Annaly Capital Management (NLY) 10-Q 6 Aug 20 2020 Q2 Quarterly report Financial data

COVER PAGE

COVER PAGE - shares	6 Months Ended
	Jun. 30, 2020	Jul. 24, 2020
Document Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Jun. 30, 2020
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		1,402,837,483
Amendment Flag	false
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q2
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		Jun. 30, 2020	Dec. 31, 2019
Assets
Cash and cash equivalents (includes pledged assets of $1,168,816 and $1,648,545, respectively)	[1]	$ 1,393,910	$ 1,850,729	[2]
Securities (includes pledged assets of $70,393,155 and $108,809,569, respectively)	[3]	77,805,743	114,833,580	[2]
Loans, net (includes pledged assets of $3,017,199 and $3,240,583, respectively)	[4]	3,972,671	4,462,350	[2]
Mortgage servicing rights (includes pledged assets of $2,517 and $3,336, respectively)		227,400	378,078	[2]
Assets transferred or pledged to securitization vehicles		7,690,451	7,002,460	[2]
Real estate, net		746,067	725,638	[2]
Derivative assets		165,642	113,556	[2]
Receivable for unsettled trades		747,082	4,792	[2]
Principal and interest receivable		300,089	449,906	[2]
Goodwill and intangible assets, net		137,680	92,772	[2]
Other assets		271,918	381,220	[2]
Total assets		93,458,653	130,295,081	[2]
Liabilities
Repurchase agreements		67,163,598	101,740,728	[2]
Other secured financing		1,538,996	4,455,700	[2]
Debt issued by securitization vehicles		6,458,130	5,622,801	[2]
Mortgages payable		508,565	485,005	[2]
Derivative liabilities		1,257,038	803,866	[2]
Payable for unsettled trades		2,122,735	463,387	[2]
Interest payable		180,943	476,335	[2]
Dividends payable		309,686	357,527	[2]
Other liabilities		121,359	93,388	[2]
Total liabilities		79,661,050	114,498,737	[2]
Stockholders’ equity
Preferred stock, par value $0.01 per share, 85,150,000 authorized, 81,900,000 issued and outstanding		1,982,026	1,982,026	[2]
Common stock, par value $0.01 per share, 2,914,850,000 authorized, 1,407,662,483 and 1,430,106,199 issued and outstanding, respectively		14,077	14,301	[2]
Additional paid-in capital		19,827,216	19,966,923	[2]
Accumulated other comprehensive income (loss)		3,842,074	2,138,191	[2]
Accumulated deficit		(11,871,927)	(8,309,424)	[2]
Total stockholders’ equity		13,793,466	15,792,017	[2]
Noncontrolling interests		4,137	4,327	[2]
Total equity		13,797,603	15,796,344	[2]
Total liabilities and equity		93,458,653	130,295,081	[2]
Residential Mortgage Loans
Assets
Total assets		1,200,000	1,600,000
Liabilities
Repurchase agreements		47,652
Stockholders’ equity
Loans		61,100	66,700
Consolidated VIEs
Assets
Cash and cash equivalents (includes pledged assets of $1,168,816 and $1,648,545, respectively)		74,700	67,500
Consolidated VIEs | Agency Mortgage-Backed Securities
Assets
Securities (includes pledged assets of $70,393,155 and $108,809,569, respectively)		144,200	102,500
Consolidated VIEs | Non-Agency Mortgage-Backed Securities
Assets
Securities (includes pledged assets of $70,393,155 and $108,809,569, respectively)		398,900	468,000
Consolidation, Eliminations | Consolidated VIEs | Commercial Mortgage Loans
Assets
Securities (includes pledged assets of $70,393,155 and $108,809,569, respectively)		$ 381,300	$ 500,300
[1]	Includes cash of consolidated Variable Interest Entities (“VIEs”) of $74.7 million and $67.5 million at June 30, 2020 and December 31, 2019 , respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2019 .
[3]	Excludes $144.2 million and $102.5 million at June 30, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $398.9 million and $468.0 million at June 30, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $381.3 million and $500.3 million at June 30, 2020 and December 31, 2019
[4]	Includes $61.1 million and $66.7 million of residential mortgage loans held for sale at June 30, 2020 and December 31, 2019 , respectively.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Cash pledged as collateral	$ 1,168,816	$ 1,648,545
Loans, pledged assets	$ 3,017,199	$ 3,240,583
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)	85,150,000	85,150,000
Preferred stock, shares issued (in shares)	81,900,000	81,900,000
Preferred stock, shares outstanding (in shares)	81,900,000	81,900,000
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized (in shares)	2,914,850,000	2,914,850,000
Common stock, shares issued (in shares)	1,407,662,483	1,430,106,199
Common stock, shares outstanding (in shares)	1,407,662,483	1,430,106,199
Non-Agency Mortgage-Backed Securities
Pledged assets	$ 2,517	$ 3,336
Agency Mortgage-Backed Securities
Pledged assets	$ 70,393,155	$ 108,809,569

