGE Acquisition. During the three and nine months ended September 30, 2018 , the Company closed the public offering of an original issuance of 75.0 million shares of common stock for proceeds of approximately $753.8 million before deducting offering expenses. In connection with the offering, the Company granted the underwriters a thirty -day option to purchase up to an additional 11.3 million shares of common stock, which the underwriters exercised in full resulting in an additional $113.1 million in proceeds before deducting offering expenses. During the three and nine months ended September 30, 2017, the Company closed the public offering of an original issuance of 60.0 million shares of common stock for proceeds of approximately $709.8 million before deducting offering expenses. In connection with the offering, the Company granted the underwriters a thirty -day option to purchase up to an additional 9.0 million shares of common stock, which the underwriters exercised in full resulting in an additional $106.5 million in proceeds before deducting offering expenses. No options were exercised during the nine months ended September 30, 2018 and 2017 . The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Nine Months Ended September 30, 2018 September 30, 2017 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 245,000 169,000 Amount raised from direct purchase and dividend reinvestment program $ 2,584 $ 1,949 In January 2018, the Company entered into separate Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of Wells Fargo Securities, LLC, Merrill Lynch, Pierce, Fenner & Smith, Incorporated, Barclays Capital Inc., Citigroup Global Markets Inc., Credit Suisse Securities (USA) LLC, Goldman Sachs & Co. LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., RBC Capital Markets, LLC and UBS Securities LLC (the “Sales Agents”). The Company may offer and sell shares of its common stock, having an aggregate offering price of up to $1.5 billion from time to time through any of the Sales Agents. During the nine months ended September 30, 2018 , the Company issued 24.0 million shares under the at-the-market sales program for proceeds of $251.1 million , net of commissions and fees. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 30, 2018 and December 31, 2017. In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets. Shares authorized Shares issued and outstanding Carrying value Contractual rate Earliest redemption date (1) Date at which dividend rate becomes floating Floating annual rate September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Fixed-rate: (dollars in thousands) Series C 7,000,000 12,000,000 7,000,000 12,000,000 $ 169,466 $ 290,514 7.625% 5/16/2017 NA NA Series D 18,400,000 18,400,000 18,400,000 18,400,000 445,457 445,457 7.50% 9/13/2017 NA NA Series E — 11,500,000 — 11,500,000 — 287,500 7.625% 8/27/2017 NA NA Series H 2,200,000 — 2,200,000 — 55,000 — 8.125% 5/22/2019 NA NA Fixed-to-floating rate: Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95% 9/30/2022 9/30/2022 3M LIBOR + 4.993% Series G 19,550,000 — 17,000,000 — 411,335 — 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Total 75,950,000 70,700,000 73,400,000 70,700,000 $ 1,778,168 $ 1,720,381 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. Each series of preferred stock has a par value of $0.01 per share and a liquidation and redemption price of $25.00 , plus accrued and unpaid dividends through their redemption date. Through September 30, 2018 , the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. During the nine months ended September 30, 2018 , the Company issued 17,000,000 shares of its 6.50% Series G Preferred Stock for gross proceeds of $425.0 million before deducting the underwriting discount and other estimated offering expenses and 2,200,000 shares of its Series H Preferred Stock in connection with the acquisition of MTGE Investment Corp. Refer to the “Acquisition of MTGE Investment Corp.” Note for additional information related to the Company’s Series H Preferred Stock. During the nine months ended September 30, 2018 , the Company redeemed 5,000,000 shares of its Series C Preferred Stock for $125.0 million and all 11,500,000 of its issued and outstanding shares of Series E Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”) for $287.5 million . On August 25, 2017, the Company redeemed all 7,412,500 of its issued and outstanding shares of 7.875% Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”) for $187.5 million . The Series C Preferred Stock, Series D Preferred Stock, Series F Preferred Stock, Series G Preferred Stock and Series H Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: Nine Months Ended September 30, 2018 September 30, 2017 (dollars in thousands, except per share data) Distributions declared to common stockholders $ 1,062,685 $ 937,825 Distributions declared per common share $ 0.90 $ 0.90 Distributions paid to common stockholders after period end $ 102,811 $ 326,425 Distributions paid per common share after period end $ 0.08 $ 0.30 Date of distributions paid to common stockholders after period end October 31, 2018 October 31, 2017 Dividends declared to Series A Preferred stockholders $ — $ 9,527 Dividends declared per share of Series A Preferred Stock $ — $ 1.477 Dividends declared to Series C Preferred stockholders $ 10,987 $ 17,157 Dividends declared per share of Series C Preferred Stock (1) $ 1.430 $ 1.430 Dividends declared to Series D Preferred stockholders $ 25,875 $ 25,875 Dividends declared per share of Series D Preferred Stock $ 1.406 $ 1.406 Dividends declared to Series E Preferred stockholders $ 2,253 $ 16,441 Dividends declared per share of Series E Preferred Stock $ 0.196 $ 1.430 Dividends declared to Series F Preferred stockholders $ 37,530 $ — Dividends declared per share of Series F Preferred Stock (2) $ 1.303 $ — Dividends declared to Series G Preferred stockholders $ 19,875 $ — Dividends declared per share of Series G Preferred Stock $ 1.169 $ — Dividends declared to Series H Preferred stockholders $ 298 $ — Dividends declared per share of Series H Preferred Stock $ 0.135 $ — (1) Includes dividends declared per share for shares outstanding at September 30, 2018 . (2) Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the nine months ended September 30, 2017.

INTEREST INCOME AND INTEREST EX

INTEREST INCOME AND INTEREST EXPENSE	9 Months Ended
	Sep. 30, 2018
Banking and Thrift, Interest [Abstract]
INTEREST INCOME AND INTEREST EXPENSE	INTEREST INCOME AND INTEREST EXPENSE Net Interest Income The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the Residential Securities and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than multifamily securities), taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis. The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. The following table presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 Interest income: (dollars in thousands) Residential Securities $ 680,037 $ 540,436 $ 2,122,375 $ 1,515,654 Residential mortgage loans 21,184 8,509 55,557 19,790 Commercial investment portfolio (1) 97,531 67,790 249,331 200,288 U.S. Treasury securities 160 — 160 — Reverse repurchase agreements 17,684 5,815 45,466 11,971 Total interest income 816,596 622,550 2,472,889 1,747,703 Interest expense: Repurchase agreements 445,535 237,669 1,177,384 607,910 Debt issued by securitization vehicles 29,391 16,072 63,244 42,899 Participation sold — — — 195 Other 26,047 15,196 70,458 38,639 Total interest expense 500,973 268,937 1,311,086 689,643 Net interest income 315,623 353,613 $ 1,161,803 $ 1,058,060 (1) Includes commercial real estate debt and preferred equity, corporate debt and assets transferred or pledged to securitization vehicles.

GOODWILL AND INTANGIBLE ASSETS

GOODWILL AND INTANGIBLE ASSETS	9 Months Ended
	Sep. 30, 2018
Goodwill and Intangible Assets Disclosure [Abstract]
GOODWILL AND INTANGIBLE ASSETS, NET	GOODWILL AND INTANGIBLE ASSETS Goodwill The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. At September 30, 2018 and December 31, 2017 , Goodwill totaled $71.8 million . Goodwill is tested for impairment at least annually. Intangible assets, net Finite life intangible assets are amortized over their expected useful lives. The following table presents the activity of finite lived intangible assets for the nine months ended September 30, 2018 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2017 $ 23,220 Intangible assets acquired 14,483 Less: amortization expense (6,475 ) Balance at September 30, 2018 $ 31,228

NET INCOME (LOSS) PER COMMON SH

NET INCOME (LOSS) PER COMMON SHARE	9 Months Ended
	Sep. 30, 2018
Earnings Per Share [Abstract]
NET INCOME (LOSS) PER COMMON SHARE	NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands, except per share data) Net income (loss) $ 385,429 $ 367,315 $ 2,309,020 $ 822,245 Net income (loss) attributable to noncontrolling interests (149 ) (232 ) (277 ) (437 ) Net income (loss) attributable to Annaly 385,578 367,547 2,309,297 822,682 Dividends on preferred stock (1) 31,675 30,355 96,818 77,301 Net income (loss) available (related) to common stockholders $ 353,903 $ 337,192 $ 2,212,479 $ 745,381 Weighted average shares of common stock outstanding-basic 1,202,353,851 1,072,566,395 1,174,292,701 1,037,033,076 Add: Effect of stock awards, if dilutive — 474,242 — 412,101 Weighted average shares of common stock outstanding-diluted 1,202,353,851 1,073,040,637 1,174,292,701 1,037,445,177 Net income (loss) per share available (related) to common share: Basic $ 0.29 $ 0.31 $ 1.88 $ 0.72 Diluted $ 0.29 $ 0.31 $ 1.88 $ 0.72 (1) Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017. Options to purchase 0.2 million and 0.8 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the three and nine months ended September 30, 2018 and 2017 , respectively.

INCOME TAXES

INCOME TAXES	9 Months Ended
	Sep. 30, 2018
Income Tax Disclosure [Abstract]
INCOME TAXES	INCOME TAXES For the three months ended September 30, 2018 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Arcola Securities, Inc. (“Arcola”) and certain subsidiaries of ACREG and Hatteras Financial Corp., have made separate joint elections to treat these subsidiaries as TRSs. As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at September 30, 2018 and December 31, 2017 . The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. During the three and nine months ended September 30, 2018 , the Company recorded $7.1 million and $3.3 million of income tax benefit, respectively, attributable to its TRSs. During the three and nine months ended September 30, 2017, the Company recorded $1.4 million and $2.0 million of income tax expense, respectively, attributable to its TRSs. The Company’s federal, state and local tax returns from 2016 and forward remain open for examination. On December 22, 2017, tax legislation was enacted, informally known as the Tax Cuts and Jobs Act (the “TCJA”), that significantly changes the U.S. federal income tax laws applicable to businesses and their owners, including REITs and their stockholders. While technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA may be forthcoming at any time, GAAP requires the Company to apply the TCJA provisions, as written, to the Company’s consolidated financial statements in terms of recording and measuring deferred tax assets and liabilities that will be recognized in 2018 or further. Due to the timing of the enacted legislation as well as the technical corrections, amendments or administrative guidance that could clarify the treatment of certain provisions, the SEC issued guidance that allows for entities without the necessary information to complete the accounting analysis to determine a reasonable estimate of the effects of the TCJA. These amounts can then be revised once further clarity can be reached over the course of the coming year. The provisions of the TCJA, as written, which includes the change to the federal corporate income tax rate from 35% to 21%, was applied and did not have a material impact on the Company’s consolidated financial statements. To the extent technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA are released, the Company will revisit its analysis and conclusions, if relevant.

LEASE COMMITMENTS AND CONTINGEN

LEASE COMMITMENTS AND CONTINGENCIES	9 Months Ended
	Sep. 30, 2018
Commitments and Contingencies Disclosure [Abstract]
LEASE COMMITMENTS AND CONTINGENCIES	LEASE COMMITMENTS AND CONTINGENCIES Commitments In September 2014, the Company entered into a non-cancelable lease for office space which commenced in July 2014 and expires in September 2025. The lease expense for each of the three months ended September 30, 2018 and 2017 was $0.8 million . The Company’s aggregate future minimum lease payments totaled $26.5 million . The following table details the future lease payments: Lease Commitments Years Ending September 30, (dollars in thousands) 2018 (remaining) $ 891 2019 3,565 2020 3,652 2021 3,862 2022 3,862 Later years 10,618 Total $ 26,450 Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at September 30, 2018 and December 31, 2017 .

RISK MANAGEMENT

RISK MANAGEMENT	9 Months Ended
	Sep. 30, 2018
Text Block [Abstract]
RISK MANAGEMENT	ISK MANAGEMENT The primary risks to the Company are liquidity, investment/market risk and credit risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral or liquidating some of the existing collateral to reduce borrowing levels. The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges. Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the volatility of future interest rates may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies. The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, which exclude CRT securities issued by Freddie Mac and Fannie Mae, is guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities is backed by the full faith and credit of the U.S. government. Substantially all of the Company’s Agency mortgage-backed securities have an actual or implied “AAA” rating. The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, real estate investments, commercial mortgage-backed securities, residential mortgage loans, CRT securities, other non-Agency mortgage-backed securities, and corporate debt. MSR values may also be adversely impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. The Company is exposed to risk of loss if an issuer, borrower, tenant or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers, tenants and counterparties.

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS	9 Months Ended
	Sep. 30, 2018
Regulatory Capital Requirements [Abstract]
ARCOLA REGULATORY REQUIREMENTS	ARCOLA REGULATORY REQUIREMENTS Arcola is the Company’s wholly owned and consolidated broker-dealer. Arcola is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees. Arcola is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Arcola enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Arcola generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. Arcola’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and Arcola will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give Arcola the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. As a self-clearing, registered broker-dealer, Arcola is required to maintain minimum net capital by FINRA. At September 30, 2018 Arcola had a minimum net capital requirement of $0.3 million . Arcola consistently operates with capital in excess of its regulatory capital requirements. Arcola’s regulatory net capital as defined by SEC Rule 15c3-1, at September 30, 2018 was $393.3 million with excess net capital of $393.0 million .

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS	9 Months Ended
	Sep. 30, 2018
Related Party Transactions [Abstract]
RELATED PARTY TRANSACTIONS	RELATED PARTY TRANSACTIONS Management Agreement The Company and the Manager have entered into a management agreement pursuant to which the Company’s management is conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board (the “Externalization”). The management agreement was effective as of July 1, 2013 and was amended on November 5, 2014, amended and restated on April 12, 2016, and amended and restated on August 1, 2018 (the management agreement, as amended and restated, is referred to as “Management Agreement”). Under the Management Agreement, the Manager, subject to the supervision and direction of the Company’s Board, is responsible for (i) the selection, purchase and sale of assets for the Company’s investment portfolio; (ii) recommending alternative forms of capital raising; (iii) supervising the Company’s financing and hedging activities; and (iv) day to day management functions. The Manager also performs such other supervisory and management services and activities relating to the Company’s assets and operations as may be appropriate. In exchange for the management services, the Company pays the Manager a monthly management fee in an amount equal to 1/12th of 1.05% of our stockholders’ equity (as defined in the Management Agreement), and the Manager is responsible for providing personnel to manage the Company, and paying all compensation and benefit expenses associated with such personnel. The Company does not pay the Manager any incentive fees. For the three and nine months ended September 30, 2018 , the compensation and management fee was $46.0 million and $136.1 million , respectively. For the three and nine months ended September 30, 2017 , the compensation and management fee was $42.0 million and $120.2 million , respectively. At September 30, 2018 and December 31, 2017 , the Company had amounts payable to the Manager of $17.7 million and $13.8 million , respectively. Following the unanimous approval of the Company’s independent directors (the “Independent Directors”), in August 2018, the Company began reimbursing the Manager for certain services in connection with the management and operations of the Company and its subsidiaries as permitted under the terms of the Management Agreement. Such reimbursable expenses include the cost for certain legal, tax, accounting and other support and advisory services provided by employees of the Manager to the Company. Pursuant to the Management Agreement, the Company may reimburse the Manager for the cost of such services, provided such costs are no greater than those that would be payable to comparable third party providers. For the three and nine months ended September 30, 2018, reimbursement payments to the Manager were $3.7 million . There were no reimbursement payments to the Manager during the three and nine months ended September 30, 2017. None of the reimbursement payments are attributable to compensation of the Company’s executive officers. The Management Agreement’s current term ends on December 31, 2019 and will automatically renew for successive two -year terms unless at least two-thirds of the Company’s independent directors or the holders of a majority of the outstanding shares of the Company’s common stock in their sole discretion elect to terminate the agreement for any or no reason upon 365 days prior written notice (such notice, a “Termination Notice”). If the Company makes an election to terminate the Management Agreement, the Company may elect to accelerate the termination date (“the “Termination Date”) to a date that is between seven and 90 days after the date of the Company’s delivery of a Termination Notice (the “Notice Delivery Date”). If the Company does not make an election to accelerate the Termination Date, then the Manager may elect to accelerate the Termination Date to the date that is 90 days after the Notice Delivery Date. If the Termination Date is accelerated (such date, the “Accelerated Termination Date”) by either the Company or the Manager, in addition to any amounts accrued for the period prior to the Accelerated Termination Date, the Company shall pay the Manager an acceleration fee (the “Acceleration Fee”) in an amount equal to the average annual management fee earned by the Manager during the 24-month period immediately preceding such Accelerated Termination Date multiplied by a fraction with a numerator of 365 minus the number of days from the Notice Delivery Date to the Accelerated Termination Date, and a denominator of 365. The Management Agreement may also be terminated by the Manager for any reason or no reason upon 365 days prior written notice, or with shorter notice periods by either the Company or the Manager for cause or by the Company in the event of a sale of the Manager that was not pre-approved by the Independent Directors. The Management Agreement may be amended or modified by agreement between the Company and the Manager.

ACQUISITION OF MTGE INVESTMENT

ACQUISITION OF MTGE INVESTMENT CORP	9 Months Ended
	Sep. 30, 2018
Business Combinations [Abstract]
ACQUISITION OF MTGE INVESTMENT CORP	ACQUISITION OF MTGE INVESTMENT CORP. As previously disclosed in the Company’s filings with the SEC, on September 7, 2018, Mountain Merger Sub Corporation, a wholly-owned subsidiary of the Company, completed its acquisition of MTGE Investment Corp. (“MTGE”), an externally managed hybrid mortgage REIT, for aggregate consideration to MTGE common shareholders of $906.2 million , consisting of $455.9 million in equity consideration and $450.3 million in cash consideration (the “MTGE Acquisition”). The Company issued 43.6 million common stock as part of the consideration for the MTGE Acquisition. In addition, as part of the MTGE Acquisition, each share of MTGE 8.125% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share (each, a “MTGE Preferred Share”), that was outstanding as of immediately prior to the completion of the MTGE Acquisition was converted into one share of a newly-designated series of the Company’s preferred stock, par value $0.01 per share, which the Company classified and designated as Series H Preferred Stock, and which have rights, preferences, privileges and voting powers substantially the same as a MTGE Preferred Share. The Company believes that the MTGE’s portfolio is complementary to the Company’s pre-acquisition portfolio, that the combined capital base supports continued growth of the Company’s businesses and that the acquisition creates efficiency and growth opportunities. The MTGE Acquisition was accounted for as an asset acquisition in accordance with Accounting Standards Codification 805 Business Combinations (“ASC 805”). Under ASC 805, an acquisition does not qualify as a business combination if the acquisition does not meet the definition of a business. U.S. GAAP defines a business as an integrated set of activities and assets that is capable of being conducted and managed for the purpose of providing a return in the form of dividends, lower costs, or other economic benefits directly to investors or other owners, members, or participants. Since the Company did not acquire the external management agreement with the MTGE’s third party manager, there were no substantive processes acquired as part of the acquisition. Therefore, the MTGE Acquisition was not considered a business combination. Under ASC 805, an asset acquisition is accounted for under the cost accumulation model which allocates the cost of the acquisition which generally includes direct transaction costs to the individual assets acquired and liabilities assumed on the basis of relative fair value with certain exceptions including financial assets and current assets. These exceptions are excluded from the cost accumulation method since recognizing these assets at amounts other than their fair value would result in a subsequent gain or loss upon re-measurement. Since there are no significant non-financial assets to allocate the transaction costs to, the transaction costs of $58.3 million were expensed as they were incurred and included in Other general and administrative expenses in the Company’s Consolidated Statements of Comprehensive Income (Loss). Similarly, the excess consideration of $44.5 million over the fair value of the assets acquired was recognized within Other income (loss) in the Company’s Consolidated Statements of Comprehensive Income (Loss) on the closing date of the acquisition. The allocation of the consideration paid as part of the transaction and its assignment to the initial carrying value of the MTGE portfolio is noted in the below table. September 2018 Consideration Transferred: (dollars in thousands) Cash $ 450,287 Common equity 455,943 Preferred shares: Exchange of MTGE preferred stock for Annaly preferred stock 55,000 Total consideration $ 961,230 Net Assets: Cash and cash equivalents $ 191,953 Securities 4,111,930 Real estate, net 277,648 Derivative assets 18,629 Reverse repurchase agreements 938,251 Receivable for unsettled trades 6,809 Principal receivable 44,462 Interest receivable 14,282 Intangible assets, net 14,483 Other assets 50,105 Total assets acquired 5,668,552 Repurchase agreements 3,561,816 Mortgages payable 201,629 U.S. Treasury securities sold, not yet purchased 934,149 Derivative liabilities 2,498 Interest Payable 22,220 Dividends payable 819 Other liabilities 28,715 Total liabilities assumed 4,751,846 Net assets acquired $ 916,706 For additional details regarding the terms and conditions of the MTGE Acquisition and related matters, please refer to the Company’s other filings with the SEC that were made in connection with the MTGE Acquisition.

