Annaly Capital Management (NLY) 10-Q 1 Nov 19 2019 Q3 Quarterly report Financial data

COVER PAGE

COVER PAGE - shares	9 Months Ended
	Sep. 30, 2019	Oct. 25, 2019
Document Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2019
Document Transition Report	false
Entity File Number	1-13447
Entity Registrant Name	ANNALY CAPITAL MANAGEMENT INC
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	22-3479661
Entity Address, Address Line One	1211 Avenue of the Americas
Entity Address, City or Town	New York,
Entity Address, State or Province	NY
Entity Address, Postal Zip Code	10036
City Area Code	212
Local Phone Number	696-0100
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		1,430,106,199
Amendment Flag	false
Document Fiscal Year Focus	2019
Document Fiscal Period Focus	Q3
Entity Central Index Key	0001043219
Current Fiscal Year End Date	--12-31
Common Stock, par value $0.01 per share
Document Information [Line Items]
Title of Each Class	Common Stock, par value $0.01 per share
Trading Symbol	NLY
Name of Each Exchange on Which Registered	NYSE
7.50% Series D Cumulative Redeemable Preferred Stock
Document Information [Line Items]
Title of Each Class	7.50% Series D Cumulative Redeemable Preferred Stock
Trading Symbol	NLY.D
Name of Each Exchange on Which Registered	NYSE
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Document Information [Line Items]
Title of Each Class	6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	NLY.F
Name of Each Exchange on Which Registered	NYSE
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Document Information [Line Items]
Title of Each Class	6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	NLY.G
Name of Each Exchange on Which Registered	NYSE
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Document Information [Line Items]
Title of Each Class	6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	NLY.I
Name of Each Exchange on Which Registered	NYSE

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Assets
Cash and cash equivalents (includes pledged assets of $1,625,999 and $1,581,775, respectively) (2)	[1]	$ 1,793,921	$ 1,735,749	[2]
Securities (includes pledged assets of $111,087,358 and $87,193,316, respectively) (3)	[3]	116,094,061	92,623,788	[2]
Loans, net (includes pledged assets of $2,837,690 and $2,997,051, respectively) (4)	[4]	3,946,614	4,585,975	[2]
Mortgage servicing rights (includes pledged assets of $2,788 and $3,616, respectively)		386,051	557,813	[2]
Assets transferred or pledged to securitization vehicles		4,688,144	3,833,200	[2]
Real estate, net		725,508	739,473	[2]
Derivative assets		168,755	200,503	[2]
Reverse repurchase agreements		0	650,040	[2]
Receivable for unsettled trades		193,229	68,779	[2]
Principal and interest receivable		483,744	357,365	[2]
Goodwill and intangible assets, net		94,904	100,854	[2]
Other assets		381,189	333,988	[2]
Total assets		128,956,120	105,787,527	[2]
Liabilities
Repurchase agreements		102,682,104	81,115,874	[2]
Other secured financing		4,466,030	4,183,311	[2]
Debt issued by securitization vehicles		3,856,082	3,347,062	[2]
Mortgages payable		485,657	511,056	[2]
Derivative liabilities		972,415	889,750	[2]
Payable for unsettled trades		245,626	583,036	[2]
Interest payable		565,797	570,928	[2]
Dividends payable		359,491	394,129	[2]
Other liabilities		99,214	74,580	[2]
Total liabilities		113,732,416	91,669,726	[2]
Stockholders’ equity
Preferred stock, par value $0.01 per share, 85,150,000 and 75,950,000 authorized, 81,900,000 and 73,400,000 issued and outstanding, respectively		1,982,026	1,778,168	[2]
Common stock, par value $0.01 per share, 2,914,850,000 and 1,924,050,000 authorized, 1,437,964,466 and 1,313,763,450 issued and outstanding, respectively		14,380	13,138	[2]
Additional paid-in capital		20,034,970	18,794,331	[2]
Accumulated other comprehensive income (loss)		2,313,815	(1,979,865)	[2]
Accumulated deficit		(9,125,895)	(4,493,660)	[2]
Total stockholders’ equity		15,219,296	14,112,112	[2]
Noncontrolling interests		4,408	5,689	[2]
Total equity		15,223,704	14,117,801	[2]
Total liabilities and equity		128,956,120	105,787,527	[2]
Consolidated VIEs
Assets
Cash and cash equivalents (includes pledged assets of $1,625,999 and $1,581,775, respectively) (2)		49,600	30,400
Consolidation, Eliminations | Consolidated VIEs
Assets
Securities (includes pledged assets of $111,087,358 and $87,193,316, respectively) (3)		182,300	224,300
Non-Agency Mortgage-backed Securities | Consolidated VIEs
Assets
Securities (includes pledged assets of $111,087,358 and $87,193,316, respectively) (3)		429,100	83,600
Residential mortgage loans
Assets
Loans, net (includes pledged assets of $2,837,690 and $2,997,051, respectively) (4)		76,300	97,500
Total assets		1,200,000
Commercial Mortgage Loan
Assets
Loans, net (includes pledged assets of $2,837,690 and $2,997,051, respectively) (4)		$ 0	$ 42,200
[1]	(2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $49.6 million and $30.4 million at September 30, 2019 and December 31, 2018 , respectively.
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .
[3]	(3) Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018 , respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 30, 2019 and December 31, 2018
[4]	(4) Includes $76.3 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at September 30, 2019 and December 31, 2018 , respectively.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Cash pledged as collateral	$ 1,625,999	$ 1,581,775
Loans, pledged assets	$ 2,837,690	$ 2,997,051
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)	85,150,000	75,950,000
Preferred stock, shares issued (in shares)	81,900,000	73,400,000
Preferred stock, shares outstanding (in shares)	81,900,000	73,400,000
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	2,914,850,000	1,924,050,000
Common stock, shares issued (in shares)	1,437,964,466	1,313,763,450
Common stock, shares outstanding (in shares)	1,437,964,466	1,313,763,450
Non-Agency Mortgage-backed Securities
Pledged assets	$ 2,788	$ 3,616
Agency mortgage-backed securities, at fair value
Pledged assets	$ 111,087,358	$ 87,193,316

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($)		3 Months Ended		9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Net interest income
Interest income		$ 919,299,000	$ 816,596,000	$ 2,713,083,000	$ 2,472,889,000
Interest expense		766,905,000	500,973,000	2,164,817,000	1,311,086,000
Net interest income		152,394,000	315,623,000	548,266,000	1,161,803,000
Realized and unrealized gains (losses)
Net interest component of interest rate swaps		88,466,000	51,349,000	306,154,000	34,664,000
Realized gains (losses) on termination or maturity of interest rate swaps		(682,602,000)	575,000	(1,438,349,000)	1,409,000
Unrealized gains (losses) on interest rate swaps		(326,309,000)	417,203,000	(1,992,884,000)	1,737,963,000
Subtotal		(920,445,000)	469,127,000	(3,125,079,000)	1,774,036,000
Net gains (losses) on disposal of investments		66,522,000	(324,294,000)	(65,727,000)	(376,943,000)
Net gains (losses) on other derivatives		(16,888,000)	94,827,000	(638,458,000)	81,871,000
Net unrealized gains (losses) on instruments measured at fair value through earnings		(1,091,000)	(39,944,000)	41,657,000	(139,913,000)
Loan loss provision		(3,504,000)	0	(9,207,000)	0
Subtotal		45,039,000	(269,411,000)	(671,735,000)	(434,985,000)
Total realized and unrealized gains (losses)		(875,406,000)	199,716,000	(3,796,814,000)	1,339,051,000
Other income (loss)		35,074,000	(10,643,000)	93,757,000	57,550,000
General and administrative expenses
Compensation and management fee		41,161,000	45,983,000	130,225,000	136,091,000
Other general and administrative expenses		24,977,000	80,526,000	98,058,000	116,709,000
Total general and administrative expenses		66,138,000	126,509,000	228,283,000	252,800,000
Income (loss) before income taxes		(754,076,000)	378,187,000	(3,383,074,000)	2,305,604,000
Income taxes		(6,907,000)	(7,242,000)	(10,241,000)	(3,416,000)
Net income (loss)		(747,169,000)	385,429,000	(3,372,833,000)	2,309,020,000
Net income (loss) attributable to noncontrolling interests		(110,000)	(149,000)	(294,000)	(277,000)
Net income (loss) attributable to Annaly		(747,059,000)	385,578,000	(3,372,539,000)	2,309,297,000
Dividends on preferred stock	[1]	36,151,000	31,675,000	101,067,000	96,818,000
Net income (loss) available (related) to common stockholders		$ (783,210,000)	$ 353,903,000	$ (3,473,606,000)	$ 2,212,479,000
Net income (loss) per share available (related) to common stockholders
Basic (in dollars per share)		$ (0.54)	$ 0.29	$ (2.42)	$ 1.88
Diluted (in dollars per share)		$ (0.54)	$ 0.29	$ (2.42)	$ 1.88
Weighted average number of common shares outstanding
Basic (in shares)		1,453,359,211	1,202,353,851	1,436,204,582	1,174,292,701
Diluted (in shares)		1,453,359,211	1,202,353,851	1,436,204,582	1,174,292,701
Net income (loss)		$ (747,169,000)	$ 385,429,000	$ (3,372,833,000)	$ 2,309,020,000
Other comprehensive income (loss)
Unrealized gains (losses) on available-for-sale securities		1,034,873,000	(719,609,000)	4,289,054,000	(3,104,218,000)
Reclassification adjustment for net (gains) losses included in net income (loss)		(86,061,000)	331,100,000	4,626,000	407,282,000
Other comprehensive income (loss)		948,812,000	(388,509,000)	4,293,680,000	(2,696,936,000)
Comprehensive income (loss)		201,643,000	(3,080,000)	920,847,000	(387,916,000)
Comprehensive income (loss) attributable to noncontrolling interests		(110,000)	(149,000)	(294,000)	(277,000)
Comprehensive income (loss) attributable to Annaly		201,753,000	(2,931,000)	921,141,000	(387,639,000)
Comprehensive income (loss) attributable to common stockholders		$ 165,602,000	$ (34,606,000)	$ 820,074,000	$ (484,457,000)
[1]	(1) The three months ended September 30, 2019 exclude cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019.

CONSOLIDATED STATEMENTS OF STOC

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($)		Total		Preferred stock	Common stock	Additional Paid-In Capital	Accumulated Other Comprehensive Income (Loss)	Accumulated Deficit		Total Stockholders’ Equity	Noncontrolling Interest
Beginning of period at Dec. 31, 2017				$ 1,720,381,000	$ 11,596,000	$ 17,221,265,000	$ (1,126,020,000)	$ (2,961,749,000)			$ 6,100,000
Issuance				411,335,000	1,103,000	1,116,409,000
Buyback of common stock					0	0
Acquisition of subsidiary				55,000,000	330,000	455,613,000
Redemption of preferred stock				(408,548,000)		(3,952,000)
Direct purchase and dividend reinvestment		$ 2,584,000			2,000	2,582,000
Stock compensation expense						1,789,000
Unrealized gains (losses) on available-for-sale securities		(3,104,218,000)					(3,104,218,000)
Reclassification adjustment for net (gains) losses included in net income (loss)		407,282,000					407,282,000
Net income (loss) attributable to Annaly		2,309,297,000						2,309,297,000
Dividends declared on preferred stock	[1]							(96,818,000)
Dividends and dividend equivalents declared on common stock and share-based awards		(1,062,685,000)						(1,062,685,000)	[1]
Net income (loss) attributable to noncontrolling interests		277,000									(277,000)
Equity contributions from (distributions to) noncontrolling interest											39,000
End of period at Sep. 30, 2018		14,955,856,000		1,778,168,000	13,031,000	18,793,706,000	(3,822,956,000)	(1,811,955,000)		$ 14,949,994,000	5,862,000
Beginning of period at Jun. 30, 2018				1,723,168,000	11,643,000	17,268,596,000	(3,434,447,000)	(1,800,370,000)			5,266,000
Issuance				0	1,057,000	1,068,292,000
Buyback of common stock					0	0
Acquisition of subsidiary				55,000,000	330,000	455,613,000
Redemption of preferred stock				0		0
Direct purchase and dividend reinvestment					1,000	1,037,000
Stock compensation expense						168,000
Unrealized gains (losses) on available-for-sale securities		(719,609,000)					(719,609,000)
Reclassification adjustment for net (gains) losses included in net income (loss)		331,100,000					331,100,000
Net income (loss) attributable to Annaly		385,578,000						385,578,000
Dividends declared on preferred stock	[1]							(31,675,000)
Dividends and dividend equivalents declared on common stock and share-based awards		(365,488,000)						(365,488,000)	[1]
Net income (loss) attributable to noncontrolling interests		149,000									(149,000)
Equity contributions from (distributions to) noncontrolling interest											745,000
End of period at Sep. 30, 2018		14,955,856,000		1,778,168,000	13,031,000	18,793,706,000	(3,822,956,000)	(1,811,955,000)		14,949,994,000	5,862,000
Beginning of period at Dec. 31, 2018		14,117,801,000	[2]	1,778,168,000	13,138,000	18,794,331,000	(1,979,865,000)	(4,493,660,000)			5,689,000
Issuance				428,324,000	1,422,000	1,397,484,000
Buyback of common stock					(182,000)	(155,122,000)
Acquisition of subsidiary				0	0	0
Redemption of preferred stock				(224,466,000)		(5,534,000)
Direct purchase and dividend reinvestment		1,795,000			2,000	1,793,000
Stock compensation expense						2,018,000
Unrealized gains (losses) on available-for-sale securities		4,289,054,000					4,289,054,000
Reclassification adjustment for net (gains) losses included in net income (loss)		4,626,000					4,626,000
Net income (loss) attributable to Annaly		(3,372,539,000)						(3,372,539,000)
Dividends declared on preferred stock	[1]							(101,067,000)
Dividends and dividend equivalents declared on common stock and share-based awards		(1,158,629,000)						(1,158,629,000)	[1]
Net income (loss) attributable to noncontrolling interests		294,000									(294,000)
Equity contributions from (distributions to) noncontrolling interest											(987,000)
End of period at Sep. 30, 2019		15,223,704,000		1,982,026,000	14,380,000	20,034,970,000	2,313,815,000	(9,125,895,000)		15,219,296,000	4,408,000
Beginning of period at Jun. 30, 2019				2,110,346,000	14,562,000	20,195,419,000	1,365,003,000	(7,982,649,000)			4,726,000
Issuance				41,146,000	0	0
Buyback of common stock					(182,000)	(155,122,000)
Acquisition of subsidiary				0	0	0
Redemption of preferred stock				(169,466,000)		(5,534,000)
Direct purchase and dividend reinvestment					0	0
Stock compensation expense						207,000
Unrealized gains (losses) on available-for-sale securities		1,034,873,000					1,034,873,000
Reclassification adjustment for net (gains) losses included in net income (loss)		(86,061,000)					(86,061,000)
Net income (loss) attributable to Annaly		(747,059,000)						(747,059,000)
Dividends declared on preferred stock	[1]							(36,451,000)
Dividends and dividend equivalents declared on common stock and share-based awards		(359,736,000)						(359,736,000)	[1]
Net income (loss) attributable to noncontrolling interests		110,000									(110,000)
Equity contributions from (distributions to) noncontrolling interest											(208,000)
End of period at Sep. 30, 2019		$ 15,223,704,000		$ 1,982,026,000	$ 14,380,000	$ 20,034,970,000	$ 2,313,815,000	$ (9,125,895,000)		$ 15,219,296,000	$ 4,408,000
[1]	(1) See Note titled “Capital Stock” for dividends per share for each class of shares.
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($)	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018
Statement of Cash Flows [Abstract]
Net income (loss)	$ (3,372,833,000)	$ 2,309,020,000
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Amortization of premiums and discounts of investments, net	943,277,000	474,449,000
Amortization of securitized debt premiums and discounts and deferred financing costs	(11,457,000)	991,000
Depreciation, amortization and other noncash expenses	24,107,000	63,839,000
Net (gains) losses on disposals of investments	65,727,000	376,943,000
Net (gains) losses on investments and derivatives	2,589,685,000	(1,679,921,000)
Income from unconsolidated joint ventures	3,350,000	6,441,000
Loan loss provision	9,207,000	0
Payments on purchases of loans held for sale	(196,252,000)	(191,641,000)
Proceeds from sales and repayments of loans held for sale	220,409,000	64,460,000
Net receipts (payments) on derivatives	(2,561,170,000)	1,519,228,000
Net change in
Other assets	(45,547,000)	100,010,000
Interest receivable	(92,959,000)	(8,468,000)
Interest payable	(5,131,000)	124,316,000
Other liabilities	34,194,000	(136,510,000)
Net cash provided by (used in) operating activities	(2,395,393,000)	3,023,157,000
Cash flows from investing activities
Payments on purchases of Residential Securities	(51,291,188,000)	(17,053,068,000)
Proceeds from sales of Residential Securities	19,619,907,000	9,558,735,000
Principal payments on Residential Securities	11,163,622,000	8,696,239,000
Payments on purchases of MSRs	0	(381,000)
Payments on purchases of corporate debt	(631,275,000)	(744,071,000)
Proceeds from sales of corporate debt	265,218,000	0
Principal payments on corporate debt	143,284,000	235,423,000
Originations and purchases of commercial real estate investments	(618,348,000)	(697,753,000)
Proceeds from sales of commercial real estate investments	193,846,000	134,538,000
Principal repayments on commercial real estate investments	1,852,854,000	478,726,000
Proceeds from sales of real estate	6,661,000	0
Proceeds from reverse repurchase agreements	78,439,755,000	70,016,988,000
Payments on reverse repurchase agreements	(77,789,715,000)	(70,313,441,000)
Distributions in excess of cumulative earnings from unconsolidated joint ventures	1,975,000	5,434,000
Payments on purchases of residential mortgage loans held for investment	(1,692,648,000)	(729,917,000)
Proceeds from repayments of residential mortgage loans held for investment	570,503,000	251,407,000
Cash paid related to asset acquisition, net of cash acquired	0	(258,334,000)
Net cash provided by (used in) investing activities	(19,765,549,000)	(419,475,000)
Cash flows from financing activities
Proceeds from repurchase agreements and other secured financing	4,275,937,246,000	3,866,183,872,000
Principal payments on repurchase agreements and other secured financing	(4,254,088,297,000)	(3,868,097,943,000)
Proceeds from issuances of securitized debt	2,030,356,000	588,111,000
Principal repayments on securitized debt	(1,778,314,000)	(614,536,000)
Payment of deferred financing cost	(5,222,000)	0
Net proceeds from stock offerings, direct purchases and dividend reinvestments	1,829,025,000	1,531,690,000
Redemptions of preferred stock	(230,000,000)	(412,500,000)
Principal payments on mortgages payable	(25,398,000)	(49,000)
Net contributions (distributions) from (to) noncontrolling interests	(987,000)	(780,000)
Net payment on share repurchase	(155,304,000)	0
Dividends paid	(1,293,991,000)	(1,405,389,000)
Net cash provided by (used in) financing activities	22,219,114,000	(2,227,524,000)
Net (decrease) increase in cash and cash equivalents	58,172,000	376,158,000
Cash and cash equivalents including cash pledged as collateral, beginning of period	1,735,749,000	706,589,000
Cash and cash equivalents including cash pledged as collateral, end of period	1,793,921,000	1,082,747,000
Supplemental disclosure of cash flow information
Interest received	3,583,189,000	2,846,535,000
Dividends received	6,279,000	5,448,000
Interest paid (excluding interest paid on interest rate swaps)	2,041,539,000	1,159,384,000
Net interest paid on interest rate swaps	(96,169,000)	(243,946,000)
Taxes received (paid)	274,000	86,000
Noncash investing activities
Receivable for unsettled trades	193,229,000	1,266,840,000
Payable for unsettled trades	245,626,000	2,505,428,000
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment	4,293,680,000	(2,696,936,000)
Noncash financing activities
Dividends declared, not yet paid	$ 359,491,000	$ 102,811,000

DESCRIPTION OF BUSINESS

DESCRIPTION OF BUSINESS	9 Months Ended
	Sep. 30, 2019
Accounting Policies [Abstract]
DESCRIPTION OF BUSINESS	1. DESCRIPTION OF BUSINESS Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company is a leading diversified capital manager 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 optimize its returns through prudent management of its diversified investment strategies. 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, 2019
Accounting Policies [Abstract]
BASIS OF PRESENTATION	2. BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2018 (the “2018 Form 10-K”). The consolidated financial information as of December 31, 2018 has been derived from audited consolidated financial statements included in the Company’s 2018 Form 10-K. The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. 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, 2019
Accounting Policies [Abstract]
SIGNIFICANT ACCOUNTING POLICIES	3. SIGNIFICANT ACCOUNTING POLICIES The Company’s significant accounting policies are described below or are included elsewhere in these notes to the Consolidated Financial Statements. Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in Real estate, net and Other assets with income or loss included in Other income (loss). Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled $1.6 billion at September 30, 2019 and December 31, 2018 . 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. Items for which the fair value option has been elected are presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurements” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements. Derivative Instruments – Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives 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 ratably over the requisite service period for the entire award. Interest Income - The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than 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. 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 of interest income. Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that 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 certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company plans to adopt the new standard on January 1, 2020. 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 has decided to apply a probability of default methodology to loans and loan commitments that will be impacted by the adoption and is determining appropriate internal controls and financial statement disclosures. Key implementation efforts have included initiating a parallel process including model testing and validation and development of internal controls. The Company expects an increase in the allowance as a result of adoption of the new guidance, but does not expect that the increase will be significant. The ultimate impact will depend on the Company’s portfolio, the macroeconomic conditions and forecast, and other management assumptions as of the date of adoption. Further, based on the amended guidance for available-for-sale debt securities, the Company does not expect a significant impact to its securities portfolio. 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. (“Arcola”) 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, 2019
Investments, All Other Investments [Abstract]
Financial Instruments	4. FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at September 30, 2019 and December 31, 2018 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 30, 2019 December 31, 2018 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 113,670,254 $ 89,840,322 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 792,270 912,673 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 474,765 552,097 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,015,921 1,161,938 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 65,215 138,242 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 75,636 18,516 Total securities 116,094,061 92,623,788 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,219,402 1,359,806 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 611,429 1,296,803 Loans, net Commercial loans held for sale, net Lower of amortized cost or fair value — 42,184 Loans, net Corporate debt, held for investment Amortized cost 2,115,783 1,887,182 Total loans, net 3,946,614 4,585,975 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,376,731 1,094,831 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 1,501,408 2,738,369 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 810,005 — Total assets transferred or pledged to securitization vehicles 4,688,144 3,833,200 Reverse repurchase agreements Reverse repurchase agreements Amortized cost — 650,040 Liabilities Repurchase agreements Repurchase agreements Amortized cost 102,682,104 81,115,874 Other secured financing Loans Amortized cost 4,466,030 4,183,311 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,856,082 3,347,062 Mortgages payable Loans Amortized cost 485,657 511,056 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages. (4) Includes conduit CMBS.