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Net interest income
Interest income	$ 584,812	$ 927,598	$ 1,139,838	$ 1,793,784
Interest expense	186,032	750,217	689,505	1,397,912
Net interest income	398,780	177,381	450,333	395,872
Realized and unrealized gains (losses)
Net interest component of interest rate swaps	(64,561)	83,653	(78,541)	217,688
Realized gains (losses) on termination or maturity of interest rate swaps	(1,521,732)	(167,491)	(1,919,293)	(755,747)
Unrealized gains (losses) on interest rate swaps	1,494,628	(1,276,019)	(1,333,095)	(1,666,575)
Subtotal	(91,665)	(1,359,857)	(3,330,929)	(2,204,634)
Net gains (losses) on disposal of investments and other	246,679	(38,333)	453,262	(132,249)
Net gains (losses) on other derivatives	170,916	(506,411)	377,342	(621,570)
Net unrealized gains (losses) on instruments measured at fair value through earnings	254,772	(4,881)	(475,388)	42,748
Loan loss provision	(68,751)	0	(168,077)	(5,703)
Subtotal	603,616	(549,625)	187,139	(716,774)
Total realized and unrealized gains (losses)	511,951	(1,909,482)	(3,143,790)	(2,921,408)
Other income (loss)	15,224	28,181	30,150	58,683
General and administrative expenses
Compensation and management fee	37,036	44,231	77,861	89,064
Other general and administrative expenses	30,630	34,177	67,434	73,081
Total general and administrative expenses	67,666	78,408	145,295	162,145
Income (loss) before income taxes	858,289	(1,782,328)	(2,808,602)	(2,628,998)
Income taxes	2,055	(5,915)	(24,647)	(3,334)
Net income (loss)	856,234	(1,776,413)	(2,783,955)	(2,625,664)
Net income (loss) attributable to noncontrolling interests	32	(83)	98	(184)
Net income (loss) attributable to Annaly	856,202	(1,776,330)	(2,784,053)	(2,625,480)
Dividends on preferred stock	35,509	32,422	71,018	64,916
Net income (loss) available (related) to common stockholders	$ 820,693	$ (1,808,752)	$ (2,855,071)	$ (2,690,396)
Net income (loss) per share available (related) to common stockholders
Basic (in dollars per share)	$ 0.58	$ (1.24)	$ (2)	$ (1.88)
Diluted (in dollars per share)	$ 0.58	$ (1.24)	$ (2)	$ (1.88)
Weighted average number of common shares outstanding
Basic (in shares)	1,423,909,112	1,456,038,736	1,427,451,716	1,427,485,102
Diluted (in shares)	1,423,909,112	1,456,038,736	1,427,451,716	1,427,485,102
Other comprehensive income (loss)
Net income (loss)	$ 856,234	$ (1,776,413)	$ (2,783,955)	$ (2,625,664)
Unrealized gains (losses) on available-for-sale securities	986,146	1,654,783	2,360,942	3,254,181
Reclassification adjustment for net (gains) losses included in net income (loss)	(265,443)	29,596	(657,059)	90,687
Other comprehensive income (loss)	720,703	1,684,379	1,703,883	3,344,868
Comprehensive income (loss)	1,576,937	(92,034)	(1,080,072)	719,204
Comprehensive income (loss) attributable to noncontrolling interests	32	(83)	98	(184)
Comprehensive income (loss) attributable to Annaly	1,576,905	(91,951)	(1,080,170)	719,388
Comprehensive income (loss) attributable to common stockholders	$ 1,541,396	$ (124,373)	$ (1,151,188)	$ 654,472