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS	9 Months Ended
	Sep. 30, 2018
Subsequent Events [Abstract]
SUBSEQUENT EVENTS	SUBSEQUENT EVENTS On October 31, 2018, the Company completed and closed its third securitization of residential mortgage loans for the 2018 calendar year, OBX 2018-EXP2 Trust, with a face value of $384 million . The securitization represented a financing transaction which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.

SIGNIFICANT ACCOUNTING POLICI_2

SIGNIFICANT ACCOUNTING POLICIES (Policies)	9 Months Ended
	Sep. 30, 2018
Accounting Policies [Abstract]
Basis of Presentation	The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2017 (the “2017 Form 10-K”). The consolidated financial information as of December 31, 2017 has been derived from audited consolidated financial statements included in the Company’s 2017 Form 10-K. The Company reclassified previously presented financial information to conform to the current presentation.
Use of Estimates	The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates.
Principles of Consolidation	Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation.
Voting Interest Entities	Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE.
Variable Interest Entities	Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. The FREMF Trusts are VIEs and the Company is considered to be the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the Class C Certificates and its current designation as the directing certificate holder. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the Commercial Trusts in order to avoid an accounting mismatch, and to represent more faithfully the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company applied the practical expedient under ASU 2014-07, whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the Commercial Trusts are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the Commercial Trusts are an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. The Company consolidates a securitization trust, which is included in “Residential Trusts” in the tables below, that issued residential mortgage-backed securities that are collateralized by residential mortgage loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns most of the mortgage-backed securities issued by this VIE, including the subordinate securities, and a subsidiary of the Company continues to be the master servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has not elected to apply the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trust are available from third-party pricing services.
Equity Method Investments	Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in Real estate, net and Other assets with income or loss included in Other income (loss).
Cash and Cash Equivalents	Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value.
Equity Securities	Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings.
Fair Value Measurements	Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. If an item is accounted for at fair value, including financial instruments elected under the FVO, it is presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). The Company made elections to account for the investments at fair value as these elections simplify the accounting. For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurement” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. The Company follows fair value guidance in accordance with GAAP to account for its financial instruments that are accounted for at fair value. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1– inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value.
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Financing” Note for further discussion on reverse repurchase and repurchase agreements.
Derivative Instruments	Derivative Instruments – Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. In accordance with a clearing organization’s rulebook, the Company presents the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. At September 30, 2018 , $1.6 billion of variation margin was reported as a reduction to interest rate swaps, at fair value. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps are generally fair valued using the DCO’s market values. We may use market agreed coupon (“MAC”) interest rate swaps in which we may receive or make a payment at the time of entering into the swap to compensate for the out of the market nature of such interest rate swap. MAC interest rate swaps are also centrally cleared and fair valued using internal pricing models and compared to the DCO’s market value. Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions is estimated using internal pricing models and compared to the counterparty market value. TBA Dollar Rolls – TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date. Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing. Forward Purchase Commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. Credit Derivatives – The Company may enter into credit derivatives referencing the commercial mortgage-backed securities index, such as the CMBX index, and synthetic total return swaps. Refer to the section titled “Glossary of Terms” located in Part I, Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations” for additional information related to the CMBX index.
Stock Based Compensation	Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award.
Interest Income	Interest Income - Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). Refer to the “Interest Income and Interest Expense” Note for further discussion on interest income.
Income Taxes	Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. For the three months ended September 30, 2018 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Arcola Securities, Inc. (“Arcola”) and certain subsidiaries of ACREG and Hatteras Financial Corp., have made separate joint elections to treat these subsidiaries as TRSs. As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at September 30, 2018 and December 31, 2017 . The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. On December 22, 2017, tax legislation was enacted, informally known as the Tax Cuts and Jobs Act (the “TCJA”), that significantly changes the U.S. federal income tax laws applicable to businesses and their owners, including REITs and their stockholders. While technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA may be forthcoming at any time, GAAP requires the Company to apply the TCJA provisions, as written, to the Company’s consolidated financial statements in terms of recording and measuring deferred tax assets and liabilities that will be recognized in 2018 or further. Due to the timing of the enacted legislation as well as the technical corrections, amendments or administrative guidance that could clarify the treatment of certain provisions, the SEC issued guidance that allows for entities without the necessary information to complete the accounting analysis to determine a reasonable estimate of the effects of the TCJA. These amounts can then be revised once further clarity can be reached over the course of the coming year. The provisions of the TCJA, as written, which includes the change to the federal corporate income tax rate from 35% to 21%, was applied and did not have a material impact on the Company’s consolidated financial statements. To the extent technical corrections or other amendments to the TCJA or administrative guidance interpreting the TCJA are released, the Company will revisit its analysis and conclusions, if relevant.
Recent Accounting Pronouncements	Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted, or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that are not yet adopted ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While the Company is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. The Company needs to complete the development of an appropriate allowance methodology, assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2017-01 Business Combinations (Topic 805): Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-15 Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. January 1, 2018 As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods.
Residential Mortgage Loans	The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. Additionally, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts. Please refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated Residential Mortgage Loan Trusts.
Goodwill and Intangible Assets	The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value.
Corporate Debt	The Company’s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the effective interest method. These investments typically take the form of senior secured loans primarily in first or second lien positions. The Company’s senior secured loans generally have stated maturities of three to eight years . In connection with these senior secured loans the Company receives a security interest in certain assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to less credit risk than more junior loans given their seniority to scheduled principal and interest and priority of security in the assets of the borrower.
Nonaccrual Status	Nonaccrual Status – If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower.
Allowance for Losses	Allowance for Losses – The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality , may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectible. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan, economic trends (both macro and those affecting the property specifically), and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible.
Fair Value of Financial Instruments	The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, residential mortgage loans, interest rate swap and swaption markets and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, Commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of securitized debt of consolidated VIEs, refer to the Note titled “Variable Interest Entities” for additional information. The Company classifies its investments in MSRs as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to valuations obtained from third-party pricing providers. Management reviews the valuations received from third-party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSRs requires significant judgment by management and the third-party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements.
Reverse Repurchase and Repurchase Agreements	Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assesses each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements meet the specified criteria in this guidance. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows.
Derivatives Hedges	In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options and U.S. Treasury or Eurodollar futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value and terms of the derivative contract. In the case of MAC interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swap to compensate for the out of market nature of such interest rate swap. Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts.
Contingencies	Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements.

DESCRIPTION OF BUSINESS (Tables

DESCRIPTION OF BUSINESS (Tables)	9 Months Ended
	Sep. 30, 2018
Accounting Policies [Abstract]
Schedule of Investment Groups	The Company’s four investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Annaly Residential Credit Group Invests primarily in non-Agency residential mortgage assets within securitized products and residential mortgage loan markets. Annaly Commercial Real Estate Group Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. Annaly Middle Market Lending Group Provides financing to private equity-backed middle market businesses across the capital structure.

SIGNIFICANT ACCOUNTING POLICI_3

SIGNIFICANT ACCOUNTING POLICIES (Tables)	9 Months Ended
	Sep. 30, 2018
Accounting Policies [Abstract]
Schedule of Significant Accounting Policies	The Company’s significant accounting policies are described below or are included in the following notes: Notes Note 1. Description of Business Note 9. Real Estate Note 17. Income Taxes Note 2. Basis of Presentation Note 10. Derivative Instruments Note 18. Risk Management Note 3. Significant Accounting Policies Note 11. Fair Value Measurements Note 19. Related Party Transactions Note 4. Financial Instruments Note 12. Goodwill and Intangible Assets, Net Note 20. Lease Commitments and Contingencies Note 5. Securities Note 13. Secured Financing Note 21. Arcola Regulatory Requirements Note 6. Loans Note 14. Capital Stock Note 22. Acquisition of MTGE Investment Corp. Note 7. Mortgage Servicing Rights Note 15. Interest Income and Interest Expense Note 23. Subsequent Events Note 8. Variable Interest Entities Note 16. Net Income (Loss) Per Common Share
Summary of Interest Income Recognition Methodology for Residential Investment Securities	The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
Schedule of Finite-Lived Intangible Assets	The following table presents the activity of finite lived intangible assets for the nine months ended September 30, 2018 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2017 $ 23,220 Intangible assets acquired 14,483 Less: amortization expense (6,475 ) Balance at September 30, 2018 $ 31,228
Schedule of Useful Lives of Investments in Commercial Real Estate	Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years
Recent Accounting Pronouncements	ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted, or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that are not yet adopted ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company currently plans to adopt the new standard on its effective date. While the Company is continuing to assess the impact the ASU will have on the consolidated financial statements, the measurement of expected credit losses under the CECL model will be based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amounts of the financial assets in scope of the model. The Company needs to complete the development of an appropriate allowance methodology, assess the impact on the consolidated financial statements and determine appropriate internal controls and financial statement disclosures. Further, based on the amended guidance for available-for-sale debt securities, the Company: • will be required to use an allowance approach to recognize credit impairment, with the allowance to be limited to the amount by which the security’s fair value is less than its amortized cost basis; • may not consider the length of time fair value has been below amortized cost, and • may not consider recoveries of fair value after the balance sheet date when assessing whether a credit loss exists. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2017-01 Business Combinations (Topic 805): Clarifying the Definition of a Business This update provides a screen to determine and a framework to evaluate when a set of assets and activities is a business. January 1, 2018 The amendments are expected to result in fewer transactions being accounted for as business combinations. ASU 2016-15 Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments This update provides specific guidance on certain cash flow classification issues, including classification of cash receipts and payments that have aspects of more than one class of cash flows. If cash flows cannot be separated by source or use, the appropriate classification should depend on the activity that is likely to be the predominant source or use of cash flows. January 1, 2018 As a result of adopting this standard, the Company reclassified its cash flows on reverse repurchase and repurchase agreements entered into by Arcola Securities, Inc. from operating activities to investing and financing activities, respectively, in the Consolidated Statements of Cash Flows. The Company applied the retrospective transition method, which resulted in reclassification of comparative periods.

FINANCIAL INSTRUMENTS (Tables)

FINANCIAL INSTRUMENTS (Tables)	9 Months Ended
	Sep. 30, 2018
Investments, All Other Investments [Abstract]
Summary of Characteristics of Financial Instruments	The following table presents characteristics for certain of the Company’s financial instruments at September 30, 2018 and December 31, 2017 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 30, 2018 December 31, 2017 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 88,363,876 $ 89,426,437 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 926,252 1,125,326 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 688,521 651,764 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,173,467 1,097,294 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 162,678 244,636 Securities Commercial real estate debt investments - Conduit CMBS Fair value, with unrealized gains (losses) through earnings 23,817 18,115 Total securities 91,338,611 92,563,572 Loans Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,217,139 958,546 Loans Commercial real estate debt and preferred equity, held for investment Amortized cost 1,435,865 1,029,327 Loans Loans held for sale, net Lower of amortized cost or fair value 42,325 — Loans Corporate debt Amortized cost 1,528,874 1,011,275 Total loans 4,224,203 2,999,148 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 765,876 479,776 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 3,521,945 2,826,357 Total assets transferred or pledged to securitization vehicles 4,287,821 3,306,133 Reverse repurchase agreements Reverse repurchase agreements Amortized cost 1,234,704 — Liabilities Repurchase agreements Repurchase agreements Amortized cost 79,073,026 77,696,343 Other secured financing Loans Amortized cost 4,108,547 3,837,528 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,799,542 2,971,771 Mortgages payable Loans Amortized cost 511,588 309,686 (1) Receivable for unsettled trades, Interest receivable, Dividends payable, Payable for unsettled trades and Interest payable are accounted for at cost. (2) Includes Agency pass-through, CMO and multifamily securities. (3) Includes interest-only securities and reverse mortgages.

SECURITIES (Tables)

SECURITIES (Tables)	9 Months Ended
	Sep. 30, 2018
Investments, Debt and Equity Securities [Abstract]
Debt Securities, Available-For-Sale	The following represents a rollforward of the activity for the Company’s securities: September 30, 2018 Residential Securities Commercial Securities Total (dollars in thousands) Beginning Balance January 1 $ 92,300,821 $ 262,751 $ 92,563,572 Purchases 25,395,018 62,402 25,457,420 Sales (14,532,225 ) (40,900 ) (14,573,125 ) Principal paydowns (8,695,247 ) (96,397 ) (8,791,644 ) Amortization / accretion (485,804 ) 501 (485,303 ) Fair value adjustment (2,830,447 ) (1,862 ) (2,832,309 ) Ending Balance September 30 $ 91,152,116 $ 186,495 $ 91,338,611
Schedule of Available-for-sale Securities Reconciliation	The following tables present the Company’s securities that were carried at fair value at September 30, 2018 and December 31, 2017 : September 30, 2018 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains Unrealized Losses Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 80,917,596 $ 4,376,927 $ (7,643 ) $ 85,286,880 $ 28,156 $ (3,664,420 ) $ 81,650,616 Adjustable-rate pass-through 5,415,559 268,852 (1,568 ) 5,682,843 9,098 (164,520 ) 5,527,421 CMO 11,610 55 — 11,665 — (124 ) 11,541 Interest-only 6,248,885 1,226,033 — 1,226,033 2,500 (340,766 ) 887,767 Multifamily 1,204,773 8,596 (8,242 ) 1,205,127 306 (31,135 ) 1,174,298 Reverse mortgages 34,552 4,272 — 38,824 — (339 ) 38,485 Total Agency Securities $ 93,832,975 $ 5,884,735 $ (17,453 ) $ 93,451,372 $ 40,060 $ (4,201,304 ) $ 89,290,128 Residential Credit CRT $ 651,360 $ 33,670 $ (14,996 ) $ 670,034 $ 18,537 $ (50 ) $ 688,521 Alt-A 239,990 385 (36,910 ) 203,465 12,730 (131 ) 216,064 Prime 386,193 2,111 (25,419 ) 362,885 15,341 (596 ) 377,630 Subprime 449,425 1,973 (67,841 ) 383,557 45,238 (109 ) 428,686 NPL/RPL 3,431 — (37 ) 3,394 45 — 3,439 Prime Jumbo (>= 2010 Vintage) 137,953 587 (4,644 ) 133,896 49 (3,977 ) 129,968 Prime Jumbo (>= 2010 Vintage) Interest-Only 884,325 13,265 — 13,265 4,415 — 17,680 Total Residential Credit Securities $ 2,752,677 $ 51,991 $ (149,847 ) $ 1,770,496 $ 96,355 $ (4,863 ) $ 1,861,988 Total Residential Securities $ 96,585,652 $ 5,936,726 $ (167,300 ) $ 95,221,868 $ 136,415 $ (4,206,167 ) $ 91,152,116 Commercial Commercial Securities 196,407 339 (9,903 ) 186,843 575 (923 ) 186,495 Total Securities $ 96,782,059 $ 5,937,065 $ (177,203 ) $ 95,408,711 $ 136,990 $ (4,207,090 ) $ 91,338,611 December 31, 2017 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains Unrealized Losses Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 78,509,335 $ 4,514,815 $ (1,750 ) $ 83,022,400 $ 140,115 $ (1,178,673 ) $ 81,983,842 Adjustable-rate pass-through 6,760,991 277,212 (1,952 ) 7,036,251 15,776 (103,121 ) 6,948,906 Interest-only 6,804,715 1,326,761 — 1,326,761 1,863 (242,862 ) 1,085,762 Multifamily 490,753 5,038 (341 ) 495,450 84 (1,845 ) 493,689 Reverse mortgages 35,000 4,527 — 39,527 37 — 39,564 Total Agency Securities $ 92,600,794 $ 6,128,353 $ (4,043 ) $ 91,920,389 $ 157,875 $ (1,526,501 ) $ 90,551,763 Residential Credit CRT $ 593,027 $ 25,463 $ (3,456 ) $ 615,034 $ 36,730 $ — $ 651,764 Alt-A 204,213 499 (34,000 ) 170,712 13,976 (802 ) 183,886 Prime 197,756 358 (24,158 ) 173,956 18,804 — 192,760 Subprime 554,470 2,037 (78,561 ) 477,946 56,024 (90 ) 533,880 NPL/RPL 42,585 14 (117 ) 42,482 506 — 42,988 Prime Jumbo (>= 2010 Vintage) 130,025 627 (3,956 ) 126,696 1,038 (1,112 ) 126,622 Prime Jumbo (>= 2010 Vintage) Interest-Only 989,052 15,287 — 15,287 1,871 — 17,158 Total Residential Credit Securities 2,711,128 44,285 (144,248 ) 1,622,113 128,949 (2,004 ) 1,749,058 Total Residential Securities $ 95,311,922 $ 6,172,638 $ (148,291 ) $ 93,542,502 $ 286,824 $ (1,528,505 ) $ 92,300,821 Commercial Commercial Securities $ 270,288 $ 680 $ (9,731 ) $ 261,237 $ 1,843 $ (329 ) $ 262,751 Total Securities $ 95,582,210 $ 6,173,318 $ (158,022 ) $ 93,803,739 $ 288,667 $ (1,528,834 ) $ 92,563,572
Types of Agency Mortgage Backed Securities	The following table presents the Company’s Agency mortgage-backed securities portfolio concentration by issuing Agency at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 Investment Type (dollars in thousands) Fannie Mae $ 59,568,293 $ 63,361,415 Freddie Mac 29,636,443 27,091,978 Ginnie Mae 85,392 98,370 Total $ 89,290,128 $ 90,551,763
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification	The following table summarizes the Company’s available-for-sale Residential Securities at September 30, 2018 and December 31, 2017 , according to their estimated weighted average life classifications: September 30, 2018 December 31, 2017 Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost Weighted Average Life (dollars in thousands) Less than one year $ 19,335 $ 19,339 $ 471,977 $ 476,538 Greater than one year through five years 10,442,022 10,737,675 13,838,890 13,925,749 Greater than five years through ten years 79,260,878 83,003,720 77,273,833 78,431,852 Greater than ten years 1,429,881 1,461,134 716,121 708,363 Total $ 91,152,116 $ 95,221,868 $ 92,300,821 $ 93,542,502
Schedule of Continuous Unrealized Loss Position	The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 . September 30, 2018 December 31, 2017 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 Months $ 46,457,384 $ (1,401,491 ) 2,213 $ 39,878,158 $ (272,234 ) 1,114 12 Months or More 40,098,674 (2,458,708 ) 1,233 39,491,238 (1,011,405 ) 911 Total $ 86,556,058 $ (3,860,199 ) 3,446 $ 79,369,396 $ (1,283,639 ) 2,025 (1) Excludes interest-only mortgage-backed securities and reverse mortgages.