SECURITIES

SECURITIES	9 Months Ended
	Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract]
SECURITIES	5. SECURITIES The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt securities are classified as available-for-sale. Available-for-sale securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Transactions for 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. Other-Than-Temporary Impairment – Management evaluates available-for-sale securities and held-to-maturity debt 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). When the fair value of a held-to-maturity security is less than the cost, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security. There was no other-than-temporary impairment recognized for the three or nine months ended September 30, 2019 and 2018 . Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). TBA securities without intent to accept delivery (“TBA derivatives”), are accounted for as derivatives as discussed in the “Derivative Instruments” Note. CRT Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, Alt-A loan, subprime loan, non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Agency mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio. Commercial Mortgage-Backed Securities (“Commercial Securities”) - Certain commercial mortgage-backed securities 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. The following represents a rollforward of the activity for the Company’s securities for the nine months ended September 30, 2019 : Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2019 $ 92,467,030 $ 156,758 $ 92,623,788 Purchases 50,982,244 111,582 51,093,826 Sales (19,793,722 ) (92,366 ) (19,886,088 ) Principal paydowns (11,215,154 ) (43,170 ) (11,258,324 ) (Amortization) / accretion (942,429 ) 548 (941,881 ) Fair value adjustment 4,455,241 7,499 4,462,740 Ending balance September 30, 2019 $ 115,953,210 $ 140,851 $ 116,094,061 The following tables present the Company’s securities portfolio that was carried at their fair value at September 30, 2019 and December 31, 2018 : September 30, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 102,020,108 $ 4,321,803 $ (37,466 ) $ 106,304,445 $ 2,216,560 $ (102,943 ) $ 108,418,062 Adjustable-rate pass-through 2,338,560 123,228 (1,440 ) 2,460,348 11,265 (56,122 ) 2,415,491 CMO 9,623 45 — 9,668 298 — 9,966 Interest-only 4,657,039 899,601 — 899,601 4,311 (173,304 ) 730,608 Multifamily 2,562,366 28,314 (2,446 ) 2,588,234 239,213 (712 ) 2,826,735 Reverse mortgages 56,464 5,354 — 61,818 62 (218 ) 61,662 Total agency securities $ 111,644,160 $ 5,378,345 $ (41,352 ) $ 112,324,114 $ 2,471,709 $ (333,299 ) $ 114,462,524 Residential credit CRT (1) $ 463,982 $ 16,785 $ (2,258 ) $ 463,584 $ 13,492 $ (2,311 ) $ 474,765 Alt-A 153,891 255 (22,816 ) 131,330 14,307 — 145,637 Prime 267,196 2,223 (18,176 ) 251,243 18,506 (29 ) 269,720 Prime interest-only 459,718 4,195 — 4,195 — (538 ) 3,657 Subprime 380,293 1,394 (62,355 ) 319,332 40,883 (116 ) 360,099 NPL/RPL 28,669 — (74 ) 28,595 — (41 ) 28,554 Prime jumbo (>=2010 vintage) 197,879 1,052 (4,374 ) 194,557 6,967 — 201,524 Prime jumbo (>=2010 vintage) Interest-only 591,980 9,472 — 9,472 — (2,742 ) 6,730 Total residential credit securities $ 2,543,608 $ 35,376 $ (110,053 ) $ 1,402,308 $ 94,155 $ (5,777 ) $ 1,490,686 Total Residential Securities $ 114,187,768 $ 5,413,721 $ (151,405 ) $ 113,726,422 $ 2,565,864 $ (339,076 ) $ 115,953,210 Commercial Commercial Securities $ 140,600 $ 343 $ (8,391 ) $ 132,552 $ 8,299 $ — $ 140,851 Total securities $ 114,328,368 $ 5,414,064 $ (159,796 ) $ 113,858,974 $ 2,574,163 $ (339,076 ) $ 116,094,061 December 31, 2018 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 81,144,650 $ 3,810,808 $ (36,987 ) $ 84,918,471 $ 264,443 $ (2,130,362 ) $ 83,052,552 Adjustable-rate pass-through 4,835,983 247,981 (1,337 ) 5,082,627 7,127 (151,770 ) 4,937,984 CMO 11,113 53 — 11,166 55 — 11,221 Interest-only 6,007,008 1,179,855 — 1,179,855 1,446 (307,412 ) 873,889 Multifamily 1,802,292 12,329 (5,332 ) 1,809,289 32,753 (3,477 ) 1,838,565 Reverse mortgages 34,650 4,175 — 38,825 69 (110 ) 38,784 Total agency investments $ 93,835,696 $ 5,255,201 $ (43,656 ) $ 93,040,233 $ 305,893 $ (2,593,131 ) $ 90,752,995 Residential credit CRT $ 542,374 $ 28,444 $ (15,466 ) $ 555,352 $ 7,879 $ (11,134 ) $ 552,097 Alt-A 202,889 349 (31,238 ) 172,000 10,559 (198 ) 182,361 Prime 353,108 2,040 (23,153 ) 331,995 12,821 (830 ) 343,986 Subprime 423,166 1,776 (65,005 ) 359,937 35,278 (594 ) 394,621 NPL/RPL 3,431 — (30 ) 3,401 37 — 3,438 Prime jumbo (>=2010 vintage) 225,567 1,087 (4,691 ) 221,963 1,439 (2,744 ) 220,658 Prime jumbo (>=2010 vintage) Interest-only 860,085 12,820 — 12,820 4,054 — 16,874 Total residential credit securities $ 2,610,620 $ 46,516 $ (139,583 ) $ 1,657,468 $ 72,067 $ (15,500 ) $ 1,714,035 Total Residential Securities $ 96,446,316 $ 5,301,717 $ (183,239 ) $ 94,697,701 $ 377,960 $ (2,608,631 ) $ 92,467,030 Commercial Commercial Securities $ 155,921 $ 9,778 $ (9,740 ) $ 155,959 $ 1,659 $ (860 ) $ 156,758 Total securities $ 96,602,237 $ 5,311,495 $ (192,979 ) $ 94,853,660 $ 379,619 $ (2,609,491 ) $ 92,623,788 (1) Principal/Notional amount includes $14.9 million of a CRT interest-only security as of September 30, 2019 . The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration at September 30, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 Investment Type (dollars in thousands) Fannie Mae $ 73,707,294 $ 60,270,432 Freddie Mac 40,592,878 30,397,556 Ginnie Mae 162,352 85,007 Total $ 114,462,524 $ 90,752,995 Actual maturities of the Company’s Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are generally affected by periodic payments and prepayments of principal on the underlying mortgages. The following table summarizes the Company’s Residential Securities at September 30, 2019 and December 31, 2018 , according to their estimated weighted average life classifications: September 30, 2019 December 31, 2018 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 5,508 $ 6,454 $ 13,447 $ 13,670 Greater than one year through five years 58,857,860 57,504,374 11,710,172 11,928,973 Greater than five years through ten years 57,032,062 56,163,913 80,202,479 82,218,464 Greater than ten years 57,780 51,681 540,932 536,594 Total $ 115,953,210 $ 113,726,422 $ 92,467,030 $ 94,697,701 The estimated weighted average lives of the Residential Securities at September 30, 2019 and December 31, 2018 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, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 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 $ 3,524,012 $ (17,042 ) 45 $ 22,418,036 $ (432,352 ) 713 12 Months or more 13,989,400 (142,735 ) 506 43,134,843 (1,853,257 ) 1,476 Total $ 17,513,412 $ (159,777 ) 551 $ 65,552,879 $ (2,285,609 ) 2,189 (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, 2019 , the Company disposed of $11.1 billion and $30.7 billion of Residential Securities, resulting in net realized gains (losses) of $76.3 million and ($50.6) million , respectively. 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 gains (losses) of ($322.4) million and ($372.5) million

LOANS

LOANS	9 Months Ended
	Sep. 30, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]
LOANS	6. 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. Excluding loans transferred or pledged to securitization vehicles, as of September 30, 2019 , the Company reported $1.2 billion of loans for which the fair value option was elected. If loans are held for investment and the fair value option has not been elected, they are accounted for at amortized cost less impairment. If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, the loans are classified as held for sale. If loans are held for sale and the fair value option was not elected, they are accounted for at the lower of cost or fair value. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of loans held for sale on an individual loan basis. 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 – The Company evaluates the need for a loss reserve on its loans. A provision for loan losses 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 loans as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. 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 commercial real estate loans and preferred equity interests (“CRE Debt and Preferred Equity Investments”), and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan, economic trends (both macro and those affecting the property specifically), and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. The Company’s 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. For the three and nine months ended September 30, 2019 , the Company recorded a loan loss provision of $3.5 million and $9.2 million , respectively. As of September 30, 2019 and December 31, 2018 , the Company’s loan loss provision was $12.7 million and $3.5 million , respectively. There was no provision for loan loss recorded as of and for the nine months ended September 30, 2018 . The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the nine months ended September 30, 2019 : Residential Commercial Corporate Total (dollars in thousands) Beginning balance January 1, 2019 $ 1,359,806 $ 1,338,987 $ 1,887,182 $ 4,585,975 Purchases 1,894,303 395,058 631,065 2,920,426 Sales and transfers (1) (1,878,218 ) (958,912 ) (268,403 ) (3,105,533 ) Principal payments (156,579 ) (156,437 ) (143,284 ) (456,300 ) Gains / (losses) 1,671 (9,207 ) 5,260 (2,276 ) (Amortization) / accretion (1,581 ) 1,940 3,963 4,322 Ending balance September 30, 2019 $ 1,219,402 $ 611,429 $ 2,115,783 $ 3,946,614 (1) Includes securitizations, syndications and transfers to securitization vehicles. The carrying value of the Company’s residential loans held for sale was $76.3 million and $97.5 million at September 30, 2019 and December 31, 2018 , respectively. The carrying value of the Company’s commercial loans held for sale was $0 and $42.2 million at September 30, 2019 and December 31, 2018 , 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. 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, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 (dollars in thousands) Fair value $ 3,596,133 $ 2,454,637 Unpaid principal balance $ 3,475,799 $ 2,425,657 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, 2019 and 2018 for these investments: For the Three Months Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) Interest income $ 37,673 $ 16,423 $ 102,689 $ 45,702 Net gains (losses) on disposal of investments (9,671 ) (2,975 ) (19,499 ) (7,924 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 18,093 (3,633 ) 61,805 (14,802 ) Total included in net income (loss) $ 46,095 $ 9,815 $ 144,995 $ 22,976 The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2019 and December 31, 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans September 30, 2019 December 31, 2018 Property location % of Balance Property location % of Balance California 51.9% California 53.7% New York 10.4% Florida 7.1% Florida 5.7% New York 6.6% All other (none individually greater than 5%) 32.0% All other (none individually greater than 5%) 32.6% Total 100.0% 100.0% The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at September 30, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $463 $0 - $3,500 $457 Interest rate 2.00% - 9.25% 5.03% 2.00% - 7.75% 4.72% Maturity 1/1/2028 - 9/1/2059 5/29/2047 1/1/2028 - 11/1/2058 1/11/2046 FICO score at loan origination 505 - 825 756 505 - 823 752 Loan-to-value ratio at loan origination 8% - 111% 67% 8% - 111% 68% At September 30, 2019 and December 31, 2018 , approximately 38% and 47% , respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate. Commercial The Company’s commercial real estate loans are comprised of adjustable-rate and fixed-rate loans. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans 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. 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, 2019 and December 31, 2018 , approximately 91% and 88% , respectively, of the carrying value of the Company’s CRE Debt and Preferred Equity Investments, including loans transferred or pledged to securitization vehicles and excluding commercial loans held for sale, were adjustable-rate. At September 30, 2019 and December 31, 2018 , commercial real estate investments held for investment were comprised of the following: September 30, 2019 December 31, 2018 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 434,949 $ 432,460 30.2 % $ 988,248 $ 981,202 75.6 % Senior securitized mortgages (3) 814,423 810,005 56.5 % — — — % Mezzanine loans 192,065 178,969 13.3 % 319,663 315,601 24.4 % Total $ 1,441,437 $ 1,421,434 100.0 % $ 1,307,911 $ 1,296,803 100.0 % (1) Carrying value includes unamortized origination fees of $7.3 million and $7.6 million at September 30, 2019 and December 31, 2018 , respectively. (2) Based on outstanding principal. (3) Assets of a consolidated VIE. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at September 30, 2019 and December 31, 2018 : September 30, 2019 Senior Senior (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 376,651 964,473 21,032 1,362,156 Principal payments (16,099 ) (150,050 ) (139,955 ) (306,104 ) Transfers (913,849 ) — (8,675 ) (922,524 ) Net (increase) decrease in origination fees 2,972 (6,999 ) (184 ) (4,211 ) Amortization of net origination fees 1,583 2,581 357 4,521 Allowance for loan losses — — (9,207 ) (9,207 ) Net carrying value (September 30, 2019) $ 432,460 $ 810,005 $ 178,969 $ 1,421,434 December 31, 2018 Senior Mezzanine Preferred Total (dollars in thousands) Net carrying value (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 575,953 52,224 — 628,177 Principal payments (216,849 ) (127,575 ) (9,000 ) (353,424 ) Net (increase) decrease in origination fees (6,624 ) (370 ) — (6,994 ) Amortization of net origination fees 2,822 376 15 3,213 Allowance for loan losses — (3,496 ) — (3,496 ) Net carrying value (December 31, 2018) $ 981,202 $ 315,601 $ — $ 1,296,803 (1) Assets of a consolidated VIE. The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of September 30, 2019 and December 31, 2018 . September 30, 2019 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful (2) Loss (3) Total (dollars in thousands) Senior mortgages $ 434,949 30.2 % $ 141,505 $ 185,954 $ 64,390 $ 43,100 $ — $ — $ 434,949 Senior securitized mortgages (4) 814,423 56.5 % 322,193 316,710 125,520 50,000 — — 814,423 Mezzanine loans 192,065 13.3 % 61,063 70,299 — 17,100 36,603 7,000 192,065 Total $ 1,441,437 100.0 % $ 524,761 $ 572,963 $ 189,910 $ 110,200 $ 36,603 7,000 $ 1,441,437 December 31, 2018 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful (2) Loss Total (dollars in thousands) Senior mortgages $ 988,248 75.6 % $ 653,066 $ 215,792 $ 55,000 $ 64,390 $ — $ — $ 988,248 Mezzanine loans 319,663 24.4 % 140,776 38,884 96,400 36,603 7,000 — 319,663 Total $ 1,307,911 100.0 % $ 793,842 $ 254,676 $ 151,400 $ 100,993 $ 7,000 $ — $ 1,307,911 (1) The Company rated three loans as of September 30, 2019 and two loans as of December 31, 2018 as Substandard. 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. (2) The Company rated one loan as Doubtful and evaluated for impairment as of September 30, 2019. The Company rated one loan as Doubtful and evaluated for impairment as of December 31, 2018. The allowance for loan losses for Doubtful loans was $5.7 million and $3.5 million as of September 30, 2019 and December 31, 2018, respectively. (3) The Company transferred a loan from Doubtful to Loss during the three months ended September 30, 2019. (4) Assets of a consolidated VIE. Corporate Debt The Company’s investments in corporate loans typically take the form of senior secured loans primarily in first or second lien positions. The Company’s senior secured loans generally have stated maturities of five to seven 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. 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. The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at September 30, 2019 and December 31, 2018 are as follows: Industry Dispersion September 30, 2019 December 31, 2018 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ — $ 41,064 $ 41,064 $ — $ 41,342 $ 41,342 Arrangement of Transportation of Freight & Cargo — — — — 21,632 21,632 Coating, Engraving & Allied Services — 49,767 49,767 — 57,223 57,223 Commercial Fishing — — — — 242,185 242,185 Computer Programming, Data Processing & Other Computer Related Services — 347,287 347,287 — — — Drugs — 35,918 35,918 — 35,882 35,882 Electrical Work — 42,372 42,372 — 41,760 41,760 Electronic Components & Accessories — 24,000 24,000 — 24,059 24,059 Engineering, Architectural, and Surveying — 77,284 77,284 — 80,748 80,748 Grocery Stores — 23,292 23,292 — 23,431 23,431 Home Health Care Services — 29,391 29,391 — — — Insurance Agents, Brokers and Service — 76,444 76,444 — 48,942 48,942 Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,770 14,770 — 14,843 14,843 Management & Public Relations Services — 339,319 339,319 — 487,046 487,046 Medical & Dental Laboratories — 41,467 41,467 — 26,858 26,858 Metal Cans & Shipping Containers — 118,420 118,420 — 118,248 118,248 Miscellaneous Business Services — 215,709 215,709 — 19,622 19,622 Miscellaneous Equipment Rental & Leasing — 49,732 49,732 — 49,552 49,552 Miscellaneous Health & Allied Services, not elsewhere classified — 77,551 77,551 — 56,003 56,003 Miscellaneous Plastic Products — 10,000 10,000 — 9,953 9,953 Motor Vehicles and Motor Vehicle Equipment — — — — 16,563 16,563 Motor Vehicles and Motor Vehicle Parts & Supplies — 28,877 28,877 — 29,046 29,046 Nonferrous Foundries (Castings) — 12,918 12,918 — 12,948 12,948 Offices & Clinics of Doctors of Medicine — 107,066 107,066 — 97,877 97,877 Offices & Clinics of other Health Practitioners — 10,123 10,123 — 21,100 21,100 Petroleum and Petroleum Products — 24,957 24,957 — — — Public Warehousing & Storage — 94,877 94,877 — 84,278 84,278 Research, Development & Testing Services — 45,610 45,610 — 33,381 33,381 Schools & Educational Services, not elsewhere classified — 19,635 19,635 — 19,805 19,805 Services Allied with the Exchange of Securities — — — — 14,877 14,877 Surgical, Medical & Dental Instruments & Supplies — 96,702 96,702 — 96,607 96,607 Telephone Communications — 61,231 61,231 — 61,371 61,371 Total $ — $ 2,115,783 $ 2,115,783 $ — $ 1,887,182 $ 1,887,182 The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at September 30, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 (dollars in thousands) First lien loans $ 1,305,810 $ 1,346,356 Second lien loans 809,973 540,826 Total $ 2,115,783 $ 1,887,182

MORTGAGE SERVICING RIGHTS

MORTGAGE SERVICING RIGHTS	9 Months Ended
	Sep. 30, 2019
Transfers and Servicing [Abstract]
MORTGAGE SERVICING RIGHTS	7. MORTGAGE SERVICING RIGHTS The Company owns variable interests in an entity that invests in MSRs. Refer to the “Variable Interest Entities” Note for a detailed discussion on this topic. 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, 2019 and 2018 : Three Months Ended Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) Fair value, beginning of period $ 425,328 $ 599,014 $ 557,813 $ 580,860 Change in fair value due to: Changes in valuation inputs or assumptions (1) (17,312 ) (19,913 ) (116,150 ) (61,011 ) Other changes, including realization of expected cash flows (21,965 ) 9,732 (55,612 ) 68,984 Fair value, end of period $ 386,051 $ 588,833 $ 386,051 $ 588,833 (1) 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, 2019 , the Company recognized $27.7 million and $82.9 million , respectively, and for the three and nine months ended September 30, 2018 , the Company recognized $27.7 million and $83.8 million , respectively, of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).

VARIABLE INTEREST ENTITIES

VARIABLE INTEREST ENTITIES	9 Months Ended
	Sep. 30, 2019
Organization, Consolidation and Presentation of Financial Statements [Abstract]
VARIABLE INTEREST ENTITIES	8. VARIABLE INTEREST ENTITIES Commercial Trusts 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 the 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. In August 2019, the Company purchased approximately $20.3 million of a subordinated tranche in a securitization trust. As the controlling class representative, 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. 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 $1.5 billion at September 30, 2019 . At September 30, 2019 , 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, 2019 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. Collateralized Loan Obligation In February 2019, the Company closed NLY 2019-FL2 a managed commercial real estate collateralized loan obligation (“CLO”) securitization with a face value of $857.3 million , which provides non-recourse financing to the Company collateralized by certain commercial real estate mortgage loans originated by the Company. As of September 30, 2019 a total of $635.9 million of notes were held by third parties and the Company retained or purchased $223.9 million of subordinated notes and preferred shares, which eliminate upon consolidation. The Company has determined that it is the primary beneficiary because it has the right to direct the servicer as well as remove the special servicer without cause and it holds variable interests that could be potentially significant to the CLO. The transfers of loans to the CLO did not qualify for sale accounting because the Company maintains effective control over the loans. The Company elected the fair value option for the financial liabilities issued by the CLO in order to simplify the accounting; however, the commercial loans continue to be carried at amortized cost as they were not eligible for the fair value option as it was not elected at origination of the loans. The Company incurred $8.3 million of costs in connection with the CLO that were expensed as incurred during the nine months ended September 30, 2019 . The aggregate unpaid principal balance of loans in the CLO was $814.4 million at September 30, 2019 and 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 debt securities at September 30, 2019 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. The contractual principal amount of the CLO debt held by third parties was $633.9 million at September 30, 2019 . Residential Trusts The Company consolidates a securitization trust, which is included in “Residential Trusts” in the tables below, that issued residential mortgage-backed securities that are collateralized by residential mortgage loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns the subordinate securities, and a subsidiary of the Company continues to be the master servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has not elected to apply the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trust are available from third-party pricing services. The contractual principal amount of the residential mortgage trust’s debt held by third parties was $66.2 million at September 30, 2019 . OBX Trusts The entities in the table below are referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2018-1 March 2018 $ 327,162 OBX 2018-EXP1 August 2018 $ 383,451 OBX 2018-EXP2 October 2018 $ 384,027 OBX 2019-INV1 January 2019 $ 393,961 OBX 2019-EXP1 April 2019 $ 388,156 OBX 2019-INV2 June 2019 $ 383,760 OBX 2019-EXP2 July 2019 $ 463,405 As of September 30, 2019 , a total of $1.8 billion of bonds were held by third parties and the Company retained $512.6 million of mortgage-backed securities, which were eliminated in consolidation. The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs. The Company has elected the fair value option for the financial assets and liabilities of these VIEs, but has not elected the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trusts are available from third-party pricing services. The Company incurred $2.6 million and $1.8 million of costs during the three months ended September 30, 2019 and 2018 , respectively, and $7.3 million and $3.3 million of costs during the nine months ended September 30, 2019 and 2018 , respectively, in connection with these securitizations that were expensed as incurred. The contractual principal amount of the OBX Trusts’ debt held by third parties was $1.8 billion at September 30, 2019 . Although the residential mortgage loans have been sold for bankruptcy and state law purposes, the transfers of the residential mortgage loans to the OBX Trusts did not qualify for sale accounting and are reflected as intercompany secured borrowings that are eliminated upon consolidation. Credit Facility VIEs In June 2016, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of September 30, 2019 , the borrowing limit on this facility was $500.0 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 $748.8 million at September 30, 2019 . The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At September 30, 2019 , the subsidiary had an intercompany receivable of $434.7 million , which eliminates upon consolidation and a secured financing of $434.7 million to the third party financial institution. In July 2017, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of September 30, 2019 , the borrowing limit on this facility was $250.0 million . The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as servicer and because it holds a variable interest in the entity that could potentially be significant to the entity. The Company has transferred corporate loans to the subsidiary with a carrying amount of $435.5 million at September 30, 2019 , which continue to be reflected in the Company’s Consolidated Statements of Financial Condition under Loans, net. At September 30, 2019 , the subsidiary had a secured financing of $246.7 million to the third party financial institution. In January 2019, a consolidated subsidiary of the Company (the “Borrower”) entered into a $200.0 million credit facility with a third party financial institution. As of September 30, 2019 , the Borrower had a secured financing of $152.2 million to the third party financial institution. MSR Silo 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 $2.7 billion at September 30, 2019 . 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 CLO, credit facility VIEs and OBX Trusts as the transfers of loans did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2019 and December 31, 2018 are as follows: September 30, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 49,579 Loans — — 76,315 Assets transferred or pledged to securitization vehicles 1,501,408 86,176 — Mortgage servicing rights — — 386,051 Principal and interest receivable 5,610 454 — Other assets — — 27,612 Total assets $ 1,507,018 $ 86,630 $ 539,557 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,364,112 $ 66,478 $ — Other secured financing — — 44,061 Payable for unsettled trades — — 17,817 Interest payable 2,207 157 — Other liabilities — 193 2,723 Total liabilities $ 1,366,319 $ 66,828 $ 64,601 December 31, 2018 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 30,444 Loans — — 97,464 Assets transferred or pledged to securitization vehicles 2,738,369 105,003 — Mortgage servicing rights — — 557,813 Principal and interest receivable 11,451 539 — Other assets — 4 28,756 Total assets $ 2,749,820 $ 105,546 $ 714,477 Liabilities Debt issued by securitization vehicles (non-recourse) $ 2,509,264 $ 71,324 $ — Other secured financing — — 68,385 Interest payable 4,594 238 — Other liabilities — — 1,975 Total liabilities $ 2,513,858 $ 71,562 $ 70,360 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, OBX Trusts and CLO, at September 30, 2019 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Commercial Trusts Residential Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 476,312 20.2 % California $ 37,268 44.2 % California 459,310 19.5 % Texas 11,202 13.3 % New York 353,800 15.0 % Illinois 7,102 8.4 % Florida 163,995 7.0 % Washington 5,895 7.0 % North Carolina 123,026 5.2 % Other (1) 22,889 27.1 % Other (1) 779,654 33.1 % Total $ 2,356,097 100.0 % Total $ 84,356 100.0 % (1) No individual state greater than 5% .