CONSOLIDATED STATEMENTS OF STOC

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands		Total		Preferred stock	Common stock	Additional Paid-In Capital	Accumulated Other Comprehensive Income (Loss)	Accumulated Deficit		Accumulated DeficitImpact of adopting CECL	Accumulated DeficitCECL provision, adjusted balance	Total Stockholders’ Equity	Noncontrolling Interest
Beginning of period at Dec. 31, 2018				$ 1,778,168	$ 13,138	$ 18,794,331	$ (1,979,865)	$ (4,493,660)		$ 0	$ (4,493,660)		$ 5,689
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance				387,178	1,422	1,397,484
Redemption				(55,000)
Buyback of common stock					0	0
Stock-based award activity					0	1,811
Direct purchase and dividend reinvestment		$ 1,795			2	1,793
Unrealized gains (losses) on available-for-sale securities		3,254,181					3,254,181
Reclassification adjustment for net (gains) losses included in net income (loss)		90,687					90,687
Net income (loss) attributable to Annaly		(2,625,480)						(2,625,480)
Dividends declared on preferred stock	[1]							(64,616)
Dividends and dividend equivalents declared on common stock and share-based awards		(798,893)						(798,893)	[1]
Net income (loss) attributable to noncontrolling interests		184											(184)
Equity contributions from (distributions to) noncontrolling interest													(779)
End of period at Jun. 30, 2019		15,707,407		2,110,346	14,562	20,195,419	1,365,003	(7,982,649)				$ 15,702,681	4,726
Beginning of period at Mar. 31, 2019				1,778,168	14,481	20,112,875	(319,376)	(5,809,931)		0	(5,809,931)		5,227
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance				387,178	80	80,009
Redemption				(55,000)
Buyback of common stock					0	0
Stock-based award activity					0	1,633
Direct purchase and dividend reinvestment					1	902
Unrealized gains (losses) on available-for-sale securities		1,654,783					1,654,783
Reclassification adjustment for net (gains) losses included in net income (loss)		29,596					29,596
Net income (loss) attributable to Annaly		(1,776,330)						(1,776,330)
Dividends declared on preferred stock	[1]							(32,122)
Dividends and dividend equivalents declared on common stock and share-based awards		(364,266)						(364,266)	[1]
Net income (loss) attributable to noncontrolling interests		83											(83)
Equity contributions from (distributions to) noncontrolling interest													(418)
End of period at Jun. 30, 2019		15,707,407		2,110,346	14,562	20,195,419	1,365,003	(7,982,649)				15,702,681	4,726
Beginning of period at Dec. 31, 2019		15,796,344	[2]	1,982,026	14,301	19,966,923	2,138,191	(8,309,424)		(39,641)	(8,349,065)		4,327
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance				0	0	0
Redemption				0
Buyback of common stock					(228)	(143,436)
Stock-based award activity					3	3,325
Direct purchase and dividend reinvestment		405			1	404
Unrealized gains (losses) on available-for-sale securities		2,360,942					2,360,942
Reclassification adjustment for net (gains) losses included in net income (loss)		(657,059)					(657,059)
Net income (loss) attributable to Annaly		(2,784,053)						(2,784,053)
Dividends declared on preferred stock	[1]							(71,018)
Dividends and dividend equivalents declared on common stock and share-based awards		(667,791)						(667,791)	[1]
Net income (loss) attributable to noncontrolling interests		(98)											98
Equity contributions from (distributions to) noncontrolling interest													(288)
End of period at Jun. 30, 2020		13,797,603		1,982,026	14,077	19,827,216	3,842,074	(11,871,927)				13,793,466	4,137
Beginning of period at Mar. 31, 2020				1,982,026	14,304	19,968,372	3,121,371	(12,382,648)		$ 0	$ (12,382,648)		4,105
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance				0	0	0
Redemption				0
Buyback of common stock					(228)	(143,436)
Stock-based award activity					0	1,876
Direct purchase and dividend reinvestment					1	404
Unrealized gains (losses) on available-for-sale securities		986,146					986,146
Reclassification adjustment for net (gains) losses included in net income (loss)		(265,443)					(265,443)
Net income (loss) attributable to Annaly		856,202						856,202
Dividends declared on preferred stock	[1]							(35,509)
Dividends and dividend equivalents declared on common stock and share-based awards		(309,972)						(309,972)	[1]
Net income (loss) attributable to noncontrolling interests		(32)											32
Equity contributions from (distributions to) noncontrolling interest													0
End of period at Jun. 30, 2020		$ 13,797,603		$ 1,982,026	$ 14,077	$ 19,827,216	$ 3,842,074	$ (11,871,927)				$ 13,793,466	$ 4,137
[1]	See Note titled “Capital Stock” for dividends per share for each class of shares.
[2]	Derived from the audited consolidated financial statements at December 31, 2019 .