LOANS (Tables)

LOANS (Tables)	9 Months Ended
	Sep. 30, 2018
Mortgage Loans on Real Estate [Abstract]
Summary of Loans Investments Activity	The following table presents the activity of the Company’s loan investments for the nine months ended September 30, 2018 : Residential Commercial Corporate Total (dollars in thousands) Beginning balance January 1, 2018 $ 958,546 $ 1,029,327 $ 1,011,275 $ 2,999,148 Purchases 430,854 528,835 788,213 1,747,902 Syndications — — (44,125 ) (44,125 ) Principal Payments (156,198 ) (124,559 ) (235,423 ) (516,180 ) Change in fair value (13,812 ) — — (13,812 ) Amortization (2,251 ) 2,262 8,934 8,945 Ending balance September 30, 2018 $ 1,217,139 $ 1,435,865 $ 1,528,874 $ 4,181,878
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio	The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 (dollars in thousands) Fair value $ 1,983,015 $ 1,438,322 Unpaid principal balance $ 1,976,077 $ 1,419,807
Summary of Comprehensive Income (Loss)	The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2018 and 2017 for these investments: Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands) Net interest income $ 16,423 $ 8,226 $ 45,702 $ 18,935 Net gains (losses) on disposal of investments (1) (2,975 ) (2,093 ) (7,924 ) (3,407 ) Net unrealized gains (losses) on instruments measured at fair value through earnings (3,633 ) (725 ) (14,802 ) 5,400 Total included in net income (loss) $ 9,815 $ 5,408 $ 22,976 $ 20,928 (1) Includes loan premium write offs.
Geographic Concentrations Based on Unpaid Principal Balances	The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2018 and December 31, 2017 , for the residential mortgage loans, including loans transferred or pledged to securitization trusts: Geographic Concentrations of Residential Mortgage Loans September 30, 2018 December 31, 2017 Property Location % of Balance Property Location % of Balance California 54.5 % California 49.8 % New York 8.1 % Florida 9.3 % Florida 6.6 % New York 7.1 % All other (none individually greater than 5%) 30.8 % All other (none individually greater than 5%) 33.8 % Total 100.0 % Total 100.0 % The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, at September 30, 2018 are as follows: FREMF Trusts Residential Mortgage Loan Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 478,593 13.7 % California $ 48,718 44.9 % Maryland 448,646 12.8 % Texas 13,981 12.9 % California 360,279 10.3 % Illinois 8,297 7.6 % Virginia 347,002 9.9 % Washington 7,559 7.0 % Pennsylvania 281,384 8.1 % Florida 5,424 5.0 % New York 280,925 8.0 % Other (1) 24,501 22.6 % North Carolina 251,187 7.2 % Massachusetts 179,440 5.1 % Other (1) 867,774 24.9 % Total $ 3,495,230 100.0 % $ 108,480 100.0 % (1) No individual state greater than 5% .
Residential Mortgage Loans	The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization trusts, at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 Portfolio Range Portfolio Weighted Average Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,500 $494 $1 - $3,663 $514 Interest rate 2.00% - 7.50% 4.74% 1.63% - 7.50% 4.25% Maturity 1/1/2028 - 9/1/2058 1/5/2045 1/1/2028 - 5/1/2057 2/1/2043 FICO score at loan origination 510 - 823 754 468 - 823 748 Loan-to-value ratio at loan origination 11% - 100% 67% 11% - 100% 68%
Commercial Real Estate Investments Held for Investment	At September 30, 2018 and December 31, 2017 , commercial real estate investments held for investment were comprised of the following: September 30, 2018 December 31, 2017 Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) Outstanding Principal Carrying Value (1) Percentage of Loan Portfolio (2) (dollars in thousands) Senior mortgages $ 1,090,849 $ 1,084,167 75.6 % $ 629,143 $ 625,900 60.9 % Mezzanine loans 343,354 342,700 23.8 % 395,015 394,442 38.2 % Preferred equity 9,000 8,998 0.6 % 9,000 8,985 0.9 % Total $ 1,443,203 $ 1,435,865 100.0 % $ 1,033,158 $ 1,029,327 100.0 % (1) Carrying value includes unamortized origination fees of $5.7 million and $3.8 million at September 30, 2018 and December 31, 2017 , respectively. (2) Based on outstanding principal. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at September 30, 2018 and December 31, 2017 : September 30, 2018 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 489,271 45,334 — 534,605 Principal payments (27,565 ) (96,993 ) — (124,558 ) Net (increase) decrease in origination fees (5,400 ) (370 ) — (5,770 ) Amortization of net origination fees 1,961 287 13 2,261 Net carrying value (September 30, 2018) $ 1,084,167 $ 342,700 $ 8,998 $ 1,435,865 December 31, 2017 Senior Mortgages Mezzanine Loans Preferred Equity Total (dollars in thousands) Beginning balance (January 1, 2017) $ 510,071 $ 451,467 $ 8,967 $ 970,505 Originations & advances (principal) 338,242 69,121 — 407,363 Principal payments (221,421 ) (127,799 ) — (349,220 ) Amortization & accretion of (premium) discounts (44 ) 28 — (16 ) Net (increase) decrease in origination fees (3,317 ) (605 ) — (3,922 ) Amortization of net origination fees 2,369 2,230 18 4,617 Net carrying value (December 31, 2017) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327
Internal Loan and Preferred Equity Ratings	The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of September 30, 2018 and December 31, 2017 . September 30, 2018 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 1,090,849 75.6 % $ 724,111 $ 302,348 $ — $ 64,390 $ — $ — $ 1,090,849 Mezzanine loans 343,354 23.8 % 135,334 64,323 107,094 36,603 — — 343,354 Preferred equity 9,000 0.6 % — — 9,000 — — — 9,000 Total $ 1,443,203 100.0 % $ 859,445 $ 366,671 $ 116,094 $ 100,993 $ — $ — $ 1,443,203 December 31, 2017 Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Internal Ratings Investment Type Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful Loss Total (dollars in thousands) Senior mortgages $ 629,143 60.9 % $ 409,878 $ 115,075 $ 36,800 $ 67,390 $ — $ — $ 629,143 Mezzanine loans 395,015 38.2 % 206,169 66,498 122,348 — — — 395,015 Preferred equity 9,000 0.9 % — — 9,000 — — — 9,000 Total $ 1,033,158 100.0 % $ 616,047 $ 181,573 $ 168,148 $ 67,390 $ — $ — $ 1,033,158 (1) The Company rated two loans as Substandard as of September 30, 2018 . The Company evaluated whether an impairment exists and determined in each case that, based on quantitative and qualitative factors, the Company expects repayment of contractual amounts due.
Schedule of Industry and Rate Sensitivity	The industry and rate attributes of the portfolio at September 30, 2018 and December 31, 2017 are as follows: Industry Dispersion September 30, 2018 December 31, 2017 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ — $ 41,344 $ 41,344 $ — $ 34,814 $ 34,814 Coating, Engraving and Allied Services — 58,850 58,850 — 64,034 64,034 Computer Programming, Data Processing & Other Computer Related Services — 212,969 212,969 — 209,624 209,624 Drugs — 38,735 38,735 — 38,708 38,708 Electrical Work — 43,266 43,266 — — — Electronic Components & Accessories — 24,029 24,029 — 23,916 23,916 Engineering, Architectural & Surveying — 80,741 80,741 — — — Groceries and Related Products — 14,725 14,725 — 14,794 14,794 Grocery Stores — 23,461 23,461 — 23,531 23,531 Home Health Care Services — — — — 23,779 23,779 Insurance Agents, Brokers and Services — 49,211 49,211 — 28,872 28,872 Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,855 14,855 — — — Management and Public Relations Services — 240,740 240,740 — 94,871 94,871 Medical and Dental Laboratories — 26,876 26,876 — 26,956 26,956 Metal Cans & Shipping Containers — 118,006 118,006 — — — Miscellaneous Business Services — 19,650 19,650 — 19,723 19,723 Miscellaneous Equipment Rental and Leasing — 49,433 49,433 — 49,129 49,129 Miscellaneous Health and Allied Services, not elsewhere classified — 54,189 54,189 — 25,963 25,963 Miscellaneous Nonmetallic Minerals, except Fuels — — — — 25,992 25,992 Miscellaneous Plastic Products — 9,963 9,963 — 9,879 9,879 Motor Vehicles and Motor Vehicle Equipment — 16,937 16,937 — — — Motor Vehicles and Motor Vehicle Parts and Supplies — 27,979 27,979 — 12,212 12,212 Nonferrous Foundries (Castings) — 12,953 12,953 — — — Offices and Clinics of Doctors of Medicine — 97,760 97,760 — 600 600 Offices and Clinics of Other Health Practitioners — 21,122 21,122 — 18,979 18,979 Public Warehousing and Storage — 61,912 61,912 — 48,890 48,890 Research, Development and Testing Services — 33,334 33,334 — 33,155 33,155 Schools and Educational Services, not elsewhere classified — 19,794 19,794 — 20,625 20,625 Services Allied with the Exchange of Securities — 14,895 14,895 — 13,960 13,960 Surgical, Medical, and Dental Instruments and Supplies — 39,806 39,806 — 29,687 29,687 Telephone Communications — 61,339 61,339 — 59,182 59,182 Total $ — $ 1,528,874 $ 1,528,874 $ — $ 1,011,275 $ 1,011,275
Aggregate positions by Respective Place in the Capital Structure of the Borrowers	The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at September 30, 2018 and December 31, 2017 . September 30, 2018 December 31, 2017 (dollars in thousands) First lien loans $ 888,860 $ 582,724 Second lien loans 640,014 428,551 Total $ 1,528,874 $ 1,011,275

MORTGAGE SERVICING RIGHTS (Tabl

MORTGAGE SERVICING RIGHTS (Tables)	9 Months Ended
	Sep. 30, 2018
Transfers and Servicing [Abstract]
Presentation of Activity Related to MSR	The following table presents activity related to MSRs for the three and nine months ended September 30, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands) Fair value, beginning of period $ 599,014 $ 605,653 $ 580,860 $ 652,216 Purchases (1) — (30 ) — (27 ) Other — — — 10 Change in fair value due to: Changes in valuation inputs or assumptions (2) (19,913 ) (19,207 ) (61,011 ) (34,645 ) Other changes, including realization of expected cash flows 9,732 (16,198 ) 68,984 (47,336 ) Fair value, end of period $ 588,833 $ 570,218 $ 588,833 $ 570,218 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to be not acceptable. (2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.

REAL ESTATE (Tables)

REAL ESTATE (Tables)	9 Months Ended
	Sep. 30, 2018
Real Estate [Abstract]
Schedule of Useful Lives of Investments in Commercial Real Estate	Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years
Summary of Real Estate	September 30, 2018 December 31, 2017 Real Estate, Net (dollars in thousands) Land $ 128,742 $ 111,012 Buildings and improvements 580,932 330,959 Furniture, fixtures and equipment 11,205 — Subtotal 720,879 441,971 Less: accumulated depreciation (60,795 ) (48,920 ) Total real estate held for investment, at amortized cost, net 660,084 393,051 Equity in unconsolidated joint ventures 92,930 92,902 Total Real Estate, Net $ 753,014 $ 485,953
Minimum Future Rentals on Non-cancelable Leases	Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at September 30, 2018 for consolidated investments in real estate are as follows: September 30, 2018 (dollars in thousands) 2018 (remaining) $ 12,627 2019 49,246 2020 44,973 2021 40,940 2022 36,393 Later years 223,175 Total $ 407,354

VARIABLE INTEREST ENTITIES (Tab

VARIABLE INTEREST ENTITIES (Tables)	9 Months Ended
	Sep. 30, 2018
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition	The statements of financial condition of the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 are as follows: September 30, 2018 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 28,441 Commercial real estate debt 3,521,945 — — Residential mortgage loans — 107,764 97,825 Mortgage servicing rights — — 588,833 Interest receivable 13,432 555 — Other assets — — 33,522 Total assets $ 3,535,377 $ 108,319 $ 748,621 Liabilities Securitized debt (non-recourse) $ 3,240,043 $ 29,698 $ — Other secured financing — — 70,221 Interest payable 6,383 70 — Other liabilities — 148 2,160 Total liabilities $ 3,246,426 $ 29,916 $ 72,381 December 31, 2017 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 42,293 Commercial real estate debt 2,826,357 — — Residential mortgage loans — 478,811 19,667 Mortgage servicing rights — — 580,860 Interest receivable 10,339 1,599 — Derivative assets — — 1 Other assets — 1,418 32,354 Total assets $ 2,836,696 $ 481,828 $ 675,175 Liabilities Securitized debt (non-recourse) $ 2,620,952 $ 350,819 $ — Other secured financing — — 10,496 Interest payable 4,554 931 — Other liabilities — 112 4,856 Total liabilities $ 2,625,506 $ 351,862 $ 15,352
Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss)	The statements of comprehensive income (loss) of the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, that are reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2018 and 2017 are as follows: Three Months Ended September 30, 2018 Commercial Trusts Residential Trusts MSR Silo Net interest income: (dollars in thousands) Interest income $ 36,387 $ 1,723 $ 2,678 Interest expense 25,068 773 438 Net interest income 11,319 950 2,240 Net realized gains (losses) on disposal of investments — 147 (516 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 220 242 (13,364 ) Other income (loss) (4,217 ) (70 ) 26,866 Less: General and administrative expenses — 21 481 Net income (loss) $ 7,322 1,248 14,745 Three Months Ended September 30, 2017 Commercial Trusts Residential Trusts MSR Silo Net interest income: (dollars in thousands) Interest income $ 28,841 $ 1,145 $ 514 Interest expense 15,791 282 121 Net interest income 13,050 863 393 Net realized gains (losses) on disposal of investments — (229 ) (1,430 ) Net gains (losses) on trading assets — — (19 ) Net unrealized gains (losses) on instruments measured at fair value through earnings (2,256 ) (20 ) (36,226 ) Other income (loss) (6,073 ) (89 ) 32,001 Less: General and administrative expenses (1 ) 34 560 Net income (loss) $ 4,722 $ 491 $ (5,841 ) Nine Months Ended September 30, 2018 Commercial Trusts Residential Mortgage Loan Trusts MSR Silo Net interest income: (dollars in thousands) Interest income $ 85,325 $ 6,280 $ 4,126 Interest expense 54,265 3,621 875 Net interest income 31,060 2,659 3,251 Net realized gains (losses) on disposal of investments — 2,049 (1,826 ) Net gains (losses) on other derivatives — — 70 Net unrealized gains (losses) on instruments measured at fair value through earnings 1,332 (925 ) 3,101 Other income (loss) (12,986 ) (221 ) 83,924 Less: General and administrative expenses — 50 1,408 Net income (loss) $ 19,406 $ 3,512 $ 87,112 Nine Months Ended September 30, 2017 Commercial Trusts Residential Mortgage Loan Trusts MSR Silo Net interest income: (dollars in thousands) Interest income $ 81,508 $ 3,685 $ 1,005 Interest expense 42,046 854 243 Net interest income 39,462 2,831 762 Net realized gains (losses) on disposal of investments — (611 ) (1,915 ) Net gains (losses) on trading assets — — (17 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 2,833 1,682 (83,340 ) Other income (loss) (18,595 ) (280 ) 99,927 Less: General and administrative expenses — 71 2,500 Net income (loss) $ 23,700 $ 3,551 $ 12,917
Geographic Concentrations Based on Unpaid Principal Balances	The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2018 and December 31, 2017 , for the residential mortgage loans, including loans transferred or pledged to securitization trusts: Geographic Concentrations of Residential Mortgage Loans September 30, 2018 December 31, 2017 Property Location % of Balance Property Location % of Balance California 54.5 % California 49.8 % New York 8.1 % Florida 9.3 % Florida 6.6 % New York 7.1 % All other (none individually greater than 5%) 30.8 % All other (none individually greater than 5%) 33.8 % Total 100.0 % Total 100.0 % The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs and OBX Trusts, at September 30, 2018 are as follows: FREMF Trusts Residential Mortgage Loan Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 478,593 13.7 % California $ 48,718 44.9 % Maryland 448,646 12.8 % Texas 13,981 12.9 % California 360,279 10.3 % Illinois 8,297 7.6 % Virginia 347,002 9.9 % Washington 7,559 7.0 % Pennsylvania 281,384 8.1 % Florida 5,424 5.0 % New York 280,925 8.0 % Other (1) 24,501 22.6 % North Carolina 251,187 7.2 % Massachusetts 179,440 5.1 % Other (1) 867,774 24.9 % Total $ 3,495,230 100.0 % $ 108,480 100.0 % (1) No individual state greater than 5% .

FAIR VALUE MEASUREMENTS (Tables

FAIR VALUE MEASUREMENTS (Tables)	9 Months Ended
	Sep. 30, 2018
Fair Value Disclosures [Abstract]
Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis	The following tables present the estimated fair values of financial instruments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. September 30, 2018 Level 1 Level 2 Level 3 Total Assets: (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 89,290,128 $ — $ 89,290,128 Credit risk transfer securities — 688,521 — 688,521 Non-Agency mortgage-backed securities — 1,173,467 — 1,173,467 Commercial mortgage-backed securities — 186,495 — 186,495 Loans Residential mortgage loans — 1,217,139 — 1,217,139 Mortgage servicing rights — — 588,833 588,833 Assets transferred or pledged to securitization vehicles — 4,287,821 — 4,287,821 Derivative assets Interest rate swaps — 97,002 — 97,002 Other derivatives 221,516 86,323 — 307,839 Total assets $ 221,516 $ 97,026,896 $ 588,833 $ 97,837,245 Liabilities: Debt issued by securitization vehicles $ — $ 3,799,542 $ — $ 3,799,542 Derivative liabilities Interest rate swaps — 311,729 — 311,729 Other derivatives 482 67,583 — 68,065 Total liabilities $ 482 $ 4,178,854 $ — $ 4,179,336 December 31, 2017 Level 1 Level 2 Level 3 Total Assets: (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 90,551,763 $ — $ 90,551,763 Credit risk transfer securities — 651,764 — 651,764 Non-Agency mortgage-backed securities — 1,097,294 — 1,097,294 Commercial mortgage-backed securities — 262,751 — 262,751 Loans Residential mortgage loans — 958,546 — 958,546 Mortgage servicing rights — — 580,860 580,860 Assets transferred or pledged to securitization vehicles — 3,306,133 — 3,306,133 Derivative assets Interest rate swaps — 30,272 — 30,272 Other derivatives 218,361 65,252 — 283,613 Total assets $ 218,361 $ 96,923,775 $ 580,860 $ 97,722,996 Liabilities: Debt issued by securitization vehicles $ — $ 2,971,771 $ — $ 2,971,771 Derivative liabilities Interest rate swaps — 569,129 — 569,129 Other derivatives 12,285 26,440 — 38,725 Total liabilities $ 12,285 $ 3,567,340 $ — $ 3,579,625
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs	The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. Valuation Technique Unobservable Input (1) September 30, 2018 December 31, 2017 Range (Weighted Average) Discounted cash flow Discount rate 9.0% -12.0% (9.4%) 10.0% -15.0% (10.4%) Prepayment rate 4.5% - 11.3% (7.1%) 4.6% - 22.3% (9.4%) Delinquency rate 0.0% - 5.0% (2.3%) 0.0% - 13.0% (2.2%) Cost to service $82 - $132 ($105) $84 - $181 ($102) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.
Schedule of Estimated Fair Value for All Financial Assets and Liabilities	The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at September 30, 2018 and December 31, 2017 . Level in Fair Value Hierarchy September 30, 2018 December 31, 2017 Carrying Value Fair Value Carrying Value Fair Value Financial assets: (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment 3 1,435,865 1,446,062 1,029,327 1,035,095 Commercial loans held for sale, net 3 42,325 43,055 — — Corporate debt 2 1,528,874 1,531,546 1,011,275 1,014,139 Financial liabilities: Repurchase agreements 1,2 $ 79,073,026 $ 79,073,026 $ 77,696,343 $ 77,697,828 Other secured financing 1,2 4,108,547 4,108,801 3,837,528 3,837,595 Mortgages payable 3 511,588 494,690 309,686 310,218

SECURED FINANCING (Tables)

SECURED FINANCING (Tables)	9 Months Ended
	Sep. 30, 2018
Debt Disclosure [Abstract]
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates	At September 30, 2018 and December 31, 2017 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 30, 2018 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 16,400,345 $ — $ — $ — $ — $ 16,400,345 2.38 % 2 to 29 days 19,476,641 365,101 252,960 — 80,474 20,175,176 2.18 % 30 to 59 days 7,256,371 — 65,567 — — 7,321,938 2.26 % 60 to 89 days 17,159,885 71,919 155,479 — 36,076 17,423,359 2.38 % 90 to 119 days 6,518,313 — — — — 6,518,313 2.20 % Over 120 days (1) 10,330,866 — — 764,543 138,486 11,233,895 2.48 % Total $ 77,142,421 $ 437,020 $ 474,006 $ 764,543 $ 255,036 $ 79,073,026 2.32 % December 31, 2017 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — 2 to 29 days 33,421,609 263,528 253,290 — 18,125 33,956,552 1.69 % 30 to 59 days 10,811,515 7,229 3,658 — 6,375 10,828,777 1.44 % 60 to 89 days 13,800,743 7,214 47,830 — — 13,855,787 1.59 % 90 to 119 days 10,128,006 — — — — 10,128,006 1.39 % Over 120 days (1) 8,542,108 — — 385,113 — 8,927,221 1.77 % Total $ 76,703,981 $ 277,971 $ 304,778 $ 385,113 $ 24,500 $ 77,696,343 1.61 % (1) Approximately 0% and 1% of the total repurchase agreements had a remaining maturity over 1 year at September 30, 2018 and December 31, 2017 , respectively.
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement	The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. September 30, 2018 December 31, 2017 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross Amounts $ 1,484,704 $ 79,323,026 $ 1,250,000 $ 78,946,343 Amounts Offset (250,000 ) (250,000 ) (1,250,000 ) (1,250,000 ) Netted Amounts $ 1,234,704 $ 79,073,026 $ — $ 77,696,343
Mortgage Loans Payable	Mortgages payable at September 30, 2018 and December 31, 2017 , were as follows: September 30, 2018 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 332,317 $ 334,789 2.75% - 4.96% Fixed 2024 - 2029 First liens Tennessee 12,319 12,350 4.01% Fixed 9/6/2019 First liens Virginia 96,266 98,127 2.34% - 4.55% Fixed 2019-2053 First liens Utah (fixed) 7,297 7,218 3.69% Fixed 6/1/2053 First liens Utah (floating) 9,691 9,706 L+3.50% Floating 1/31/2019 First liens Minnesota 13,470 13,506 3.69% Fixed 6/1/2053 First liens Wisconsin 7,911 7,932 3.69% Fixed 6/1/2053 First liens Texas 32,317 33,875 3.28% Fixed 1/1/1953 First liens Total $ 511,588 $ 517,503 December 31, 2017 Property Mortgage Carrying Value Mortgage Principal Interest Rate Fixed/Floating Rate Maturity Date Priority (dollars in thousands) Joint Ventures $ 286,373 $ 289,125 4.03% - 4.61% Fixed 2024 and 2025 First liens Tennessee 12,294 12,350 4.01% Fixed 9/6/2019 First liens Virginia 11,019 11,025 3.58% Fixed 6/6/2019 First liens Total $ 309,686 $ 312,500
Future Mortgage Loan Principal Payments	The following table details future mortgage loan principal payments at September 30, 2018 : Mortgage Loan Principal Payments (dollars in thousands) 2018 (remaining) $ 717 2019 36,111 2020 19,410 2021 3,493 2022 3,711 Later years 454,061 Total $ 517,503