REAL ESTATE

REAL ESTATE	9 Months Ended
	Sep. 30, 2019
Real Estate Properties Base Purchase Price [Abstract]
REAL ESTATE	9. 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 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, 2019 or December 31, 2018 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 year ended December 31, 2018; refer to the “Acquisition of MTGE Investment Corp.” Note for additional information. There were no acquisitions of new real estate holdings during the three and nine months ended September 30, 2019 . The company sold one of its wholly owned triple net leased properties during the nine months ended September 30, 2019 for $6.7 million and recognized a gain on sale of $2.7 million . The weighted average amortization period for intangible assets and liabilities at September 30, 2019 is 5.2 years. Above market leases and leasehold intangible assets are included in Intangible assets, net and below market leases are included in Other liabilities in the Consolidated Statements of Financial Condition. September 30, 2019 December 31, 2018 Real estate, net (dollars in thousands) Land $ 128,114 $ 128,742 Buildings and improvements 582,555 581,320 Furniture, fixtures and equipment 11,058 11,602 Subtotal 721,727 721,664 Less: accumulated depreciation (84,065 ) (67,026 ) Total real estate held for investment, at amortized cost, net 637,662 654,638 Equity in unconsolidated joint ventures 87,846 84,835 Total real estate, net $ 725,508 $ 739,473 Depreciation expense was $6.0 million and $17.8 million for the three and nine months ended September 30, 2019 , respectively. Depreciation expense was $4.5 million and $11.9 million for the three and nine months ended September 30, 2018 , 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, 2019 for consolidated investments in real estate are as follows: September 30, 2019 (dollars in thousands) 2019 (remaining) $ 16,193 2020 48,094 2021 47,444 2022 43,597 2023 40,804 Later years 213,676 Total $ 409,808

DERIVATIVE INSTRUMENTS

DERIVATIVE INSTRUMENTS	9 Months Ended
	Sep. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]
DERIVATIVE INSTRUMENTS	10. DERIVATIVE INSTRUMENTS Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, options on TBA securities (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also enter into other types of mortgage derivatives such as interest-only securities, credit derivatives referencing the commercial mortgage-backed securities index and synthetic total return swaps. In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options and U.S. Treasury or Eurodollar futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value and terms of the derivative contract. In the case of market agreed coupon (“MAC”) interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swaps, which represents fair value of these swaps, to compensate for the out of market nature of such interest rate swaps. Subsequent changes in fair value from inception of these interest rate swaps are reflected within Unrealized gains (losses) on interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss). Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts. Derivatives are accounted for in accordance with FASB ASC 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives 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, 2019 , $1.1 billion of variation margin was reported as an adjustment to interest rate swaps, at fair value. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. The Company may enter into interest rate swap agreements where the floating leg is linked to the London Interbank Offered Rate (“LIBOR”), the overnight index swap rate or another index. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps, including MAC interest rate swaps, are generally fair valued using the DCO’s market values. If an interest rate swap is terminated, the realized gain (loss) on the interest rate swap would be equal to the difference between the cash received or paid and fair value. Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain 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. The table below summarizes fair value information about our derivative assets and liabilities at September 30, 2019 and December 31, 2018 : Derivatives Instruments September 30, 2019 December 31, 2018 Assets (dollars in thousands) Interest rate swaps $ 2,556 $ 48,114 Interest rate swaptions 39,251 7,216 TBA derivatives 15,706 141,688 Futures contracts 102,400 — Purchase commitments 3,787 844 Credit derivatives (1) 5,055 2,641 $ 168,755 $ 200,503 Liabilities Interest rate swaps $ 861,067 $ 420,365 TBA derivatives 28,373 — Futures contracts 80,563 462,309 Purchase commitments 1,074 33 Credit derivatives (1) 1,338 7,043 $ 972,415 $ 889,750 (1) The notional amount of the credit derivatives in which the Company purchased protection was $15.0 million and $30.0 million at September 30, 2019 and December 31, 2018 , respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $410.0 million and $451.0 million at September 30, 2019 and December 31, 2018 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AA and BBB-. The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2019 and December 31, 2018 : September 30, 2019 Maturity Current Notional (1)(2) Weighted Average Pay Rate (3)(4) Weighted Average Receive Rate (3) Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 41,234,400 1.62 % 2.11 % 1.42 3 - 6 years 12,815,950 1.91 % 2.19 % 4.58 6 - 10 years 16,071,500 2.23 % 2.29 % 9.24 Greater than 10 years 3,060,000 3.76 % 2.11 % 18.14 Total / Weighted average $ 73,181,850 1.88 % 2.16 % 4.32 December 31, 2018 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 31,900,200 1.84 % 2.73 % 1.21 3 - 6 years 16,603,200 2.29 % 2.70 % 4.30 6 - 10 years 18,060,900 2.57 % 2.56 % 8.62 Greater than 10 years 3,901,400 3.63 % 2.59 % 17.33 Total / Weighted average $ 70,465,700 2.17 % 2.68 % 4.26 (1) As of September 30, 2019 , 81% and 19% of the Company’s interest rate swaps were linked to LIBOR and the overnight index swap rate, respectively. As of December 31, 2018 , all of the Company’s interest rate swaps were linked to LIBOR. (2) Notional amount includes $130.0 million forward starting pay fixed swaps at September 30, 2019 . There were no forward starting swaps at December 31, 2018 . (3) Excludes forward starting swaps. (4) Weighted average fixed rate on forward starting pay fixed swaps was 1.59% at September 30, 2019 . The following table presents swaptions outstanding at September 30, 2019 and December 31, 2018 . September 30, 2019 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long Pay $5,175,000 2.57% 3M LIBOR 9.55 7.23 Long Receive $2,000,000 1.49% 3M LIBOR 10.55 6.47 December 31, 2018 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long Pay $4,075,000 3.30% 3M LIBOR 10.08 3.06 The following table summarizes certain characteristics of the Company’s TBA derivatives at September 30, 2019 and December 31, 2018 : September 30, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 10,823,000 $ 10,999,389 $ 10,986,722 (12,667 ) December 31, 2018 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,803,000 $ 13,823,109 $ 13,964,797 141,688 The following table summarizes certain characteristics of the Company’s futures derivatives at September 30, 2019 and December 31, 2018 : September 30, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (5,314,900 ) 4.42 U.S. Treasury futures - 10 year and greater 2,600,000 (5,151,400 ) 10.03 Total $ 2,600,000 $ (10,466,300 ) 7.75 December 31, 2018 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (1,166,000 ) 1.97 U.S. Treasury futures - 5 year — (6,359,400 ) 4.39 U.S. Treasury futures - 10 year and greater — (11,152,600 ) 7.10 Total $ — $ (18,678,000 ) 5.86 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, 2019 and December 31, 2018 , respectively. September 30, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 2,556 $ (2,291 ) $ — $ 265 Interest rate swaptions, at fair value 39,251 — — 39,251 TBA derivatives, at fair value 15,706 (7,208 ) — 8,498 Futures contracts, at fair value 102,400 (37,973 ) — 64,427 Purchase commitments 3,787 — — 3,787 Credit derivatives 5,055 (1,026 ) — 4,029 Liabilities Interest rate swaps, at fair value $ 861,067 $ (2,291 ) $ (121,915 ) $ 736,861 TBA derivatives, at fair value 28,373 (7,208 ) — 21,165 Futures contracts, at fair value 80,563 (37,973 ) (42,590 ) — Purchase commitments 1,074 — — 1,074 Credit derivatives 1,338 (1,026 ) (312 ) — December 31, 2018 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 48,114 $ (29,308 ) $ — $ 18,806 Interest rate swaptions, at fair value 7,216 — — 7,216 TBA derivatives, at fair value 141,688 — — 141,688 Purchase commitments 844 — — 844 Credit derivatives 2,641 (2,641 ) — — Liabilities Interest rate swaps, at fair value $ 420,365 $ (29,308 ) $ (11,856 ) $ 379,201 Futures contracts, at fair value 462,309 — (462,309 ) — Purchase commitments 33 — — 33 Credit derivatives 7,043 (2,641 ) (4,402 ) — The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps For the three months ended (dollars in thousands) September 30, 2019 $ 88,466 $ (682,602 ) $ (326,309 ) September 30, 2018 $ 51,349 $ 575 $ 417,203 For the nine months ended September 30, 2019 $ 306,154 $ (1,438,349 ) $ (1,992,884 ) September 30, 2018 $ 34,664 $ 1,409 $ 1,737,963 The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended September 30, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 93,919 $ (46,124 ) $ 47,795 Net interest rate swaptions (2,778 ) (4,571 ) (7,349 ) Futures (424,268 ) 364,613 (59,655 ) Purchase commitments — (348 ) (348 ) Credit derivatives 1,784 885 2,669 Total $ (16,888 ) Three Months Ended September 30, 2018 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 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 Nine Months Ended September 30, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 481,865 $ (154,355 ) $ 327,510 Net interest rate swaptions (44,088 ) 7,935 (36,153 ) Futures (1,430,450 ) 484,146 (946,304 ) Purchase commitments — 1,903 1,903 Credit derivatives 5,285 9,301 14,586 Total $ (638,458 ) Nine Months Ended September 30, 2018 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (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 Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at September 30, 2019 was approximately $781.2 million , which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized.

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS	9 Months Ended
	Sep. 30, 2019
Fair Value Disclosures [Abstract]
FAIR VALUE MEASUREMENTS	11. FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments 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. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets, TBA derivatives and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, refer to the 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, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 114,462,524 $ — $ 114,462,524 Credit risk transfer securities — 474,765 — 474,765 Non-Agency mortgage-backed securities — 1,015,921 — 1,015,921 Commercial mortgage-backed securities — 140,851 — 140,851 Loans Residential mortgage loans — 1,219,402 — 1,219,402 Mortgage servicing rights — — 386,051 386,051 Assets transferred or pledged to securitization vehicles — 3,878,139 — 3,878,139 Derivative assets Interest rate swaps — 2,556 — 2,556 Other derivatives 102,400 63,799 — 166,199 Total assets $ 102,400 $ 121,257,957 $ 386,051 $ 121,746,408 Liabilities Debt issued by securitization vehicles — 3,856,082 — 3,856,082 Derivative liabilities Interest rate swaps — 861,067 — 861,067 Other derivatives 80,563 30,785 — 111,348 Total liabilities $ 80,563 $ 4,747,934 $ — $ 4,828,497 December 31, 2018 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 90,752,995 $ — $ 90,752,995 Credit risk transfer securities — 552,097 — 552,097 Non-Agency mortgage-backed securities — 1,161,938 — 1,161,938 Commercial mortgage-backed securities — 156,758 — 156,758 Loans Residential mortgage loans — 1,359,806 — 1,359,806 Mortgage servicing rights — — 557,813 557,813 Assets transferred or pledged to securitization vehicles — 3,833,200 — 3,833,200 Derivative assets Interest rate swaps — 48,114 — 48,114 Other derivatives — 152,389 — 152,389 Total assets $ — $ 98,017,297 $ 557,813 $ 98,575,110 Liabilities Debt issued by securitization vehicles $ — $ 3,347,062 $ — $ 3,347,062 Derivative liabilities Interest rate swaps — 420,365 — 420,365 Other derivatives 462,309 7,076 — 469,385 Total liabilities $ 462,309 $ 3,774,503 $ — $ 4,236,812 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. September 30, 2019 December 31, 2018 Valuation Technique Unobservable Input (1) Range (Weighted Average ) Unobservable Input (1) Range (Weighted Average ) Discounted cash flow Discount rate 9.0% -12.0% (9.3%) Discount rate 9.0% -12.0% (9.4%) Prepayment rate 6.8% - 30.0% (15.7%) Prepayment rate 4.7% - 13.9% (8.0%) Delinquency rate 0.0% - 4.0% (2.1%) Delinquency rate 0.0% - 5.0% (2.3%) Cost to service $81 - $131 ($106) Cost to service $82 - $138 ($110) (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, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 Level in Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) 3 $ 1,421,434 $ 1,434,293 $ 1,296,803 $ 1,303,487 Commercial loans held for sale, net 3 — — 42,184 42,184 Corporate debt, held for investment 2 2,115,783 2,073,721 1,887,182 1,863,524 Financial liabilities Repurchase agreements 1,2 $ 102,682,104 $ 102,682,104 $ 81,115,874 $ 81,115,874 Other secured financing 1,2 4,466,030 4,466,210 4,183,311 4,183,805 Mortgage payable 3 485,657 529,198 511,056 507,770 (1) Includes assets of a consolidated VIE.

GOODWILL AND INTANGIBLE ASSETS

GOODWILL AND INTANGIBLE ASSETS	9 Months Ended
	Sep. 30, 2019
Goodwill and Intangible Assets Disclosure [Abstract]
GOODWILL AND INTANGIBLE ASSETS	12. GOODWILL AND INTANGIBLE ASSETS Goodwill The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill 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, 2019 and December 31, 2018 , goodwill totaled $71.8 million . 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, 2019 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2018 $ 29,039 Intangible assets divested (147 ) Less: amortization expense (5,803 ) Balance at September 30, 2019 $ 23,089

SECURED FINANCING

SECURED FINANCING	9 Months Ended
	Sep. 30, 2019
Debt Disclosure [Abstract]
SECURED FINANCING	13. SECURED FINANCING Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements 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 $102.7 billion and $81.1 billion of repurchase agreements with weighted average borrowing rates of 2.24% and 2.36% , after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 45 days and 77 days at September 30, 2019 and December 31, 2018 , respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.1 billion with remaining capacity of $895.4 million at September 30, 2019 . At September 30, 2019 and December 31, 2018 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 30, 2019 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 19,451,333 $ — $ — $ — $ — $ 19,451,333 2.76 % 2 to 29 days 32,145,933 195,190 670,750 — 159,008 33,170,881 2.46 % 30 to 59 days 15,114,797 — — — 23,665 15,138,462 2.64 % 60 to 89 days 19,846,591 30,964 154,159 103,938 3,926 20,139,578 2.26 % 90 to 119 days 5,077,560 — — — — 5,077,560 2.44 % Over 120 days (1) 9,513,621 — 60,957 100,676 29,036 9,704,290 2.18 % Total $ 101,149,835 $ 226,154 $ 885,866 $ 204,614 $ 215,635 $ 102,682,104 2.48 % December 31, 2018 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities U.S. Treasury Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,661,001 284,906 353,429 — 72,840 640,465 32,012,641 3.50 % 30 to 59 days 8,164,165 — — — — — 8,164,165 2.33 % 60 to 89 days 18,326,399 88,630 251,441 — 23,302 — 18,689,772 2.62 % 90 to 119 days 10,067,183 — — — — — 10,067,183 2.54 % Over 120 days (1) 11,263,625 — 116,434 693,939 108,115 — 12,182,113 2.92 % Total $ 78,482,373 $ 373,536 $ 721,304 $ 693,939 $ 204,257 $ 640,465 $ 81,115,874 2.97 % (1) Less than 1% and approximately 1% of the total repurchase agreements had a remaining maturity over 1 year at September 30, 2019 and December 31, 2018 , 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, 2019 and December 31, 2018 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. September 30, 2019 December 31, 2018 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 550,000 $ 103,232,104 $ 650,040 $ 81,115,874 Amounts offset (550,000 ) (550,000 ) — — Netted amounts $ — $ 102,682,104 $ 650,040 $ 81,115,874 The fair value of collateral received in connection with reverse repurchase agreements was $0 and $650.0 million , which the Company fully repledged, as of September 30, 2019 and December 31, 2018 , respectively. 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, 2019 , $90.0 million of advances from the FHLB Des Moines matures in less than one year and $3.5 billion matures between one to three years . At December 31, 2018 , $3.6 billion of advances from the FHLB Des Moines matured between one to three years . The weighted average rate of the advances from the FHLB Des Moines was 2.48% and 2.78% at September 30, 2019 and December 31, 2018 , respectively. The Company held $147.9 million of capital stock in the FHLB Des Moines at September 30, 2019 and December 31, 2018 , 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 $113.7 billion and $367.9 million , respectively, at September 30, 2019 and $90.2 billion and $303.1 million , respectively, at December 31, 2018 . Mortgage loans payable at September 30, 2019 and December 31, 2018 , were as follows: September 30, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,535 $ 318,625 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,003 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 83,412 85,193 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,799 33,311 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+3.50% Floating 1/31/2020 First liens Utah 7,104 7,122 3.69% Fixed 6/1/2053 First liens Minnesota 13,292 13,326 3.69% Fixed 6/1/2053 First liens Wisconsin 7,806 7,827 3.69% Fixed 6/1/2053 First liens Total $ 485,657 $ 491,435 December 31, 2018 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,275 $ 318,664 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,125 16,125 L+2.75% Floating 3/14/2020 First liens Virginia 95,827 97,667 2.75% - 4.96% Fixed 2019 - 2053 First liens Texas 32,189 33,735 3.28% Fixed 1/1/2053 First liens Utah 9,703 9,706 L+3.50% Floating 1/31/2019 First liens Utah 7,279 7,201 3.69% Fixed 6/1/2053 First liens Minnesota 13,438 13,473 3.69% Fixed 6/1/2053 First liens Tennessee 12,328 12,350 4.01% Fixed 9/6/2019 First liens Wisconsin 7,892 7,913 3.69% Fixed 6/1/2053 First liens Total $ 511,056 $ 516,834 The following table details future mortgage loan principal payments at September 30, 2019 : Mortgage Loan Principal Payments (dollars in thousands) 2019 (remaining) $ 804 2020 12,989 2021 3,491 2022 20,034 2023 3,844 Later years 450,273 Total $ 491,435

CAPITAL STOCK

CAPITAL STOCK	9 Months Ended
	Sep. 30, 2019
Equity [Abstract]
CAPITAL STOCK	14. CAPITAL STOCK (A) Common Stock The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at September 30, 2019 and December 31, 2018 . Shares authorized Shares issued and outstanding September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 Par Value Common stock 2,914,850,000 1,924,050,000 1,437,964,466 1,313,763,450 $0.01 During the nine months ended September 30, 2019 , the Company closed the public offering of an original issuance of 75.0 million shares of common stock for proceeds of $730.5 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 $109.6 million in proceeds before deducting offering expenses. 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 $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. In June 2019, the Company announced that its board of directors (“Board”) had authorized the repurchase of up to $1.5 billion of its outstanding shares of common stock through December 31, 2020. During the three and nine months ended September 30, 2019 , the Company repurchased 18.3 million shares of its common stock for an aggregate amount of $155.0 million , excluding commission costs. All common shares purchased were part of a publicly announced plan in open-market transactions. The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Nine Months Ended September 30, 2019 September 30, 2018 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 180,000 245,000 Amount raised from direct purchase and dividend reinvestment program $ 1,795 $ 2,584 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, 2019 , the Company issued 56.0 million shares for proceeds of $569.1 million , net of commissions and fees, under the at-the-market sales program. During the nine months ended September 30, 2018 , the Company issued 24.0 million shares for proceeds of $251.1 million , net of commissions and fees, under the at-the-market sales program. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 30, 2019 and December 31, 2018 . 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, 2019 December 31, 2018 September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 Fixed-rate (dollars in thousands) Series C — 7,000,000 — 7,000,000 $ — $ 169,466 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 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 19,550,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Series I 18,400,000 — 17,700,000 — 428,324 — 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 75,950,000 81,900,000 73,400,000 $ 1,982,026 $ 1,778,168 (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, 2019 , the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. During the three and nine months ended September 30, 2019 , the Company redeemed all 7.0 million of its issued and outstanding shares of 7.625% Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”) for $175.0 million . The cash redemption amount for each share of Series C Preferred Stock was $25.00 plus accrued and unpaid dividends to, but not including, the redemption date of July 21, 2019. During the nine months ended September 30, 2019 , the Company redeemed all 2.2 million of its issued and outstanding shares of 8.125% Series H Cumulative Redeemable Preferred Stock (“Series H Preferred Stock”) for $55.0 million . The cash redemption amount for each share of Series H Preferred Stock was $25.00 plus accrued and unpaid dividends to, but not including, the redemption date of May 31, 2019. During the nine months ended September 30, 2019 , the Company issued 17.7 million shares of its 6.750% Seri es I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series I Preferred Stock”) for gross proceeds o f $442.5 million befo re deducting the underwriting discount and other estimated offering expenses. During the nine months ended September 30, 2018 , the Company issued 17.0 million shares of its 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series G Preferred Stock”) for gross proceeds of $425.0 million before deducting the underwriting discount and other estimated offering expenses and During the three and nine months ended September 30, 2018 , the Company issued 2.2 million 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 5.0 million shares of its Series C Preferred Stock for $125.0 million and all 11.5 million of its issued and outstanding shares of 7.625% Series E Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”) for $287.5 million . The Series D Cumulative Redeemable Preferred Stock, Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, Series G Preferred Stock and Series I Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 359,736 $ 365,488 $ 1,158,629 $ 1,062,685 Distributions declared per common share $ 0.25 $ 0.30 $ 0.80 $ 0.90 Distributions paid to common stockholders after period end $ 359,491 $ 102,811 $ 359,491 $ 102,811 Distributions paid per common share after period end $ 0.25 $ 0.08 $ 0.25 $ 0.08 Date of distributions paid to common stockholders after period end October 31, 2019 October 31, 2018 October 31, 2019 October 31, 2018 Dividends declared to series C preferred stockholders $ 742 $ 3,336 $ 7,414 $ 10,987 Dividends declared per share of series C preferred stock (1) $ 0.106 $ 0.477 $ 1.060 $ 1.430 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 $ 25,875 $ 25,875 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 $ 1.407 $ 1.406 Dividends declared to series E preferred stockholders $ — $ — $ — $ 2,253 Dividends declared per share of series E preferred stock $ — $ — $ — $ 0.196 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 37,530 $ 37,530 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 1.303 $ 1.303 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 20,718 $ 19,875 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 1.219 $ 1.169 Dividends declared to series H preferred stockholders $ — $ 298 $ 1,862 $ 298 Dividends declared per share of series H preferred stock $ — $ 0.135 $ 0.846 $ 0.135 Dividends declared to series I preferred stockholders $ 7,668 $ — $ 7,668 $ — Dividends declared per share of series I preferred stock $ 0.436 $ — $ 0.436 $ — (1) Includes dividends declared per share for shares outstanding at September 30, 2018.

INTEREST INCOME AND INTEREST EX

INTEREST INCOME AND INTEREST EXPENSE	9 Months Ended
	Sep. 30, 2019
Banking and Thrift, Interest [Abstract]
INTEREST INCOME AND INTEREST EXPENSE	15. INTEREST INCOME AND INTEREST EXPENSE Refer to the note titled “Significant Accounting Policies” for details surrounding the Company’s accounting policy related to net interest income on securities and loans. The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows CMO (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime jumbo (2) Prospective Prime jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. The following presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2019 and September 30, 2018 . For the Three Months Ended September 30, For the Nine Months Ended September 30, 2019 2018 2019 2018 Interest income (dollars in thousands) Residential Securities $ 784,228 $ 680,037 $ 2,271,893 $ 2,122,375 Residential mortgage loans (1) 37,673 21,184 102,689 55,557 Commercial investment portfolio (1) (2) 87,946 97,531 281,029 249,331 U.S. Treasury securities — 160 — 160 Reverse repurchase agreements 9,452 17,684 57,472 45,466 Total interest income $ 919,299 $ 816,596 $ 2,713,083 $ 2,472,889 Interest expense Repurchase agreements 699,838 445,535 1,962,999 1,177,384 Debt issued by securitization vehicles 34,524 29,391 102,882 63,244 Other 32,543 26,047 98,936 70,458 Total interest expense 766,905 500,973 2,164,817 1,311,086 Net interest income $ 152,394 $ 315,623 $ 548,266 $ 1,161,803 (1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt.

NET INCOME (LOSS) PER COMMON SH

NET INCOME (LOSS) PER COMMON SHARE	9 Months Ended
	Sep. 30, 2019
Earnings Per Share [Abstract]
NET INCOME (LOSS) PER COMMON SHARE	16. NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and nine months ended September 30, 2019 and September 30, 2018 . For the Three Months Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands, except per share data) Net income (loss) $ (747,169 ) $ 385,429 $ (3,372,833 ) $ 2,309,020 Net income (loss) attributable to noncontrolling interests (110 ) (149 ) (294 ) (277 ) Net income (loss) attributable to Annaly (747,059 ) 385,578 (3,372,539 ) 2,309,297 Dividends on preferred stock (1) 36,151 31,675 101,067 96,818 Net income (loss) available (related) to common stockholders $ (783,210 ) $ 353,903 $ (3,473,606 ) $ 2,212,479 Weighted average shares of common stock outstanding-basic 1,453,359,211 1,202,353,851 1,436,204,582 1,174,292,701 Add: Effect of stock awards, if dilutive — — — — Weighted average shares of common stock outstanding-diluted 1,453,359,211 1,202,353,851 1,436,204,582 1,174,292,701 Net income (loss) per share available (related) to common share Basic $ (0.54 ) $ 0.29 $ (2.42 ) $ 1.88 Diluted $ (0.54 ) $ 0.29 $ (2.42 ) $ 1.88 (1) Th e three months ended September 30, 2019 exclude cumulative and undeclared dividends of $0.3 million on the Company’s Series I Preferred Stock as of June 30, 2019. No options to purchase shares of common stock were outstanding for the three and nine months ended September 30, 2019 . Options to purchase 0.2 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 , respectively.

INCOME TAXES

INCOME TAXES	9 Months Ended
	Sep. 30, 2019
Income Tax Disclosure [Abstract]
INCOME TAXES	17. INCOME TAXES For the three months ended September 30, 2019 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Annaly TRS, Inc. and certain subsidiaries of Mountain Merger Sub Corp., have made separate joint elections to treat these subsidiaries as TRSs. As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at September 30, 2019 and December 31, 2018 . 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, 2019 , the Company recorded ($6.9) million and ($10.2) million , respectively, of income tax benefit attributable to its TRSs. During the three and nine months ended September 30, 2018 , the Company recorded ($7.1) million and ($3.3) million , respectively of income tax benefit attributable to its TRSs. The Company’s federal, state and local tax returns from 2016 and forward remain open for examination.

RISK MANAGEMENT

RISK MANAGEMENT	9 Months Ended
	Sep. 30, 2019
Risk Management [Abstract]
RISK MANAGEMENT	18. RISK MANAGEMENT The primary risks to the Company are capital, liquidity and funding risk, 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.

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS	9 Months Ended
	Sep. 30, 2019
Related Party Transactions [Abstract]
RELATED PARTY TRANSACTIONS	19. 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, amended and restated on August 1, 2018, and amended on March 27, 2019 (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 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, and the Manager is responsible for providing personnel to manage the Company. Prior to the most recent amendment to the Management Agreement, which was executed on March 27, 2019, the Company had paid the Manager a flat monthly management fee equal to 1/12th of 1.05% of Stockholders’ Equity (as defined in the Management Agreement) for its management services. Pursuant to the March 27, 2019 amendment to the Management Agreement, the Company now pays the Manager a monthly management fee for its management services in an amount equal to 1/12th of the sum of (i) 1.05% of Stockholders' Equity (as defined in the Management Agreement) up to $17.28 billion , and (ii) 0.75% of Stockholders' Equity (as defined in the Management Agreement) in excess of $17.28 billion . The Company does not pay the Manager any incentive fees. For the three and nine months ended September 30, 2019 , the compensation and management fee was $41.2 million and $130.2 million , respectively. For the three and nine months ended September 30, 2018 , the compensation and management fee was $46.0 million and $136.1 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. As part of an expense management initiative undertaken by the Manager, expense reimbursement payments were voluntarily waived for the three months ended September 30, 2019 . Expense reimbursements and related waivers are routinely reviewed with the Audit Committee of the Board in conformance with established policies. Reimbursement payments to the Manager were $14.3 million for the nine months ended September 30, 2019 . None of the reimbursement payments are attributable to compensation of the Company’s executive officers. At September 30, 2019 and December 31, 2018 the Company had amounts payable to the Manager of $12.7 million and $16.0 million , respectively. 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 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.

LEASE COMMITMENTS AND CONTINGEN

LEASE COMMITMENTS AND CONTINGENCIES	9 Months Ended
	Sep. 30, 2019
Commitments and Contingencies Disclosure [Abstract]
LEASE COMMITMENTS AND CONTINGENCIES	20. LEASE COMMITMENTS AND CONTINGENCIES The Company adopted ASU 2016-02, Leases (Topic 842) on January 1, 2019 with no impact to retained earnings or other components of equity. The Company’s operating leases are primarily comprised of a corporate office lease with a remaining lease term of six years . The corporate office lease includes an option to extend for up to five years , however the extension term was not included in the operating lease liability calculation. Leases with an initial term of 12 months or less are not recorded on the balance sheet. The Company recognizes lease expense for these leases on a straight-line basis over the lease term. The lease cost for the three and nine months ended September 30, 2019 was $0.8 million and $2.4 million , respectively. Supplemental information related to leases as of and for the nine months ended September 30, 2019 was as follows: Operating Leases Classification September 30, 2019 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 16,427 Liabilities Operating lease liabilities (1) Other liabilities $ 21,217 Lease term and discount rate Weighted average remaining lease term 5.9 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 2,784 (1) As the Company’s leases do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2019 (remaining) $ 928 2020 3,799 2021 3,918 2022 3,862 2023 3,862 Later years 6,757 Total lease payments $ 23,126 Less imputed interest 1,909 Present value of lease liabilities $ 21,217 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, 2019 and December 31, 2018 .