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019
Statement of Cash Flows [Abstract]
Net income (loss)	$ (2,783,955)	$ (2,625,664)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Amortization of premiums and discounts of investments, net	881,012	569,406
Amortization of securitized debt premiums and discounts and deferred financing costs	(4,554)	(11,020)
Depreciation, amortization and other noncash expenses	16,895	16,538
Net (gains) losses on disposal of investments and other	(453,262)	132,249
Net (gains) losses on investments and derivatives	3,350,434	2,245,397
Income from unconsolidated joint ventures	(1,349)	2,681
Loan loss provision	168,077	5,703
Payments on purchases of loans held for sale	(90,287)	(134,504)
Proceeds from sales and repayments of loans held for sale	95,551	113,835
Net receipts (payments) on derivatives	(2,538,137)	(2,051,618)
Net change in
Other assets	238,119	(20,707)
Interest receivable	139,240	(75,283)
Interest payable	(295,392)	120,399
Other liabilities	(62,684)	26,498
Net cash provided by (used in) operating activities	(1,340,292)	(1,686,090)
Cash flows from investing activities
Payments on purchases of securities	(17,684,740)	(43,772,939)
Proceeds from sales of securities	46,806,424	13,189,983
Principal payments on securities	9,328,755	6,105,934
Payments of purchases of loans	(1,588,531)	(1,451,086)
Proceeds from sales of loans	510,407	335,700
Principal payments on loans	1,040,569	1,931,237
Investments in real estate	(820)	(11,656)
Proceeds from sales of real estate	0	6,661
Proceeds from reverse repurchase agreements	37,100,000	59,546,512
Payments on reverse repurchase agreements	(37,100,000)	(58,896,472)
Distributions in excess of cumulative earnings from unconsolidated joint ventures	6,332	256
Cash acquired in asset acquisition	3,793	0
Net cash provided by (used in) investing activities	38,422,189	(23,015,870)
Cash flows from financing activities
Proceeds from repurchase agreements and other secured financing	1,910,919,740	2,807,924,726
Payments on repurchase agreements and other secured financing	(1,948,434,517)	(2,783,914,681)
Proceeds from issuances of securitized debt	1,423,925	1,614,580
Principal payments on securitized debt	(540,928)	(1,497,815)
Payment of deferred financing cost	(553)	(4,524)
Net proceeds from stock offerings, direct purchases and dividend reinvestments	405	1,787,879
Redemptions of preferred stock	0	(55,000)
Net principal receipts (payments) on mortgages payable	23,373	(12,475)
Net contributions (distributions) from (to) noncontrolling interests	(288)	(779)
Net payment on share repurchase	(143,664)	0
Dividends paid	(786,209)	(893,389)
Net cash provided by (used in) financing activities	(37,538,716)	24,948,522
Net (decrease) increase in cash and cash equivalents	(456,819)	246,562
Cash and cash equivalents including cash pledged as collateral, beginning of period	1,850,729	1,735,749
Cash and cash equivalents including cash pledged as collateral, end of period	1,393,910	1,982,311
Supplemental disclosure of cash flow information
Interest received	3,354,991	2,296,054
Dividends received	6,180	4,186
Interest paid (excluding interest paid on interest rate swaps)	1,498,708	1,277,824
Net interest paid on interest rate swaps	358,218	(190,108)
Taxes received (paid)	603	204
Noncash investing activities
Receivable for unsettled trades	747,082	5,322
Payable for unsettled trades	2,122,735	620,784
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment	1,703,883	3,344,868
Noncash financing activities
Dividends declared, not yet paid	$ 309,686	$ 364,066

DESCRIPTION OF BUSINESS

DESCRIPTION OF BUSINESS	6 Months Ended
	Jun. 30, 2020
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’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 debt financing to private equity-backed middle market businesses across the capital structure. The Company is an internally-managed company that 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”). Prior to the closing of the Internalization (as defined in Note 19) on June 30, 2020, the Company was externally managed by Annaly Management Company LLC (the “Manager”).

BASIS OF PRESENTATION

BASIS OF PRESENTATION	6 Months Ended
	Jun. 30, 2020
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, 2019 (the “ 2019 Form 10-K”). The consolidated financial information as of December 31, 2019 has been derived from audited consolidated financial statements included in the Company’s 2019 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	6 Months Ended
	Jun. 30, 2020
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 $1.2 billion and $1.6 billion at June 30, 2020 and December 31, 2019 , respectively. Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings. Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. 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 measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Stock-based awards that do not require future service (i.e., vested awards) are expensed immediately. Forfeitures are recorded when they occur. The Company generally issues new shares of common stock upon delivery of stock-based awards. Interest Income - The Company recognizes interest income primarily on Residential securities, residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not paid is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income. Refer to the “Interest Income and Interest Expense” note for further discussion. For its securities, 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 interest-only securities, multifamily and reverse mortgages), 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). 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. See the Note “Interest Income and Interest Expense” for further discussion on interest. The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans or 120 days for corporate debt carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as interest income. 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 were adopted ASU 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments (“ASU 2016-13”) 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 cash and cash equivalents, reverse repurchase agreements, 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 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020.

FINANCIAL INSTRUMENTS

FINANCIAL INSTRUMENTS	6 Months Ended
	Jun. 30, 2020
Investments, All Other Investments [Abstract]
FINANCIAL INSTRUMENTS	4. FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at June 30, 2020 and December 31, 2019 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis June 30, 2020 December 31, 2019 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 76,179,651 $ 112,124,958 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 582,149 768,409 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 362,901 531,322 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 619,840 1,135,868 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 28,557 64,655 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 32,645 208,368 Total securities 77,805,743 114,833,580 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,168,521 1,647,787 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 618,886 669,713 Loans, net Corporate debt held for investment, net Amortized cost 2,185,264 2,144,850 Total loans, net 3,972,671 4,462,350 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 1,832,708 1,122,588 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,832,502 2,598,374 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,150,623 2,345,120 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 874,618 936,378 Total assets transferred or pledged to securitization vehicles 7,690,451 7,002,460 Liabilities Repurchase agreements Repurchase agreements Amortized cost 67,163,598 101,740,728 Other secured financing Loans Amortized cost 1,538,996 4,455,700 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 6,458,130 5,622,801 Mortgages payable Loans Amortized cost 508,565 485,005 (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 single-asset / single-borrower CMBS.