DERIVATIVE INSTRUMENTS (Tables)

DERIVATIVE INSTRUMENTS (Tables)	9 Months Ended
	Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Summarizes Fair Value Information about Derivative Assets Liabilities	The table below summarizes fair value information about our derivative assets and liabilities at September 30, 2018 and December 31, 2017 : Derivatives Instruments September 30, 2018 December 31, 2017 Derivative Assets: (dollars in thousands) Interest rate swaps $ 97,002 $ 30,272 Interest rate swaptions 65,356 36,150 TBA derivatives 13,535 29,067 Futures contracts 221,516 218,361 Purchase commitments 189 35 Credit derivatives (1) 7,243 — $ 404,841 $ 313,885 Derivative Liabilities: Interest rate swaps $ 311,729 $ 569,129 TBA derivatives 64,900 21,776 Futures contracts 482 12,285 Purchase commitments 797 157 Credit derivatives (1) 1,886 4,507 $ 379,794 $ 607,854 (1) The notional amount of the credit derivatives in which the Company purchased protection was $70.0 million at September 30, 2018. The maximum potential amount of future payments is the notional amount of $466.0 million and $125.0 million at September 30, 2018 and December 31, 2017 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-.
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2018 and December 31, 2017 : September 30, 2018 Maturity Current (1) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 34,361,800 1.76 % 2.36 % 1.38 3 - 6 years 16,854,750 2.25 % 2.34 % 4.44 6 - 10 years 15,746,900 2.48 % 2.26 % 8.62 Greater than 10 years 4,151,400 3.60 % 2.27 % 17.13 Total / Weighted Average $ 71,114,850 2.10 % 2.33 % 4.34 December 31, 2017 Maturity Current Notional (1) Weighted Average Pay Rate (2) (3) Weighted Average Receive Rate (2) Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 6,532,000 1.56 % 1.62 % 2.08 3 - 6 years 14,791,800 2.12 % 1.57 % 4.51 6 - 10 years 10,179,000 2.35 % 1.58 % 8.04 Greater than 10 years 3,826,400 3.65 % 1.51 % 18.47 Total / Weighted Average $ 35,329,200 2.22 % 1.58 % 6.72 (1) There were no forward starting swaps at September 30, 2018 . Notional amount includes $8.1 billion of forward starting pay fixed swaps at December 31, 2017 . (2) Excludes forward starting swaps. (3) Weighted average fixed rate on forward starting pay fixed swaps was 1.86% at December 31, 2017 . The following table presents swaptions outstanding at September 30, 2018 and December 31, 2017 . September 30, 2018 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 4,500,000 3.18 % 3M LIBOR 10.21 5.09 December 31, 2017 Current Underlying Notional Weighted Average Underlying Pay Rate Weighted Average Underlying Receive Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long $ 6,000,000 2.62 % 3M LIBOR 9.97 4.49 The following table summarizes certain characteristics of the Company’s TBA derivatives at September 30, 2018 and December 31, 2017 : September 30, 2018 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 16,209,160 $ 16,304,558 $ 16,253,193 $ (51,365 ) December 31, 2017 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 15,828,000 $ 16,381,826 $ 16,390,251 $ 8,425 Sale contracts (250,000 ) (254,804 ) (255,938 ) (1,134 ) Net TBA derivatives $ 15,578,000 $ 16,127,022 $ 16,134,313 $ 7,291 The following table summarizes certain characteristics of the Company’s futures contracts at September 30, 2018 and December 31, 2017 : September 30, 2018 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (1,166,000 ) 2.00 U.S. Treasury futures - 5 year — (6,359,400 ) 4.41 U.S. Treasury futures - 10 year and greater — (12,346,600 ) 7.18 Total $ — $ (19,872,000 ) 5.99 December 31, 2017 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2-year swap equivalent Eurodollar contracts $ — $ (17,161,000 ) 2.00 U.S. Treasury futures - 5 year — (4,217,400 ) 4.41 U.S. Treasury futures - 10 year and greater — (4,914,500 ) 7.01 Total $ — $ (26,292,900 ) 3.32
Offsetting of Derivative Assets and Liabilities	The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition at September 30, 2018 and December 31, 2017 , respectively. September 30, 2018 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 97,002 $ (45,805 ) $ — $ 51,197 Interest rate swaptions, at fair value 65,356 — — 65,356 TBA derivatives, at fair value 13,535 (13,535 ) — — Futures contracts, at fair value 221,516 (482 ) — 221,034 Purchase commitments 189 — — 189 Credit derivatives 7,243 (1,886 ) — 5,357 Liabilities: Interest rate swaps, at fair value $ 311,729 $ (45,805 ) $ — $ 265,924 TBA derivatives, at fair value 64,900 (13,535 ) — 51,365 Futures contracts, at fair value 482 (482 ) — — Purchase commitments 797 — — 797 Credit derivatives 1,886 (1,886 ) — — December 31, 2017 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets: (dollars in thousands) Interest rate swaps, at fair value $ 30,272 $ (27,379 ) $ — $ 2,893 Interest rate swaptions, at fair value 36,150 — — 36,150 TBA derivatives, at fair value 29,067 (12,551 ) — 16,516 Futures contracts, at fair value 218,361 (12,285 ) — 206,076 Purchase commitments 35 — — 35 Liabilities: Interest rate swaps, at fair value $ 569,129 $ (27,379 ) $ — $ 541,750 TBA derivatives, at fair value 21,776 (12,551 ) — 9,225 Futures contracts, at fair value 12,285 (12,285 ) — — Purchase commitments 157 — — 157 Credit derivatives 4,507 — (3,520 ) 987
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss	The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination or Maturity of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps Three Months Ended: (dollars in thousands) September 30, 2018 $ 51,349 $ 575 $ 417,203 September 30, 2017 $ (88,211 ) $ — $ 56,854 Nine Months Ended: September 30, 2018 $ 34,664 $ 1,409 $ 1,737,963 September 30, 2017 $ (288,837 ) $ (58 ) $ 28,471
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss)	The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended September 30, 2018 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 8,569 $ (85,741 ) $ (77,172 ) Net interest rate swaptions (28,754 ) (17,663 ) (46,417 ) Futures (114,317 ) 327,787 213,470 Purchase commitments — (841 ) (841 ) Credit derivatives 3,096 1,676 4,772 Total $ 93,812 Three Months Ended September 30, 2017 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 110,067 $ 29,728 $ 139,795 Net interest rate swaptions — (9,137 ) (9,137 ) Futures (70,054 ) 92,784 22,730 Purchase commitments — (108 ) (108 ) Credit derivatives 495 433 928 Total $ 154,208 Nine Months Ended September 30, 2018 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (299,560 ) $ (56,701 ) $ (356,261 ) Net interest rate swaptions (85,854 ) 53,557 (32,297 ) Futures 443,314 14,959 458,273 Purchase commitments — (416 ) (416 ) Credit derivatives 7,498 4,060 11,558 Total $ 80,857 Nine Months Ended September 30, 2017 Derivative Instruments Realized Gains (Losses) Unrealized Gains (Losses) Amount of Gain (Losses) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 215,529 $ 39,964 $ 255,493 Net interest rate swaptions — (19,574 ) (19,574 ) Futures (128,478 ) 31,492 (96,986 ) Purchase commitments — 165 165 Credit derivatives 632 356 988 Total $ 140,086

CAPITAL STOCK (Tables)

CAPITAL STOCK (Tables)	9 Months Ended
	Sep. 30, 2018
Equity [Abstract]
Schedule of Stock by Class	The following table provides a summary of the Company’s common shares authorized and issued and outstanding at September 30, 2018 and December 31, 2017. Shares authorized Shares issued and outstanding September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Par Value Common stock 1,924,050,000 1,929,300,000 1,303,079,555 1,159,585,078 $0.01 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 30, 2018 and December 31, 2017. In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets. Shares authorized Shares issued and outstanding Carrying value Contractual rate Earliest redemption date (1) Date at which dividend rate becomes floating Floating annual rate September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 September 30, 2018 December 31, 2017 Fixed-rate: (dollars in thousands) Series C 7,000,000 12,000,000 7,000,000 12,000,000 $ 169,466 $ 290,514 7.625% 5/16/2017 NA NA Series D 18,400,000 18,400,000 18,400,000 18,400,000 445,457 445,457 7.50% 9/13/2017 NA NA Series E — 11,500,000 — 11,500,000 — 287,500 7.625% 8/27/2017 NA NA Series H 2,200,000 — 2,200,000 — 55,000 — 8.125% 5/22/2019 NA NA Fixed-to-floating rate: Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95% 9/30/2022 9/30/2022 3M LIBOR + 4.993% Series G 19,550,000 — 17,000,000 — 411,335 — 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Total 75,950,000 70,700,000 73,400,000 70,700,000 $ 1,778,168 $ 1,720,381 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company.
Summary of Dividend Reinvestment Plan	The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Nine Months Ended September 30, 2018 September 30, 2017 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 245,000 169,000 Amount raised from direct purchase and dividend reinvestment program $ 2,584 $ 1,949
Summary of Dividend Distribution Activity	The following table provides a summary of the Company’s dividend distribution activity for the periods presented: Nine Months Ended September 30, 2018 September 30, 2017 (dollars in thousands, except per share data) Distributions declared to common stockholders $ 1,062,685 $ 937,825 Distributions declared per common share $ 0.90 $ 0.90 Distributions paid to common stockholders after period end $ 102,811 $ 326,425 Distributions paid per common share after period end $ 0.08 $ 0.30 Date of distributions paid to common stockholders after period end October 31, 2018 October 31, 2017 Dividends declared to Series A Preferred stockholders $ — $ 9,527 Dividends declared per share of Series A Preferred Stock $ — $ 1.477 Dividends declared to Series C Preferred stockholders $ 10,987 $ 17,157 Dividends declared per share of Series C Preferred Stock (1) $ 1.430 $ 1.430 Dividends declared to Series D Preferred stockholders $ 25,875 $ 25,875 Dividends declared per share of Series D Preferred Stock $ 1.406 $ 1.406 Dividends declared to Series E Preferred stockholders $ 2,253 $ 16,441 Dividends declared per share of Series E Preferred Stock $ 0.196 $ 1.430 Dividends declared to Series F Preferred stockholders $ 37,530 $ — Dividends declared per share of Series F Preferred Stock (2) $ 1.303 $ — Dividends declared to Series G Preferred stockholders $ 19,875 $ — Dividends declared per share of Series G Preferred Stock $ 1.169 $ — Dividends declared to Series H Preferred stockholders $ 298 $ — Dividends declared per share of Series H Preferred Stock $ 0.135 $ — (1) Includes dividends declared per share for shares outstanding at September 30, 2018 . (2) Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the nine months ended September 30, 2017.

INTEREST INCOME AND INTEREST _2

INTEREST INCOME AND INTEREST EXPENSE (Tables)	9 Months Ended
	Sep. 30, 2018
Banking and Thrift, Interest [Abstract]
Summary of Interest Income Recognition Methodology for Residential Investment Securities	The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows Collateralized Mortgage Obligation (“CMO”) (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential Credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime Jumbo (2) Prospective Prime Jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
Components of Company's Interest Income and Interest Expense	The following table presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 Interest income: (dollars in thousands) Residential Securities $ 680,037 $ 540,436 $ 2,122,375 $ 1,515,654 Residential mortgage loans 21,184 8,509 55,557 19,790 Commercial investment portfolio (1) 97,531 67,790 249,331 200,288 U.S. Treasury securities 160 — 160 — Reverse repurchase agreements 17,684 5,815 45,466 11,971 Total interest income 816,596 622,550 2,472,889 1,747,703 Interest expense: Repurchase agreements 445,535 237,669 1,177,384 607,910 Debt issued by securitization vehicles 29,391 16,072 63,244 42,899 Participation sold — — — 195 Other 26,047 15,196 70,458 38,639 Total interest expense 500,973 268,937 1,311,086 689,643 Net interest income 315,623 353,613 $ 1,161,803 $ 1,058,060 (1) Includes commercial real estate debt and preferred equity, corporate debt and assets transferred or pledged to securitization vehicles.

GOODWILL AND INTANGIBLE ASSETS

GOODWILL AND INTANGIBLE ASSETS (Tables)	9 Months Ended
	Sep. 30, 2018
Goodwill and Intangible Assets Disclosure [Abstract]
Schedule of Finite-Lived Intangible Assets	The following table presents the activity of finite lived intangible assets for the nine months ended September 30, 2018 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2017 $ 23,220 Intangible assets acquired 14,483 Less: amortization expense (6,475 ) Balance at September 30, 2018 $ 31,228
Schedule of Indefinite-Lived Intangible Assets	The following table presents the activity of finite lived intangible assets for the nine months ended September 30, 2018 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2017 $ 23,220 Intangible assets acquired 14,483 Less: amortization expense (6,475 ) Balance at September 30, 2018 $ 31,228

NET INCOME (LOSS) PER COMMON _2

NET INCOME (LOSS) PER COMMON SHARE (Tables)	9 Months Ended
	Sep. 30, 2018
Earnings Per Share [Abstract]
Schedule of Net Income (Loss) Per Share Reconciliation	The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 (dollars in thousands, except per share data) Net income (loss) $ 385,429 $ 367,315 $ 2,309,020 $ 822,245 Net income (loss) attributable to noncontrolling interests (149 ) (232 ) (277 ) (437 ) Net income (loss) attributable to Annaly 385,578 367,547 2,309,297 822,682 Dividends on preferred stock (1) 31,675 30,355 96,818 77,301 Net income (loss) available (related) to common stockholders $ 353,903 $ 337,192 $ 2,212,479 $ 745,381 Weighted average shares of common stock outstanding-basic 1,202,353,851 1,072,566,395 1,174,292,701 1,037,033,076 Add: Effect of stock awards, if dilutive — 474,242 — 412,101 Weighted average shares of common stock outstanding-diluted 1,202,353,851 1,073,040,637 1,174,292,701 1,037,445,177 Net income (loss) per share available (related) to common share: Basic $ 0.29 $ 0.31 $ 1.88 $ 0.72 Diluted $ 0.29 $ 0.31 $ 1.88 $ 0.72 (1) Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017.

LEASE COMMITMENTS AND CONTING_2

LEASE COMMITMENTS AND CONTINGENCIES (Tables)	9 Months Ended
	Sep. 30, 2018
Commitments and Contingencies Disclosure [Abstract]
Lease Commitments and Contingencies	The following table details the future lease payments: Lease Commitments Years Ending September 30, (dollars in thousands) 2018 (remaining) $ 891 2019 3,565 2020 3,652 2021 3,862 2022 3,862 Later years 10,618 Total $ 26,450

ACQUISITION OF MTGE INVESTMEN_2

ACQUISITION OF MTGE INVESTMENT CORP (Tables)	9 Months Ended
	Sep. 30, 2018
Business Combinations [Abstract]
Summary of Acquired Assets	The allocation of the consideration paid as part of the transaction and its assignment to the initial carrying value of the MTGE portfolio is noted in the below table. September 2018 Consideration Transferred: (dollars in thousands) Cash $ 450,287 Common equity 455,943 Preferred shares: Exchange of MTGE preferred stock for Annaly preferred stock 55,000 Total consideration $ 961,230 Net Assets: Cash and cash equivalents $ 191,953 Securities 4,111,930 Real estate, net 277,648 Derivative assets 18,629 Reverse repurchase agreements 938,251 Receivable for unsettled trades 6,809 Principal receivable 44,462 Interest receivable 14,282 Intangible assets, net 14,483 Other assets 50,105 Total assets acquired 5,668,552 Repurchase agreements 3,561,816 Mortgages payable 201,629 U.S. Treasury securities sold, not yet purchased 934,149 Derivative liabilities 2,498 Interest Payable 22,220 Dividends payable 819 Other liabilities 28,715 Total liabilities assumed 4,751,846 Net assets acquired $ 916,706

DESCRIPTION OF BUSINESS - Addit

DESCRIPTION OF BUSINESS - Additional Information (Details)	9 Months Ended
	Sep. 30, 2018investment_group
Accounting Policies [Abstract]
Number of investment groups (investment group)	4

SIGNIFICANT ACCOUNTING POLICI_4

SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) $ in Millions	Sep. 30, 2018	Dec. 31, 2017
Interest Rate Swaps
Schedule Of Significant Accounting Policies [Line Items]
Cash on margin with counterparty to interest rate swaps	$ 924.9	$ 579.2

FINANCIAL INSTRUMENTS - Summary

FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	$ 105,961,803	$ 101,760,050	[1]
Liabilities	91,005,947	86,888,477	[1]
Total securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	91,338,611	92,563,572
Residential mortgage backed securities, recognized through comprehensive income
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	88,363,876	89,426,437
Residential mortgage backed securities, recognized trough earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	926,252	1,125,326
Credit risk transfer securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	688,521	651,764
Non-agency mortgage-backed securities
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,173,467	1,097,294
Commercial real estate debt investment, securities, recognized through comprehensive income
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	162,678	244,636
Commercial real estate debt investment, securities, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	23,817	18,115
Total loans
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	4,224,203	2,999,148
Residential mortgage loans
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,217,139	958,546
Commercial real estate debt and preferred equity, held for investment
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,435,865	1,029,327
Loans held for sale, net
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	42,325	0
Corporate debt
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,528,874	1,011,275
Assets transferred or pledged to securitization
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	4,287,821	3,306,133
Residential mortgage loans, asset transferred or pledged to securitization, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	765,876	479,776
Commercial mortgage loans, asset transferred or pledged to securitization, recognized through earnings
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	3,521,945	2,826,357
Reverse repurchase agreements
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Assets	1,234,704	0
Repurchase agreements
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	79,073,026	77,696,343
Other secured financing
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	4,108,547	3,837,528
Securitized debt of consolidated VIEs
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	3,799,542	2,971,771
Mortgages payable
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items]
Liabilities	$ 511,588	$ 309,686
[1]	Derived from the audited consolidated financial statements at December 31, 2017.