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS	9 Months Ended
	Sep. 30, 2019
Regulatory Capital Requirements [Abstract]
ARCOLA REGULATORY REQUIREMENTS	21. ARCOLA REGULATORY REQUIREMENTS Arcola is the Company’s wholly owned and consolidated broker-dealer. Arcola is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees. Arcola is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Arcola enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Arcola generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. Arcola’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and Arcola will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements or other documentation that give Arcola the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. As a member of the Financial Industry Regulatory Authority (“FINRA”), Arcola is required to maintain a minimum net capital balance. At September 30, 2019 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, 2019 was $397.3 million with excess net capital of $397.0 million .

ACQUISITION OF MTGE INVESTMENT

ACQUISITION OF MTGE INVESTMENT CORP	9 Months Ended
	Sep. 30, 2019
Business Combinations [Abstract]
ACQUISITION OF MTGE INVESTMENT CORP	22. ACQUISITION OF MTGE INVESTMENT CORP. 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 shares of 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 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. 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.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

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS	9 Months Ended
	Sep. 30, 2019
Subsequent Events [Abstract]
Subsequent Events	23. SUBSEQUENT EVENTS In October 2019, the Company completed and closed its fifth securitization of residential mortgage loans for the 2019 calendar year, OBX 2019-EXP3 Trust, with a face value of $465.5 million . The securitization represented a financing transaction which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company. In October 2019, the Company repurchased 7.9 million shares of its common stock for an aggregate amount of $68.2 million , excluding commission costs, under the Company’s stock repurchase program.

SIGNIFICANT ACCOUNTING POLICI_2

SIGNIFICANT ACCOUNTING POLICIES (Policies)	9 Months Ended
	Sep. 30, 2019
Accounting Policies [Abstract]
Basis of Presentation	The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”).
Principles of Consolidation	Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation.
Voting Interest Entities	Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE.
Variable Interest Entities	Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. 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.
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 –
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 and the Fair Value Option	Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. Items for which the fair value option has been elected are presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurements” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. The Company follows fair value guidance in accordance with GAAP to account for its financial instruments 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 “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements.
Derivative Instruments	Derivative Instruments – Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion.
Stock Based Compensation	Stock Based Compensation – The Company 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 ratably over the requisite service period for the entire award.
Interest Income	Interest Income - The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than 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. 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 of interest income.
Income Taxes	Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes.
Recent Accounting Pronouncements	Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that 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 certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company plans to adopt the new standard on January 1, 2020. 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 has decided to apply a probability of default methodology to loans and loan commitments that will be impacted by the adoption and is determining appropriate internal controls and financial statement disclosures. Key implementation efforts have included initiating a parallel process including model testing and validation and development of internal controls. The Company expects an increase in the allowance as a result of adoption of the new guidance, but does not expect that the increase will be significant. The ultimate impact will depend on the Company’s portfolio, the macroeconomic conditions and forecast, and other management assumptions as of the date of adoption. Further, based on the amended guidance for available-for-sale debt securities, the Company does not expect a significant impact to its securities portfolio. 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. (“Arcola”) 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.
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 loans. A provision for loan losses 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 loans as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. 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 commercial real estate loans and preferred equity interests (“CRE Debt and Preferred Equity Investments”), and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan, economic trends (both macro and those affecting the property specifically), and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. The Company’s 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.
Residential Mortgage Loans	At September 30, 2019 and December 31, 2018 , commercial real estate investments held for investment were comprised of the following: September 30, 2019 December 31, 2018 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 434,949 $ 432,460 30.2 % $ 988,248 $ 981,202 75.6 % Senior securitized mortgages (3) 814,423 810,005 56.5 % — — — % Mezzanine loans 192,065 178,969 13.3 % 319,663 315,601 24.4 % Total $ 1,441,437 $ 1,421,434 100.0 % $ 1,307,911 $ 1,296,803 100.0 % (1) Carrying value includes unamortized origination fees of $7.3 million and $7.6 million at September 30, 2019 and December 31, 2018 , respectively. (2) Based on outstanding principal. (3) Assets of a consolidated VIE. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at September 30, 2019 and December 31, 2018 : September 30, 2019 Senior Senior (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 376,651 964,473 21,032 1,362,156 Principal payments (16,099 ) (150,050 ) (139,955 ) (306,104 ) Transfers (913,849 ) — (8,675 ) (922,524 ) Net (increase) decrease in origination fees 2,972 (6,999 ) (184 ) (4,211 ) Amortization of net origination fees 1,583 2,581 357 4,521 Allowance for loan losses — — (9,207 ) (9,207 ) Net carrying value (September 30, 2019) $ 432,460 $ 810,005 $ 178,969 $ 1,421,434 December 31, 2018 Senior Mezzanine Preferred Total (dollars in thousands) Net carrying value (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 575,953 52,224 — 628,177 Principal payments (216,849 ) (127,575 ) (9,000 ) (353,424 ) Net (increase) decrease in origination fees (6,624 ) (370 ) — (6,994 ) Amortization of net origination fees 2,822 376 15 3,213 Allowance for loan losses — (3,496 ) — (3,496 ) Net carrying value (December 31, 2018) $ 981,202 $ 315,601 $ — $ 1,296,803 (1) Assets of a consolidated VIE. 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. Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts.
Fair Value of Financial Instruments	The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets, TBA derivatives and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, refer to the Note titled “Variable Interest Entities” for additional information.
Goodwill and Intangible Assets	The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill 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.
Secured Financing	Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements 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.
Contingencies	Contingencies

DESCRIPTION OF BUSINESS (Tables

DESCRIPTION OF BUSINESS (Tables)	9 Months Ended
	Sep. 30, 2019
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, 2019
Accounting Policies [Abstract]
Recent Accounting Pronouncements	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 certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 (early adoption permitted) The Company plans to adopt the new standard on January 1, 2020. 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 has decided to apply a probability of default methodology to loans and loan commitments that will be impacted by the adoption and is determining appropriate internal controls and financial statement disclosures. Key implementation efforts have included initiating a parallel process including model testing and validation and development of internal controls. The Company expects an increase in the allowance as a result of adoption of the new guidance, but does not expect that the increase will be significant. The ultimate impact will depend on the Company’s portfolio, the macroeconomic conditions and forecast, and other management assumptions as of the date of adoption. Further, based on the amended guidance for available-for-sale debt securities, the Company does not expect a significant impact to its securities portfolio. 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. (“Arcola”) 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, 2019
Investments, All Other Investments [Abstract]
Schedule of Characteristics of Financial Instruments	The following table presents characteristics for certain of the Company’s financial instruments at September 30, 2019 and December 31, 2018 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 30, 2019 December 31, 2018 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 113,670,254 $ 89,840,322 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 792,270 912,673 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 474,765 552,097 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,015,921 1,161,938 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 65,215 138,242 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 75,636 18,516 Total securities 116,094,061 92,623,788 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,219,402 1,359,806 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 611,429 1,296,803 Loans, net Commercial loans held for sale, net Lower of amortized cost or fair value — 42,184 Loans, net Corporate debt, held for investment Amortized cost 2,115,783 1,887,182 Total loans, net 3,946,614 4,585,975 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,376,731 1,094,831 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 1,501,408 2,738,369 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 810,005 — Total assets transferred or pledged to securitization vehicles 4,688,144 3,833,200 Reverse repurchase agreements Reverse repurchase agreements Amortized cost — 650,040 Liabilities Repurchase agreements Repurchase agreements Amortized cost 102,682,104 81,115,874 Other secured financing Loans Amortized cost 4,466,030 4,183,311 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,856,082 3,347,062 Mortgages payable Loans Amortized cost 485,657 511,056 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages. (4) Includes conduit CMBS.

SECURITIES (Tables)

SECURITIES (Tables)	9 Months Ended
	Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract]
Rollforward of Company's Securities	The following represents a rollforward of the activity for the Company’s securities for the nine months ended September 30, 2019 : Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2019 $ 92,467,030 $ 156,758 $ 92,623,788 Purchases 50,982,244 111,582 51,093,826 Sales (19,793,722 ) (92,366 ) (19,886,088 ) Principal paydowns (11,215,154 ) (43,170 ) (11,258,324 ) (Amortization) / accretion (942,429 ) 548 (941,881 ) Fair value adjustment 4,455,241 7,499 4,462,740 Ending balance September 30, 2019 $ 115,953,210 $ 140,851 $ 116,094,061
Schedule of Available-for-sale Securities Reconciliation	The following tables present the Company’s securities portfolio that was carried at their fair value at September 30, 2019 and December 31, 2018 : September 30, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 102,020,108 $ 4,321,803 $ (37,466 ) $ 106,304,445 $ 2,216,560 $ (102,943 ) $ 108,418,062 Adjustable-rate pass-through 2,338,560 123,228 (1,440 ) 2,460,348 11,265 (56,122 ) 2,415,491 CMO 9,623 45 — 9,668 298 — 9,966 Interest-only 4,657,039 899,601 — 899,601 4,311 (173,304 ) 730,608 Multifamily 2,562,366 28,314 (2,446 ) 2,588,234 239,213 (712 ) 2,826,735 Reverse mortgages 56,464 5,354 — 61,818 62 (218 ) 61,662 Total agency securities $ 111,644,160 $ 5,378,345 $ (41,352 ) $ 112,324,114 $ 2,471,709 $ (333,299 ) $ 114,462,524 Residential credit CRT (1) $ 463,982 $ 16,785 $ (2,258 ) $ 463,584 $ 13,492 $ (2,311 ) $ 474,765 Alt-A 153,891 255 (22,816 ) 131,330 14,307 — 145,637 Prime 267,196 2,223 (18,176 ) 251,243 18,506 (29 ) 269,720 Prime interest-only 459,718 4,195 — 4,195 — (538 ) 3,657 Subprime 380,293 1,394 (62,355 ) 319,332 40,883 (116 ) 360,099 NPL/RPL 28,669 — (74 ) 28,595 — (41 ) 28,554 Prime jumbo (>=2010 vintage) 197,879 1,052 (4,374 ) 194,557 6,967 — 201,524 Prime jumbo (>=2010 vintage) Interest-only 591,980 9,472 — 9,472 — (2,742 ) 6,730 Total residential credit securities $ 2,543,608 $ 35,376 $ (110,053 ) $ 1,402,308 $ 94,155 $ (5,777 ) $ 1,490,686 Total Residential Securities $ 114,187,768 $ 5,413,721 $ (151,405 ) $ 113,726,422 $ 2,565,864 $ (339,076 ) $ 115,953,210 Commercial Commercial Securities $ 140,600 $ 343 $ (8,391 ) $ 132,552 $ 8,299 $ — $ 140,851 Total securities $ 114,328,368 $ 5,414,064 $ (159,796 ) $ 113,858,974 $ 2,574,163 $ (339,076 ) $ 116,094,061 December 31, 2018 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 81,144,650 $ 3,810,808 $ (36,987 ) $ 84,918,471 $ 264,443 $ (2,130,362 ) $ 83,052,552 Adjustable-rate pass-through 4,835,983 247,981 (1,337 ) 5,082,627 7,127 (151,770 ) 4,937,984 CMO 11,113 53 — 11,166 55 — 11,221 Interest-only 6,007,008 1,179,855 — 1,179,855 1,446 (307,412 ) 873,889 Multifamily 1,802,292 12,329 (5,332 ) 1,809,289 32,753 (3,477 ) 1,838,565 Reverse mortgages 34,650 4,175 — 38,825 69 (110 ) 38,784 Total agency investments $ 93,835,696 $ 5,255,201 $ (43,656 ) $ 93,040,233 $ 305,893 $ (2,593,131 ) $ 90,752,995 Residential credit CRT $ 542,374 $ 28,444 $ (15,466 ) $ 555,352 $ 7,879 $ (11,134 ) $ 552,097 Alt-A 202,889 349 (31,238 ) 172,000 10,559 (198 ) 182,361 Prime 353,108 2,040 (23,153 ) 331,995 12,821 (830 ) 343,986 Subprime 423,166 1,776 (65,005 ) 359,937 35,278 (594 ) 394,621 NPL/RPL 3,431 — (30 ) 3,401 37 — 3,438 Prime jumbo (>=2010 vintage) 225,567 1,087 (4,691 ) 221,963 1,439 (2,744 ) 220,658 Prime jumbo (>=2010 vintage) Interest-only 860,085 12,820 — 12,820 4,054 — 16,874 Total residential credit securities $ 2,610,620 $ 46,516 $ (139,583 ) $ 1,657,468 $ 72,067 $ (15,500 ) $ 1,714,035 Total Residential Securities $ 96,446,316 $ 5,301,717 $ (183,239 ) $ 94,697,701 $ 377,960 $ (2,608,631 ) $ 92,467,030 Commercial Commercial Securities $ 155,921 $ 9,778 $ (9,740 ) $ 155,959 $ 1,659 $ (860 ) $ 156,758 Total securities $ 96,602,237 $ 5,311,495 $ (192,979 ) $ 94,853,660 $ 379,619 $ (2,609,491 ) $ 92,623,788 (1) Principal/Notional amount includes $14.9 million of a CRT interest-only security as of September 30, 2019 .
Types of Agency Mortgage Backed Securities	The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration at September 30, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 Investment Type (dollars in thousands) Fannie Mae $ 73,707,294 $ 60,270,432 Freddie Mac 40,592,878 30,397,556 Ginnie Mae 162,352 85,007 Total $ 114,462,524 $ 90,752,995
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification	The following table summarizes the Company’s Residential Securities at September 30, 2019 and December 31, 2018 , according to their estimated weighted average life classifications: September 30, 2019 December 31, 2018 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 5,508 $ 6,454 $ 13,447 $ 13,670 Greater than one year through five years 58,857,860 57,504,374 11,710,172 11,928,973 Greater than five years through ten years 57,032,062 56,163,913 80,202,479 82,218,464 Greater than ten years 57,780 51,681 540,932 536,594 Total $ 115,953,210 $ 113,726,422 $ 92,467,030 $ 94,697,701
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, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 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 $ 3,524,012 $ (17,042 ) 45 $ 22,418,036 $ (432,352 ) 713 12 Months or more 13,989,400 (142,735 ) 506 43,134,843 (1,853,257 ) 1,476 Total $ 17,513,412 $ (159,777 ) 551 $ 65,552,879 $ (2,285,609 ) 2,189 (1) Excludes interest-only mortgage-backed securities and reverse mortgages.

LOANS (Tables)

LOANS (Tables)	9 Months Ended
	Sep. 30, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]
Loan Investment Activity	The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the nine months ended September 30, 2019 : Residential Commercial Corporate Total (dollars in thousands) Beginning balance January 1, 2019 $ 1,359,806 $ 1,338,987 $ 1,887,182 $ 4,585,975 Purchases 1,894,303 395,058 631,065 2,920,426 Sales and transfers (1) (1,878,218 ) (958,912 ) (268,403 ) (3,105,533 ) Principal payments (156,579 ) (156,437 ) (143,284 ) (456,300 ) Gains / (losses) 1,671 (9,207 ) 5,260 (2,276 ) (Amortization) / accretion (1,581 ) 1,940 3,963 4,322 Ending balance September 30, 2019 $ 1,219,402 $ 611,429 $ 2,115,783 $ 3,946,614 (1) Includes securitizations, syndications and transfers to securitization vehicles.
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, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 (dollars in thousands) Fair value $ 3,596,133 $ 2,454,637 Unpaid principal balance $ 3,475,799 $ 2,425,657
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, 2019 and 2018 for these investments: For the Three Months Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) Interest income $ 37,673 $ 16,423 $ 102,689 $ 45,702 Net gains (losses) on disposal of investments (9,671 ) (2,975 ) (19,499 ) (7,924 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 18,093 (3,633 ) 61,805 (14,802 ) Total included in net income (loss) $ 46,095 $ 9,815 $ 144,995 $ 22,976
Geographic Concentrations Based on Unpaid Principal Balances	The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2019 and December 31, 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans September 30, 2019 December 31, 2018 Property location % of Balance Property location % of Balance California 51.9% California 53.7% New York 10.4% Florida 7.1% Florida 5.7% New York 6.6% All other (none individually greater than 5%) 32.0% All other (none individually greater than 5%) 32.6% Total 100.0% 100.0% The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, OBX Trusts and CLO, at September 30, 2019 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Commercial Trusts Residential Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 476,312 20.2 % California $ 37,268 44.2 % California 459,310 19.5 % Texas 11,202 13.3 % New York 353,800 15.0 % Illinois 7,102 8.4 % Florida 163,995 7.0 % Washington 5,895 7.0 % North Carolina 123,026 5.2 % Other (1) 22,889 27.1 % Other (1) 779,654 33.1 % Total $ 2,356,097 100.0 % Total $ 84,356 100.0 % (1) No individual state greater than 5% .
Residential Mortgage Loans	The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at September 30, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $463 $0 - $3,500 $457 Interest rate 2.00% - 9.25% 5.03% 2.00% - 7.75% 4.72% Maturity 1/1/2028 - 9/1/2059 5/29/2047 1/1/2028 - 11/1/2058 1/11/2046 FICO score at loan origination 505 - 825 756 505 - 823 752 Loan-to-value ratio at loan origination 8% - 111% 67% 8% - 111% 68%
Commercial Real Estate Investments Held for Investment	At September 30, 2019 and December 31, 2018 , commercial real estate investments held for investment were comprised of the following: September 30, 2019 December 31, 2018 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 434,949 $ 432,460 30.2 % $ 988,248 $ 981,202 75.6 % Senior securitized mortgages (3) 814,423 810,005 56.5 % — — — % Mezzanine loans 192,065 178,969 13.3 % 319,663 315,601 24.4 % Total $ 1,441,437 $ 1,421,434 100.0 % $ 1,307,911 $ 1,296,803 100.0 % (1) Carrying value includes unamortized origination fees of $7.3 million and $7.6 million at September 30, 2019 and December 31, 2018 , respectively. (2) Based on outstanding principal. (3) Assets of a consolidated VIE. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at September 30, 2019 and December 31, 2018 : September 30, 2019 Senior Senior (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 376,651 964,473 21,032 1,362,156 Principal payments (16,099 ) (150,050 ) (139,955 ) (306,104 ) Transfers (913,849 ) — (8,675 ) (922,524 ) Net (increase) decrease in origination fees 2,972 (6,999 ) (184 ) (4,211 ) Amortization of net origination fees 1,583 2,581 357 4,521 Allowance for loan losses — — (9,207 ) (9,207 ) Net carrying value (September 30, 2019) $ 432,460 $ 810,005 $ 178,969 $ 1,421,434 December 31, 2018 Senior Mezzanine Preferred Total (dollars in thousands) Net carrying value (January 1, 2018) $ 625,900 $ 394,442 $ 8,985 $ 1,029,327 Originations & advances (principal) 575,953 52,224 — 628,177 Principal payments (216,849 ) (127,575 ) (9,000 ) (353,424 ) Net (increase) decrease in origination fees (6,624 ) (370 ) — (6,994 ) Amortization of net origination fees 2,822 376 15 3,213 Allowance for loan losses — (3,496 ) — (3,496 ) Net carrying value (December 31, 2018) $ 981,202 $ 315,601 $ — $ 1,296,803 (1) Assets of a consolidated VIE. 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. Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts.
Schedule of Commercial Mortgage Loans Held for Investment	The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of September 30, 2019 and December 31, 2018 . September 30, 2019 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful (2) Loss (3) Total (dollars in thousands) Senior mortgages $ 434,949 30.2 % $ 141,505 $ 185,954 $ 64,390 $ 43,100 $ — $ — $ 434,949 Senior securitized mortgages (4) 814,423 56.5 % 322,193 316,710 125,520 50,000 — — 814,423 Mezzanine loans 192,065 13.3 % 61,063 70,299 — 17,100 36,603 7,000 192,065 Total $ 1,441,437 100.0 % $ 524,761 $ 572,963 $ 189,910 $ 110,200 $ 36,603 7,000 $ 1,441,437 December 31, 2018 Internal Ratings Investment Type Outstanding Principal Percentage of CRE Debt and Preferred Equity Portfolio Performing Performing - Closely Monitored Performing - Special Mention Substandard (1) Doubtful (2) Loss Total (dollars in thousands) Senior mortgages $ 988,248 75.6 % $ 653,066 $ 215,792 $ 55,000 $ 64,390 $ — $ — $ 988,248 Mezzanine loans 319,663 24.4 % 140,776 38,884 96,400 36,603 7,000 — 319,663 Total $ 1,307,911 100.0 % $ 793,842 $ 254,676 $ 151,400 $ 100,993 $ 7,000 $ — $ 1,307,911 (1) The Company rated three loans as of September 30, 2019 and two loans as of December 31, 2018 as Substandard. 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. (2) The Company rated one loan as Doubtful and evaluated for impairment as of September 30, 2019. The Company rated one loan as Doubtful and evaluated for impairment as of December 31, 2018. The allowance for loan losses for Doubtful loans was $5.7 million and $3.5 million as of September 30, 2019 and December 31, 2018, respectively. (3) The Company transferred a loan from Doubtful to Loss during the three months ended September 30, 2019. (4) Assets of a consolidated VIE.
Schedule of Industry and Rate Attributes of The Portfolio	The industry and rate attributes of the portfolio at September 30, 2019 and December 31, 2018 are as follows: Industry Dispersion September 30, 2019 December 31, 2018 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Aircraft and Parts $ — $ 41,064 $ 41,064 $ — $ 41,342 $ 41,342 Arrangement of Transportation of Freight & Cargo — — — — 21,632 21,632 Coating, Engraving & Allied Services — 49,767 49,767 — 57,223 57,223 Commercial Fishing — — — — 242,185 242,185 Computer Programming, Data Processing & Other Computer Related Services — 347,287 347,287 — — — Drugs — 35,918 35,918 — 35,882 35,882 Electrical Work — 42,372 42,372 — 41,760 41,760 Electronic Components & Accessories — 24,000 24,000 — 24,059 24,059 Engineering, Architectural, and Surveying — 77,284 77,284 — 80,748 80,748 Grocery Stores — 23,292 23,292 — 23,431 23,431 Home Health Care Services — 29,391 29,391 — — — Insurance Agents, Brokers and Service — 76,444 76,444 — 48,942 48,942 Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,770 14,770 — 14,843 14,843 Management & Public Relations Services — 339,319 339,319 — 487,046 487,046 Medical & Dental Laboratories — 41,467 41,467 — 26,858 26,858 Metal Cans & Shipping Containers — 118,420 118,420 — 118,248 118,248 Miscellaneous Business Services — 215,709 215,709 — 19,622 19,622 Miscellaneous Equipment Rental & Leasing — 49,732 49,732 — 49,552 49,552 Miscellaneous Health & Allied Services, not elsewhere classified — 77,551 77,551 — 56,003 56,003 Miscellaneous Plastic Products — 10,000 10,000 — 9,953 9,953 Motor Vehicles and Motor Vehicle Equipment — — — — 16,563 16,563 Motor Vehicles and Motor Vehicle Parts & Supplies — 28,877 28,877 — 29,046 29,046 Nonferrous Foundries (Castings) — 12,918 12,918 — 12,948 12,948 Offices & Clinics of Doctors of Medicine — 107,066 107,066 — 97,877 97,877 Offices & Clinics of other Health Practitioners — 10,123 10,123 — 21,100 21,100 Petroleum and Petroleum Products — 24,957 24,957 — — — Public Warehousing & Storage — 94,877 94,877 — 84,278 84,278 Research, Development & Testing Services — 45,610 45,610 — 33,381 33,381 Schools & Educational Services, not elsewhere classified — 19,635 19,635 — 19,805 19,805 Services Allied with the Exchange of Securities — — — — 14,877 14,877 Surgical, Medical & Dental Instruments & Supplies — 96,702 96,702 — 96,607 96,607 Telephone Communications — 61,231 61,231 — 61,371 61,371 Total $ — $ 2,115,783 $ 2,115,783 $ — $ 1,887,182 $ 1,887,182
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, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 (dollars in thousands) First lien loans $ 1,305,810 $ 1,346,356 Second lien loans 809,973 540,826 Total $ 2,115,783 $ 1,887,182

MORTGAGE SERVICING RIGHTS (Tabl

MORTGAGE SERVICING RIGHTS (Tables)	9 Months Ended
	Sep. 30, 2019
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, 2019 and 2018 : Three Months Ended Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) Fair value, beginning of period $ 425,328 $ 599,014 $ 557,813 $ 580,860 Change in fair value due to: Changes in valuation inputs or assumptions (1) (17,312 ) (19,913 ) (116,150 ) (61,011 ) Other changes, including realization of expected cash flows (21,965 ) 9,732 (55,612 ) 68,984 Fair value, end of period $ 386,051 $ 588,833 $ 386,051 $ 588,833 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.

VARIABLE INTEREST ENTITIES (Tab

VARIABLE INTEREST ENTITIES (Tables)	9 Months Ended
	Sep. 30, 2019
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Fair Value of OBX Trusts	The entities in the table below are referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2018-1 March 2018 $ 327,162 OBX 2018-EXP1 August 2018 $ 383,451 OBX 2018-EXP2 October 2018 $ 384,027 OBX 2019-INV1 January 2019 $ 393,961 OBX 2019-EXP1 April 2019 $ 388,156 OBX 2019-INV2 June 2019 $ 383,760 OBX 2019-EXP2 July 2019 $ 463,405
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 CLO, credit facility VIEs and OBX Trusts as the transfers of loans did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2019 and December 31, 2018 are as follows: September 30, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 49,579 Loans — — 76,315 Assets transferred or pledged to securitization vehicles 1,501,408 86,176 — Mortgage servicing rights — — 386,051 Principal and interest receivable 5,610 454 — Other assets — — 27,612 Total assets $ 1,507,018 $ 86,630 $ 539,557 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,364,112 $ 66,478 $ — Other secured financing — — 44,061 Payable for unsettled trades — — 17,817 Interest payable 2,207 157 — Other liabilities — 193 2,723 Total liabilities $ 1,366,319 $ 66,828 $ 64,601 December 31, 2018 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 30,444 Loans — — 97,464 Assets transferred or pledged to securitization vehicles 2,738,369 105,003 — Mortgage servicing rights — — 557,813 Principal and interest receivable 11,451 539 — Other assets — 4 28,756 Total assets $ 2,749,820 $ 105,546 $ 714,477 Liabilities Debt issued by securitization vehicles (non-recourse) $ 2,509,264 $ 71,324 $ — Other secured financing — — 68,385 Interest payable 4,594 238 — Other liabilities — — 1,975 Total liabilities $ 2,513,858 $ 71,562 $ 70,360
Geographic Concentrations Based on Unpaid Principal Balances	The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2019 and December 31, 2018 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans September 30, 2019 December 31, 2018 Property location % of Balance Property location % of Balance California 51.9% California 53.7% New York 10.4% Florida 7.1% Florida 5.7% New York 6.6% All other (none individually greater than 5%) 32.0% All other (none individually greater than 5%) 32.6% Total 100.0% 100.0% The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, OBX Trusts and CLO, at September 30, 2019 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Commercial Trusts Residential Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) Texas $ 476,312 20.2 % California $ 37,268 44.2 % California 459,310 19.5 % Texas 11,202 13.3 % New York 353,800 15.0 % Illinois 7,102 8.4 % Florida 163,995 7.0 % Washington 5,895 7.0 % North Carolina 123,026 5.2 % Other (1) 22,889 27.1 % Other (1) 779,654 33.1 % Total $ 2,356,097 100.0 % Total $ 84,356 100.0 % (1) No individual state greater than 5% .