SECURITIES

SECURITIES	6 Months Ended
	Jun. 30, 2020
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 debt 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. Impairment – Management evaluates available-for-sale securities and held-to-maturity debt securities for 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) as a Securities Loss Provision and reflected as an Allowance for Credit Losses on Securities on the Consolidated Statements of Financial Condition, while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). There was no impairment recognized for the three or six months ended June 30, 2020 and 2019 . 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 any credit loss recognized through an allowance for credit losses and any other unrealized gains and losses reported as a component of Other comprehensive income (loss). Management evaluates its Commercial Securities for impairment at least quarterly. The Company elected the fair value option for all other Commercial Securities, including conduit and credit 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, excluding securities transferred or pledged to securitization vehicles, for the six months ended June 30, 2020 : Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2020 $ 114,560,557 $ 273,023 $ 114,833,580 Purchases 19,317,457 — 19,317,457 Sales and transfers (1) (47,391,453 ) (194,057 ) (47,585,510 ) Principal paydowns (9,302,451 ) (4,933 ) (9,307,384 ) (Amortization) / accretion (887,336 ) 378 (886,958 ) Fair value adjustment 1,447,767 (13,209 ) 1,434,558 Ending balance June 30, 2020 $ 77,744,541 $ 61,202 $ 77,805,743 (1) Includes transfers to securitization vehicles. The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at June 30, 2020 and December 31, 2019 : June 30, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 67,681,807 $ 3,078,694 $ (25,303 ) $ 70,735,198 $ 3,479,647 $ (214 ) $ 74,214,631 Adjustable-rate pass-through 560,942 5,136 (3,063 ) 563,015 26,130 (5 ) 589,140 CMO 149,798 2,334 — 152,132 10,542 — 162,674 Interest-only 3,363,096 640,320 — 640,320 12,892 (130,278 ) 522,934 Multifamily 1,144,549 14,609 (1,108 ) 1,158,050 55,226 (70 ) 1,213,206 Reverse mortgages 53,931 4,622 — 58,553 701 (39 ) 59,215 Total agency securities $ 72,954,123 $ 3,745,715 $ (29,474 ) $ 73,307,268 $ 3,585,138 $ (130,606 ) $ 76,761,800 Residential credit CRT (1) $ 423,284 $ 10,439 $ (1,144 ) $ 419,428 $ 112 $ (56,639 ) $ 362,901 Alt-A 106,758 52 (20,570 ) 86,240 5,093 (681 ) 90,652 Prime 179,368 4,320 (14,649 ) 169,039 9,544 (1,538 ) 177,045 Prime interest-only 280,259 2,906 — 2,906 — (974 ) 1,932 Subprime 135,160 — (20,853 ) 114,307 6,396 (16 ) 120,687 NPL/RPL 191,529 791 (1,423 ) 190,897 1,644 (2,026 ) 190,515 Prime jumbo (>=2010 vintage) 39,977 — (4,656 ) 35,321 666 (400 ) 35,587 Prime jumbo (>=2010 vintage) Interest-only 448,980 8,185 — 8,185 — (4,763 ) 3,422 Total residential credit securities $ 1,805,315 $ 26,693 $ (63,295 ) $ 1,026,323 $ 23,455 $ (67,037 ) $ 982,741 Total Residential Securities $ 74,759,438 $ 3,772,408 $ (92,769 ) $ 74,333,591 $ 3,608,593 $ (197,643 ) $ 77,744,541 Commercial Commercial Securities $ 74,458 $ 66 $ (7,692 ) $ 66,832 $ — $ (5,630 ) $ 61,202 Total securities $ 74,833,896 $ 3,772,474 $ (100,461 ) $ 74,400,423 $ 3,608,593 $ (203,273 ) $ 77,805,743 December 31, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 102,448,565 $ 4,345,053 $ (46,614 ) $ 106,747,004 $ 2,071,583 $ (95,173 ) $ 108,723,414 Adjustable-rate pass-through 1,474,818 72,245 (1,400 ) 1,545,663 10,184 (31,516 ) 1,524,331 CMO 156,937 2,534 — 159,471 545 — 160,016 Interest-only 