SECURITIES - Summary of Residen

SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2018USD ($)
Debt Securities, Available-For-Sale [Roll Forward]
Beginning Balance	$ 92,563,572
Purchases	25,457,420
Sales	(14,573,125)
Principal paydowns	(8,791,644)
Amortization / accretion	(485,303)
Fair value adjustment	(2,832,309)
Ending Balance	91,338,611
Residential Securities
Debt Securities, Available-For-Sale [Roll Forward]
Beginning Balance	92,300,821
Purchases	25,395,018
Sales	(14,532,225)
Principal paydowns	(8,695,247)
Amortization / accretion	(485,804)
Fair value adjustment	(2,830,447)
Ending Balance	91,152,116
Commercial Securities
Debt Securities, Available-For-Sale [Roll Forward]
Beginning Balance	262,751
Purchases	62,402
Sales	(40,900)
Principal paydowns	(96,397)
Amortization / accretion	501
Fair value adjustment	(1,862)
Ending Balance	$ 186,495

SECURITIES - Portfolio (Details

SECURITIES - Portfolio (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	$ 96,782,059	$ 95,582,210
Remaining Premium	5,937,065	6,173,318
Remaining Discount	(177,203)	(158,022)
Amortized Cost	95,408,711	93,803,739
Unrealized Gains	136,990	288,667
Unrealized Losses	(4,207,090)	(1,528,834)
Estimated Fair Value	91,338,611	92,563,572
Agency Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	93,832,975	92,600,794
Remaining Premium	5,884,735	6,128,353
Remaining Discount	(17,453)	(4,043)
Amortized Cost	93,451,372	91,920,389
Unrealized Gains	40,060	157,875
Unrealized Losses	(4,201,304)	(1,526,501)
Estimated Fair Value	89,290,128	90,551,763
Agency Securities | Fixed-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	80,917,596	78,509,335
Remaining Premium	4,376,927	4,514,815
Remaining Discount	(7,643)	(1,750)
Amortized Cost	85,286,880	83,022,400
Unrealized Gains	28,156	140,115
Unrealized Losses	(3,664,420)	(1,178,673)
Estimated Fair Value	81,650,616	81,983,842
Agency Securities | Adjustable-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	5,415,559	6,760,991
Remaining Premium	268,852	277,212
Remaining Discount	(1,568)	(1,952)
Amortized Cost	5,682,843	7,036,251
Unrealized Gains	9,098	15,776
Unrealized Losses	(164,520)	(103,121)
Estimated Fair Value	5,527,421	6,948,906
Agency Securities | CMO
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	11,610
Remaining Premium	55
Remaining Discount	0
Amortized Cost	11,665
Unrealized Gains	0
Unrealized Losses	(124)
Estimated Fair Value	11,541
Agency Securities | Interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	6,248,885	6,804,715
Remaining Premium	1,226,033	1,326,761
Remaining Discount	0	0
Amortized Cost	1,226,033	1,326,761
Unrealized Gains	2,500	1,863
Unrealized Losses	(340,766)	(242,862)
Estimated Fair Value	887,767	1,085,762
Agency Securities | Multifamily
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	1,204,773	490,753
Remaining Premium	8,596	5,038
Remaining Discount	(8,242)	(341)
Amortized Cost	1,205,127	495,450
Unrealized Gains	306	84
Unrealized Losses	(31,135)	(1,845)
Estimated Fair Value	1,174,298	493,689
Agency Securities | Reverse mortgages
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	34,552	35,000
Remaining Premium	4,272	4,527
Remaining Discount	0	0
Amortized Cost	38,824	39,527
Unrealized Gains	0	37
Unrealized Losses	(339)	0
Estimated Fair Value	38,485	39,564
Residential Credit Securities Mortgage Backed Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	2,752,677	2,711,128
Remaining Premium	51,991	44,285
Remaining Discount	(149,847)	(144,248)
Amortized Cost	1,770,496	1,622,113
Unrealized Gains	96,355	128,949
Unrealized Losses	(4,863)	(2,004)
Estimated Fair Value	1,861,988	1,749,058
Residential Credit Securities Mortgage Backed Securities | CRT
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	651,360	593,027
Remaining Premium	33,670	25,463
Remaining Discount	(14,996)	(3,456)
Amortized Cost	670,034	615,034
Unrealized Gains	18,537	36,730
Unrealized Losses	(50)	0
Estimated Fair Value	688,521	651,764
Residential Credit Securities Mortgage Backed Securities | Alt-A
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	239,990	204,213
Remaining Premium	385	499
Remaining Discount	(36,910)	(34,000)
Amortized Cost	203,465	170,712
Unrealized Gains	12,730	13,976
Unrealized Losses	(131)	(802)
Estimated Fair Value	216,064	183,886
Residential Credit Securities Mortgage Backed Securities | Prime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	386,193	197,756
Remaining Premium	2,111	358
Remaining Discount	(25,419)	(24,158)
Amortized Cost	362,885	173,956
Unrealized Gains	15,341	18,804
Unrealized Losses	(596)	0
Estimated Fair Value	377,630	192,760
Residential Credit Securities Mortgage Backed Securities | Subprime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	449,425	554,470
Remaining Premium	1,973	2,037
Remaining Discount	(67,841)	(78,561)
Amortized Cost	383,557	477,946
Unrealized Gains	45,238	56,024
Unrealized Losses	(109)	(90)
Estimated Fair Value	428,686	533,880
Residential Credit Securities Mortgage Backed Securities | NPL/RPL
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	3,431	42,585
Remaining Premium	0	14
Remaining Discount	(37)	(117)
Amortized Cost	3,394	42,482
Unrealized Gains	45	506
Unrealized Losses	0	0
Estimated Fair Value	3,439	42,988
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo ( 2010 Vintage)
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	137,953	130,025
Remaining Premium	587	627
Remaining Discount	(4,644)	(3,956)
Amortized Cost	133,896	126,696
Unrealized Gains	49	1,038
Unrealized Losses	(3,977)	(1,112)
Estimated Fair Value	129,968	126,622
Residential Credit Securities Mortgage Backed Securities | Prime Jumbo ( 2010 Vintage) Interest-Only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	884,325	989,052
Remaining Premium	13,265	15,287
Remaining Discount	0	0
Amortized Cost	13,265	15,287
Unrealized Gains	4,415	1,871
Unrealized Losses	0	0
Estimated Fair Value	17,680	17,158
Residential Investments
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	96,585,652	95,311,922
Remaining Premium	5,936,726	6,172,638
Remaining Discount	(167,300)	(148,291)
Amortized Cost	95,221,868	93,542,502
Unrealized Gains	136,415	286,824
Unrealized Losses	(4,206,167)	(1,528,505)
Estimated Fair Value	91,152,116	92,300,821
Commercial Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	196,407	270,288
Remaining Premium	339	680
Remaining Discount	(9,903)	(9,731)
Amortized Cost	186,843	261,237
Unrealized Gains	575	1,843
Unrealized Losses	(923)	(329)
Estimated Fair Value	$ 186,495	$ 262,751

SECURITIES - Component of Agenc

SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Mortgage-Backed Securities Portfolio [Line Items]
Estimated Fair Value	$ 91,338,611	$ 92,563,572
Agency Mortgage-Backed Securities
Mortgage-Backed Securities Portfolio [Line Items]
Estimated Fair Value	89,290,128	90,551,763
Agency Mortgage-Backed Securities | Fannie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Estimated Fair Value	59,568,293	63,361,415
Agency Mortgage-Backed Securities | Freddie Mac
Mortgage-Backed Securities Portfolio [Line Items]
Estimated Fair Value	29,636,443	27,091,978
Agency Mortgage-Backed Securities | Ginnie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Estimated Fair Value	$ 85,392	$ 98,370

SECURITIES - Weighted Average L

SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Estimated Fair Value
Total	$ 91,338,611	$ 92,563,572
Amortized Cost
Total	95,408,711	93,803,739
Residential Investments
Estimated Fair Value
Less than one year	19,335	471,977
Greater than one year through five years	10,442,022	13,838,890
Greater than five years through ten years	79,260,878	77,273,833
Greater than ten years	1,429,881	716,121
Total	91,152,116	92,300,821
Amortized Cost
Less than one year	19,339	476,538
Greater than one year through five years	10,737,675	13,925,749
Greater than five years through ten years	83,003,720	78,431,852
Greater than ten years	1,461,134	708,363
Total	$ 95,221,868	$ 93,542,502

SECURITIES - Unrealized Loss Po

SECURITIES - Unrealized Loss Position (Details) $ in Thousands	Sep. 30, 2018USD ($)security	Dec. 31, 2017USD ($)security
Unrealized Loss Position For:
Estimated Fair Value	$ 86,556,058	$ 79,369,396
Gross Unrealized Losses	$ (3,860,199)	$ (1,283,639)
Number of Securities (security) | security	3,446	2,025
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	$ 46,457,384	$ 39,878,158
Gross Unrealized Losses	$ (1,401,491)	$ (272,234)
Number of Securities (security) | security	2,213	1,114
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	$ 40,098,674	$ 39,491,238
Gross Unrealized Losses	$ (2,458,708)	$ (1,011,405)
Number of Securities (security) | security	1,233	911

SECURITIES - Additional Informa

SECURITIES - Additional Information (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Investments, Debt and Equity Securities [Abstract]
Residential Investment securities sold, carrying value	$ 9,100	$ 6,800	$ 14,500	$ 11,400
Residential Investment securities sold, net realized gain (loss)	$ (322.4)	$ (10.2)	$ (372.5)	$ (14.3)

LOANS - Additional Information

LOANS - Additional Information (Details)	9 Months Ended		12 Months Ended
	Sep. 30, 2018USD ($)	Sep. 30, 2017USD ($)	Dec. 31, 2017USD ($)		Dec. 11, 2015USD ($)property
Mortgage Loans on Real Estate [Line Items]
Assets	$ 105,961,803,000		$ 101,760,050,000	[1]
Outstanding impaired loans, nonaccrual loans, and loans in default	0		0
Allowance for loan losses	0		0
Loans held for sale	$ 42,300,000		$ 0
Loans receivable with variable rates of interest	87.00%		85.00%
Commercial Mortgage Loan
Mortgage Loans on Real Estate [Line Items]
Debt issued	$ 517,503,000		$ 312,500,000
Eight Class AB Office Properties In Orange Country California | California
Mortgage Loans on Real Estate [Line Items]
Number of real estate properties (property) | property					8
Eight Class AB Office Properties In Orange Country California | Commercial Mortgage Loan | California
Mortgage Loans on Real Estate [Line Items]
Debt issued					$ 335,000,000
Gain or loss on sales of senior loan		$ 0
Eight Class AB Office Properties In Orange Country California | Commercial Mortgage Loan | California | Senior Loans
Mortgage Loans on Real Estate [Line Items]
Remaining senior loans held for sale		115,000,000
Remaining senior loans held for sale, net of origination fees		$ 114,400,000
Minimum
Mortgage Loans on Real Estate [Line Items]
Senior secured loans, maturity period	3 years
Maximum
Mortgage Loans on Real Estate [Line Items]
Senior secured loans, maturity period	8 years
Residential mortgage loans
Mortgage Loans on Real Estate [Line Items]
Assets	$ 1,217,139,000		$ 958,546,000
Residential mortgage loans
Mortgage Loans on Real Estate [Line Items]
Percent of adjustable-rate loans	54.00%		78.00%
[1]	Derived from the audited consolidated financial statements at December 31, 2017.

LOANS - Summary of Loans Invest

LOANS - Summary of Loans Investments Activity (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2018USD ($)
Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	$ 2,999,148
Purchases	1,747,902
Syndications	(44,125)
Principal Payments	(516,180)
Change in fair value	(13,812)
Amortization	8,945
Ending balance	4,181,878
Residential
Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	958,546
Purchases	430,854
Syndications	0
Principal Payments	(156,198)
Change in fair value	(13,812)
Amortization	(2,251)
Ending balance	1,217,139
Commercial
Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	1,029,327
Purchases	528,835
Syndications	0
Principal Payments	(124,559)
Change in fair value	0
Amortization	2,262
Ending balance	1,435,865
Corporate
Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	1,011,275
Purchases	788,213
Syndications	(44,125)
Principal Payments	(235,423)
Change in fair value	0
Amortization	8,934
Ending balance	$ 1,528,874

LOANS - Fair Value and Unpaid P

LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential mortgage loans - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Mortgage Loans on Real Estate [Line Items]
Fair value	$ 1,983,015	$ 1,438,322
Unpaid principal balance	$ 1,976,077	$ 1,419,807

LOANS - Summary of Comprehensiv

LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Mortgage Loans on Real Estate [Line Items]
Net interest income	$ 315,623	$ 353,613	$ 1,161,803	$ 1,058,060
Net gains (losses) on disposal of investments			(376,943)	(11,833)
Total included in net income (loss)	385,578	367,547	2,309,297	822,682
Residential mortgage loans
Mortgage Loans on Real Estate [Line Items]
Net interest income	16,423	8,226	45,702	18,935
Net gains (losses) on disposal of investments	(2,975)	(2,093)	(7,924)	(3,407)
Net unrealized gains (losses) on instruments measured at fair value through earnings	(3,633)	(725)	(14,802)	5,400
Total included in net income (loss)	$ 9,815	$ 5,408	$ 22,976	$ 20,928

LOANS - Geographic Concentratio

LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	100.00%	100.00%
California
Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	54.50%	49.80%
New York
Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	8.10%	7.10%
Florida
Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	6.60%	9.30%
All other (none individually greater than 5%)
Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	30.80%	33.80%

LOANS - Summary of Residential

LOANS - Summary of Residential Mortgage Loans (Details) - Residential mortgage loans $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018USD ($)point	Dec. 31, 2017USD ($)point
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 1,976,077	$ 1,419,807
Minimum
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 1	$ 1
Interest rate	2.00%	1.63%
FICO score at loan origination | point	510	468
Loan-to-value ratio at loan origination	11.00%	11.00%
Maximum
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 3,500	$ 3,663
Interest rate	7.50%	7.50%
FICO score at loan origination | point	823	823
Loan-to-value ratio at loan origination	100.00%	100.00%
Portfolio Weighted Average
Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 494	$ 514
Interest rate	4.74%	4.25%
FICO score at loan origination | point	754	748
Loan-to-value ratio at loan origination	67.00%	68.00%

LOANS - Summary of Commercial R

LOANS - Summary of Commercial Real Estate Investments Held for Investment (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017	Dec. 31, 2016
Real Estate [Line Items]
Outstanding Principal	$ 96,782,059	$ 95,582,210
Carrying value, unamortized origination fees	5,700	3,800
Commercial Mortgage
Real Estate [Line Items]
Outstanding Principal	1,443,203	1,033,158
Carrying Value	$ 1,435,865	$ 1,029,327	$ 970,505
Percentage of Loan Portfolio	100.00%	100.00%
Commercial Mortgage | Mezzanine Loans
Real Estate [Line Items]
Outstanding Principal	$ 343,354	$ 395,015
Carrying Value	$ 342,700	$ 394,442	451,467
Percentage of Loan Portfolio	23.80%	38.20%
Commercial Mortgage | Senior Mortgages
Real Estate [Line Items]
Outstanding Principal	$ 1,090,849	$ 629,143
Carrying Value	$ 1,084,167	$ 625,900	510,071
Percentage of Loan Portfolio	75.60%	60.90%
Commercial Mortgage | Preferred Equity
Real Estate [Line Items]
Outstanding Principal	$ 9,000	$ 9,000
Carrying Value	$ 8,998	$ 8,985	$ 8,967
Percentage of Loan Portfolio	0.60%	0.90%

LOANS - CRE Debt and Preferred

LOANS - CRE Debt and Preferred Equity Investments - Based on Outstanding Principal (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Movement in Mortgage Loans on Real Estate [Roll Forward]
Principal payments	$ (516,180)
Commercial Mortgage
Movement in Mortgage Loans on Real Estate [Roll Forward]
Net carrying value, beginning balance	1,029,327	$ 970,505
Originations & advances (principal)	534,605	407,363
Principal payments	(124,558)	(349,220)
Amortization & accretion of (premium) discounts		(16)
Net (increase) decrease in origination fees	(5,770)	(3,922)
Amortization of net origination fees	2,261	4,617
Net carrying value, ending balance	1,435,865	1,029,327
Commercial Mortgage | Mezzanine Loans
Movement in Mortgage Loans on Real Estate [Roll Forward]
Net carrying value, beginning balance	394,442	451,467
Originations & advances (principal)	45,334	69,121
Principal payments	(96,993)	(127,799)
Amortization & accretion of (premium) discounts		28
Net (increase) decrease in origination fees	(370)	(605)
Amortization of net origination fees	287	2,230
Net carrying value, ending balance	342,700	394,442
Commercial Mortgage | Senior Mortgages
Movement in Mortgage Loans on Real Estate [Roll Forward]
Net carrying value, beginning balance	625,900	510,071
Originations & advances (principal)	489,271	338,242
Principal payments	(27,565)	(221,421)
Amortization & accretion of (premium) discounts		(44)
Net (increase) decrease in origination fees	(5,400)	(3,317)
Amortization of net origination fees	1,961	2,369
Net carrying value, ending balance	1,084,167	625,900
Commercial Mortgage | Preferred Equity
Movement in Mortgage Loans on Real Estate [Roll Forward]
Net carrying value, beginning balance	8,985	8,967
Originations & advances (principal)	0	0
Principal payments	0	0
Amortization & accretion of (premium) discounts		0
Net (increase) decrease in origination fees	0	0
Amortization of net origination fees	13	18
Net carrying value, ending balance	$ 8,998	$ 8,985

LOANS - Internal Loan and Prefe

LOANS - Internal Loan and Preferred Equity Ratings (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2018USD ($)loan	Dec. 31, 2017USD ($)
Real Estate [Line Items]
Outstanding Principal	$ 96,782,059	$ 95,582,210
Commercial Mortgage
Real Estate [Line Items]
Outstanding Principal	$ 1,443,203	$ 1,033,158
Percentage of CRE Debt and Preferred Equity Portfolio	100.00%	100.00%
Performing	$ 859,445	$ 616,047
Performing - Closely Monitored	366,671	181,573
Performing - Special Mention	116,094	168,148
Substandard	100,993	67,390
Doubtful	0	0
Loss	$ 0	0
Number of rated loans (loan) | loan	2
Commercial Mortgage | Mezzanine Loans
Real Estate [Line Items]
Outstanding Principal	$ 343,354	$ 395,015
Percentage of CRE Debt and Preferred Equity Portfolio	23.80%	38.20%
Performing	$ 135,334	$ 206,169
Performing - Closely Monitored	64,323	66,498
Performing - Special Mention	107,094	122,348
Substandard	36,603	0
Doubtful	0	0
Loss	0	0
Commercial Mortgage | Senior Mortgages
Real Estate [Line Items]
Outstanding Principal	$ 1,090,849	$ 629,143
Percentage of CRE Debt and Preferred Equity Portfolio	75.60%	60.90%
Performing	$ 724,111	$ 409,878
Performing - Closely Monitored	302,348	115,075
Performing - Special Mention	0	36,800
Substandard	64,390	67,390
Doubtful	0	0
Loss	0	0
Commercial Mortgage | Preferred Equity
Real Estate [Line Items]
Outstanding Principal	$ 9,000	$ 9,000
Percentage of CRE Debt and Preferred Equity Portfolio	0.60%	0.90%
Performing	$ 0	$ 0
Performing - Closely Monitored	0	0
Performing - Special Mention	9,000	9,000
Substandard	0	0
Doubtful	0	0
Loss	$ 0	$ 0