REAL ESTATE (Tables)

REAL ESTATE (Tables)	9 Months Ended
	Sep. 30, 2019
Real Estate Properties Base Purchase Price [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, 2019 December 31, 2018 Real estate, net (dollars in thousands) Land $ 128,114 $ 128,742 Buildings and improvements 582,555 581,320 Furniture, fixtures and equipment 11,058 11,602 Subtotal 721,727 721,664 Less: accumulated depreciation (84,065 ) (67,026 ) Total real estate held for investment, at amortized cost, net 637,662 654,638 Equity in unconsolidated joint ventures 87,846 84,835 Total real estate, net $ 725,508 $ 739,473
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, 2019 for consolidated investments in real estate are as follows: September 30, 2019 (dollars in thousands) 2019 (remaining) $ 16,193 2020 48,094 2021 47,444 2022 43,597 2023 40,804 Later years 213,676 Total $ 409,808

DERIVATIVE INSTRUMENTS (Tables)

DERIVATIVE INSTRUMENTS (Tables)	9 Months Ended
	Sep. 30, 2019
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, 2019 and December 31, 2018 : Derivatives Instruments September 30, 2019 December 31, 2018 Assets (dollars in thousands) Interest rate swaps $ 2,556 $ 48,114 Interest rate swaptions 39,251 7,216 TBA derivatives 15,706 141,688 Futures contracts 102,400 — Purchase commitments 3,787 844 Credit derivatives (1) 5,055 2,641 $ 168,755 $ 200,503 Liabilities Interest rate swaps $ 861,067 $ 420,365 TBA derivatives 28,373 — Futures contracts 80,563 462,309 Purchase commitments 1,074 33 Credit derivatives (1) 1,338 7,043 $ 972,415 $ 889,750 (1) The notional amount of the credit derivatives in which the Company purchased protection was $15.0 million and $30.0 million at September 30, 2019 and December 31, 2018 , respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $410.0 million and $451.0 million at September 30, 2019 and December 31, 2018 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AA and BBB-.
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2019 and December 31, 2018 : September 30, 2019 Maturity Current Notional (1)(2) Weighted Average Pay Rate (3)(4) Weighted Average Receive Rate (3) Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 41,234,400 1.62 % 2.11 % 1.42 3 - 6 years 12,815,950 1.91 % 2.19 % 4.58 6 - 10 years 16,071,500 2.23 % 2.29 % 9.24 Greater than 10 years 3,060,000 3.76 % 2.11 % 18.14 Total / Weighted average $ 73,181,850 1.88 % 2.16 % 4.32 December 31, 2018 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 31,900,200 1.84 % 2.73 % 1.21 3 - 6 years 16,603,200 2.29 % 2.70 % 4.30 6 - 10 years 18,060,900 2.57 % 2.56 % 8.62 Greater than 10 years 3,901,400 3.63 % 2.59 % 17.33 Total / Weighted average $ 70,465,700 2.17 % 2.68 % 4.26 (1) As of September 30, 2019 , 81% and 19% of the Company’s interest rate swaps were linked to LIBOR and the overnight index swap rate, respectively. As of December 31, 2018 , all of the Company’s interest rate swaps were linked to LIBOR. (2) Notional amount includes $130.0 million forward starting pay fixed swaps at September 30, 2019 . There were no forward starting swaps at December 31, 2018 . (3) Excludes forward starting swaps. (4) Weighted average fixed rate on forward starting pay fixed swaps was 1.59% at September 30, 2019 . The following table presents swaptions outstanding at September 30, 2019 and December 31, 2018 . September 30, 2019 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long Pay $5,175,000 2.57% 3M LIBOR 9.55 7.23 Long Receive $2,000,000 1.49% 3M LIBOR 10.55 6.47 December 31, 2018 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long Pay $4,075,000 3.30% 3M LIBOR 10.08 3.06 The following table summarizes certain characteristics of the Company’s TBA derivatives at September 30, 2019 and December 31, 2018 : September 30, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 10,823,000 $ 10,999,389 $ 10,986,722 (12,667 ) December 31, 2018 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 13,803,000 $ 13,823,109 $ 13,964,797 141,688 The following table summarizes certain characteristics of the Company’s futures derivatives at September 30, 2019 and December 31, 2018 : September 30, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (5,314,900 ) 4.42 U.S. Treasury futures - 10 year and greater 2,600,000 (5,151,400 ) 10.03 Total $ 2,600,000 $ (10,466,300 ) 7.75 December 31, 2018 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (1,166,000 ) 1.97 U.S. Treasury futures - 5 year — (6,359,400 ) 4.39 U.S. Treasury futures - 10 year and greater — (11,152,600 ) 7.10 Total $ — $ (18,678,000 ) 5.86
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, 2019 and December 31, 2018 , respectively. September 30, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 2,556 $ (2,291 ) $ — $ 265 Interest rate swaptions, at fair value 39,251 — — 39,251 TBA derivatives, at fair value 15,706 (7,208 ) — 8,498 Futures contracts, at fair value 102,400 (37,973 ) — 64,427 Purchase commitments 3,787 — — 3,787 Credit derivatives 5,055 (1,026 ) — 4,029 Liabilities Interest rate swaps, at fair value $ 861,067 $ (2,291 ) $ (121,915 ) $ 736,861 TBA derivatives, at fair value 28,373 (7,208 ) — 21,165 Futures contracts, at fair value 80,563 (37,973 ) (42,590 ) — Purchase commitments 1,074 — — 1,074 Credit derivatives 1,338 (1,026 ) (312 ) — December 31, 2018 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 48,114 $ (29,308 ) $ — $ 18,806 Interest rate swaptions, at fair value 7,216 — — 7,216 TBA derivatives, at fair value 141,688 — — 141,688 Purchase commitments 844 — — 844 Credit derivatives 2,641 (2,641 ) — — Liabilities Interest rate swaps, at fair value $ 420,365 $ (29,308 ) $ (11,856 ) $ 379,201 Futures contracts, at fair value 462,309 — (462,309 ) — Purchase commitments 33 — — 33 Credit derivatives 7,043 (2,641 ) (4,402 ) —
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss	The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps For the three months ended (dollars in thousands) September 30, 2019 $ 88,466 $ (682,602 ) $ (326,309 ) September 30, 2018 $ 51,349 $ 575 $ 417,203 For the nine months ended September 30, 2019 $ 306,154 $ (1,438,349 ) $ (1,992,884 ) September 30, 2018 $ 34,664 $ 1,409 $ 1,737,963
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, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 93,919 $ (46,124 ) $ 47,795 Net interest rate swaptions (2,778 ) (4,571 ) (7,349 ) Futures (424,268 ) 364,613 (59,655 ) Purchase commitments — (348 ) (348 ) Credit derivatives 1,784 885 2,669 Total $ (16,888 ) Three Months Ended September 30, 2018 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 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 Nine Months Ended September 30, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 481,865 $ (154,355 ) $ 327,510 Net interest rate swaptions (44,088 ) 7,935 (36,153 ) Futures (1,430,450 ) 484,146 (946,304 ) Purchase commitments — 1,903 1,903 Credit derivatives 5,285 9,301 14,586 Total $ (638,458 ) Nine Months Ended September 30, 2018 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ (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

FAIR VALUE MEASUREMENTS (Tables

FAIR VALUE MEASUREMENTS (Tables)	9 Months Ended
	Sep. 30, 2019
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, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 114,462,524 $ — $ 114,462,524 Credit risk transfer securities — 474,765 — 474,765 Non-Agency mortgage-backed securities — 1,015,921 — 1,015,921 Commercial mortgage-backed securities — 140,851 — 140,851 Loans Residential mortgage loans — 1,219,402 — 1,219,402 Mortgage servicing rights — — 386,051 386,051 Assets transferred or pledged to securitization vehicles — 3,878,139 — 3,878,139 Derivative assets Interest rate swaps — 2,556 — 2,556 Other derivatives 102,400 63,799 — 166,199 Total assets $ 102,400 $ 121,257,957 $ 386,051 $ 121,746,408 Liabilities Debt issued by securitization vehicles — 3,856,082 — 3,856,082 Derivative liabilities Interest rate swaps — 861,067 — 861,067 Other derivatives 80,563 30,785 — 111,348 Total liabilities $ 80,563 $ 4,747,934 $ — $ 4,828,497 December 31, 2018 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 90,752,995 $ — $ 90,752,995 Credit risk transfer securities — 552,097 — 552,097 Non-Agency mortgage-backed securities — 1,161,938 — 1,161,938 Commercial mortgage-backed securities — 156,758 — 156,758 Loans Residential mortgage loans — 1,359,806 — 1,359,806 Mortgage servicing rights — — 557,813 557,813 Assets transferred or pledged to securitization vehicles — 3,833,200 — 3,833,200 Derivative assets Interest rate swaps — 48,114 — 48,114 Other derivatives — 152,389 — 152,389 Total assets $ — $ 98,017,297 $ 557,813 $ 98,575,110 Liabilities Debt issued by securitization vehicles $ — $ 3,347,062 $ — $ 3,347,062 Derivative liabilities Interest rate swaps — 420,365 — 420,365 Other derivatives 462,309 7,076 — 469,385 Total liabilities $ 462,309 $ 3,774,503 $ — $ 4,236,812
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. September 30, 2019 December 31, 2018 Valuation Technique Unobservable Input (1) Range (Weighted Average ) Unobservable Input (1) Range (Weighted Average ) Discounted cash flow Discount rate 9.0% -12.0% (9.3%) Discount rate 9.0% -12.0% (9.4%) Prepayment rate 6.8% - 30.0% (15.7%) Prepayment rate 4.7% - 13.9% (8.0%) Delinquency rate 0.0% - 4.0% (2.1%) Delinquency rate 0.0% - 5.0% (2.3%) Cost to service $81 - $131 ($106) Cost to service $82 - $138 ($110) (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, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 Level in Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) 3 $ 1,421,434 $ 1,434,293 $ 1,296,803 $ 1,303,487 Commercial loans held for sale, net 3 — — 42,184 42,184 Corporate debt, held for investment 2 2,115,783 2,073,721 1,887,182 1,863,524 Financial liabilities Repurchase agreements 1,2 $ 102,682,104 $ 102,682,104 $ 81,115,874 $ 81,115,874 Other secured financing 1,2 4,466,030 4,466,210 4,183,311 4,183,805 Mortgage payable 3 485,657 529,198 511,056 507,770 (1) Includes assets of a consolidated VIE.

GOODWILL AND INTANGIBLE ASSETS

GOODWILL AND INTANGIBLE ASSETS (Tables)	9 Months Ended
	Sep. 30, 2019
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, 2019 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2018 $ 29,039 Intangible assets divested (147 ) Less: amortization expense (5,803 ) Balance at September 30, 2019 $ 23,089

SECURED FINANCING (Tables)

SECURED FINANCING (Tables)	9 Months Ended
	Sep. 30, 2019
Debt Disclosure [Abstract]
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates	At September 30, 2019 and December 31, 2018 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 30, 2019 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 19,451,333 $ — $ — $ — $ — $ 19,451,333 2.76 % 2 to 29 days 32,145,933 195,190 670,750 — 159,008 33,170,881 2.46 % 30 to 59 days 15,114,797 — — — 23,665 15,138,462 2.64 % 60 to 89 days 19,846,591 30,964 154,159 103,938 3,926 20,139,578 2.26 % 90 to 119 days 5,077,560 — — — — 5,077,560 2.44 % Over 120 days (1) 9,513,621 — 60,957 100,676 29,036 9,704,290 2.18 % Total $ 101,149,835 $ 226,154 $ 885,866 $ 204,614 $ 215,635 $ 102,682,104 2.48 % December 31, 2018 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities U.S. Treasury Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,661,001 284,906 353,429 — 72,840 640,465 32,012,641 3.50 % 30 to 59 days 8,164,165 — — — — — 8,164,165 2.33 % 60 to 89 days 18,326,399 88,630 251,441 — 23,302 — 18,689,772 2.62 % 90 to 119 days 10,067,183 — — — — — 10,067,183 2.54 % Over 120 days (1) 11,263,625 — 116,434 693,939 108,115 — 12,182,113 2.92 % Total $ 78,482,373 $ 373,536 $ 721,304 $ 693,939 $ 204,257 $ 640,465 $ 81,115,874 2.97 % (1) Less than 1% and approximately 1% of the total repurchase agreements had a remaining maturity over 1 year at September 30, 2019 and December 31, 2018 , 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, 2019 and December 31, 2018 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. September 30, 2019 December 31, 2018 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 550,000 $ 103,232,104 $ 650,040 $ 81,115,874 Amounts offset (550,000 ) (550,000 ) — — Netted amounts $ — $ 102,682,104 $ 650,040 $ 81,115,874
Schedule of Mortgage Notes Payable	Mortgage loans payable at September 30, 2019 and December 31, 2018 , were as follows: September 30, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,535 $ 318,625 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,003 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 83,412 85,193 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,799 33,311 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+3.50% Floating 1/31/2020 First liens Utah 7,104 7,122 3.69% Fixed 6/1/2053 First liens Minnesota 13,292 13,326 3.69% Fixed 6/1/2053 First liens Wisconsin 7,806 7,827 3.69% Fixed 6/1/2053 First liens Total $ 485,657 $ 491,435 December 31, 2018 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,275 $ 318,664 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,125 16,125 L+2.75% Floating 3/14/2020 First liens Virginia 95,827 97,667 2.75% - 4.96% Fixed 2019 - 2053 First liens Texas 32,189 33,735 3.28% Fixed 1/1/2053 First liens Utah 9,703 9,706 L+3.50% Floating 1/31/2019 First liens Utah 7,279 7,201 3.69% Fixed 6/1/2053 First liens Minnesota 13,438 13,473 3.69% Fixed 6/1/2053 First liens Tennessee 12,328 12,350 4.01% Fixed 9/6/2019 First liens Wisconsin 7,892 7,913 3.69% Fixed 6/1/2053 First liens Total $ 511,056 $ 516,834
Schedule of Mortgage Loan Principle Payments Due	The following table details future mortgage loan principal payments at September 30, 2019 : Mortgage Loan Principal Payments (dollars in thousands) 2019 (remaining) $ 804 2020 12,989 2021 3,491 2022 20,034 2023 3,844 Later years 450,273 Total $ 491,435

CAPITAL STOCK (Tables)

CAPITAL STOCK (Tables)	9 Months Ended
	Sep. 30, 2019
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, 2019 and December 31, 2018 . Shares authorized Shares issued and outstanding September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 Par Value Common stock 2,914,850,000 1,924,050,000 1,437,964,466 1,313,763,450 $0.01 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 30, 2019 and December 31, 2018 . 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, 2019 December 31, 2018 September 30, 2019 December 31, 2018 September 30, 2019 December 31, 2018 Fixed-rate (dollars in thousands) Series C — 7,000,000 — 7,000,000 $ — $ 169,466 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 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 19,550,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Series I 18,400,000 — 17,700,000 — 428,324 — 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 75,950,000 81,900,000 73,400,000 $ 1,982,026 $ 1,778,168 (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, 2019 September 30, 2018 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 180,000 245,000 Amount raised from direct purchase and dividend reinvestment program $ 1,795 $ 2,584
Summary of Dividend Distribution Activity	The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 359,736 $ 365,488 $ 1,158,629 $ 1,062,685 Distributions declared per common share $ 0.25 $ 0.30 $ 0.80 $ 0.90 Distributions paid to common stockholders after period end $ 359,491 $ 102,811 $ 359,491 $ 102,811 Distributions paid per common share after period end $ 0.25 $ 0.08 $ 0.25 $ 0.08 Date of distributions paid to common stockholders after period end October 31, 2019 October 31, 2018 October 31, 2019 October 31, 2018 Dividends declared to series C preferred stockholders $ 742 $ 3,336 $ 7,414 $ 10,987 Dividends declared per share of series C preferred stock (1) $ 0.106 $ 0.477 $ 1.060 $ 1.430 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 $ 25,875 $ 25,875 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 $ 1.407 $ 1.406 Dividends declared to series E preferred stockholders $ — $ — $ — $ 2,253 Dividends declared per share of series E preferred stock $ — $ — $ — $ 0.196 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 37,530 $ 37,530 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 1.303 $ 1.303 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 20,718 $ 19,875 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 1.219 $ 1.169 Dividends declared to series H preferred stockholders $ — $ 298 $ 1,862 $ 298 Dividends declared per share of series H preferred stock $ — $ 0.135 $ 0.846 $ 0.135 Dividends declared to series I preferred stockholders $ 7,668 $ — $ 7,668 $ — Dividends declared per share of series I preferred stock $ 0.436 $ — $ 0.436 $ — (1) Includes dividends declared per share for shares outstanding at September 30, 2018.

INTEREST INCOME AND INTEREST _2

INTEREST INCOME AND INTEREST EXPENSE (Tables)	9 Months Ended
	Sep. 30, 2019
Banking and Thrift, Interest [Abstract]
Summary of Interest Income Recognition Methodology for Residential Investment Securities	The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows CMO (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime jumbo (2) Prospective Prime jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
Components of Company's Interest Income and Interest Expense	The following presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2019 and September 30, 2018 . For the Three Months Ended September 30, For the Nine Months Ended September 30, 2019 2018 2019 2018 Interest income (dollars in thousands) Residential Securities $ 784,228 $ 680,037 $ 2,271,893 $ 2,122,375 Residential mortgage loans (1) 37,673 21,184 102,689 55,557 Commercial investment portfolio (1) (2) 87,946 97,531 281,029 249,331 U.S. Treasury securities — 160 — 160 Reverse repurchase agreements 9,452 17,684 57,472 45,466 Total interest income $ 919,299 $ 816,596 $ 2,713,083 $ 2,472,889 Interest expense Repurchase agreements 699,838 445,535 1,962,999 1,177,384 Debt issued by securitization vehicles 34,524 29,391 102,882 63,244 Other 32,543 26,047 98,936 70,458 Total interest expense 766,905 500,973 2,164,817 1,311,086 Net interest income $ 152,394 $ 315,623 $ 548,266 $ 1,161,803 (1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt.

NET INCOME (LOSS) PER COMMON _2

NET INCOME (LOSS) PER COMMON SHARE (Tables)	9 Months Ended
	Sep. 30, 2019
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, 2019 and September 30, 2018 . For the Three Months Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands, except per share data) Net income (loss) $ (747,169 ) $ 385,429 $ (3,372,833 ) $ 2,309,020 Net income (loss) attributable to noncontrolling interests (110 ) (149 ) (294 ) (277 ) Net income (loss) attributable to Annaly (747,059 ) 385,578 (3,372,539 ) 2,309,297 Dividends on preferred stock (1) 36,151 31,675 101,067 96,818 Net income (loss) available (related) to common stockholders $ (783,210 ) $ 353,903 $ (3,473,606 ) $ 2,212,479 Weighted average shares of common stock outstanding-basic 1,453,359,211 1,202,353,851 1,436,204,582 1,174,292,701 Add: Effect of stock awards, if dilutive — — — — Weighted average shares of common stock outstanding-diluted 1,453,359,211 1,202,353,851 1,436,204,582 1,174,292,701 Net income (loss) per share available (related) to common share Basic $ (0.54 ) $ 0.29 $ (2.42 ) $ 1.88 Diluted $ (0.54 ) $ 0.29 $ (2.42 ) $ 1.88 (1) Th e three months ended September 30, 2019 exclude cumulative and undeclared dividends of $0.3 million on the Company’s Series I Preferred Stock as of June 30, 2019.

LEASE COMMITMENTS AND CONTING_2

LEASE COMMITMENTS AND CONTINGENCIES (Tables)	9 Months Ended
	Sep. 30, 2019
Commitments and Contingencies Disclosure [Abstract]
Supplemental Information Regarding Leases	Supplemental information related to leases as of and for the nine months ended September 30, 2019 was as follows: Operating Leases Classification September 30, 2019 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 16,427 Liabilities Operating lease liabilities (1) Other liabilities $ 21,217 Lease term and discount rate Weighted average remaining lease term 5.9 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 2,784 (1) As the Company’s leases do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments.
Operating Lease Liability Schedule of Maturity	The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2019 (remaining) $ 928 2020 3,799 2021 3,918 2022 3,862 2023 3,862 Later years 6,757 Total lease payments $ 23,126 Less imputed interest 1,909 Present value of lease liabilities $ 21,217

ACQUISITION OF MTGE INVESTMEN_2

ACQUISITION OF MTGE INVESTMENT CORP (Tables)	9 Months Ended
	Sep. 30, 2019
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

SIGNIFICANT ACCOUNTING POLICI_4

SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) $ in Billions	Sep. 30, 2019	Dec. 31, 2018
Interest rate swaps, at fair value
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Margin deposit assets	$ 1.6	$ 1.6

FINANCIAL INSTRUMENTS - Summary

FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	$ 128,956,120	$ 105,787,527	[1]
Liabilities	113,732,416	91,669,726	[1]
Total securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	116,094,061	92,623,788
Agency mortgage-backed securities, recognized through comprehensive income
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	113,670,254	89,840,322
Agency mortgage-backed securities, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	792,270	912,673
Credit risk transfer securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	474,765	552,097
Non-agency mortgage-backed securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	1,015,921	1,161,938
Commercial real estate debt investment, securities, recognized through other comprehensive income
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	65,215	138,242
Commercial real estate debt investment, securities, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	75,636	18,516
Total loans, net
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	3,946,614	4,585,975
Residential mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	1,219,402	1,359,806
Commercial real estate debt and preferred equity, held for investment
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	611,429	1,296,803
Commercial loans held for sale, net
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	0	42,184
Corporate debt, held for investment
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	2,115,783	1,887,182
Total assets transferred or pledged to securitization vehicles
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	4,688,144	3,833,200
Residential mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	2,376,731	1,094,831
Commercial mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	1,501,408	2,738,369
Commercial mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	810,005	0
Reverse repurchase agreements
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	0	650,040
Repurchase agreements
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	102,682,104	81,115,874
Other secured financing
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	4,466,030	4,183,311
Debt issued by securitization vehicles
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	3,856,082	3,347,062
Mortgages payable
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	$ 485,657	$ 511,056
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

SECURITIES - Summary of Residen

SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2019USD ($)
Debt Securities, Available-For-Sale [Line Items]
Beginning balance	$ 92,623,788
Purchases	51,093,826
Sales	(19,886,088)
Principal paydowns	(11,258,324)
(Amortization) / accretion	(941,881)
Fair value adjustment	4,462,740
Ending balance	116,094,061
Residential Securities
Debt Securities, Available-For-Sale [Line Items]
Beginning balance	92,467,030
Purchases	50,982,244
Sales	(19,793,722)
Principal paydowns	(11,215,154)
(Amortization) / accretion	(942,429)
Fair value adjustment	4,455,241
Ending balance	115,953,210
Commercial Securities
Debt Securities, Available-For-Sale [Line Items]
Beginning balance	156,758
Purchases	111,582
Sales	(92,366)
Principal paydowns	(43,170)
(Amortization) / accretion	548
Fair value adjustment	7,499
Ending balance	$ 140,851