4,486,845 862,905 — 862,905 2,787 (157,130 ) 708,562 Multifamily 1,619,900 19,981 (2,280 ) 1,637,601 82,292 (2,696 ) 1,717,197 Reverse mortgages 54,553 5,053 — 59,606 550 (309 ) 59,847 Total agency investments $ 110,241,618 $ 5,307,771 $ (50,294 ) $ 111,012,250 $ 2,167,941 $ (286,824 ) $ 112,893,367 Residential credit CRT (1) $ 517,110 $ 15,850 $ (2,085 ) $ 515,950 $ 16,605 $ (1,233 ) $ 531,322 Alt-A 160,957 250 (22,306 ) 138,901 12,482 — 151,383 Prime 277,076 3,362 (17,794 ) 262,644 14,142 (529 ) 276,257 Prime interest-only 391,234 3,757 — 3,757 — (590 ) 3,167 Subprime 370,263 1,356 (59,727 ) 311,892 37,205 (118 ) 348,979 NPL/RPL 164,180 351 (440 ) 164,091 191 (14 ) 164,268 Prime jumbo (>=2010 vintage) 182,709 1,026 (4,281 ) 179,454 5,360 (150 ) 184,664 Prime jumbo (>=2010 vintage) Interest-only 554,189 9,001 — 9,001 — (1,851 ) 7,150 Total residential credit securities $ 2,617,718 $ 34,953 $ (106,633 ) $ 1,585,690 $ 85,985 $ (4,485 ) $ 1,667,190 Total Residential Securities $ 112,859,336 $ 5,342,724 $ (156,927 ) $ 112,597,940 $ 2,253,926 $ (291,309 ) $ 114,560,557 Commercial Commercial Securities $ 263,965 $ 10,873 $ (9,393 ) $ 265,445 $ 7,710 $ (132 ) $ 273,023 Total securities $ 113,123,301 $ 5,353,597 $ (166,320 ) $ 112,863,385 $ 2,261,636 $ (291,441 ) $ 114,833,580 (1) Principal/Notional amount includes $13.2 million and $14.9 million of a CRT interest-only security as of June 30, 2020 and December 31, 2019 , respectively. The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at June 30, 2020 and December 31, 2019 : June 30, 2020 December 31, 2019 Investment Type (dollars in thousands) Fannie Mae $ 54,418,283 $ 76,656,831 Freddie Mac 22,206,471 36,087,100 Ginnie Mae 137,046 149,436 Total $ 76,761,800 $ 112,893,367 Actual maturities of the Company’s Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on the underlying mortgages. The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at June 30, 2020 and December 31, 2019 , according to their estimated weighted average life classifications: June 30, 2020 December 31, 2019 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 1,209,988 $ 1,206,144 $ 3,997 $ 4,543 Greater than one year through five years 56,873,831 54,319,935 36,290,254 35,581,833 Greater than five years through ten years 18,855,032 18,027,945 77,732,756 76,504,845 Greater than ten years 805,690 779,567 533,550 506,719 Total $ 77,744,541 $ 74,333,591 $ 114,560,557 $ 112,597,940 The estimated weighted average lives of the Residential Securities at June 30, 2020 and December 31, 2019 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 June 30, 2020 and December 31, 2019 . June 30, 2020 December 31, 2019 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 $ 312,936 $ (284 ) 7 $ 7,388,239 $ (24,056 ) 139 12 Months or more 1,563 (5 ) 2 11,619,280 (105,329 ) 352 Total $ 314,499 $ (289 ) 9 $ 19,007,519 $ (129,385 ) 491 (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 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 six months ended June 30, 2020 , the Company disposed of $5.5 billion and $47.4 billion of Residential Securities, respectively. During the three and six months ended June 30, 2019 , the Company disposed of $9.1 billion and $19.5 billion of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and six months ended June 30, 2020 and 2019. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) June 30, 2020 $ 272,382 $ (12,496 ) $ 259,886 June 30, 2019 $ 21,017 $ (55,316 ) $ (34,299 ) For the six months ended June 30, 2020 $ 811,637 $ (284,494 ) $ 527,143 June 30, 2019 $ 23,543 $ (150,356 ) $ (126,813 )