LOANS - Schedule of Industry an

LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 1,528,874	$ 1,011,275
Aircraft and Parts
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	41,344	34,814
Coating, Engraving and Allied Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	58,850	64,034
Computer Programming, Data Processing & Other Computer Related Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	212,969	209,624
Drugs
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	38,735	38,708
Electrical Work
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	43,266	0
Electronic Components & Accessories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,029	23,916
Engineering, Architectural & Surveying
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	80,741	0
Groceries and Related Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,725	14,794
Grocery Stores
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	23,461	23,531
Home Health Care Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	23,779
Insurance Agents, Brokers and Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,211	28,872
Mailing, Reproduction, Commercial Art and Photography, and Stenographic
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,855	0
Management and Public Relations Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	240,740	94,871
Medical and Dental Laboratories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	26,876	26,956
Metal Cans & Shipping Containers
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	118,006	0
Miscellaneous Business Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,650	19,723
Miscellaneous Equipment Rental and Leasing
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,433	49,129
Miscellaneous Health and Allied Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	54,189	25,963
Miscellaneous Nonmetallic Minerals, except Fuels
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	25,992
Miscellaneous Plastic Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	9,963	9,879
Motor Vehicles and Motor Vehicle Equipment
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	16,937	0
Motor Vehicles and Motor Vehicle Parts and Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	27,979	12,212
Nonferrous Foundries (Castings)
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,953	0
Offices and Clinics of Doctors of Medicine
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	97,760	600
Offices and Clinics of Other Health Practitioners
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	21,122	18,979
Public Warehousing and Storage
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	61,912	48,890
Research, Development and Testing Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	33,334	33,155
Schools and Educational Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,794	20,625
Services Allied with the Exchange of Securities
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,895	13,960
Surgical, Medical, and Dental Instruments and Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	39,806	29,687
Telephone Communications
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	61,339	59,182
Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Aircraft and Parts
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Coating, Engraving and Allied Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Computer Programming, Data Processing & Other Computer Related Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Drugs
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Electrical Work
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Electronic Components & Accessories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Engineering, Architectural & Surveying
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Groceries and Related Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Grocery Stores
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Home Health Care Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Insurance Agents, Brokers and Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Mailing, Reproduction, Commercial Art and Photography, and Stenographic
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Management and Public Relations Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Medical and Dental Laboratories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Metal Cans & Shipping Containers
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Miscellaneous Business Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Miscellaneous Equipment Rental and Leasing
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Miscellaneous Health and Allied Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Miscellaneous Nonmetallic Minerals, except Fuels
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Miscellaneous Plastic Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Motor Vehicles and Motor Vehicle Equipment
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Motor Vehicles and Motor Vehicle Parts and Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Nonferrous Foundries (Castings)
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Offices and Clinics of Doctors of Medicine
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Offices and Clinics of Other Health Practitioners
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Public Warehousing and Storage
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Research, Development and Testing Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Schools and Educational Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Services Allied with the Exchange of Securities
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Surgical, Medical, and Dental Instruments and Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Fixed Rate | Telephone Communications
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	1,528,874	1,011,275
Floating Rate | Aircraft and Parts
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	41,344	34,814
Floating Rate | Coating, Engraving and Allied Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	58,850	64,034
Floating Rate | Computer Programming, Data Processing & Other Computer Related Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	212,969	209,624
Floating Rate | Drugs
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	38,735	38,708
Floating Rate | Electrical Work
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	43,266	0
Floating Rate | Electronic Components & Accessories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,029	23,916
Floating Rate | Engineering, Architectural & Surveying
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	80,741	0
Floating Rate | Groceries and Related Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,725	14,794
Floating Rate | Grocery Stores
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	23,461	23,531
Floating Rate | Home Health Care Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	23,779
Floating Rate | Insurance Agents, Brokers and Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,211	28,872
Floating Rate | Mailing, Reproduction, Commercial Art and Photography, and Stenographic
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,855	0
Floating Rate | Management and Public Relations Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	240,740	94,871
Floating Rate | Medical and Dental Laboratories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	26,876	26,956
Floating Rate | Metal Cans & Shipping Containers
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	118,006	0
Floating Rate | Miscellaneous Business Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,650	19,723
Floating Rate | Miscellaneous Equipment Rental and Leasing
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,433	49,129
Floating Rate | Miscellaneous Health and Allied Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	54,189	25,963
Floating Rate | Miscellaneous Nonmetallic Minerals, except Fuels
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	25,992
Floating Rate | Miscellaneous Plastic Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	9,963	9,879
Floating Rate | Motor Vehicles and Motor Vehicle Equipment
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	16,937	0
Floating Rate | Motor Vehicles and Motor Vehicle Parts and Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	27,979	12,212
Floating Rate | Nonferrous Foundries (Castings)
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,953	0
Floating Rate | Offices and Clinics of Doctors of Medicine
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	97,760	600
Floating Rate | Offices and Clinics of Other Health Practitioners
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	21,122	18,979
Floating Rate | Public Warehousing and Storage
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	61,912	48,890
Floating Rate | Research, Development and Testing Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	33,334	33,155
Floating Rate | Schools and Educational Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,794	20,625
Floating Rate | Services Allied with the Exchange of Securities
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,895	13,960
Floating Rate | Surgical, Medical, and Dental Instruments and Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	39,806	29,687
Floating Rate | Telephone Communications
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 61,339	$ 59,182

LOANS - Aggregate Positions in

LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 1,528,874	$ 1,011,275
First lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	888,860	582,724
Second lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 640,014	$ 428,551

MORTGAGE SERVICING RIGHTS - Pre

MORTGAGE SERVICING RIGHTS - Presentation of Activity Related to MSR (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Servicing Asset at Fair Value, Amount [Roll Forward]
Fair value, beginning of period	$ 599,014	$ 605,653	$ 580,860	$ 652,216
Other		0	0	10
Change in fair value due to:
Changes in valuation inputs or assumptions	(19,913)	(19,207)	(61,011)	(34,645)
Other changes, including realization of expected cash flows	9,732	(16,198)	68,984	(47,336)
Fair value, end of period	588,833	570,218	588,833	570,218
Purchased Servicing Rights
Servicing Asset at Fair Value, Amount [Roll Forward]
Purchases	$ 0	$ (30)	$ 0	$ (27)

MORTGAGE SERVICING RIGHTS - Add

MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Transfers and Servicing [Abstract]
Service income fee	$ 27.7	$ 31.9	$ 83.8	$ 99.7

REAL ESTATE - Summary of Estima

REAL ESTATE - Summary of Estimated Useful Lives of Assets (Details)	9 Months Ended
	Sep. 30, 2018
Building and building improvements | Minimum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets	1 year
Building and building improvements | Maximum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets	44 years
Furniture, fixtures and equipment | Minimum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets	1 year
Furniture, fixtures and equipment | Maximum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets	4 years

REAL ESTATE - Additional Inform

REAL ESTATE - Additional Information (Details)	3 Months Ended		9 Months Ended
	Sep. 30, 2018USD ($)property	Sep. 30, 2017USD ($)property	Sep. 30, 2018USD ($)property	Sep. 30, 2017USD ($)property	Dec. 31, 2017USD ($)
Property, Plant and Equipment [Line Items]
Real estate acquired in settlement of residential mortgage loans	$ 0		$ 0		$ 0
Number of commercial real estate acquired (property) | property	0	0	0	0
Number of wholly owned real estate properties sold (property) | property				1
Proceeds from sale of wholly-owned triple net leased properties				$ 12,000,000
Gain on sale of wholly-owned triple net leased properties				5,100,000
Weighted average amortization period for intangible assets and liabilities			5 years 9 days
General and Administrative Expense
Property, Plant and Equipment [Line Items]
Depreciation expense	$ 4,500,000	$ 4,000,000	$ 11,900,000	$ 11,800,000

REAL ESTATE - Summary of Real E

REAL ESTATE - Summary of Real Estate (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Property, Plant and Equipment [Line Items]
Real estate held for investment, at amortized cost	$ 720,879	$ 441,971
Less: accumulated depreciation	(60,795)	(48,920)
Total real estate held for investment, at amortized cost, net	660,084	393,051
Equity in unconsolidated joint ventures	92,930	92,902
Total Real Estate, Net	753,014	485,953
Land
Property, Plant and Equipment [Line Items]
Real estate held for investment, at amortized cost	128,742	111,012
Buildings and improvements
Property, Plant and Equipment [Line Items]
Real estate held for investment, at amortized cost	580,932	330,959
Furniture, fixtures and equipment
Property, Plant and Equipment [Line Items]
Real estate held for investment, at amortized cost	$ 11,205	$ 0

REAL ESTATE - Minimum Future Re

REAL ESTATE - Minimum Future Rentals to be Received on Noncancelable Operating Leases (Details) $ in Thousands	Sep. 30, 2018USD ($)
Real Estate [Abstract]
2018 (remaining)	$ 12,627
2,019	49,246
2,020	44,973
2,021	40,940
2,022	36,393
Later years	223,175
Total	$ 407,354

VARIABLE INTEREST ENTITIES - Ad

VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($)	3 Months Ended			9 Months Ended
	Sep. 30, 2018	Mar. 31, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017	Jul. 31, 2018	Dec. 31, 2017	Aug. 31, 2017	Jul. 31, 2017
Variable Interest Entity [Line Items]
Contractual principal amount of residential mortgage trust debt				$ 516,180,000
Residential mortgage loans	$ 4,181,878,000			4,181,878,000			$ 2,999,148,000
Securitized debt of consolidated VIEs	3,799,542,000			3,799,542,000			2,971,771,000
Mortgage-backed securities	91,338,611,000			91,338,611,000			92,563,572,000
Costs incurred in connection with securitization	126,509,000		$ 57,016,000	252,800,000	$ 164,867,000
Other secured financings	4,108,547,000			4,108,547,000			3,837,528,000
Variable interest entity, ownership percentage								100.00%
Borrower
Variable Interest Entity [Line Items]
Other secured financings	300,000,000			300,000,000
Borrower | Corporate debt
Variable Interest Entity [Line Items]
Loans, pledged assets	443,600,000			443,600,000
Consolidated VIEs
Variable Interest Entity [Line Items]
Exposure to obligations of VIEs	1,600,000,000			1,600,000,000
Consolidated VIEs | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Mortgage-backed securities	275,800,000			275,800,000			0
Consolidated VIEs | OBX Trust
Variable Interest Entity [Line Items]
Residential mortgage loans		$ 327,500,000				$ 383,400,000
Securitized debt of consolidated VIEs	530,100,000	588,100,000		530,100,000
Costs incurred in connection with securitization	1,800,000	1,500,000
Consolidated VIEs | OBX Trust | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Mortgage-backed securities		$ 122,500,000
FREMF Trusts | Consolidated VIEs
Variable Interest Entity [Line Items]
Mortgage loans, unpaid principal balance	3,500,000,000			3,500,000,000
Gain (loss) attributable to instrument- specific credit risk				0
Residential mortgage loans	0			0			0
Costs incurred in connection with securitization	0		(1,000)	0	0
Other secured financings	0			0			0
FREMF Trusts | Consolidated VIEs | 90 days or more past due
Variable Interest Entity [Line Items]
Loans 90 days or more past due or on nonaccrual status	0			0
Residential Mortgage Loan Trusts | Consolidated VIEs
Variable Interest Entity [Line Items]
Contractual principal amount of residential mortgage trust debt				30,400,000
Residential mortgage loans	107,764,000			107,764,000			478,811,000
Costs incurred in connection with securitization	21,000		$ 34,000	50,000	$ 71,000
Other secured financings	0			0			$ 0
Borrower | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Principal receivable	300,000,000			300,000,000
Borrower | Consolidated VIEs
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity	400,000,000			400,000,000
Borrower | Consolidated VIEs | July 2017 Credit Facility
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity									$ 150,000,000
Borrower | Consolidated VIEs | Corporate debt | July 2017 Credit Facility
Variable Interest Entity [Line Items]
Loans, pledged assets	235,600,000			235,600,000
Other secured financings	$ 150,000,000			150,000,000
CMBS Securitization Trust | Consolidated VIEs | Total securities
Variable Interest Entity [Line Items]
Commitments to purchase subordinated tranche in securitization trust				$ 94,000,000

VARIABLE INTEREST ENTITIES - St

VARIABLE INTEREST ENTITIES - Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
ASSETS
Cash and cash equivalents	$ 1,082,747	$ 706,589
Residential mortgage loans	4,181,878	2,999,148
Mortgage servicing rights	588,833	580,860
Interest receivable	347,278	323,526
Gross Amounts	404,841	313,885
Other assets	329,868	384,117
Total assets	105,961,803	101,760,050	[1]
Liabilities
Other secured financing	4,108,547	3,837,528
Interest payable	399,605	253,068
Total liabilities	91,005,947	86,888,477	[1]
Consolidated VIEs
ASSETS
Cash and cash equivalents	28,400	42,300
Consolidated VIEs | FREMF Trusts
ASSETS
Cash and cash equivalents	0	0
Commercial real estate debt	3,521,945	2,826,357
Residential mortgage loans	0	0
Mortgage servicing rights	0	0
Interest receivable	13,432	10,339
Gross Amounts		0
Other assets	0	0
Total assets	3,535,377	2,836,696
Liabilities
Securitized debt (non-recourse)	3,240,043	2,620,952
Other secured financing	0	0
Interest payable	6,383	4,554
Other liabilities	0	0
Total liabilities	3,246,426	2,625,506
Consolidated VIEs | Residential Mortgage Loan Trusts
ASSETS
Cash and cash equivalents	0	0
Commercial real estate debt	0	0
Residential mortgage loans	107,764	478,811
Mortgage servicing rights	0	0
Interest receivable	555	1,599
Gross Amounts		0
Other assets	0	1,418
Total assets	108,319	481,828
Liabilities
Securitized debt (non-recourse)	29,698	350,819
Other secured financing	0	0
Interest payable	70	931
Other liabilities	148	112
Total liabilities	29,916	351,862
Consolidated VIEs | Mortgage Servicing Rights Silos
ASSETS
Cash and cash equivalents	28,441	42,293
Commercial real estate debt	0	0
Residential mortgage loans	97,825	19,667
Mortgage servicing rights	588,833	580,860
Interest receivable	0	0
Gross Amounts		1
Other assets	33,522	32,354
Total assets	748,621	675,175
Liabilities
Securitized debt (non-recourse)	0	0
Other secured financing	70,221	10,496
Interest payable	0	0
Other liabilities	2,160	4,856
Total liabilities	$ 72,381	$ 15,352
[1]	Derived from the audited consolidated financial statements at December 31, 2017.

VARIABLE INTEREST ENTITIES - _2

VARIABLE INTEREST ENTITIES - Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Variable Interest Entity [Line Items]
Interest income	$ 816,596	$ 622,550	$ 2,472,889	$ 1,747,703
Interest expense	500,973	268,937	1,311,086	689,643
Net interest income	315,623	353,613	1,161,803	1,058,060
Net gains (losses) on other derivatives	94,827	154,208	81,871	140,104
Less: General and administrative expenses	126,509	57,016	252,800	164,867
Net income (loss)	385,429	367,315	2,309,020	822,245
Consolidated VIEs | FREMF Trusts
Variable Interest Entity [Line Items]
Interest income	36,387	28,841	85,325	81,508
Interest expense	25,068	15,791	54,265	42,046
Net interest income	11,319	13,050	31,060	39,462
Net realized gains (losses) on disposal of investments	0	0	0	0
Net gains (losses) on trading assets		0		0
Net gains (losses) on other derivatives			0
Net unrealized gains (losses) on instruments measured at fair value through earnings	220	(2,256)	1,332	2,833
Other income (loss)	(4,217)	(6,073)	(12,986)	(18,595)
Less: General and administrative expenses	0	(1)	0	0
Net income (loss)	7,322	4,722	19,406	23,700
Consolidated VIEs | Residential Mortgage Loan Trusts
Variable Interest Entity [Line Items]
Interest income	1,723	1,145	6,280	3,685
Interest expense	773	282	3,621	854
Net interest income	950	863	2,659	2,831
Net realized gains (losses) on disposal of investments	147	(229)	2,049	(611)
Net gains (losses) on trading assets		0		0
Net gains (losses) on other derivatives			0
Net unrealized gains (losses) on instruments measured at fair value through earnings	242	(20)	(925)	1,682
Other income (loss)	(70)	(89)	(221)	(280)
Less: General and administrative expenses	21	34	50	71
Net income (loss)	1,248	491	3,512	3,551
Consolidated VIEs | Mortgage Servicing Rights Silos
Variable Interest Entity [Line Items]
Interest income	2,678	514	4,126	1,005
Interest expense	438	121	875	243
Net interest income	2,240	393	3,251	762
Net realized gains (losses) on disposal of investments	(516)	(1,430)	(1,826)	(1,915)
Net gains (losses) on trading assets		(19)		(17)
Net gains (losses) on other derivatives			70
Net unrealized gains (losses) on instruments measured at fair value through earnings	(13,364)	(36,226)	3,101	(83,340)
Other income (loss)	26,866	32,001	83,924	99,927
Less: General and administrative expenses	481	560	1,408	2,500
Net income (loss)	$ 14,745	$ (5,841)	$ 87,112	$ 12,917

VARIABLE INTEREST ENTITIES - Ge

VARIABLE INTEREST ENTITIES - Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Unpaid Principal Balances (Details) - Consolidated VIEs $ in Thousands	9 Months Ended
	Sep. 30, 2018USD ($)
FREMF Trusts
Concentration Risk [Line Items]
Principal Balance	$ 3,495,230
FREMF Trusts | Texas
Concentration Risk [Line Items]
Principal Balance	478,593
FREMF Trusts | Maryland
Concentration Risk [Line Items]
Principal Balance	448,646
FREMF Trusts | California
Concentration Risk [Line Items]
Principal Balance	360,279
FREMF Trusts | Virginia
Concentration Risk [Line Items]
Principal Balance	347,002
FREMF Trusts | Pennsylvania
Concentration Risk [Line Items]
Principal Balance	281,384
FREMF Trusts | New York
Concentration Risk [Line Items]
Principal Balance	280,925
FREMF Trusts | North Carolina
Concentration Risk [Line Items]
Principal Balance	251,187
FREMF Trusts | Massachusetts
Concentration Risk [Line Items]
Principal Balance	179,440
FREMF Trusts | Other
Concentration Risk [Line Items]
Principal Balance	$ 867,774
FREMF Trusts | Securitized Loans | Geographic Concentration Risk
Concentration Risk [Line Items]
Percentage of balance	100.00%
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Texas
Concentration Risk [Line Items]
Percentage of balance	13.70%
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Maryland
Concentration Risk [Line Items]
Percentage of balance	12.80%
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | California
Concentration Risk [Line Items]
Percentage of balance	10.30%
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Virginia
Concentration Risk [Line Items]
Percentage of balance	9.90%
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Pennsylvania
Concentration Risk [Line Items]
Percentage of balance	8.10%
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | New York
Concentration Risk [Line Items]
Percentage of balance	8.00%
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | North Carolina
Concentration Risk [Line Items]
Percentage of balance	7.20%
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Massachusetts
Concentration Risk [Line Items]
Percentage of balance	5.10%
FREMF Trusts | Securitized Loans | Geographic Concentration Risk | Other
Concentration Risk [Line Items]
Percentage of balance	24.90%
Residential Mortgage Loan Trusts
Concentration Risk [Line Items]
Principal Balance	$ 108,480
Residential Mortgage Loan Trusts | Texas
Concentration Risk [Line Items]
Principal Balance	13,981
Residential Mortgage Loan Trusts | California
Concentration Risk [Line Items]
Principal Balance	48,718
Residential Mortgage Loan Trusts | Illinois
Concentration Risk [Line Items]
Principal Balance	8,297
Residential Mortgage Loan Trusts | Washington
Concentration Risk [Line Items]
Principal Balance	7,559
Residential Mortgage Loan Trusts | Florida
Concentration Risk [Line Items]
Principal Balance	5,424
Residential Mortgage Loan Trusts | Other
Concentration Risk [Line Items]
Principal Balance	$ 24,501
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Texas
Concentration Risk [Line Items]
Percentage of balance	12.90%
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | California
Concentration Risk [Line Items]
Percentage of balance	44.90%
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Illinois
Concentration Risk [Line Items]
Percentage of balance	7.60%
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Washington
Concentration Risk [Line Items]
Percentage of balance	7.00%
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Florida
Concentration Risk [Line Items]
Percentage of balance	5.00%
Residential Mortgage Loan Trusts | Securitized Loans | Geographic Concentration Risk | Other
Concentration Risk [Line Items]
Percentage of balance	22.60%

FAIR VALUE MEASUREMENTS - Estim

FAIR VALUE MEASUREMENTS - Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Jun. 30, 2018	Dec. 31, 2017	Sep. 30, 2017	Jun. 30, 2017	Dec. 31, 2016
Securities
Mortgage-backed securities	$ 91,338,611		$ 92,563,572
Loans
Mortgage servicing rights	588,833	$ 599,014	580,860	$ 570,218	$ 605,653	$ 652,216
Assets transferred or pledged to securitization vehicles	4,287,821		3,306,133
Derivative assets
Interest rate swaps	97,002		30,272
Derivative liabilities
Interest rate swaps	311,729		569,129
Residential mortgage loans
Loans
Loans	1,983,015		1,438,322
Fair Value, Measurements, Recurring
Securities
Agency mortgage-backed securities	89,290,128		90,551,763
Credit risk transfer securities	688,521		651,764
Loans
Mortgage servicing rights	588,833		580,860
Assets transferred or pledged to securitization vehicles	4,287,821		3,306,133
Derivative assets
Interest rate swaps	97,002		30,272
Other derivatives	307,839		283,613
Total assets	97,837,245		97,722,996
Liabilities:
Debt issued by securitization vehicles	3,799,542		2,971,771
Derivative liabilities
Interest rate swaps	311,729		569,129
Other derivatives	68,065		38,725
Total liabilities	4,179,336		3,579,625
Fair Value, Measurements, Recurring | Commercial Securities
Securities
Mortgage-backed securities	186,495		262,751
Fair Value, Measurements, Recurring | Residential mortgage loans
Loans
Loans	1,217,139		958,546
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities
Securities
Mortgage-backed securities	1,173,467		1,097,294
Fair Value, Measurements, Recurring | Level 1
Securities
Agency mortgage-backed securities	0		0
Credit risk transfer securities	0		0
Loans
Mortgage servicing rights	0		0
Assets transferred or pledged to securitization vehicles	0		0
Derivative assets
Interest rate swaps	0		0
Other derivatives	221,516		218,361
Total assets	221,516		218,361
Liabilities:
Debt issued by securitization vehicles	0		0
Derivative liabilities
Interest rate swaps	0		0
Other derivatives	482		12,285
Total liabilities	482		12,285
Fair Value, Measurements, Recurring | Level 1 | Commercial Securities
Securities
Mortgage-backed securities	0		0
Fair Value, Measurements, Recurring | Level 1 | Residential mortgage loans
Loans
Loans	0		0
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities
Securities
Mortgage-backed securities	0		0
Fair Value, Measurements, Recurring | Level 2
Securities
Agency mortgage-backed securities	89,290,128		90,551,763
Credit risk transfer securities	688,521		651,764
Loans
Mortgage servicing rights	0		0
Assets transferred or pledged to securitization vehicles	4,287,821		3,306,133
Derivative assets
Interest rate swaps	97,002		30,272
Other derivatives	86,323		65,252
Total assets	97,026,896		96,923,775
Liabilities:
Debt issued by securitization vehicles	3,799,542		2,971,771
Derivative liabilities
Interest rate swaps	311,729		569,129
Other derivatives	67,583		26,440
Total liabilities	4,178,854		3,567,340
Fair Value, Measurements, Recurring | Level 2 | Commercial Securities
Securities
Mortgage-backed securities	186,495		262,751
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans
Loans
Loans	1,217,139		958,546
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities
Securities
Mortgage-backed securities	1,173,467		1,097,294
Fair Value, Measurements, Recurring | Level 3
Securities
Agency mortgage-backed securities	0		0
Credit risk transfer securities	0		0
Loans
Mortgage servicing rights	588,833		580,860
Assets transferred or pledged to securitization vehicles	0		0
Derivative assets
Interest rate swaps	0		0
Other derivatives	0		0
Total assets	588,833		580,860
Liabilities:
Debt issued by securitization vehicles	0		0
Derivative liabilities
Interest rate swaps	0		0
Other derivatives	0		0
Total liabilities	0		0
Fair Value, Measurements, Recurring | Level 3 | Commercial Securities
Securities
Mortgage-backed securities	0		0
Fair Value, Measurements, Recurring | Level 3 | Residential mortgage loans
Loans
Loans	0		0
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-backed Securities
Securities
Mortgage-backed securities	$ 0		$ 0