SECURITIES - Portfolio (Details

SECURITIES - Portfolio (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		$ 114,328,368	$ 96,602,237
Remaining Premium		5,414,064	5,311,495
Remaining Discount		(159,796)	(192,979)
Amortized Cost		113,858,974	94,853,660
Unrealized Gains		2,574,163	379,619
Unrealized Losses		(339,076)	(2,609,491)
Estimated Fair Value	[1]	116,094,061	92,623,788	[2]
Agency
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		111,644,160	93,835,696
Remaining Premium		5,378,345	5,255,201
Remaining Discount		(41,352)	(43,656)
Amortized Cost		112,324,114	93,040,233
Unrealized Gains		2,471,709	305,893
Unrealized Losses		(333,299)	(2,593,131)
Estimated Fair Value		114,462,524	90,752,995
Agency | Fixed-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		102,020,108	81,144,650
Remaining Premium		4,321,803	3,810,808
Remaining Discount		(37,466)	(36,987)
Amortized Cost		106,304,445	84,918,471
Unrealized Gains		2,216,560	264,443
Unrealized Losses		(102,943)	(2,130,362)
Estimated Fair Value		108,418,062	83,052,552
Agency | Adjustable-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		2,338,560	4,835,983
Remaining Premium		123,228	247,981
Remaining Discount		(1,440)	(1,337)
Amortized Cost		2,460,348	5,082,627
Unrealized Gains		11,265	7,127
Unrealized Losses		(56,122)	(151,770)
Estimated Fair Value		2,415,491	4,937,984
Agency | CMO
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		9,623
Remaining Premium		45
Remaining Discount		0
Amortized Cost		9,668
Unrealized Gains		298
Unrealized Losses		0
Estimated Fair Value		9,966
Agency | Interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		4,657,039	6,007,008
Remaining Premium		899,601	1,179,855
Remaining Discount		0	0
Amortized Cost		899,601	1,179,855
Unrealized Gains		4,311	1,446
Unrealized Losses		(173,304)	(307,412)
Estimated Fair Value		730,608	873,889
Agency | Multifamily
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		2,562,366	1,802,292
Remaining Premium		28,314	12,329
Remaining Discount		(2,446)	(5,332)
Amortized Cost		2,588,234	1,809,289
Unrealized Gains		239,213	32,753
Unrealized Losses		(712)	(3,477)
Estimated Fair Value		2,826,735	1,838,565
Agency | Reverse mortgages
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		56,464	34,650
Remaining Premium		5,354	4,175
Remaining Discount		0	0
Amortized Cost		61,818	38,825
Unrealized Gains		62	69
Unrealized Losses		(218)	(110)
Estimated Fair Value		61,662	38,784
Agency | CMO
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional			11,113
Remaining Premium			53
Remaining Discount			0
Amortized Cost			11,166
Unrealized Gains			55
Unrealized Losses			0
Estimated Fair Value			11,221
Residential credit
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		2,543,608	2,610,620
Remaining Premium		35,376	46,516
Remaining Discount		(110,053)	(139,583)
Amortized Cost		1,402,308	1,657,468
Unrealized Gains		94,155	72,067
Unrealized Losses		(5,777)	(15,500)
Estimated Fair Value		1,490,686	1,714,035
Residential credit | CRT
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		463,982	542,374
Remaining Premium		16,785	28,444
Remaining Discount		(2,258)	(15,466)
Amortized Cost		463,584	555,352
Unrealized Gains		13,492	7,879
Unrealized Losses		(2,311)	(11,134)
Estimated Fair Value		474,765	552,097
Residential credit | CRT Interest-Only Security
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		14,900
Residential credit | Alt-A
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		153,891	202,889
Remaining Premium		255	349
Remaining Discount		(22,816)	(31,238)
Amortized Cost		131,330	172,000
Unrealized Gains		14,307	10,559
Unrealized Losses		0	(198)
Estimated Fair Value		145,637	182,361
Residential credit | Prime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		267,196	353,108
Remaining Premium		2,223	2,040
Remaining Discount		(18,176)	(23,153)
Amortized Cost		251,243	331,995
Unrealized Gains		18,506	12,821
Unrealized Losses		(29)	(830)
Estimated Fair Value		269,720	343,986
Residential credit | Prime interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		459,718
Remaining Premium		4,195
Remaining Discount		0
Amortized Cost		4,195
Unrealized Gains		0
Unrealized Losses		(538)
Estimated Fair Value		3,657
Residential credit | Subprime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		380,293	423,166
Remaining Premium		1,394	1,776
Remaining Discount		(62,355)	(65,005)
Amortized Cost		319,332	359,937
Unrealized Gains		40,883	35,278
Unrealized Losses		(116)	(594)
Estimated Fair Value		360,099	394,621
Residential credit | NPL/RPL
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		28,669	3,431
Remaining Premium		0	0
Remaining Discount		(74)	(30)
Amortized Cost		28,595	3,401
Unrealized Gains		0	37
Unrealized Losses		(41)	0
Estimated Fair Value		28,554	3,438
Residential credit | Prime jumbo (2010 vintage)
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		197,879	225,567
Remaining Premium		1,052	1,087
Remaining Discount		(4,374)	(4,691)
Amortized Cost		194,557	221,963
Unrealized Gains		6,967	1,439
Unrealized Losses		0	(2,744)
Estimated Fair Value		201,524	220,658
Residential credit | Prime jumbo (2010 vintage) Interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		591,980	860,085
Remaining Premium		9,472	12,820
Remaining Discount		0	0
Amortized Cost		9,472	12,820
Unrealized Gains		0	4,054
Unrealized Losses		(2,742)	0
Estimated Fair Value		6,730	16,874
Total Residential Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		114,187,768	96,446,316
Remaining Premium		5,413,721	5,301,717
Remaining Discount		(151,405)	(183,239)
Amortized Cost		113,726,422	94,697,701
Unrealized Gains		2,565,864	377,960
Unrealized Losses		(339,076)	(2,608,631)
Estimated Fair Value		115,953,210	92,467,030
Commercial Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional		140,600	155,921
Remaining Premium		343	9,778
Remaining Discount		(8,391)	(9,740)
Amortized Cost		132,552	155,959
Unrealized Gains		8,299	1,659
Unrealized Losses		0	(860)
Estimated Fair Value		$ 140,851	$ 156,758
[1]	(3) Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018 , respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 30, 2019 and December 31, 2018
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

SECURITIES - Component of Agenc

SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Mortgage-Backed Securities Portfolio [Line Items]
Securities (includes pledged assets of $111,087,358 and $87,193,316, respectively) (3)	[1]	$ 116,094,061	$ 92,623,788	[2]
Agency mortgage-backed securities, at fair value
Mortgage-Backed Securities Portfolio [Line Items]
Securities (includes pledged assets of $111,087,358 and $87,193,316, respectively) (3)		114,462,524	90,752,995
Agency mortgage-backed securities, at fair value | Fannie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Securities (includes pledged assets of $111,087,358 and $87,193,316, respectively) (3)		73,707,294	60,270,432
Agency mortgage-backed securities, at fair value | Freddie Mac
Mortgage-Backed Securities Portfolio [Line Items]
Securities (includes pledged assets of $111,087,358 and $87,193,316, respectively) (3)		40,592,878	30,397,556
Agency mortgage-backed securities, at fair value | Ginnie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Securities (includes pledged assets of $111,087,358 and $87,193,316, respectively) (3)		$ 162,352	$ 85,007
[1]	(3) Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018 , respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 30, 2019 and December 31, 2018
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

SECURITIES - Weighted Average L

SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Estimated Fair Value
Total	[1]	$ 116,094,061	$ 92,623,788	[2]
Amortized Cost
Total		113,858,974	94,853,660
Total Residential Securities
Estimated Fair Value
Less than one year		5,508	13,447
Greater than one year through five years		58,857,860	11,710,172
Greater than five years through ten years		57,032,062	80,202,479
Greater than ten years		57,780	540,932
Total		115,953,210	92,467,030
Amortized Cost
Less than one year		6,454	13,670
Greater than one year through five years		57,504,374	11,928,973
Greater than five years through ten years		56,163,913	82,218,464
Greater than ten years		51,681	536,594
Total		$ 113,726,422	$ 94,697,701
[1]	(3) Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018 , respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 30, 2019 and December 31, 2018
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

SECURITIES - Unrealized Loss Po

SECURITIES - Unrealized Loss Position (Details) $ in Thousands	Sep. 30, 2019USD ($)security	Dec. 31, 2018USD ($)security
Unrealized Loss Position For:
Estimated Fair Value	$ 17,513,412	$ 65,552,879
Gross Unrealized Losses	$ (159,777)	$ (2,285,609)
Number of Securities (security) | security	551	2,189
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	$ 3,524,012	$ 22,418,036
Gross Unrealized Losses	$ (17,042)	$ (432,352)
Number of Securities (security) | security	45	713
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	$ 13,989,400	$ 43,134,843
Gross Unrealized Losses	$ (142,735)	$ (1,853,257)
Number of Securities (security) | security	506	1,476

SECURITIES - Additional Informa

SECURITIES - Additional Information (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Investments, Debt and Equity Securities [Abstract]
Residential Investment securities sold, carrying value	$ 11,100	$ 9,100	$ 30,700	$ 14,500
Residential Investment securities sold, net realized gains (losses)	$ 76.3	$ (322.4)	$ (50.6)	$ (372.5)

LOANS - Additional Information

LOANS - Additional Information (Details) - USD ($)		3 Months Ended		9 Months Ended		12 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Assets		$ 128,956,120,000		$ 128,956,120,000		$ 105,787,527,000	[1]
Loans receivable with variable rates of interest				91.00%		88.00%
Loan loss provision recorded during period		3,504,000	$ 0	$ 9,207,000	$ 0
Balance of the loan loss provision		12,700,000		12,700,000		$ 3,500,000
Loans	[2]	3,946,614,000		3,946,614,000		4,585,975,000	[1]
Commercial Mortgage Loan
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans		0	$ 0	0	$ 0	$ 42,200,000
Residential mortgage loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Assets		$ 1,200,000,000		$ 1,200,000,000
Percent of adjustable-rate loans		38.00%		38.00%		47.00%
Loans		$ 76,300,000		$ 76,300,000		$ 97,500,000
Minimum
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Senior secured loans, stated maturity				5 years
Maximum
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Senior secured loans, stated maturity				7 years
Commercial Mortgage Loan
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Mortgage Principal		$ 491,435,000		$ 491,435,000		$ 516,834,000
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .
[2]	(4) Includes $76.3 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at September 30, 2019 and December 31, 2018 , respectively.

LOANS - Investment Loan Activit

LOANS - Investment Loan Activity (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2019USD ($)
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Beginning balance	$ 4,585,975	[1],[2]
Purchases	2,920,426
Sales and transfers	(3,105,533)
Principal payments	(456,300)
Gains / (losses)	(2,276)
(Amortization) / accretion	4,322
Ending balance	3,946,614	[2]
Residential
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Beginning balance	1,359,806
Purchases	1,894,303
Sales and transfers	(1,878,218)
Principal payments	(156,579)
Gains / (losses)	1,671
(Amortization) / accretion	(1,581)
Ending balance	1,219,402
Commercial
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Beginning balance	1,338,987
Purchases	395,058
Sales and transfers	(958,912)
Principal payments	(156,437)
Gains / (losses)	(9,207)
(Amortization) / accretion	1,940
Ending balance	611,429
Corporate
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Beginning balance	1,887,182
Purchases	631,065
Sales and transfers	(268,403)
Principal payments	(143,284)
Gains / (losses)	5,260
(Amortization) / accretion	3,963
Ending balance	$ 2,115,783
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .
[2]	(4) Includes $76.3 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at September 30, 2019 and December 31, 2018 , respectively.

LOANS - Fair Value and Unpaid P

LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential mortgage loans - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Fair value	$ 3,596,133	$ 2,454,637
Unpaid principal balance	$ 3,475,799	$ 2,425,657

LOANS - Summary of Comprehensiv

LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Interest income	$ 152,394	$ 315,623	$ 548,266	$ 1,161,803
Net gains (losses) on disposal of investments			(65,727)	(376,943)
Net income (loss) attributable to Annaly	(747,059)	385,578	(3,372,539)	2,309,297
Residential mortgage loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Interest income	37,673	16,423	102,689	45,702
Net gains (losses) on disposal of investments	(9,671)	(2,975)	(19,499)	(7,924)
Net unrealized gains (losses) on instruments measured at fair value through earnings	18,093	(3,633)	61,805	(14,802)
Net income (loss) attributable to Annaly	$ 46,095	$ 9,815	$ 144,995	$ 22,976

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, 2019	Dec. 31, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	100.00%	100.00%
California
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	51.90%	53.70%
New York
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	10.40%	6.60%
Florida
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	5.70%	7.10%
Other
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	32.00%	32.60%

LOANS - Additional Informatio_2

LOANS - Additional Information about Residential Mortgage Loans (Details) - Residential mortgage loans $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2019USD ($)point	Dec. 31, 2018USD ($)point
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 3,475,799	$ 2,425,657
Minimum
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 1	$ 0
Interest rate	2.00%	2.00%
FICO score at loan origination | point	505	505
Loan-to-value ratio at loan origination	8.00%	8.00%
Maximum
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 3,448	$ 3,500
Interest rate	9.25%	7.75%
FICO score at loan origination | point	825	823
Loan-to-value ratio at loan origination	111.00%	111.00%
Weighted Average
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 463	$ 457
Interest rate	5.03%	4.72%
FICO score at loan origination | point	756	752
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, 2019	Dec. 31, 2018		Dec. 31, 2017
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal		$ 114,328,368	$ 96,602,237
Loans	[1]	3,946,614	4,585,975	[2]
Carrying value, unamortized origination fees		7,300	7,600
Commercial Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal		1,441,437	1,307,911
Loans		$ 1,421,434	$ 1,296,803		$ 1,029,327
Percentage of Loan Portfolio		100.00%	100.00%
Commercial Mortgage | Senior mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal		$ 434,949	$ 988,248
Loans		$ 432,460	$ 981,202		625,900
Percentage of Loan Portfolio		30.20%	75.60%
Commercial Mortgage | Senior Securitized Mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal		$ 814,423	$ 0
Loans		$ 810,005	$ 0
Percentage of Loan Portfolio		56.50%	0.00%
Commercial Mortgage | Mezzanine loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal		$ 192,065	$ 319,663
Loans		$ 178,969	$ 315,601		$ 394,442
Percentage of Loan Portfolio		13.30%	24.40%
[1]	(4) Includes $76.3 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at September 30, 2019 and December 31, 2018 , respectively.
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

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, 2019	Dec. 31, 2018
Real Estate [Line Items]
Beginning balance	[1],[2]	$ 4,585,975
Principal payments		(456,300)
Ending balance	[2]	3,946,614	$ 4,585,975	[1]
Commercial Mortgage
Real Estate [Line Items]
Beginning balance		1,296,803	1,029,327
Originations & advances (principal)		1,362,156	628,177
Principal payments		(306,104)	(353,424)
Transfers		(922,524)
Net (increase) decrease in origination fees		(4,211)	(6,994)
Amortization of net origination fees		4,521	3,213
Allowance for loan losses		(9,207)	(3,496)
Ending balance		1,421,434	1,296,803
Commercial Mortgage | Senior mortgages
Real Estate [Line Items]
Beginning balance		981,202	625,900
Originations & advances (principal)		376,651	575,953
Principal payments		(16,099)	(216,849)
Transfers		(913,849)
Net (increase) decrease in origination fees		2,972	(6,624)
Amortization of net origination fees		1,583	2,822
Allowance for loan losses		0	0
Ending balance		432,460	981,202
Commercial Mortgage | Senior Securitized Mortgages
Real Estate [Line Items]
Beginning balance		0
Originations & advances (principal)		964,473
Principal payments		(150,050)
Transfers		0
Net (increase) decrease in origination fees		(6,999)
Amortization of net origination fees		2,581
Allowance for loan losses		0
Ending balance		810,005	0
Commercial Mortgage | Preferred equity
Real Estate [Line Items]
Beginning balance		0	8,985
Originations & advances (principal)			0
Principal payments			(9,000)
Net (increase) decrease in origination fees			0
Amortization of net origination fees			15
Allowance for loan losses			0
Ending balance			0
Commercial Mortgage | Mezzanine loans
Real Estate [Line Items]
Beginning balance		315,601	394,442
Originations & advances (principal)		21,032	52,224
Principal payments		(139,955)	(127,575)
Transfers		(8,675)
Net (increase) decrease in origination fees		(184)	(370)
Amortization of net origination fees		357	376
Allowance for loan losses		(9,207)	(3,496)
Ending balance		$ 178,969	$ 315,601
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .
[2]	(4) Includes $76.3 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at September 30, 2019 and December 31, 2018 , respectively.

LOANS - Internal Loan and Prefe

LOANS - Internal Loan and Preferred Equity Ratings (Details) $ in Thousands	Sep. 30, 2019USD ($)loan	Dec. 31, 2018USD ($)loan
Real Estate [Line Items]
Outstanding Principal	$ 114,328,368	$ 96,602,237
Balance of the loan loss provision	12,700	3,500
Commercial Mortgage
Real Estate [Line Items]
Outstanding Principal	$ 1,441,437	$ 1,307,911
Percentage of CRE Debt and Preferred Equity Portfolio	100.00%	100.00%
Performing	$ 524,761	$ 793,842
Performing - Closely Monitored	572,963	254,676
Performing - Special Mention	189,910	151,400
Substandard	110,200	100,993
Doubtful	36,603	7,000
Loss (3)	$ 7,000	$ 0
Number of rated loans | loan	3	2
Balance of the loan loss provision	$ 5,700	$ 3,500
Commercial Mortgage | Mezzanine loans
Real Estate [Line Items]
Outstanding Principal	$ 192,065	$ 319,663
Percentage of CRE Debt and Preferred Equity Portfolio	13.30%	24.40%
Performing	$ 61,063	$ 140,776
Performing - Closely Monitored	70,299	38,884
Performing - Special Mention	0	96,400
Substandard	17,100	36,603
Doubtful	36,603	7,000
Loss (3)	7,000	0
Commercial Mortgage | Senior mortgages
Real Estate [Line Items]
Outstanding Principal	$ 434,949	$ 988,248
Percentage of CRE Debt and Preferred Equity Portfolio	30.20%	75.60%
Performing	$ 141,505	$ 653,066
Performing - Closely Monitored	185,954	215,792
Performing - Special Mention	64,390	55,000
Substandard	43,100	64,390
Doubtful	0	0
Loss (3)	0	0
Commercial Mortgage | Senior Securitized Mortgages
Real Estate [Line Items]
Outstanding Principal	$ 814,423	$ 0
Percentage of CRE Debt and Preferred Equity Portfolio	56.50%
Performing	$ 322,193
Performing - Closely Monitored	316,710
Performing - Special Mention	125,520
Substandard	50,000
Doubtful	0
Loss (3)	$ 0

LOANS - Schedule of Industry an

LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 2,115,783	$ 1,887,182
Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	2,115,783	1,887,182
Aircraft and Parts
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	41,064	41,342
Aircraft and Parts | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Aircraft and Parts | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	41,064	41,342
Arrangement of Transportation of Freight & Cargo
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	21,632
Arrangement of Transportation of Freight & Cargo | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Arrangement of Transportation of Freight & Cargo | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	21,632
Coating, Engraving & Allied Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,767	57,223
Coating, Engraving & Allied Services | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Coating, Engraving & Allied Services | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,767	57,223
Commercial Fishing
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	242,185
Commercial Fishing | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Commercial Fishing | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	242,185
Computer Programming, Data Processing & Other Computer Related Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	347,287	0
Computer Programming, Data Processing & Other Computer Related Services | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Computer Programming, Data Processing & Other Computer Related Services | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	347,287	0
Drugs
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	35,918	35,882
Drugs | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Drugs | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	35,918	35,882
Electrical Work
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	42,372	41,760
Electrical Work | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Electrical Work | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	42,372	41,760
Electronic Components & Accessories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,000	24,059
Electronic Components & Accessories | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Electronic Components & Accessories | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,000	24,059
Engineering, Architectural, and Surveying
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	77,284	80,748
Engineering, Architectural, and Surveying | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Engineering, Architectural, and Surveying | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	77,284	80,748
Grocery Stores
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	23,292	23,431
Grocery Stores | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Grocery Stores | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	23,292	23,431
Home Health Care Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	29,391	0
Home Health Care Services | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Home Health Care Services | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	29,391	0
Insurance Agents, Brokers and Service
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	76,444	48,942
Insurance Agents, Brokers and Service | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Insurance Agents, Brokers and Service | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	76,444	48,942
Mailing, Reproduction, Commercial Art and Photography, and Stenographic
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,770	14,843
Mailing, Reproduction, Commercial Art and Photography, and Stenographic | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Mailing, Reproduction, Commercial Art and Photography, and Stenographic | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,770	14,843
Management & Public Relations Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	339,319	487,046
Management & Public Relations Services | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Management & Public Relations Services | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	339,319	487,046
Medical & Dental Laboratories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	41,467	26,858
Medical & Dental Laboratories | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Medical & Dental Laboratories | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	41,467	26,858
Medical & Dental Laboratories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	118,420	118,248
Medical & Dental Laboratories | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Medical & Dental Laboratories | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	118,420	118,248
Metal Cans & Shipping Containers
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	215,709	19,622
Metal Cans & Shipping Containers | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Metal Cans & Shipping Containers | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	215,709	19,622
Miscellaneous Equipment Rental & Leasing
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,732	49,552
Miscellaneous Equipment Rental & Leasing | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Miscellaneous Equipment Rental & Leasing | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,732	49,552
Miscellaneous Health & Allied Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	77,551	56,003
Miscellaneous Health & Allied Services, not elsewhere classified | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Miscellaneous Health & Allied Services, not elsewhere classified | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	77,551	56,003
Miscellaneous Plastic Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	10,000	9,953
Miscellaneous Plastic Products | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Miscellaneous Plastic Products | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	10,000	9,953
Motor Vehicles and Motor Vehicle Equipment
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	16,563
Motor Vehicles and Motor Vehicle Equipment | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Motor Vehicles and Motor Vehicle Equipment | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	16,563
Motor Vehicles and Motor Vehicle Parts & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	28,877	29,046
Motor Vehicles and Motor Vehicle Parts & Supplies | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Motor Vehicles and Motor Vehicle Parts & Supplies | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	28,877	29,046
Nonferrous Foundries (Castings)
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,918	12,948
Nonferrous Foundries (Castings) | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Nonferrous Foundries (Castings) | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,918	12,948
Offices & Clinics of Doctors of Medicine
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	107,066	97,877
Offices & Clinics of Doctors of Medicine | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Offices & Clinics of Doctors of Medicine | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	107,066	97,877
Offices & Clinics of other Health Practitioners
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	10,123	21,100
Offices & Clinics of other Health Practitioners | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Offices & Clinics of other Health Practitioners | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	10,123	21,100
Petroleum and Petroleum Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,957	0
Petroleum and Petroleum Products | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Petroleum and Petroleum Products | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,957	0
Research, Development & Testing Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	94,877	84,278
Research, Development & Testing Services | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Research, Development & Testing Services | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	94,877	84,278
Research, Development & Testing Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	45,610	33,381
Research, Development & Testing Services | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Research, Development & Testing Services | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	45,610	33,381
Schools & Educational Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,635	19,805
Schools & Educational Services, not elsewhere classified | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Schools & Educational Services, not elsewhere classified | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,635	19,805
Services Allied with the Exchange of Securities
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	14,877
Services Allied with the Exchange of Securities | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Services Allied with the Exchange of Securities | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	14,877
Surgical, Medical & Dental Instruments & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	96,702	96,607
Surgical, Medical & Dental Instruments & Supplies | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Surgical, Medical & Dental Instruments & Supplies | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	96,702	96,607
Telephone Communications
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	61,231	61,371
Telephone Communications | Fixed Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	0	0
Telephone Communications | Floating Rate
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 61,231	$ 61,371

LOANS - Aggregate Positions in

LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 2,115,783	$ 1,887,182
First lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	1,305,810	1,346,356
Second lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 809,973	$ 540,826

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, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Servicing Asset at Fair Value, Amount [Roll Forward]
Fair value, beginning of period	$ 425,328	$ 599,014	$ 557,813	$ 580,860
Changes in valuation inputs or assumptions	(17,312)	(19,913)	(116,150)	(61,011)
Other changes, including realization of expected cash flows	(21,965)	9,732	(55,612)	68,984
Fair value, end of period	$ 386,051	$ 588,833	$ 386,051	$ 588,833

MORTGAGE SERVICING RIGHTS - Add

MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Bank Servicing
Servicing Assets at Fair Value [Line Items]
Service income fee	$ 27.7	$ 27.7	$ 82.9	$ 83.8

VARIABLE INTEREST ENTITIES - Ad

VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($)		1 Months Ended		3 Months Ended		9 Months Ended		12 Months Ended
		Aug. 31, 2019	Aug. 31, 2017	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018		Jul. 31, 2019	Jun. 30, 2019	Apr. 30, 2019	Feb. 28, 2019	Jan. 31, 2019	Oct. 31, 2018	Jul. 31, 2018	Mar. 31, 2018
Variable Interest Entity [Line Items]
Loans	[1]			$ 3,946,614,000		$ 3,946,614,000		$ 4,585,975,000	[2]
Securitized debt of consolidated VIEs				3,856,082,000		3,856,082,000		3,347,062,000	[2]
Estimated Fair Value	[3]			116,094,061,000		116,094,061,000		92,623,788,000	[2]
Costs incurred in connection with securitization				66,138,000	$ 126,509,000	228,283,000	$ 252,800,000
Other secured financings				4,466,030,000		4,466,030,000		4,183,311,000	[2]
Pingora
Variable Interest Entity [Line Items]
Variable interest entity, ownership percentage			100.00%
Consolidated VIEs
Variable Interest Entity [Line Items]
Exposure to obligations of VIEs				2,700,000,000		2,700,000,000
Consolidated VIEs | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Estimated Fair Value				182,300,000		182,300,000		224,300,000
Consolidated VIEs | NLY 2019-FL2
Variable Interest Entity [Line Items]
Mortgage loans, unpaid principal balance				814,400,000		814,400,000
Loans													$ 857,300,000
Securitized debt of consolidated VIEs				635,900,000		635,900,000
Costs incurred in connection with securitization						8,300,000
Contractual principal amount of debt held by third parties				633,900,000		633,900,000
Consolidated VIEs | NLY 2019-FL2 | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Estimated Fair Value				223,900,000		223,900,000
Consolidated VIEs | OBX Trust
Variable Interest Entity [Line Items]
Loans										$ 463,405,000	$ 383,760,000	$ 388,156,000		$ 393,961,000	$ 384,027,000	$ 383,451,000	$ 327,162,000
Securitized debt of consolidated VIEs				1,800,000,000		1,800,000,000
Costs incurred in connection with securitization				2,600,000	$ 1,800,000	7,300,000	$ 3,300,000
Contractual principal amount of debt held by third parties				1,800,000,000		1,800,000,000
Consolidated VIEs | OBX Trust | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Estimated Fair Value				512,600,000		512,600,000
CMBS Securitization Trust | Consolidated VIEs | Collateralized Mortgage Backed Securities
Variable Interest Entity [Line Items]
Commitments to purchase subordinated tranche in securitization trust		$ 20,300,000						94,000,000
Commercial Trusts | Consolidated VIEs
Variable Interest Entity [Line Items]
Mortgage loans, unpaid principal balance				1,500,000,000		1,500,000,000
Gain (Loss) attributable to instrument- specific credit risk						0
Loans				0		0		0
Other secured financings				0		0		0
Commercial Trusts | Consolidated VIEs | Financing Receivables, Equal to Greater than 90 Days Past Due
Variable Interest Entity [Line Items]
Loans 90 days or more past due or on nonaccrual status				0		0
Residential Trusts | Consolidated VIEs
Variable Interest Entity [Line Items]
Loans				0		0		0
Contractual principal amount of debt held by third parties				66,200,000		66,200,000
Other secured financings				0		0		$ 0
Borrower
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity				500,000,000		500,000,000
Other secured financings				434,700,000		434,700,000
Borrower | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Intercompany receivable				434,700,000		434,700,000
Borrower | Corporate debt held for sale, net
Variable Interest Entity [Line Items]
Transferred loans pledged as collateral for credit facility				748,800,000		748,800,000
Borrower | July 2017 Credit Facility | Consolidated VIEs
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity				250,000,000		250,000,000
Borrower | July 2017 Credit Facility | Consolidated VIEs | Corporate debt held for sale, net
Variable Interest Entity [Line Items]
Transferred loans pledged as collateral for credit facility				435,500,000		435,500,000
Other secured financings				246,700,000		246,700,000
Borrower | January 2019 Credit Facility | Consolidated VIEs
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity														$ 200,000,000
Other secured financings				$ 152,200,000		$ 152,200,000
[1]	(4) Includes $76.3 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at September 30, 2019 and December 31, 2018 , respectively.
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .
[3]	(3) Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018 , respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 30, 2019 and December 31, 2018