LOANS

LOANS	6 Months Ended
	Jun. 30, 2020
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 June 30, 2020 and December 31, 2019 , the Company reported $1.2 billion and $1.6 billion , respectively, 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. Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible. Given the unique nature of each underlying borrower and any collateral, the Company assesses an allowance for each individual loan held-for-investment. A provision is established at origination or acquisition that reflects management’s estimate of the total expected credit loss over the expected life of the loan. In estimating the lifetime expected credit losses, management utilizes a probability of default and loss given default methodology (“Loss given default methodology”), which considers projected economic conditions over the reasonable and supportable forecast period. The forecast incorporates primarily market-based assumptions including, but not limited to, forward interest rate curves, unemployment rate estimates and certain indexes sourced from third party vendors. For any remaining period of the expected life of the loan after the reasonable and supportable period, the Company reverts to historical losses on a straight-line basis. Management uses third-party vendors’ loan pool data for loans with similar risk characteristics to estimate historical losses given the limited loss history of the Company’s loan portfolio. Changes in the lifetime expected credit loss are reflected in Loan loss provision in the Consolidated Statements of Comprehensive Income (Loss). For loans experiencing credit deterioration, the Company may use a different methodology to determine the expected credit losses such as a discounted cash flow analysis. For collateral-dependent loans, if foreclosure is probable, expected credit losses are based on the fair value of the collateral at the reporting date, adjusted for any selling costs, if applicable. Additionally, the Company may elect the practical expedient for a financial asset for which the repayment is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty by measuring the allowance as the difference between the fair value of the collateral, less costs to sell, if applicable, and the amortized cost basis of the financial asset at the reporting date. The Company’s commercial loans are collateralized by commercial real estate including, but not limited to, multifamily real estate, office and retail space, hotels and industrial space. At origination, the fair value of the collateral generally exceeds the principal loan balance. 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. The Company recorded loan loss provisions of $68.8 million and $168.1 million for the three and six months ended June 30, 2020 , respectively. The Company recorded loan loss provisions of $0.0 and $5.7 million for the three and six months ended June 30, 2019 , respectively. As of June 30, 2020 and December 31, 2019 , the Company’s loan loss provision was $206.7 million and $20.1 million , respectively. 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 six months ended June 30, 2020 : Residential Commercial Corporate Debt Total (dollars in thousands) Beginning balance January 1, 2020 $ 1,647,787 $ 669,713 $ 2,144,850 $ 4,462,350 Impact of adopting CECL — (3,600 ) (29,653 ) (33,253 ) Purchases / originations 841,507 187,195 663,396 1,692,098 Sales and transfers (1) (1,184,947 ) (97,623 ) (299,628 ) (1,582,198 ) Principal payments (98,636 ) (59,675 ) (273,556 ) (431,867 ) Gains / (losses) (2) (33,035 ) (78,648 ) (26,917 ) (138,600 ) (Amortization) / accretion (4,155 ) 1,524 6,772 4,141 Ending balance June 30, 2020 $ 1,168,521 $ 618,886 $ 2,185,264 $ 3,972,671 (1) Includes securitizations, syndications and transfers to securitization vehicles. (2) Includes loan loss allowances. The carrying value of the Company’s residential loans held for sale was $61.1 million and $66.7 million at June 30, 2020 and December 31, 2019 , respectively. There were no commercial loans held for sale at June 30, 2020 and December 31, 2019 . The Company also has off-balance-sheet credit exposures related to unfunded loan commitments, including revolvers, delayed draw term loans and future funding commitments that are not unconditionally cancelable by the Company. The Company utilizes the same methodology in calculating the liability related to the expected credit losses on these exposures as it does for the calculation of the allowance for loan losses. In determining the estimate of credit losses for off-balance-sheet credit exposures, the Company will consider the contractual period in which the entity is exposed to credit risk and the likelihood that funding will occur, if material. Estimated credit losses for off-balance-sheet credit exposures are included in Other liabilities on the Company’s Consolidated Statements of Financial Condition. Residential The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Statements of Comprehensive Income. 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 June 30, 2020 and December 31, 2019 : June 30, 2020 December 31, 2019 (dollars in thousands) Fair value $ 4,001,023 $ 4,246,161 Unpaid principal balance $ 3,989,923 $ 4,133,149 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2020 and 2019 for these investments: For the Three Months Ended For the Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 (dollars in thousands) Interest income $ 42,872 $ 35,025 $ 90,429 $ 65,016 Net gains (losses) on disposal of investments and other (5,376 ) (4,605 ) (17,376 ) (9,828 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 110,545 25,891 (82,218 ) 43,712 Total included in net income (loss) $ 148,041 $ 56,311 $ (9,165 ) $ 98,900 The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2020 and December 31, 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans June 30, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 51.1% California 52.1% New York 11.4% New York 10.5% Florida 5.7% Florida 5.3% All other (none individually greater than 5%) 31.8% All other (none individually greater than 5%) 32.1% 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 June 30, 2020 and December 31, 2019 : June 30, 2020 December 31, 2019 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $433 $1 - $3,448 $459 Interest rate 0.88% - 9.24% 4.90% 2.00% - 8.38% 4.94% Maturity 7/1/2029 - 4/1/2060 4/15/2048 1/1/2028 - 12/1/2059 12/29/2047 FICO score at loan origination 505 - 829 757 505 - 829 758 Loan-to-value ratio at loan origination 8% - 105% 67% 8% - 105% 67% At June 30, 2020 and December 31, 2019 , approximately 34% and 36% , 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 and preferred equity interests 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. 