FAIR VALUE MEASUREMENTS - Infor

FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Details) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Unobservable input, Discount rate	9.00%	10.00%
Unobservable input, Prepayment rate	4.50%	4.60%
Unobservable input, Delinquency rate	0.00%	0.00%
Unobservable input, Cost to service	$ 82	$ 84
Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Unobservable input, Discount rate	12.00%	15.00%
Unobservable input, Prepayment rate	11.30%	22.30%
Unobservable input, Delinquency rate	5.00%	13.00%
Unobservable input, Cost to service	$ 132	$ 181
Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Unobservable input, Discount rate	9.40%	10.40%
Unobservable input, Prepayment rate	7.10%	9.40%
Unobservable input, Delinquency rate	2.30%	2.20%
Unobservable input, Cost to service	$ 105	$ 102

FAIR VALUE MEASUREMENTS - Est_2

FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Mar. 31, 2018	Dec. 31, 2017
Financial liabilities:
Other secured financing	$ 4,108,547		$ 3,837,528
Carrying Value | Level 2
Financial assets:
Corporate debt	1,528,874		1,011,275
Financial liabilities:
Repurchase agreements	79,073,026		77,696,343
Other secured financing	4,108,547		3,837,528
Carrying Value | Level 3
Financial assets:
Commercial real estate debt and preferred equity, held for investment	1,435,865		1,029,327
Commercial loans held for sale, net		$ 42,325	0
Financial liabilities:
Mortgage payable	511,588		309,686
Fair Value | Level 2
Financial assets:
Corporate debt	1,531,546		1,014,139
Financial liabilities:
Repurchase agreements	79,073,026		77,697,828
Other secured financing	4,108,801		3,837,595
Fair Value | Level 3
Financial assets:
Commercial real estate debt and preferred equity, held for investment	1,446,062		1,035,095
Commercial loans held for sale, net		$ 43,055	0
Financial liabilities:
Mortgage payable	$ 494,690		$ 310,218

SECURED FINANCING - Additional

SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Repurchase Agreements:
Repurchase agreements	$ 79,073,026	$ 77,696,343
Repurchase agreements - weighted average effective borrowing rates	2.05%	1.89%
Repurchase agreements - weighted average remaining maturities	55 days	58 days
Other secured financing long term, amount	$ 4,108,547	$ 3,837,528
Secured financings and interest rate swaps - collateral held, estimated fair value	87,200,000	87,000,000
Secured financings and interest rate swaps - collateral held, accrued interest	280,700	267,300
Fair value of collateral received	$ 482,300	$ 0
Minimum
Repurchase Agreements:
Other secured financing amount, long term, expiration period	3 years
Maximum
Repurchase Agreements:
Other secured financing amount, long term, expiration period	8 years
FHLB De Moines
Repurchase Agreements:
Debt weighted average interest rate	2.41%	1.49%
Stock held in FHLB	$ 147,900	$ 147,900
Maturity Period Beyond Three Years
Repurchase Agreements:
Other secured financing long term, amount		$ 2,100,000
Other secured financing amount, long term, expiration period		3 years
Maturity Period Beyond Three Years | Minimum
Repurchase Agreements:
Other secured financing amount, long term, expiration period	1 year	1 year
Maturity Period Beyond Three Years | Maximum
Repurchase Agreements:
Other secured financing amount, long term, expiration period	3 years	3 years
Maturity Period Beyond Three Years | FHLB De Moines | Debt Instrument, Maturity, Period Two
Repurchase Agreements:
Other secured financing long term, amount	$ 3,600,000	$ 1,400,000

SECURED FINANCING - Repurchase

SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Repurchase Agreements:
Repurchase agreements	$ 79,073,026	$ 77,696,343
Weighted Average Rate	2.32%	1.61%
Percentage of total repurchase agreements with remaining maturity of 1 year	0.00%	1.00%
Credit risk transfer securities
Repurchase Agreements:
Repurchase agreements	$ 437,020	$ 277,971
Non Agency MBS
Repurchase Agreements:
Repurchase agreements	474,006	304,778
Commercial loans
Repurchase Agreements:
Repurchase agreements	764,543	385,113
Agency Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	77,142,421	76,703,981
Commercial Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	255,036	24,500
1 day
Repurchase Agreements:
Repurchase agreements	$ 16,400,345	$ 0
Weighted Average Rate	2.38%	0.00%
1 day | Credit risk transfer securities
Repurchase Agreements:
Repurchase agreements	$ 0	$ 0
1 day | Non Agency MBS
Repurchase Agreements:
Repurchase agreements	0	0
1 day | Commercial loans
Repurchase Agreements:
Repurchase agreements	0	0
1 day | Agency Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	16,400,345	0
1 day | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	0	0
2 to 29 days
Repurchase Agreements:
Repurchase agreements	$ 20,175,176	$ 33,956,552
Weighted Average Rate	2.18%	1.69%
2 to 29 days | Credit risk transfer securities
Repurchase Agreements:
Repurchase agreements	$ 365,101	$ 263,528
2 to 29 days | Non Agency MBS
Repurchase Agreements:
Repurchase agreements	252,960	253,290
2 to 29 days | Commercial loans
Repurchase Agreements:
Repurchase agreements	0	0
2 to 29 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	19,476,641	33,421,609
2 to 29 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	80,474	18,125
30 to 59 days
Repurchase Agreements:
Repurchase agreements	$ 7,321,938	$ 10,828,777
Weighted Average Rate	2.26%	1.44%
30 to 59 days | Credit risk transfer securities
Repurchase Agreements:
Repurchase agreements	$ 0	$ 7,229
30 to 59 days | Non Agency MBS
Repurchase Agreements:
Repurchase agreements	65,567	3,658
30 to 59 days | Commercial loans
Repurchase Agreements:
Repurchase agreements	0	0
30 to 59 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	7,256,371	10,811,515
30 to 59 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	0	6,375
60 to 89 days
Repurchase Agreements:
Repurchase agreements	$ 17,423,359	$ 13,855,787
Weighted Average Rate	2.38%	1.59%
60 to 89 days | Credit risk transfer securities
Repurchase Agreements:
Repurchase agreements	$ 71,919	$ 7,214
60 to 89 days | Non Agency MBS
Repurchase Agreements:
Repurchase agreements	155,479	47,830
60 to 89 days | Commercial loans
Repurchase Agreements:
Repurchase agreements	0	0
60 to 89 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	17,159,885	13,800,743
60 to 89 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	36,076	0
90 to 119 days
Repurchase Agreements:
Repurchase agreements	$ 6,518,313	$ 10,128,006
Weighted Average Rate	2.20%	1.39%
90 to 119 days | Credit risk transfer securities
Repurchase Agreements:
Repurchase agreements	$ 0	$ 0
90 to 119 days | Non Agency MBS
Repurchase Agreements:
Repurchase agreements	0	0
90 to 119 days | Commercial loans
Repurchase Agreements:
Repurchase agreements	0	0
90 to 119 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	6,518,313	10,128,006
90 to 119 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	0	0
Over 120 days
Repurchase Agreements:
Repurchase agreements	$ 11,233,895	$ 8,927,221
Weighted Average Rate	2.48%	1.77%
Over 120 days | Credit risk transfer securities
Repurchase Agreements:
Repurchase agreements	$ 0	$ 0
Over 120 days | Non Agency MBS
Repurchase Agreements:
Repurchase agreements	0	0
Over 120 days | Commercial loans
Repurchase Agreements:
Repurchase agreements	764,543	385,113
Over 120 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	10,330,866	8,542,108
Over 120 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Repurchase agreements	$ 138,486	$ 0

SECURED FINANCING - Summary of

SECURED FINANCING - Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Debt Disclosure [Abstract]
Gross amounts -reverse repurchase agreements	$ 1,484,704	$ 1,250,000
Amounts offset - reverse repurchase agreement	(250,000)	(1,250,000)
Netted amounts -reverse repurchase	1,234,704	0
Gross amounts -repurchase agreement	79,323,026	78,946,343
Amounts offset -repurchase agreement	(250,000)	(1,250,000)
Repurchase agreements	$ 79,073,026	$ 77,696,343

SECURED FINANCING - Mortgage Lo

SECURED FINANCING - Mortgage Loans Payable (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Debt Instrument [Line Items]
Debt instrument, basis spread on variable rate	87.00%	85.00%
Utah
Debt Instrument [Line Items]
Interest Rate	3.69%
Commercial Mortgage Loan
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 511,588	$ 309,686
Mortgage Principal	517,503	312,500
Commercial Mortgage Loan | Utah
Debt Instrument [Line Items]
Mortgage Carrying Value	7,297
Mortgage Principal	7,218
Commercial Mortgage Loan | Utah | LIBOR
Debt Instrument [Line Items]
Mortgage Carrying Value	9,691
Mortgage Principal	$ 9,706
Debt instrument, basis spread on variable rate	3.50%
Commercial Mortgage Loan | Minnesota
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 13,470
Mortgage Principal	$ 13,506
Interest Rate	3.69%
Commercial Mortgage Loan | Wisconsin
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 7,911
Mortgage Principal	$ 7,932
Interest Rate	3.69%
Commercial Mortgage Loan | Texas
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 32,317
Mortgage Principal	$ 33,875
Interest Rate	3.28%
Commercial Mortgage Loan | South Mall | Tennessee
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 12,319	12,294
Mortgage Principal	$ 12,350	$ 12,350
Interest Rate	4.014%	4.014%
Commercial Mortgage Loan | 12151 Jefferson | Virginia
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 96,266	$ 11,019
Mortgage Principal	$ 98,127	$ 11,025
Interest Rate		3.578%
Commercial Mortgage Loan | Minimum | 12151 Jefferson | Virginia
Debt Instrument [Line Items]
Interest Rate	2.34%
Commercial Mortgage Loan | Maximum | 12151 Jefferson | Virginia
Debt Instrument [Line Items]
Interest Rate	4.55%
Commercial Mortgage Loan | Joint Ventures
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 332,317	$ 286,373
Mortgage Principal	$ 334,789	$ 289,125
Commercial Mortgage Loan | Joint Ventures | Minimum
Debt Instrument [Line Items]
Interest Rate	2.75%	4.03%
Commercial Mortgage Loan | Joint Ventures | Maximum
Debt Instrument [Line Items]
Interest Rate	4.96%	4.61%

SECURED FINANCING - Future Mort

SECURED FINANCING - Future Mortgage Loan Principal Payments (Details) $ in Thousands	Sep. 30, 2018USD ($)
Debt Disclosure [Abstract]
2018 (remaining)	$ 717
2,019	36,111
2,020	19,410
2,021	3,493
2,022	3,711
Later years	454,061
Total	$ 517,503

DERIVATIVE INSTRUMENTS - Additi

DERIVATIVE INSTRUMENTS - Additional Information (Details) $ in Billions	Sep. 30, 2018USD ($)
Interest Rate Swaps
Derivative [Line Items]
Centrally cleared interest rate swaps at fair value, reduction	$ 1.6

DERIVATIVE INSTRUMENTS - Summar

DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($)	Sep. 30, 2018	Dec. 31, 2017
Derivative Assets:
Interest rate swaps	$ 97,002,000	$ 30,272,000
Derivative assets	404,841,000	313,885,000
Derivative Liabilities:
Interest rate swaps, at fair value	311,729,000	569,129,000
Derivative liabilities	379,794,000	607,854,000
Futures contracts
Derivative Assets:
Derivative assets	221,516,000	218,361,000
Derivative assets	221,516,000	218,361,000
Derivative Liabilities:
Other derivatives, at fair value	482,000	12,285,000
Derivative liabilities	482,000	12,285,000
Purchase commitments
Derivative Assets:
Derivative assets	189,000	35,000
Derivative assets	189,000	35,000
Derivative Liabilities:
Other derivatives, at fair value	797,000	157,000
Derivative liabilities	797,000	157,000
Interest rate swaptions
Derivative Assets:
Derivative assets	65,356,000	36,150,000
Derivative assets	65,356,000	36,150,000
TBA derivatives
Derivative Assets:
Derivative assets	13,535,000	29,067,000
Derivative assets	13,535,000	29,067,000
Derivative Liabilities:
Other derivatives, at fair value	64,900,000	21,776,000
Derivative liabilities	64,900,000	21,776,000
Notional		15,578,000,000
Credit derivatives
Derivative Assets:
Credit derivatives	7,243,000	0
Derivative assets	7,243,000
Derivative Liabilities:
Other derivatives, at fair value	1,886,000	4,507,000
Derivative liabilities	1,886,000	4,507,000
Notional amount of derivative assets	70,000,000
Notional	$ 466,000,000	$ 125,000,000

DERIVATIVE INSTRUMENTS - Summ_2

DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Interest Rate Swaps
Derivative [Line Items]
Current Notional	$ 71,114,850,000	$ 35,329,200,000
Weighted Average Pay Rate	2.10%	2.22%
Weighted Average Receive Rate	2.33%	1.58%
Weighted Average Years to Maturity	4 years 4 months 3 days	6 years 8 months 19 days
Interest Rate Swaps | Weighted Average
Derivative [Line Items]
Fixed rate on forward starting pay swaps		1.86%
Interest Rate Swaps | 0 - 3 years
Derivative [Line Items]
Derivative Instruments minimum maturity period	0 years	0 years
Derivative Instruments maximum maturity period	3 years	3 years
Current Notional	$ 34,361,800,000	$ 6,532,000,000
Weighted Average Pay Rate	1.76%	1.56%
Weighted Average Receive Rate	2.36%	1.62%
Weighted Average Years to Maturity	1 year 4 months 16 days	2 years 29 days
Interest Rate Swaps | 3 - 6 years
Derivative [Line Items]
Derivative Instruments minimum maturity period	3 years	3 years
Derivative Instruments maximum maturity period	6 years	6 years
Current Notional	$ 16,854,750,000	$ 14,791,800,000
Weighted Average Pay Rate	2.25%	2.12%
Weighted Average Receive Rate	2.34%	1.57%
Weighted Average Years to Maturity	4 years 5 months 7 days	4 years 6 months 4 days
Interest Rate Swaps | 6 - 10 years
Derivative [Line Items]
Derivative Instruments minimum maturity period	6 years	6 years
Derivative Instruments maximum maturity period	10 years	10 years
Current Notional	$ 15,746,900,000	$ 10,179,000,000
Weighted Average Pay Rate	2.48%	2.35%
Weighted Average Receive Rate	2.26%	1.58%
Weighted Average Years to Maturity	8 years 7 months 14 days	8 years 15 days
Interest Rate Swaps | Greater than 10 years
Derivative [Line Items]
Derivative Instruments minimum maturity period	10 years	10 years
Current Notional	$ 4,151,400,000	$ 3,826,400,000
Weighted Average Pay Rate	3.60%	3.65%
Weighted Average Receive Rate	2.27%	1.51%
Weighted Average Years to Maturity	17 years 48 days	18 years 5 months 19 days
Forward Starting Pay Fixed Swaps
Derivative [Line Items]
Current Notional	$ 0	$ 8,100,000,000

DERIVATIVE INSTRUMENTS - Summ_3

DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Interest rate swaptions - Long - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Current Notional	$ 4,500,000	$ 6,000,000
Weighted Average Underlying Pay Rate	3.18%	2.62%
Weighted Average Underlying Years to Maturity	10 years 2 months 16 days	9 years 11 months 19 days
Weighted Average Months to Expiration	5 years 33 days	4 months 15 days

DERIVATIVE INSTRUMENTS - Summ_4

DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Notional
Notional		$ 15,578,000
Implied Cost Basis		16,127,022
Implied Market Value		16,134,313
Net Carrying Value		7,291
Purchase contracts
Notional
Purchase contracts	$ 16,209,160	15,828,000
Implied Cost Basis	16,304,558	16,381,826
Implied Market Value	16,253,193	16,390,251
Net Carrying Value	$ (51,365)	8,425
Sale contracts
Notional
Sale contracts		(250,000)
Implied Cost Basis		(254,804)
Implied Market Value		(255,938)
Net Carrying Value		$ (1,134)

DERIVATIVE INSTRUMENTS - Summ_5

DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Swap Equivalent Eurodollar Futures Contract | 2 Year
Derivative [Line Items]
Derivative Instruments, maturity period	2 years	2 years
Weighted Average Years to Maturity		2 years
Swap Equivalent Eurodollar Futures Contract | Long | 2 Year
Derivative [Line Items]
Notional		$ 0
Swap Equivalent Eurodollar Futures Contract | Sale contracts | 2 Year
Derivative [Line Items]
Notional		$ (17,161,000)
U.S. Treasury Futures | 2 Year
Derivative [Line Items]
Weighted Average Years to Maturity	2 years
U.S. Treasury Futures | 5 Year
Derivative [Line Items]
Derivative Instruments, maturity period	5 years	5 years
Weighted Average Years to Maturity	4 years 4 months 28 days	4 years 4 months 28 days
U.S. Treasury Futures | 10 Year and Greater
Derivative [Line Items]
Derivative Instruments minimum maturity period	10 years	10 years
Weighted Average Years to Maturity	7 years 1 month 36 days	7 years 4 days
U.S. Treasury Futures | Long | 2 Year
Derivative [Line Items]
Notional	$ 0
U.S. Treasury Futures | Long | 5 Year
Derivative [Line Items]
Notional	0	$ 0
U.S. Treasury Futures | Long | 10 Year and Greater
Derivative [Line Items]
Notional	0	0
U.S. Treasury Futures | Sale contracts | 2 Year
Derivative [Line Items]
Notional	(1,166,000)
U.S. Treasury Futures | Sale contracts | 5 Year
Derivative [Line Items]
Notional	(6,359,400)	(4,217,400)
U.S. Treasury Futures | Sale contracts | 10 Year and Greater
Derivative [Line Items]
Notional	$ (12,346,600)	$ (4,914,500)
Futures contracts
Derivative [Line Items]
Weighted Average Years to Maturity	5 years 11 months 28 days	3 years 3 months 26 days
Futures contracts | Long
Derivative [Line Items]
Notional	$ 0	$ 0
Futures contracts | Sale contracts
Derivative [Line Items]
Notional	$ (19,872,000)	$ (26,292,900)