VARIABLE INTEREST ENTITIES - Sc

VARIABLE INTEREST ENTITIES - Schedule of the Fair Value of OBX Trusts Closed (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Jul. 31, 2019	Jun. 30, 2019	Apr. 30, 2019	Jan. 31, 2019	Dec. 31, 2018	[2]	Oct. 31, 2018	Jul. 31, 2018	Mar. 31, 2018
Variable Interest Entity [Line Items]
Loans	[1]	$ 3,946,614					$ 4,585,975
OBX Trust | Consolidated VIEs
Variable Interest Entity [Line Items]
Loans			$ 463,405	$ 383,760	$ 388,156	$ 393,961			$ 384,027	$ 383,451	$ 327,162
[1]	(4) Includes $76.3 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at September 30, 2019 and December 31, 2018 , respectively.
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

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, 2019	Dec. 31, 2018
Assets
Cash and cash equivalents	[1]	$ 1,793,921	$ 1,735,749	[2]
Loans	[3]	3,946,614	4,585,975	[2]
Assets transferred or pledged to securitization vehicles		4,688,144	3,833,200	[2]
Mortgage servicing rights		386,051	557,813	[2]
Principal and interest receivable		483,744	357,365	[2]
Other assets		381,189	333,988	[2]
Total assets		128,956,120	105,787,527	[2]
Liabilities
Other secured financing		4,466,030	4,183,311	[2]
Interest payable		565,797	570,928	[2]
Other liabilities		99,214	74,580	[2]
Total liabilities		113,732,416	91,669,726	[2]
Consolidated VIEs
Assets
Cash and cash equivalents		49,600	30,400
Consolidated VIEs | Commercial Trusts
Assets
Cash and cash equivalents		0	0
Loans		0	0
Assets transferred or pledged to securitization vehicles		1,501,408	2,738,369
Mortgage servicing rights		0	0
Principal and interest receivable		5,610	11,451
Other assets		0	0
Total assets		1,507,018	2,749,820
Liabilities
Debt issued by securitization vehicles (non-recourse)		1,364,112	2,509,264
Other secured financing		0	0
Payable for unsettled trades		0
Interest payable		2,207	4,594
Other liabilities		0	0
Total liabilities		1,366,319	2,513,858
Consolidated VIEs | Residential Trusts
Assets
Cash and cash equivalents		0	0
Loans		0	0
Assets transferred or pledged to securitization vehicles		86,176	105,003
Mortgage servicing rights		0	0
Principal and interest receivable		454	539
Other assets		0	4
Total assets		86,630	105,546
Liabilities
Debt issued by securitization vehicles (non-recourse)		66,478	71,324
Other secured financing		0	0
Payable for unsettled trades		0
Interest payable		157	238
Other liabilities		193	0
Total liabilities		66,828	71,562
Consolidated VIEs | MSR Silo
Assets
Cash and cash equivalents		49,579	30,444
Loans		76,315	97,464
Assets transferred or pledged to securitization vehicles		0	0
Mortgage servicing rights		386,051	557,813
Principal and interest receivable		0	0
Other assets		27,612	28,756
Total assets		539,557	714,477
Liabilities
Debt issued by securitization vehicles (non-recourse)		0	0
Other secured financing		44,061	68,385
Payable for unsettled trades		17,817
Interest payable		0	0
Other liabilities		2,723	1,975
Total liabilities		$ 64,601	$ 70,360
[1]	(2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $49.6 million and $30.4 million at September 30, 2019 and December 31, 2018 , respectively.
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .
[3]	(4) Includes $76.3 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at September 30, 2019 and December 31, 2018 , respectively.

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, 2019USD ($)
Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	$ 2,356,097
Commercial Trusts | Texas
Concentration Risk [Line Items]
Principal Balance	476,312
Commercial Trusts | California
Concentration Risk [Line Items]
Principal Balance	459,310
Commercial Trusts | New York
Concentration Risk [Line Items]
Principal Balance	353,800
Commercial Trusts | Florida
Concentration Risk [Line Items]
Principal Balance	163,995
Commercial Trusts | North Carolina
Concentration Risk [Line Items]
Principal Balance	123,026
Commercial Trusts | Other
Concentration Risk [Line Items]
Principal Balance	$ 779,654
Commercial Trusts | Securitized Loans | Geographic Concentration Risk
Concentration Risk [Line Items]
% of Balance	100.00%
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Texas
Concentration Risk [Line Items]
% of Balance	20.20%
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | California
Concentration Risk [Line Items]
% of Balance	19.50%
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | New York
Concentration Risk [Line Items]
% of Balance	15.00%
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Florida
Concentration Risk [Line Items]
% of Balance	7.00%
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | North Carolina
Concentration Risk [Line Items]
% of Balance	5.20%
Commercial Trusts | Securitized Loans | Geographic Concentration Risk | Other
Concentration Risk [Line Items]
% of Balance	33.10%
Residential Trusts
Concentration Risk [Line Items]
Principal Balance	$ 84,356
Residential Trusts | Texas
Concentration Risk [Line Items]
Principal Balance	11,202
Residential Trusts | California
Concentration Risk [Line Items]
Principal Balance	37,268
Residential Trusts | Illinois
Concentration Risk [Line Items]
Principal Balance	7,102
Residential Trusts | Washington
Concentration Risk [Line Items]
Principal Balance	5,895
Residential Trusts | Other
Concentration Risk [Line Items]
Principal Balance	$ 22,889
Residential Trusts | Securitized Loans | Geographic Concentration Risk
Concentration Risk [Line Items]
% of Balance	100.00%
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Texas
Concentration Risk [Line Items]
% of Balance	13.30%
Residential Trusts | Securitized Loans | Geographic Concentration Risk | California
Concentration Risk [Line Items]
% of Balance	44.20%
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Illinois
Concentration Risk [Line Items]
% of Balance	8.40%
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Washington
Concentration Risk [Line Items]
% of Balance	7.00%
Residential Trusts | Securitized Loans | Geographic Concentration Risk | Other
Concentration Risk [Line Items]
% of Balance	27.10%

REAL ESTATE - Summary of Estima

REAL ESTATE - Summary of Estimated Useful Lives of Assets (Details)	9 Months Ended
	Sep. 30, 2019
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, 2019USD ($)property	Sep. 30, 2018USD ($)	Sep. 30, 2019USD ($)property	Sep. 30, 2018USD ($)	Dec. 31, 2018USD ($)
Real Estate Properties [Line Items]
Real estate acquired in settlement of residential mortgage loans	$ 0		$ 0		$ 0
Number of commercial real estate acquisitions | property	0		0
Proceeds from sales of real estate			$ 6,661,000	$ 0
Recognized gain on sale of real estate			$ 2,700,000
Weighted average amortization period			5 years 2 months 12 days
General and Administrative Expense
Real Estate Properties [Line Items]
Depreciation expense	$ 6,000,000	$ 4,500,000	$ 17,800,000	$ 11,900,000

REAL ESTATE - Total Commercial

REAL ESTATE - Total Commercial Real Estate Held for Investments (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Real estate held for investment, at amortized cost
Subtotal	$ 721,727	$ 721,664
Less: accumulated depreciation	(84,065)	(67,026)
Total real estate held for investment, at amortized cost, net	637,662	654,638
Equity in unconsolidated joint ventures	87,846	84,835
Total real estate, net	725,508	739,473	[1]
Land
Real estate held for investment, at amortized cost
Subtotal	128,114	128,742
Buildings and improvements
Real estate held for investment, at amortized cost
Subtotal	582,555	581,320
Furniture, fixtures and equipment
Real estate held for investment, at amortized cost
Subtotal	$ 11,058	$ 11,602
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

REAL ESTATE - Minimum Future Re

REAL ESTATE - Minimum Future Rentals to be Received on Noncancelable Operating Leases (Details) $ in Thousands	Sep. 30, 2019USD ($)
Real Estate Properties Base Purchase Price [Abstract]
2019 (remaining)	$ 16,193
2020	48,094
2021	47,444
2022	43,597
2023	40,804
Later years	213,676
Total	$ 409,808

DERIVATIVE INSTRUMENTS - Additi

DERIVATIVE INSTRUMENTS - Additional Information (Details) $ in Millions	Sep. 30, 2019USD ($)
Derivative [Line Items]
Aggregate fair value of derivative instruments in a net liability position	$ 781.2
Interest rate swaps, at fair value
Derivative [Line Items]
Centrally cleared interest rate swaps at fair value, reduction	$ 1,100

DERIVATIVE INSTRUMENTS - Summar

DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($)	Sep. 30, 2019	Dec. 31, 2018
Assets
Interest rate swaps	$ 2,556,000	$ 48,114,000
Derivative assets	168,755,000	200,503,000	[1]
Liabilities
Interest rate swaps	861,067,000	420,365,000
Derivative liabilities	972,415,000	889,750,000	[1]
Futures contracts
Assets
Other derivative assets	102,400,000	0
Derivative assets	102,400,000
Liabilities
Other derivative liabilities	80,563,000	462,309,000
Derivative liabilities	80,563,000	462,309,000
Purchase commitments
Assets
Other derivative assets	3,787,000	844,000
Derivative assets	3,787,000	844,000
Liabilities
Other derivative liabilities	1,074,000	33,000
Derivative liabilities	1,074,000	33,000
Interest rate swaptions
Assets
Other derivative assets	39,251,000	7,216,000
Derivative assets	39,251,000	7,216,000
TBA derivatives
Assets
Other derivative assets	15,706,000	141,688,000
Derivative assets	15,706,000	141,688,000
Liabilities
Other derivative liabilities	28,373,000	0
Derivative liabilities	28,373,000
Credit derivatives
Assets
Other derivative assets	5,055,000	2,641,000
Derivative assets	5,055,000	2,641,000
Liabilities
Other derivative liabilities	1,338,000	7,043,000
Derivative liabilities	1,338,000	7,043,000
Notional amount of derivative assets	15,000,000	30,000,000
Current Notional	$ 410,000,000	$ 451,000,000
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

DERIVATIVE INSTRUMENTS - Summ_2

DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($)	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Sep. 30, 2019	Dec. 31, 2018
Interest rate swaps, at fair value
Derivative [Line Items]
Current Notional	$ 73,181,850,000	$ 73,181,850,000	$ 70,465,700,000
Weighted Average Pay Rate	1.88%	1.88%	2.17%
Weighted Average Receive Rate (3)	2.16%	2.16%	2.68%
Weighted Average Underlying Years to Maturity		4 years 3 months 25 days	4 years 3 months 3 days
Interest rate swaps, at fair value | 0 - 3 years
Derivative [Line Items]
Current Notional	$ 41,234,400,000	$ 41,234,400,000	$ 31,900,200,000
Weighted Average Pay Rate	1.62%	1.62%	1.84%
Weighted Average Receive Rate (3)	2.11%	2.11%	2.73%
Weighted Average Underlying Years to Maturity		1 year 5 months 1 day	1 year 2 months 15 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater)	0 years		0 years
Derivative Instruments maximum maturity period	3 years		3 years
Interest rate swaps, at fair value | 3 - 6 years
Derivative [Line Items]
Current Notional	$ 12,815,950,000	$ 12,815,950,000	$ 16,603,200,000
Weighted Average Pay Rate	1.91%	1.91%	2.29%
Weighted Average Receive Rate (3)	2.19%	2.19%	2.70%
Weighted Average Underlying Years to Maturity		4 years 6 months 29 days	4 years 3 months 18 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater)	3 years		3 years
Derivative Instruments maximum maturity period	6 years		6 years
Interest rate swaps, at fair value | 6 - 10 years
Derivative [Line Items]
Current Notional	$ 16,071,500,000	$ 16,071,500,000	$ 18,060,900,000
Weighted Average Pay Rate	2.23%	2.23%	2.57%
Weighted Average Receive Rate (3)	2.29%	2.29%	2.56%
Weighted Average Underlying Years to Maturity		9 years 2 months 26 days	8 years 7 months 13 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater)	6 years		6 years
Derivative Instruments maximum maturity period	10 years		10 years
Interest rate swaps, at fair value | Greater than 10 years
Derivative [Line Items]
Current Notional	$ 3,060,000,000	$ 3,060,000,000	$ 3,901,400,000
Weighted Average Pay Rate	3.76%	3.76%	3.63%
Weighted Average Receive Rate (3)	2.11%	2.11%	2.59%
Weighted Average Underlying Years to Maturity		18 years 1 month 20 days	17 years 3 months 29 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater)	10 years		10 years
Credit derivatives
Derivative [Line Items]
Current Notional	$ 410,000,000	$ 410,000,000	$ 451,000,000
Forward Starting Pay Fixed Swaps
Derivative [Line Items]
Current Notional	$ 130,000,000	$ 130,000,000	$ 0
Weighted Average Pay Rate	1.59%	1.59%

DERIVATIVE INSTRUMENTS - Summ_3

DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Long Pay
Derivative [Line Items]
Current Underlying Notional	$ 5,175,000	$ 4,075,000
Weighted Average Underlying Fixed Rate	2.57%	3.30%
Weighted Average Underlying Years to Maturity	9 years 6 months 18 days	10 years 29 days
Weighted Average Months to Expiration	7 months 7 days	3 months 2 days
Long Receive
Derivative [Line Items]
Current Underlying Notional	$ 2,000,000
Weighted Average Underlying Fixed Rate	1.49%
Weighted Average Underlying Years to Maturity	10 years 6 months 18 days
Weighted Average Months to Expiration	6 months 14 days

DERIVATIVE INSTRUMENTS - Summ_4

DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - Purchase contracts - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Notional
Purchase contracts	$ 10,823,000	$ 13,803,000
Implied Cost Basis	10,999,389	13,823,109
Implied Market Value	10,986,722	13,964,797
Net Carrying Value	$ (12,667)	$ 141,688

DERIVATIVE INSTRUMENTS - Summ_5

DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2019USD ($)	Dec. 31, 2018USD ($)
U.S. Treasury futures | 2 Year
Derivative [Line Items]
Weighted Average Underlying Years to Maturity		1 year 11 months 19 days
Derivative Instruments, maturity period	2 years	2 years
U.S. Treasury futures | 2 Year | Notional - Long Positions
Derivative [Line Items]
Notional		$ 0
U.S. Treasury futures | 2 Year | Notional - Short Positions
Derivative [Line Items]
Notional		$ (1,166,000)
U.S. Treasury futures | 5 Year
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	4 years 5 months 1 day	4 years 4 months 20 days
Derivative Instruments, maturity period	5 years	5 years
U.S. Treasury futures | 5 Year | Notional - Long Positions
Derivative [Line Items]
Notional	$ 0	$ 0
U.S. Treasury futures | 5 Year | Notional - Short Positions
Derivative [Line Items]
Notional	$ (5,314,900)	$ (6,359,400)
U.S. Treasury futures | 10 Year and Greater
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	10 years 10 days	7 years 1 month 6 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater)	10 years	10 years
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions
Derivative [Line Items]
Notional	$ (2,600,000)	$ 0
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions
Derivative [Line Items]
Notional	$ (5,151,400)	$ (11,152,600)
Futures contracts
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	7 years 9 months	5 years 10 months 9 days
Futures contracts | Notional - Long Positions
Derivative [Line Items]
Notional	$ (2,600,000)	$ 0
Futures contracts | Notional - Short Positions
Derivative [Line Items]
Notional	(10,466,300)	(18,678,000)
Interest rate swap
Derivative [Line Items]
Notional	$ (73,181,850)	$ (70,465,700)
Weighted Average Underlying Years to Maturity	4 years 3 months 25 days	4 years 3 months 3 days
Derivative, Nonmonetary Notional Amount, Percentage	0.81
Overnight index swap
Derivative [Line Items]
Derivative, Nonmonetary Notional Amount, Percentage	0.19

DERIVATIVE INSTRUMENTS - Offset

DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Assets
Gross Amounts	$ 168,755	$ 200,503	[1]
Liabilities
Gross Amounts	972,415	889,750	[1]
Futures contracts, at fair value
Assets
Gross Amounts	102,400
Financial Instruments	(37,973)
Cash Collateral	0
Net Amounts	64,427
Liabilities
Gross Amounts	80,563	462,309
Financial Instruments	(37,973)	0
Cash Collateral	(42,590)	(462,309)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	3,787	844
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	3,787	844
Liabilities
Gross Amounts	1,074	33
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	1,074	33
Interest rate swaps, at fair value
Assets
Gross Amounts	2,556	48,114
Financial Instruments	(2,291)	(29,308)
Cash Collateral	0	0
Net Amounts	265	18,806
Liabilities
Gross Amounts	861,067	420,365
Financial Instruments	(2,291)	(29,308)
Cash Collateral	(121,915)	(11,856)
Net Amounts	736,861	379,201
Interest rate swaptions, at fair value
Assets
Gross Amounts	39,251	7,216
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	39,251	7,216
TBA derivatives, at fair value
Assets
Gross Amounts	15,706	141,688
Financial Instruments	(7,208)	0
Cash Collateral	0	0
Net Amounts	8,498	141,688
Liabilities
Gross Amounts	28,373
Financial Instruments	(7,208)
Cash Collateral	0
Net Amounts	21,165
Credit derivatives
Assets
Gross Amounts	5,055	2,641
Financial Instruments	(1,026)	(2,641)
Cash Collateral	0	0
Net Amounts	4,029	0
Liabilities
Gross Amounts	1,338	7,043
Financial Instruments	(1,026)	(2,641)
Cash Collateral	(312)	(4,402)
Net Amounts	$ 0	$ 0
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

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, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Net Interest Component of Interest Rate Swaps	$ 88,466	$ 51,349	$ 306,154	$ 34,664
Realized Gains (Losses) on Termination of Interest Rate Swaps	(682,602)	575	(1,438,349)	1,409
Unrealized Gains (Losses) on Interest Rate Swaps	$ (326,309)	$ 417,203	$ (1,992,884)	$ 1,737,963

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, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ (326,309)	$ 417,203	$ (1,992,884)	$ 1,737,963
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(16,888)	93,812	(638,458)	80,857
Futures
Derivative [Line Items]
Realized Gain (Loss)	(424,268)	(114,317)	(1,430,450)	443,314
Unrealized Gains (Losses) on Interest Rate Swaps	364,613	327,787	484,146	14,959
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(59,655)	213,470	(946,304)	458,273
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	(348)	(841)	1,903	(416)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(348)	(841)	1,903	(416)
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	93,919	8,569	481,865	(299,560)
Unrealized Gains (Losses) on Interest Rate Swaps	(46,124)	(85,741)	(154,355)	(56,701)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	47,795	(77,172)	327,510	(356,261)
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(2,778)	(28,754)	(44,088)	(85,854)
Unrealized Gains (Losses) on Interest Rate Swaps	(4,571)	(17,663)	7,935	53,557
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(7,349)	(46,417)	(36,153)	(32,297)
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,784	3,096	5,285	7,498
Unrealized Gains (Losses) on Interest Rate Swaps	885	1,676	9,301	4,060
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ 2,669	$ 4,772	$ 14,586	$ 11,558

FAIR VALUE MEASUREMENTS - Estim

FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Jun. 30, 2019	Dec. 31, 2018		Sep. 30, 2018	Jun. 30, 2018	Dec. 31, 2017
Assets
Estimated Fair Value	[1]	$ 116,094,061		$ 92,623,788	[2]
Mortgage servicing rights		386,051	$ 425,328	557,813		$ 588,833	$ 599,014	$ 580,860
Assets transferred or pledged to securitization vehicles		4,688,144		3,833,200	[2]
Interest rate swaps		2,556		48,114
Liabilities
Interest rate swaps		861,067		420,365
Residential mortgage loans
Assets
Residential mortgage loans		3,596,133		2,454,637
Level 1
Liabilities
Debt issued by securitization vehicles				0
Level 2
Liabilities
Debt issued by securitization vehicles				3,347,062
Level 3
Liabilities
Debt issued by securitization vehicles				0
Fair Value, Measurements, Recurring
Assets
Agency mortgage-backed securities		114,462,524		90,752,995
Credit risk transfer securities		474,765		552,097
Mortgage servicing rights		386,051		557,813
Assets transferred or pledged to securitization vehicles		3,878,139		3,833,200
Interest rate swaps		2,556		48,114
Other derivatives		166,199		152,389
Total assets		121,746,408		98,575,110
Liabilities
Debt issued by securitization vehicles		3,856,082		3,347,062
Interest rate swaps		861,067		420,365
Other derivatives		111,348		469,385
Total liabilities		4,828,497		4,236,812
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities
Assets
Estimated Fair Value		1,015,921		1,161,938
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities
Assets
Estimated Fair Value		140,851		156,758
Fair Value, Measurements, Recurring | Residential mortgage loans
Assets
Residential mortgage loans		1,219,402		1,359,806
Fair Value, Measurements, Recurring | Level 1
Assets
Agency mortgage-backed securities		0		0
Credit risk transfer securities		0		0
Mortgage servicing rights		0		0
Assets transferred or pledged to securitization vehicles		0		0
Interest rate swaps		0		0
Other derivatives		102,400		0
Total assets		102,400		0
Liabilities
Debt issued by securitization vehicles		0
Interest rate swaps		0		0
Other derivatives		80,563		462,309
Total liabilities		80,563		462,309
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities
Assets
Estimated Fair Value		0		0
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities
Assets
Estimated Fair Value		0		0
Fair Value, Measurements, Recurring | Level 1 | Residential mortgage loans
Assets
Residential mortgage loans		0		0
Fair Value, Measurements, Recurring | Level 2
Assets
Agency mortgage-backed securities		114,462,524		90,752,995
Credit risk transfer securities		474,765		552,097
Mortgage servicing rights		0		0
Assets transferred or pledged to securitization vehicles		3,878,139		3,833,200
Interest rate swaps		2,556		48,114
Other derivatives		63,799		152,389
Total assets		121,257,957		98,017,297
Liabilities
Debt issued by securitization vehicles		3,856,082
Interest rate swaps		861,067		420,365
Other derivatives		30,785		7,076
Total liabilities		4,747,934		3,774,503
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities
Assets
Estimated Fair Value		1,015,921		1,161,938
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities
Assets
Estimated Fair Value		140,851		156,758
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans
Assets
Residential mortgage loans		1,219,402		1,359,806
Fair Value, Measurements, Recurring | Level 3
Assets
Agency mortgage-backed securities		0		0
Credit risk transfer securities		0		0
Mortgage servicing rights		386,051		557,813
Assets transferred or pledged to securitization vehicles		0		0
Interest rate swaps		0		0
Other derivatives		0		0
Total assets		386,051		557,813
Liabilities
Debt issued by securitization vehicles		0
Interest rate swaps		0		0
Other derivatives		0		0
Total liabilities		0		0
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-backed Securities
Assets
Estimated Fair Value		0		0
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities
Assets
Estimated Fair Value		0		0
Fair Value, Measurements, Recurring | Level 3 | Residential mortgage loans
Assets
Residential mortgage loans		$ 0		$ 0
[1]	(3) Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018 , respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 30, 2019 and December 31, 2018
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

FAIR VALUE MEASUREMENTS - Infor

FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights	3 Months Ended	12 Months Ended
	Sep. 30, 2019USD ($)	Dec. 31, 2018USD ($)
Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
Unobservable input, cost to service	$ 81	$ 82
Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
Unobservable input, cost to service	131	138
Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
Unobservable input, cost to service	$ 106	$ 110
Discount Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.090	0.090
Discount Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.120	0.120
Discount Rate | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.093	0.094
Prepayment Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.068	0.047
Prepayment Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.300	0.139
Prepayment Rate | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.157	0.080
Delinquency Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0	0
Delinquency Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.040	0.050
Delinquency Rate | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.021	0.023

FAIR VALUE MEASUREMENTS - Est_2

FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Financial liabilities
Other secured financing	$ 4,466,030	$ 4,183,311	[1]
Carrying Value | Level 1
Financial liabilities
Repurchase agreements	105,181,241	81,115,874
Other secured financing	4,127,989	4,183,311
Carrying Value | Level 2
Financial assets
Corporate debt, held for investment	2,115,783	1,887,182
Financial liabilities
Repurchase agreements	102,682,104	81,115,874
Other secured financing	4,466,030	4,183,311
Carrying Value | Level 3
Financial assets
Commercial real estate debt and preferred equity, held for investment	1,421,434	1,296,803
Commercial loans held for sale, net	0	42,184
Financial liabilities
Mortgage payable	485,657	511,056
Fair Value | Level 1
Financial liabilities
Repurchase agreements	105,181,241	81,115,874
Other secured financing	4,128,155	4,183,805
Fair Value | Level 2
Financial assets
Corporate debt, held for investment	2,073,721	1,863,524
Financial liabilities
Repurchase agreements	102,682,104	81,115,874
Other secured financing	4,466,210	4,183,805
Fair Value | Level 3
Financial assets
Commercial real estate debt and preferred equity, held for investment	1,434,293	1,303,487
Commercial loans held for sale, net	0	42,184
Financial liabilities
Mortgage payable	$ 529,198	$ 507,770
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