DERIVATIVE INSTRUMENTS - Offset

DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Derivative Assets:
Gross Amounts	$ 404,841	$ 313,885
Derivative Liabilities:
Gross Amounts	379,794	607,854
Futures contracts
Derivative Assets:
Gross Amounts	221,516	218,361
Financial Instruments	(482)	(12,285)
Cash Collateral	0	0
Net Amounts	221,034	206,076
Derivative Liabilities:
Gross Amounts	482	12,285
Financial Instruments	(482)	(12,285)
Cash Collateral	0	0
Net Amounts	0	0
Purchase commitments
Derivative Assets:
Gross Amounts	189	35
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	189	35
Derivative Liabilities:
Gross Amounts	797	157
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	797	157
Interest Rate Swaps
Derivative Assets:
Gross Amounts	97,002	30,272
Financial Instruments	(45,805)	(27,379)
Cash Collateral	0	0
Net Amounts	51,197	2,893
Derivative Liabilities:
Gross Amounts	311,729	569,129
Financial Instruments	(45,805)	(27,379)
Cash Collateral	0	0
Net Amounts	265,924	541,750
Interest rate swaptions
Derivative Assets:
Gross Amounts	65,356	36,150
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	65,356	36,150
TBA derivatives
Derivative Assets:
Gross Amounts	13,535	29,067
Financial Instruments	(13,535)	(12,551)
Cash Collateral	0	0
Net Amounts	0	16,516
Derivative Liabilities:
Gross Amounts	64,900	21,776
Financial Instruments	(13,535)	(12,551)
Cash Collateral	0	0
Net Amounts	51,365	9,225
Credit derivatives
Derivative Assets:
Gross Amounts	7,243
Financial Instruments	(1,886)
Cash Collateral	0
Net Amounts	5,357
Derivative Liabilities:
Gross Amounts	1,886	4,507
Financial Instruments	(1,886)	0
Cash Collateral	0	(3,520)
Net Amounts	$ 0	$ 987

DERIVATIVE INSTRUMENTS - Effect

DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Net interest component of interest rate swaps	$ 51,349	$ (88,211)	$ 34,664	$ (288,837)
Realized gains (losses) on termination or maturity of interest rate swaps	575	0	1,409	(58)
Unrealized gains (losses) on interest rate swaps	$ 417,203	$ 56,854	$ 1,737,963	$ 28,471

DERIVATIVE INSTRUMENTS - Effe_2

DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended				9 Months Ended
	Sep. 30, 2018	Jun. 30, 2018	Sep. 30, 2017	Jun. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Derivative [Line Items]
Unrealized Gains (Losses)	$ 417,203		$ 56,854		$ 1,737,963	$ 28,471
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		$ 93,812		$ 154,208	80,857	140,086
U.S. Treasury Futures
Derivative [Line Items]
Realized Gains (Losses)		(114,317)		(70,054)	443,314	(128,478)
Unrealized Gains (Losses)		327,787		92,784	14,959	31,492
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		213,470		22,730	458,273	(96,986)
Purchase commitments
Derivative [Line Items]
Realized Gains (Losses)		0		0	0	0
Unrealized Gains (Losses)		(841)		(108)	(416)	165
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		(841)		(108)	(416)	165
TBA derivatives
Derivative [Line Items]
Realized Gains (Losses)		8,569		110,067	(299,560)	215,529
Unrealized Gains (Losses)		(85,741)		29,728	(56,701)	39,964
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		(77,172)		139,795	(356,261)	255,493
Interest rate swaptions
Derivative [Line Items]
Realized Gains (Losses)		(28,754)		0	(85,854)	0
Unrealized Gains (Losses)		(17,663)		(9,137)	53,557	(19,574)
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		(46,417)		(9,137)	(32,297)	(19,574)
Credit derivatives
Derivative [Line Items]
Realized Gains (Losses)		3,096		495	7,498	632
Unrealized Gains (Losses)		1,676		433	4,060	356
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		$ 4,772		$ 928	$ 11,558	$ 988

CAPITAL STOCK - Additional Info

CAPITAL STOCK - Additional Information (Details) - USD ($) $ / shares in Units, $ in Millions	Sep. 07, 2018	Aug. 25, 2017	Jan. 31, 2018	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017	Dec. 31, 2017
Class of Stock [Line Items]
Options exercised under incentive plans (in shares)						0	0
Preferred Stock, par value (in dollars per share)				$ 0.01		$ 0.01		$ 0.01
Preferred stock, redemption price (in dollars per share)				$ 25		$ 25
Preferred Stock, shares issued (in shares)				73,400,000		73,400,000		70,700,000
6.50% Series G Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares issued (in shares)				17,000,000		17,000,000		0
Preferred Stock dividend rate, percentage						6.50%
Net proceeds from issuance of preferred stock						$ 425
7.625% Series C Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares issued (in shares)				7,000,000		7,000,000		12,000,000
Preferred Stock dividend rate, percentage						7.625%
Preferred stock redeemed (in shares)						5,000,000
Redemption of preferred stock						$ 125
7.625% Series E Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares issued (in shares)				0		0		11,500,000
Preferred Stock dividend rate, percentage						7.625%
Preferred stock redeemed (in shares)						11,500,000
Redemption of preferred stock						$ 287.5
8.125% Series H Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares issued (in shares)				2,200,000		2,200,000		0
Preferred Stock dividend rate, percentage						8.125%
7.875% Series A Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock dividend rate, percentage		7.875%
Preferred stock redeemed (in shares)		7,412,500
Redemption of preferred stock		$ 187.5
Public Offering
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)				75,000,000	60,000,000	75,000,000	60,000,000
Proceeds from sale of stock				$ 753.8	$ 709.8	$ 753.8	$ 709.8
Over-Allotment Option
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)						11,300,000	9,000,000
Proceeds from sale of stock						$ 113.1	$ 106.5
Option to purchase additional shares, period						30 days	30 days
At-the-market Sale Program
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)						24,000,000
Proceeds from sale of stock						$ 251.1
Aggregate stock offering price			$ 1,500
Mountain Merger Sub Corporation
Class of Stock [Line Items]
Shares issued as part of the consideration for asset acquisition (in shares)	43,600,000					43,600,000
Mountain Merger Sub Corporation | 8.125% Series H Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred Stock, par value (in dollars per share)	$ 0.01

CAPITAL STOCK - Schedule of Com

CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares	Sep. 30, 2018	Dec. 31, 2017
Equity [Abstract]
Common Stock, shares authorized (in shares)	1,924,050,000	1,929,300,000
Common Stock, shares issued (in shares)	1,303,079,555	1,159,585,078
Common Stock, shares outstanding (in shares)	1,303,079,555	1,159,585,078
Common Stock, par value (in dollars per share)	$ 0.01	$ 0.01

CAPITAL STOCK - Summary of Divi

CAPITAL STOCK - Summary of Dividend Reinvestment Plan (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017
Equity [Abstract]
Shares issued through direct purchase and dividend reinvestment program (in shares)	245,000	169,000
Amount raised from direct purchase and dividend reinvestment program	$ 2,584	$ 1,949

CAPITAL STOCK - Schedule of Pre

CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Class of Stock [Line Items]
Preferred Stock, shares authorized (in shares)	75,950,000	70,700,000
Preferred Stock, shares issued (in shares)	73,400,000	70,700,000
Preferred Stock, shares outstanding (in shares)	73,400,000	70,700,000
Preferred Stock, carrying value	$ 1,778,168	$ 1,720,381	[1]
Series C Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized (in shares)	7,000,000	12,000,000
Preferred Stock, shares issued (in shares)	7,000,000	12,000,000
Preferred Stock, shares outstanding (in shares)	7,000,000	12,000,000
Preferred Stock, carrying value	$ 169,466	$ 290,514
Preferred Stock,, contractual rate	7.625%
Series D Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized (in shares)	18,400,000	18,400,000
Preferred Stock, shares issued (in shares)	18,400,000	18,400,000
Preferred Stock, shares outstanding (in shares)	18,400,000	18,400,000
Preferred Stock, carrying value	$ 445,457	$ 445,457
Preferred Stock,, contractual rate	7.50%
Series E Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized (in shares)	0	11,500,000
Preferred Stock, shares issued (in shares)	0	11,500,000
Preferred Stock, shares outstanding (in shares)	0	11,500,000
Preferred Stock, carrying value	$ 0	$ 287,500
Preferred Stock,, contractual rate	7.625%
Series H Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized (in shares)	2,200,000	0
Preferred Stock, shares issued (in shares)	2,200,000	0
Preferred Stock, shares outstanding (in shares)	2,200,000	0
Preferred Stock, carrying value	$ 55,000	$ 0
Preferred Stock,, contractual rate	8.125%
Series F Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized (in shares)	28,800,000	28,800,000
Preferred Stock, shares issued (in shares)	28,800,000	28,800,000
Preferred Stock, shares outstanding (in shares)	28,800,000	28,800,000
Preferred Stock, carrying value	$ 696,910	$ 696,910
Preferred Stock,, contractual rate	6.95%
Preferred Stock, floating annual rate	4.993%
Series G Preferred Stock
Class of Stock [Line Items]
Preferred Stock, shares authorized (in shares)	19,550,000	0
Preferred Stock, shares issued (in shares)	17,000,000	0
Preferred Stock, shares outstanding (in shares)	17,000,000	0
Preferred Stock, carrying value	$ 411,335	$ 0
Preferred Stock,, contractual rate	6.50%
Preferred Stock, floating annual rate	4.175%
[1]	Derived from the audited consolidated financial statements at December 31, 2017.

CAPITAL STOCK - Summary of Di_2

CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Dividends Payable [Line Items]
Distributions declared to common stockholders			$ 1,062,685	$ 937,825
Distributions declared per common share (in dollars per share)	$ 0.3	$ 0.3	$ 0.9	$ 0.9
Distributions paid to common stockholders after period end			$ 102,811	$ 326,425
Distributions paid per common share after period end (in dollars per share)			$ 0.08	$ 0.3
Series A Preferred Stock
Dividends Payable [Line Items]
Preferred dividends declared			$ 0	$ 9,527
Preferred series dividends declared, per share (in dollars per share)			$ 0	$ 1.477
Series C Preferred Stock
Dividends Payable [Line Items]
Preferred dividends declared			$ 10,987	$ 17,157
Preferred series dividends declared, per share (in dollars per share)			$ 1.43	$ 1.43
Series D Preferred Stock
Dividends Payable [Line Items]
Preferred dividends declared			$ 25,875	$ 25,875
Preferred series dividends declared, per share (in dollars per share)			$ 1.406	$ 1.406
Series E Preferred Stock
Dividends Payable [Line Items]
Preferred dividends declared			$ 2,253	$ 16,441
Preferred series dividends declared, per share (in dollars per share)			$ 0.196	$ 1.43
Series F Preferred Stock
Dividends Payable [Line Items]
Preferred dividends declared			$ 37,530	$ 0
Preferred series dividends declared, per share (in dollars per share)			$ 1.303	$ 0
Cumulative and undeclared dividends		$ 8,300		$ 8,300
Series G Preferred Stock
Dividends Payable [Line Items]
Preferred dividends declared			$ 19,875	$ 0
Preferred series dividends declared, per share (in dollars per share)			$ 1.169	$ 0
Series H Preferred Stock
Dividends Payable [Line Items]
Preferred dividends declared			$ 298	$ 0
Preferred series dividends declared, per share (in dollars per share)			$ 0.135	$ 0

INTEREST INCOME AND INTEREST _3

INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Interest income:
Residential Securities	$ 680,037	$ 540,436	$ 2,122,375	$ 1,515,654
Residential mortgage loans	21,184	8,509	55,557	19,790
Commercial investment portfolio	97,531	67,790	249,331	200,288
U.S. Treasury securities	160	0	160	0
Reverse repurchase agreements	17,684	5,815	45,466	11,971
Total interest income	816,596	622,550	2,472,889	1,747,703
Interest expense:
Repurchase agreements	445,535	237,669	1,177,384	607,910
Debt issued by securitization vehicles	29,391	16,072	63,244	42,899
Participation sold	0	0	0	195
Other	26,047	15,196	70,458	38,639
Total interest expense	500,973	268,937	1,311,086	689,643
Net interest income	$ 315,623	$ 353,613	$ 1,161,803	$ 1,058,060

GOODWILL AND INTANGIBLE ASSET_2

GOODWILL AND INTANGIBLE ASSETS - Additional Information (Details) - USD ($) $ in Millions	Sep. 30, 2018	Dec. 31, 2017
Goodwill and Intangible Assets Disclosure [Abstract]
Goodwill	$ 71.8	$ 71.8

GOODWILL AND INTANGIBLE ASSET_3

GOODWILL AND INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2018USD ($)
Intangible Assets [Roll Forward]
Intangible Assets, net beginning of period	$ 23,220
Intangible assets acquired	14,483
Less: amortization expense	(6,475)
Intangible Assets, net end of period	$ 31,228

NET INCOME (LOSS) PER COMMON _3

NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($) $ / shares in Units, $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Earnings Per Share [Abstract]
Net income (loss)		$ 385,429	$ 367,315	$ 2,309,020	$ 822,245
Net income (loss) attributable to noncontrolling interests		(149)	(232)	(277)	(437)
Net income (loss) attributable to Annaly		385,578	367,547	2,309,297	822,682
Dividends on preferred stock	[1]	31,675	30,355	96,818	77,301
Net income (loss) available (related) to common stockholders		$ 353,903	$ 337,192	$ 2,212,479	$ 745,381
Weighted average shares of common stock outstanding-basic (in shares)		1,202,353,851	1,072,566,395	1,174,292,701	1,037,033,076
Add: Effect of stock awards, if dilutive (in shares)		0	474,242	0	412,101
Weighted average shares of common stock outstanding-diluted (in shares)		1,202,353,851	1,073,040,637	1,174,292,701	1,037,445,177
Net income (loss) per share available (related) to common share:
Basic (in dollars per share)		$ 0.29	$ 0.31	$ 1.88	$ 0.72
Diluted (in dollars per share)		$ 0.29	$ 0.31	$ 1.88	$ 0.72
Series F Preferred Stock
Class of Stock [Line Items]
Cumulative and undeclared dividends			$ 8,300		$ 8,300
[1]	Includes cumulative and undeclared dividends on the Company’s Series F Preferred Stock of $8.3 million for the three and nine months ended September 30, 2017.

NET INCOME (LOSS) PER COMMON _4

NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares shares in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Earnings Per Share [Abstract]
Options to purchase common stock outstanding that would be considered anti-dilutive (in shares)	0.2	0.8	0.2	0.8

INCOME TAXES - Additional Infor

INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Income Tax Disclosure [Abstract]
REIT Taxable income distributed			100.00%
Income Taxes:
Income tax expense (benefit) attributable to TRSs	$ (7,242)	$ 1,371	$ (3,416)	$ 2,019
Taxable REIT Subsidiary
Income Taxes:
Income tax expense (benefit) attributable to TRSs	$ (7,100)	$ 1,400	$ (3,300)	$ 2,000

LEASE COMMITMENTS AND CONTING_3

LEASE COMMITMENTS AND CONTINGENCIES - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Dec. 31, 2017
Commitments and Contingencies Disclosure [Abstract]
Lease expense	$ 800	$ 800
Aggregate future minimum lease payments	26,450
Contingencies	$ 0		$ 0

LEASE COMMITMENTS AND CONTING_4

LEASE COMMITMENTS AND CONTINGENCIES - Future Minimum Lease Payments (Details) $ in Thousands	Sep. 30, 2018USD ($)
Commitments and Contingencies Disclosure [Abstract]
2018 (remaining)	$ 891
2,019	3,565
2,020	3,652
2,021	3,862
2,022	3,862
Later years	10,618
Total	$ 26,450

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - Arcola $ in Millions	Sep. 30, 2018USD ($)
RCAP Regulatory Requirements:
Minimum net capital requirement	$ 0.3
Regulatory net capital	393.3
Regulatory net capital, excess net capital	$ 393

RELATED PARTY TRANSACTIONS - Ad

RELATED PARTY TRANSACTIONS - Additional Information (Details)	3 Months Ended		9 Months Ended
	Sep. 30, 2018USD ($)	Sep. 30, 2017USD ($)	Sep. 30, 2018USD ($)	Sep. 30, 2017USD ($)	Dec. 31, 2017USD ($)
Related Party Transaction [Line Items]
Ratio of percentage of stockholders' equity			0.000875
Compensation and management fee	$ 45,983,000	$ 41,993,000	$ 136,091,000	$ 120,193,000
Management Agreement
Related Party Transaction [Line Items]
Compensation and management fee	46,000,000	42,000,000	136,100,000	120,200,000
Management fee payable	17,700,000		17,700,000		$ 13,800,000
Reimbursement payments	$ 3,700,000	$ 0	$ 3,100,000	$ 0
Renewal term			2 years
Accelerated period for agreement termination, if election to terminate is not made			90 days
Management Agreement | Minimum
Related Party Transaction [Line Items]
Accelerated period for agreement termination, if election to terminate is made			7 days
Management Agreement | Maximum
Related Party Transaction [Line Items]
Accelerated period for agreement termination, if election to terminate is made			90 days

ACQUISITION OF MTGE INVESTMEN_3

ACQUISITION OF MTGE INVESTMENT CORP - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands, shares in Millions	Sep. 07, 2018	Aug. 25, 2017	Sep. 30, 2018	Sep. 30, 2017	Dec. 31, 2017
Business Acquisition [Line Items]
Cash			$ 258,334	$ 0
Preferred Stock, par value (in dollars per share)			$ 0.01		$ 0.01
Series A Preferred Stock
Business Acquisition [Line Items]
Preferred Stock dividend rate, percentage		7.875%
8.125% Series H Cumulative Redeemable Preferred Stock
Business Acquisition [Line Items]
Preferred Stock dividend rate, percentage			8.125%
Mountain Merger Sub Corporation | Series A Preferred Stock
Business Acquisition [Line Items]
Preferred Stock dividend rate, percentage	8.125%
Preferred Stock, par value (in dollars per share)	$ 0.01
Mountain Merger Sub Corporation
Business Acquisition [Line Items]
Total consideration	$ 906,200
Equity issued	455,900
Cash	$ 450,287
Shares issued as part of the consideration for asset acquisition (in shares)	43.6		43.6
Acquisition transaction costs	$ 58,300
Excess consideration for business acquisition	$ 44,500
Mountain Merger Sub Corporation | 8.125% Series H Cumulative Redeemable Preferred Stock
Business Acquisition [Line Items]
Preferred Stock, par value (in dollars per share)	$ 0.01

ACQUISITION OF MTGE INVESTMEN_4

ACQUISITION OF MTGE INVESTMENT CORP - Summary of Acquired Assets (Details) - USD ($) $ in Thousands	Sep. 07, 2018	Sep. 30, 2018	Sep. 30, 2017	Dec. 31, 2017
Consideration Transferred:
Cash		$ 258,334	$ 0
Net Assets:
Cash and cash equivalents		1,082,747		$ 706,589
Securities		91,338,611		92,563,572
Real estate, net		753,014		485,953
Derivative assets		404,841		313,885
Reverse repurchase agreements		1,234,704		0
Receivable for unsettled trades		1,266,840	340,033	1,232
Interest receivable		347,278		323,526
Intangible assets, net		103,043		95,035
Other assets		329,868		384,117
Total assets		105,961,803		101,760,050	[1]
Repurchase agreements		79,073,026		77,696,343
Mortgages payable		511,588		309,686
Derivative liabilities		379,794		607,854
Interest payable		399,605		253,068
Dividends payable		102,811	$ 326,425	347,876
Other liabilities		125,606		207,770
Total liabilities		$ 91,005,947		$ 86,888,477	[1]
Mountain Merger Sub Corporation
Consideration Transferred:
Cash	$ 450,287
Equity issued	455,900
Total consideration	961,230
Net Assets:
Cash and cash equivalents	191,953
Securities	4,111,930
Real estate, net	277,648
Derivative assets	18,629
Reverse repurchase agreements	938,251
Receivable for unsettled trades	6,809
Principal receivable	44,462
Interest receivable	14,282
Intangible assets, net	14,483
Other assets	50,105
Total assets	5,668,552
Repurchase agreements	3,561,816
Mortgages payable	201,629
U.S. Treasury securities sold, not yet purchased	934,149
Derivative liabilities	2,498
Interest payable	22,220
Dividends payable	819
Other liabilities	28,715
Total liabilities	4,751,846
Net assets acquired	916,706
Common Stock | Mountain Merger Sub Corporation
Consideration Transferred:
Equity issued	455,943
Preferred Stock | Mountain Merger Sub Corporation
Consideration Transferred:
Equity issued	$ 55,000
[1]	Derived from the audited consolidated financial statements at December 31, 2017.

SUBSEQUENT EVENTS - Additional

SUBSEQUENT EVENTS - Additional Information (Details)	Oct. 31, 2018USD ($)
OBX 2018-EXP2 Trust | Consolidated VIEs | Subsequent Event
Subsequent Event [Line Items]
Debt issued	$ 384,000,000