GOODWILL AND INTANGIBLE ASSET_2

GOODWILL AND INTANGIBLE ASSETS - Additional Information (Details) - USD ($) $ in Millions	Sep. 30, 2019	Dec. 31, 2018
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, 2019USD ($)
Intangible Assets [Roll Forward]
Intangible Assets, net beginning of period	$ 29,039
Intangible assets divested	(147)
Less: amortization expense	(5,803)
Intangible Assets, net end of period	$ 23,089

SECURED FINANCING - Additional

SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Repurchase Agreements:
Netted amounts	$ 102,682,104	$ 81,115,874	[1]
Repurchase agreements - weighted average effective borrowing rates	2.24%	2.36%
Repurchase agreements - weighted average remaining maturities	45 days	77 days
Repurchase agreement amount	$ 1,100,000
Remaining capacity of repurchase agreement	895,400
Fair value of collateral received in reverse repurchase agreements	0	$ 650,000
Other secured financing long term, amount	4,466,030	4,183,311	[1]
Secured financings and interest rate swaps - collateral held, estimated fair value	113,700,000	90,200,000
Secured financings and interest rate swaps - collateral held, accrued interest	$ 367,900	$ 303,100
Minimum
Repurchase Agreements:
Maturity period	5 years
Maximum
Repurchase Agreements:
Maturity period	7 years
Maturity Period Beyond Three Years | Period Two | Minimum
Repurchase Agreements:
Maturity period	1 year	1 year
Maturity Period Beyond Three Years | Period Two | Maximum
Repurchase Agreements:
Maturity period	3 years	3 years
FHLB De Moines
Repurchase Agreements:
Debt weighted average interest rate	2.48%	2.78%
Stock held in FHLB	$ 147,900	$ 147,900
FHLB De Moines | Maturity Period Beyond Three Years | Period One
Repurchase Agreements:
Other secured financing long term, amount	90,000
FHLB De Moines | Maturity Period Beyond Three Years | Period Two
Repurchase Agreements:
Other secured financing long term, amount	$ 3,500,000	$ 3,600,000
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

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, 2019	Dec. 31, 2018
Repurchase Agreements:
Netted amounts	$ 102,682,104	$ 81,115,874	[1]
Weighted Average Rate	2.48%	2.97%
Percentage of total repurchase agreements with remaining maturity of 1 year	1.00%	1.00%
CRTs
Repurchase Agreements:
Netted amounts	$ 226,154	$ 373,536
Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	885,866	721,304
Commercial Loans
Repurchase Agreements:
Netted amounts	204,614	693,939
Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	101,149,835	78,482,373
Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	215,635	204,257
U.S. Treasury Securities
Repurchase Agreements:
Netted amounts		640,465
1 day
Repurchase Agreements:
Netted amounts	$ 19,451,333	$ 0
Weighted Average Rate	2.76%	0.00%
1 day | CRTs
Repurchase Agreements:
Netted amounts	$ 0	$ 0
1 day | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0	0
1 day | Commercial Loans
Repurchase Agreements:
Netted amounts	0	0
1 day | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	19,451,333	0
1 day | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0	0
1 day | U.S. Treasury Securities
Repurchase Agreements:
Netted amounts		0
2 to 29 days
Repurchase Agreements:
Netted amounts	$ 33,170,881	$ 32,012,641
Weighted Average Rate	2.46%	3.50%
2 to 29 days | CRTs
Repurchase Agreements:
Netted amounts	$ 195,190	$ 284,906
2 to 29 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	670,750	353,429
2 to 29 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0	0
2 to 29 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	32,145,933	30,661,001
2 to 29 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	159,008	72,840
2 to 29 days | U.S. Treasury Securities
Repurchase Agreements:
Netted amounts		640,465
30 to 59 days
Repurchase Agreements:
Netted amounts	$ 15,138,462	$ 8,164,165
Weighted Average Rate	2.64%	2.33%
30 to 59 days | CRTs
Repurchase Agreements:
Netted amounts	$ 0	$ 0
30 to 59 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0	0
30 to 59 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0	0
30 to 59 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	15,114,797	8,164,165
30 to 59 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	23,665	0
30 to 59 days | U.S. Treasury Securities
Repurchase Agreements:
Netted amounts		0
60 to 89 days
Repurchase Agreements:
Netted amounts	$ 20,139,578	$ 18,689,772
Weighted Average Rate	2.26%	2.62%
60 to 89 days | CRTs
Repurchase Agreements:
Netted amounts	$ 30,964	$ 88,630
60 to 89 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	154,159	251,441
60 to 89 days | Commercial Loans
Repurchase Agreements:
Netted amounts	103,938	0
60 to 89 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	19,846,591	18,326,399
60 to 89 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	3,926	23,302
60 to 89 days | U.S. Treasury Securities
Repurchase Agreements:
Netted amounts		0
90 to 119 days
Repurchase Agreements:
Netted amounts	$ 5,077,560	$ 10,067,183
Weighted Average Rate	2.44%	2.54%
90 to 119 days | CRTs
Repurchase Agreements:
Netted amounts	$ 0	$ 0
90 to 119 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0	0
90 to 119 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0	0
90 to 119 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	5,077,560	10,067,183
90 to 119 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0	0
90 to 119 days | U.S. Treasury Securities
Repurchase Agreements:
Netted amounts		0
Over 120 days
Repurchase Agreements:
Netted amounts	$ 9,704,290	$ 12,182,113
Weighted Average Rate	2.18%	2.92%
Over 120 days | CRTs
Repurchase Agreements:
Netted amounts	$ 0	$ 0
Over 120 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	60,957	116,434
Over 120 days | Commercial Loans
Repurchase Agreements:
Netted amounts	100,676	693,939
Over 120 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	9,513,621	11,263,625
Over 120 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	$ 29,036	108,115
Over 120 days | U.S. Treasury Securities
Repurchase Agreements:
Netted amounts		$ 0
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

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, 2019	Dec. 31, 2018
Reverse Repurchase Agreements
Gross amounts	$ 550,000	$ 650,040
Amounts offset	(550,000)	0
Netted amounts	0	650,040	[1]
Repurchase Agreements
Gross amounts	103,232,104	81,115,874
Amounts offset	(550,000)	0
Netted amounts	$ 102,682,104	$ 81,115,874	[1]
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

SECURED FINANCING - Mortgage Lo

SECURED FINANCING - Mortgage Loans Payable (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Debt Instrument [Line Items]
Variable interest rate	91.00%	88.00%
Commercial Mortgage Loan
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 485,657	$ 511,056
Mortgage Principal	491,435	516,834
Joint Ventures | Commercial Mortgage Loan
Debt Instrument [Line Items]
Mortgage Carrying Value	316,535	316,275
Mortgage Principal	$ 318,625	$ 318,664
Joint Ventures | Commercial Mortgage Loan | Minimum
Debt Instrument [Line Items]
Interest Rate	4.03%	4.03%
Joint Ventures | Commercial Mortgage Loan | Maximum
Debt Instrument [Line Items]
Interest Rate	4.96%	4.96%
Joint Ventures | Commercial Mortgage Loan | LIBOR
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 16,003	$ 16,125
Mortgage Principal	$ 16,325	$ 16,125
Variable interest rate	2.15%	2.75%
Virginia | Commercial Mortgage Loan
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 83,412	$ 95,827
Mortgage Principal	$ 85,193	$ 97,667
Virginia | Commercial Mortgage Loan | Minimum
Debt Instrument [Line Items]
Interest Rate	2.34%	2.75%
Virginia | Commercial Mortgage Loan | Maximum
Debt Instrument [Line Items]
Interest Rate	4.55%	4.96%
Texas | Commercial Mortgage Loan
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 31,799	$ 32,189
Mortgage Principal	$ 33,311	$ 33,735
Interest Rate	3.28%	3.28%
Utah | Commercial Mortgage Loan
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 7,104	$ 9,703
Mortgage Principal	$ 7,122	$ 9,706
Interest Rate	3.69%	3.69%
Utah | Commercial Mortgage Loan | LIBOR
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 9,706	$ 7,279
Mortgage Principal	$ 9,706	$ 7,201
Variable interest rate	3.50%	3.50%
Minnesota | Commercial Mortgage Loan
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 13,292	$ 13,438
Mortgage Principal	$ 13,326	$ 13,473
Interest Rate	3.69%	3.69%
Tennessee | Commercial Mortgage Loan
Debt Instrument [Line Items]
Mortgage Carrying Value		$ 12,328
Mortgage Principal		$ 12,350
Interest Rate		4.01%
Wisconsin | Commercial Mortgage Loan
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 7,806	$ 7,892
Mortgage Principal	$ 7,827	$ 7,913
Interest Rate	3.69%	3.69%

SECURED FINANCING - Future Mort

SECURED FINANCING - Future Mortgage Loan Principal Payments (Details) $ in Thousands	Sep. 30, 2019USD ($)
Debt Disclosure [Abstract]
2019 (remaining)	$ 804
2020	12,989
2021	3,491
2022	20,034
2023	3,844
Later years	450,273
Total	$ 491,435

CAPITAL STOCK - Schedule of Com

CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares	Sep. 30, 2019	Dec. 31, 2018
Equity [Abstract]
Shares authorized (in shares)	2,914,850,000	1,924,050,000
Shares issued (in shares)	1,437,964,466	1,313,763,450
Par Value (in dollars per share)	$ 0.01	$ 0.01
Shares outstanding (in shares)	1,437,964,466	1,313,763,450

CAPITAL STOCK - Additional Info

CAPITAL STOCK - Additional Information (Details) - USD ($)	1 Months Ended	3 Months Ended		9 Months Ended
	Jan. 31, 2018	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Jun. 30, 2019	Dec. 31, 2018	Sep. 07, 2018
Class of Stock [Line Items]
Authorized amount of stock available for repurchase						$ 1,500,000,000
Shares repurchased (in shares)		18,300,000		18,300,000
Aggregate amount of repurchased shares		$ 155,000,000		$ 155,000,000
Options exercised under incentive plans (in shares)			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)		81,900,000		81,900,000			73,400,000
7.625% Series C Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred stock, redemption price (in dollars per share)		$ 25		$ 25
Preferred stock redeemed (in shares)				7,000,000	5,000,000
Preferred stock dividend rate, percentage				7.625%
Redemption of preferred stock				$ 175,000,000	$ 125,000,000
Preferred stock, shares issued (in shares)		0		0			7,000,000
Series H Preferred Stock
Class of Stock [Line Items]
Preferred stock, redemption price (in dollars per share)		$ 25		$ 25
Preferred stock redeemed (in shares)				2,200,000
Preferred stock dividend rate, percentage				8.125%
Redemption of preferred stock				$ 55,000,000
Preferred stock, shares issued (in shares)		0	2,200,000	0	2,200,000		2,200,000
Series I
Class of Stock [Line Items]
Preferred stock dividend rate, percentage				6.75%
Preferred stock, shares issued (in shares)		17,700,000		17,700,000			0
Proceeds from issuance of redeemable preferred stock				$ 442,500,000
6.50% Series G Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate, percentage				6.50%	6.50%
Preferred stock, shares issued (in shares)		17,000,000	17,000,000	17,000,000	17,000,000		17,000,000
Proceeds from issuance of redeemable preferred stock					$ 425,000,000
7.625% Series E Cumulative Redeemable Preferred Stock
Class of Stock [Line Items]
Preferred stock redeemed (in shares)					11,500,000
Preferred stock dividend rate, percentage					7.625%
Redemption of preferred stock					$ 287,500,000
Public Offering
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)			75,000,000	75,000,000	75,000,000
Proceeds from sale of stock			$ 753,800,000	$ 730,500,000	$ 753,800,000
Option granted to underwriters to purchase additional shares			30 days		30 days
Public Offering, Additional Share Purchase Option
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)			11,300,000	11,300,000	11,300,000
Proceeds from sale of stock			$ 113,100,000	$ 109,600,000	$ 113,100,000
Option granted to underwriters to purchase additional shares				30 days
At-the-market Sale Program
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)				56,000,000	24,000,000
Proceeds from sale of stock				$ 569,100,000	$ 251,100,000
Aggregate stock offering price	$ 1,500,000,000
Mountain Merger Sub Corporation | Series H Preferred Stock
Class of Stock [Line Items]
Preferred Stock, par value (in dollars per share)								$ 0.01

CAPITAL STOCK - Summary of Divi

CAPITAL STOCK - Summary of Dividend Reinvestment Plan (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018
Equity [Abstract]
Shares issued through direct purchase and dividend reinvestment program (in shares)	180,000	245,000
Amount raised from direct purchase and dividend reinvestment program	$ 1,795	$ 2,584

CAPITAL STOCK - Schedule of Pre

CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Class of Stock [Line Items]
Shares Authorized (in shares)	85,150,000		75,950,000
Shares Issued (in shares)	81,900,000		73,400,000
Shares Outstanding (in shares)	81,900,000		73,400,000
Carrying Value	$ 1,982,026		$ 1,778,168	[1]
Series C
Class of Stock [Line Items]
Shares Authorized (in shares)	0		7,000,000
Shares Issued (in shares)	0		7,000,000
Shares Outstanding (in shares)	0		7,000,000
Carrying Value	$ 0		$ 169,466
Contractual Rate	7.625%
Series D
Class of Stock [Line Items]
Shares Authorized (in shares)	18,400,000		18,400,000
Shares Issued (in shares)	18,400,000		18,400,000
Shares Outstanding (in shares)	18,400,000		18,400,000
Carrying Value	$ 445,457		$ 445,457
Contractual Rate	7.50%
Series H
Class of Stock [Line Items]
Shares Authorized (in shares)	0		2,200,000
Shares Issued (in shares)	0	2,200,000	2,200,000
Shares Outstanding (in shares)	0		2,200,000
Carrying Value	$ 0		$ 55,000
Contractual Rate	8.125%
Series F
Class of Stock [Line Items]
Shares Authorized (in shares)	28,800,000		28,800,000
Shares Issued (in shares)	28,800,000		28,800,000
Shares Outstanding (in shares)	28,800,000		28,800,000
Carrying Value	$ 696,910		$ 696,910
Contractual Rate	6.95%
Floating annual rate	4.993%
Series G
Class of Stock [Line Items]
Shares Authorized (in shares)	19,550,000		19,550,000
Shares Issued (in shares)	17,000,000	17,000,000	17,000,000
Shares Outstanding (in shares)	17,000,000		17,000,000
Carrying Value	$ 411,335		$ 411,335
Contractual Rate	6.50%	6.50%
Floating annual rate	4.172%
Series I
Class of Stock [Line Items]
Shares Authorized (in shares)	18,400,000		0
Shares Issued (in shares)	17,700,000		0
Shares Outstanding (in shares)	17,700,000		0
Carrying Value	$ 428,324		$ 0
Contractual Rate	6.75%
Floating annual rate	4.989%
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

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, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Jun. 30, 2019
Dividends Payable [Line Items]
Dividends and dividend equivalents declared on common stock and share-based awards	$ 359,736	$ 365,488	$ 1,158,629	$ 1,062,685
Distributions declared per common share (in dollars per share)	$ 0.25	$ 0.30	$ 0.80	$ 0.90
Distributions paid to common stockholders after period end	$ 359,491	$ 102,811	$ 359,491	$ 102,811
Distributions paid per common share after period end (in dollars per share)	$ 0.25	$ 0.08	$ 0.25	$ 0.08
Cumulative and undeclared dividends					$ 300
Series C
Dividends Payable [Line Items]
Preferred dividends declared	$ 742	$ 3,336	$ 7,414	$ 10,987
Preferred series dividends declared (in dollars per share)	$ 0.106	$ 0.477	$ 1.060	$ 1.430
Series D
Dividends Payable [Line Items]
Preferred dividends declared	$ 8,625	$ 8,625	$ 25,875	$ 25,875
Preferred series dividends declared (in dollars per share)	$ 0.469	$ 0.469	$ 1.407	$ 1.406
Series E
Dividends Payable [Line Items]
Preferred dividends declared	$ 0	$ 0	$ 0	$ 2,253
Preferred series dividends declared (in dollars per share)	$ 0	$ 0	$ 0	$ 0.196
Series F
Dividends Payable [Line Items]
Preferred dividends declared	$ 12,510	$ 12,510	$ 37,530	$ 37,530
Preferred series dividends declared (in dollars per share)	$ 0.434	$ 0.434	$ 1.303	$ 1.303
Series G
Dividends Payable [Line Items]
Preferred dividends declared	$ 6,906	$ 6,906	$ 20,718	$ 19,875
Preferred series dividends declared (in dollars per share)	$ 0.406	$ 0.406	$ 1.219	$ 1.169
Series H
Dividends Payable [Line Items]
Preferred dividends declared	$ 0	$ 298	$ 1,862	$ 298
Preferred series dividends declared (in dollars per share)	$ 0	$ 0.135	$ 0.846	$ 0.135
Series I
Dividends Payable [Line Items]
Preferred dividends declared	$ 7,668	$ 0	$ 7,668	$ 0
Preferred series dividends declared (in dollars per share)	$ 0.436	$ 0	$ 0.436	$ 0
Cumulative and undeclared dividends	$ 300		$ 300

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, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Interest income
Residential Securities	$ 784,228	$ 680,037	$ 2,271,893	$ 2,122,375
Residential mortgage loans	37,673	21,184	102,689	55,557
Commercial investment portfolio	87,946	97,531	281,029	249,331
U.S. Treasury securities	0	160	0	160
Reverse repurchase agreements	9,452	17,684	57,472	45,466
Total interest income	919,299	816,596	2,713,083	2,472,889
Interest expense
Repurchase agreements	699,838	445,535	1,962,999	1,177,384
Debt issued by securitization vehicles	34,524	29,391	102,882	63,244
Other	32,543	26,047	98,936	70,458
Total interest expense	766,905	500,973	2,164,817	1,311,086
Net interest income	$ 152,394	$ 315,623	$ 548,266	$ 1,161,803

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, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Jun. 30, 2019	Dec. 31, 2018	[1]
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Net income (loss)		$ (747,169)	$ 385,429	$ (3,372,833)	$ 2,309,020
Net income (loss) attributable to noncontrolling interests		(110)	(149)	(294)	(277)
Net income (loss) attributable to Annaly		(747,059)	385,578	(3,372,539)	2,309,297
Net income (loss) available (related) to common stockholders		$ (783,210)	$ 353,903	$ (3,473,606)	$ 2,212,479
Weighted average shares of common stock outstanding-basic (in shares)		1,453,359,211	1,202,353,851	1,436,204,582	1,174,292,701
Add: Effect of stock awards, if dilutive (in shares)		0	0	0	0
Weighted average shares of common stock outstanding-diluted (in shares)		1,453,359,211	1,202,353,851	1,436,204,582	1,174,292,701
Cumulative and undeclared dividends						$ 300
Total assets		$ 128,956,120		$ 128,956,120			$ 105,787,527
Dividends on preferred stock	[2]	$ 36,151	$ 31,675	$ 101,067	$ 96,818
Net income (loss) per share available (related) to common share
Basic (in dollars per share)		$ (0.54)	$ 0.29	$ (2.42)	$ 1.88
Diluted (in dollars per share)		$ (0.54)	$ 0.29	$ (2.42)	$ 1.88
Series I
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Cumulative and undeclared dividends		$ 300		$ 300
[1]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .
[2]	(1) The three months ended September 30, 2019 exclude cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019.

NET INCOME (LOSS) PER COMMON _4

NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Earnings Per Share [Abstract]
Options to purchase common stock (in shares)	0	200,000	0	200,000

INCOME TAXES - Additional Infor

INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Income Taxes:
REIT Taxable income distributed			100.00%
Income tax benefit	$ (6,907)	$ (7,242)	$ (10,241)	$ (3,416)
Taxable REIT Subsidiary
Income Taxes:
Income tax benefit	$ (6,900)	$ (7,100)	$ (10,200)	$ (3,300)

RELATED PARTY TRANSACTIONS - Ad

RELATED PARTY TRANSACTIONS - Additional Information (Details) $ in Thousands	Mar. 27, 2019USD ($)	Sep. 30, 2019USD ($)	Sep. 30, 2018USD ($)	Mar. 26, 2019	Sep. 30, 2019USD ($)	Sep. 30, 2018USD ($)	Dec. 31, 2018USD ($)
Ratio of percentage of stockholders' equity paid up to predetermined amount	0.000875			0.000875
Ratio of percentage of stockholders' equity paid over a predetermined amount	0.000625
Predetermined amount of stockholders equity used in calculating monthly management fee	$ 17,280,000
Portion of calculated stockholders' equity used to determine management fee	0.083
Compensation and management fee		$ 41,161	$ 45,983		$ 130,225	$ 136,091
Ratio of independent directors or holders of a majority of the outstanding shares					0.0066666667
Management Agreement
Compensation and management fee		41,200	$ 46,000		$ 130,200	$ 136,100
Reimbursement payments					14,300
Management fee payable		$ 12,700			$ 12,700		$ 16,000
Renewal term					2 years
Accelerated period for agreement termination, if election to terminate is not made					90 days
Management Agreement | Minimum
Accelerated period for agreement termination, if election to terminate is made					7 days
Management Agreement | Maximum
Accelerated period for agreement termination, if election to terminate is made					90 days

LEASE COMMITMENTS AND CONTING_3

LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2019	Dec. 31, 2018
Commitments and Contingencies Disclosure [Abstract]
Remaining lease term, in years	6 years
Option to extend, in years	5 years	5 years
Lease cost	$ 800,000	$ 2,400,000
Material contingencies	$ 0	$ 0	$ 0

LEASE COMMITMENTS AND CONTING_4

LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details) $ in Thousands	3 Months Ended
	Sep. 30, 2019USD ($)
Leases [Abstract]
Operating lease right-of-use assets	$ 16,427
Operating lease liabilities	$ 21,217
Weighted average remaining lease term	5 years 10 months 24 days
Weighted average discount rate	2.90%
Operating cash flows from operating leases	$ 2,784

LEASE COMMITMENTS AND CONTING_5

LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands	Sep. 30, 2019USD ($)
Commitments and Contingencies Disclosure [Abstract]
2019 (remaining)	$ 928
2020	3,799
2021	3,918
2022	3,862
2023	3,862
Later years	6,757
Total lease payments	23,126
Less imputed interest	1,909
Present value of lease liabilities	$ 21,217

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - RCap $ in Millions	Sep. 30, 2019USD ($)
Minimum net capital requirement	$ 0.3
Regulatory net capital	397.3
Regulatory net capital, excess net capital	$ 397

ACQUISITION OF MTGE INVESTMEN_3

ACQUISITION OF MTGE INVESTMENT CORP - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands	Sep. 07, 2018	Sep. 30, 2019	Dec. 31, 2018
Business Acquisition [Line Items]
Preferred Stock, par value (in dollars per share)		$ 0.01	$ 0.01
Series H 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)	43,600,000
Mountain Merger Sub Corporation | Series H Preferred Stock
Business Acquisition [Line Items]
Preferred Stock, par value (in dollars per share)	$ 0.01
Mountain Merger Sub Corporation | Mountain Merger Sub Corporation | Series H Preferred Stock
Business Acquisition [Line Items]
Preferred stock conversion (in shares)	1

ACQUISITION OF MTGE INVESTMEN_4

ACQUISITION OF MTGE INVESTMENT CORP - Summary of Acquired Assets (Details) - USD ($) $ in Thousands		Sep. 07, 2018	Sep. 30, 2019	Dec. 31, 2018		Sep. 30, 2018
Net Assets:
Cash and cash equivalents	[1]		$ 1,793,921	$ 1,735,749	[2]
Securities			116,094,061	92,623,788
Real estate, net			725,508	739,473	[2]
Derivative assets			168,755	200,503	[2]
Reverse repurchase agreements			0	650,040	[2]
Receivable for unsettled trades			193,229	68,779	[2]	$ 1,266,840
Principal and interest receivable			483,744	357,365	[2]
Intangible assets, net			94,904	100,854	[2]
Other assets			381,189	333,988	[2]
Total assets			128,956,120	105,787,527	[2]
Repurchase agreements			102,682,104	81,115,874	[2]
Mortgages payable			485,657	511,056	[2]
Derivative liabilities			972,415	889,750	[2]
Interest payable			565,797	570,928	[2]
Dividends payable			359,491	394,129	[2]	$ 102,811
Other liabilities			99,214	74,580	[2]
Total liabilities			$ 113,732,416	$ 91,669,726	[2]
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
Principal and 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]	(2) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $49.6 million and $30.4 million at September 30, 2019 and December 31, 2018 , respectively.
[2]	(1) Derived from the audited consolidated financial statements at December 31, 2018 .

SUBSEQUENT EVENTS (Details)

SUBSEQUENT EVENTS (Details) - USD ($) $ / shares in Units, $ in Thousands

1 Months Ended

9 Months Ended

Oct. 31, 2019

Sep. 30, 2019

Sep. 30, 2018

Jul. 31, 2019

Jun. 30, 2019

Apr. 30, 2019

Jan. 31, 2019

Dec. 31, 2018

[2]

Oct. 31, 2018

Jul. 31, 2018

Mar. 31, 2018

Subsequent Event [Line Items]

Preferred stock, redemption price (in dollars per share)

$ 25

Loans

[1]

$ 3,946,614

$ 4,585,975

OBX Trust | Consolidated VIEs

Subsequent Event [Line Items]

Loans

$ 463,405

$ 383,760

$ 388,156

$ 393,961

$ 384,027

$ 383,451

$ 327,162

Series C

Subsequent Event [Line Items]

Preferred stock to be redeemed (in shares)

7,000,000

5,000,000

Preferred stock, redemption price (in dollars per share)

$ 25

Subsequent Event

Subsequent Event [Line Items]

Stock repurchased (in shares)

7,900,000

Stock repurchased, value

$ 68,200

Subsequent Event | OBX Trust | Consolidated VIEs

Subsequent Event [Line Items]

Loans

$ 465,500

[1]

(4) Includes $76.3 million and $97.5 million of residential mortgage loans held for sale and $0 and $42.2 million of commercial mortgage loans held for sale at September 30, 2019 and December 31, 2018 , respectively.

[2]

(1) Derived from the audited consolidated financial statements at December 31, 2018 .