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 rubric for commercial loans has nine categories as depicted below: Risk Rating - Commercial Loans Description 1-4 / Performing Meets all present contractual obligations. 5 / Performing - Closely Monitored Meets all present contractual obligations, but are transitional or could be exhibiting some weaknesses in both leverage and liquidity. 6 / Performing - Special Mention Meets all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects. 7 / Substandard 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. 8 / Doubtful Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. 9 / Loss Considered uncollectible. Management assesses each loan at least quarterly and assigns an internal risk rating based on its evaluation of the most recent financial information produced by the borrower and consideration of economic conditions. See below for a tabular disclosure of the amortized cost basis of the Company’s commercial loans by year of origination and internal risk rating. For the three months ended June 30, 2020 , the Company recorded a loan loss provision on impaired collateral dependent commercial loans of $22.0 million with a principal balance and carrying value, net of allowances of $96.9 million and $57.8 million , respectively, based upon the fair value of the underlying collateral. There was no provision for loan loss recorded for the three months ended June 30, 2019 . For the six months ended June 30, 2020 , the Company recorded a loan loss provision on impaired collateral dependent commercial loans of $74.1 million with a principal balance and carrying value, net of allowances of $175.1 million and $95.2 million , respectively, based upon the fair value of the underlying collateral. The Company uses a discounted cash flow or market based valuation technique based upon the underlying property to project property cash flows. In projecting these cash flows, the Company reviewed the borrower financial statements, rent rolls, economic trends and other factors management deems important. These nonrecurring fair value measurements are considered to be in level three of the fair value measurement hierarchy as there are unobservable inputs, which are significant to the overall fair value. For the six months ended June 30, 2019 , the Company recorded a loan loss provision of $5.7 million on commercial loans with a principal balance and carrying value, net of allowances of $36.6 million and $30.9 million , respectively. As a result of the implementation of the Loss given default methodology under the modified retrospective method, a cumulative effect loan loss allowance of $7.8 million was recorded on January 1, 2020. For the three and six months ended June 30, 2020, the Company recorded a loan loss allowance of $39.1 million and $62.3 million , respectively, based upon its Loss given default methodology. At June 30, 2020 and December 31, 2019 , the amortized cost basis of commercial loans on nonaccrual status was $101.0 million and $175.2 million , respectively. At June 30, 2020 and December 31, 2019 , the Company had unfunded commercial real estate loan commitments of $129.6 million and $181.4 million , respectively. At June 30, 2020 , the liability related to the expected credit losses on the unfunded commercial loan commitments was $5.9 million . At June 30, 2020 and December 31, 2019 , approximately 94% and 92% , respectively, of the carrying value, net of allowances 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. The sector attributes of the Company’s commercial real estate investments held for investment at June 30, 2020 and December 31, 2019 were as follows: Sector Dispersion June 30, 2020 December 31, 2019 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 660,994 44.2 % $ 681,129 42.4 % Retail 326,695 21.9 % 389,076 24.2 % Multifamily 279,943 18.7 % 262,302 16.3 % Hotel 116,053 7.8 % 135,681 8.4 % Industrial 59,137 4.0 % 82,441 5.1 % Other 31,637 2.1 % 36,589 2.3 % Healthcare 19,045 1.3 % 18,873 1.3 % Total $ 1,493,504 100.0 % $ 1,606,091 100.0 % At June 30, 2020 and December 31, 2019 , commercial real estate investments held for investment were comprised of the following: June 30, 2020 December 31, 2019 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 512,278 $ 496,765 31.0 % $ 503,499 $ 499,690 30.9 % Senior securitized mortgages (3) 939,951 874,618 57.0 % 940,546 936,378 57.8 % Mezzanine loans 198,075 122,121 12.0 % 183,064 170,023 11.3 % Total $ 1,650,304 $ 1,493,504 100.0 % $ 1,627,109 $ 1,606,091 100.0 % (1) Carrying value includes unamortized origination fees of $6.9 million and $8.3 million at June 30, 2020 and December 31, 2019 , respectively. (2) Based on outstanding principal. (3) Represents assets of consolidated VIEs. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at June 30, 2020 and December 31, 2019 : June 30, 2020 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2020) (2) $ 499,690 $ 936,378 $ 182,726 $ 1,618,794 Originations & advances (principal) 176,077 — 12,010 188,087 Principal payments (59,675 ) (55,719 ) — (115,394 ) Principal write off — — (7,000 ) (7,000 ) Transfers (107,623 ) 54,472 10,000 (43,151 ) Net (increase) decrease in origination fees (812 ) — (80 ) (892 ) Realized gain 204 — — 204 Amortization of net origination fees 1,430 1,211 94 2,735 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703 ) (12,703 ) Impact of adopting CECL (2,264 ) (4,166 ) (1,336 ) (7,766 ) Current period allowance (10,262 ) (57,558 ) (68,590 ) (136,410 ) Write offs — — 7,000 7,000 Ending allowance (12,526 ) (61,724 ) (75,629 ) (149,879 ) Net carrying value (June 30, 2020) $ 496,765 $ 874,618 $ 122,121 $ 1,493,504 December 31, 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) 572,204 — 21,709 593,913 Principal payments (16,785 ) (150,245 ) (149,633 ) (316,663 ) Transfers (1,034,754 ) 1,083,487 (8,675 ) 40,058 Net (increase) decrease in origination fees (4,200 ) — (184 ) (4,384 ) Amortization of net origination fees 2,023 3,136 412 5,571 Net (increase) decrease in allowance — — (9,207 ) (9,207 ) Net carrying value (December 31, 2019) $ 499,690 $ 936,378 $ 170,023 $ 1,606,091 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances. The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of June 30, 2020 . Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 Prior (dollars in thousands) 1-4 / Performing $ 350,361 $ 91,417 $ 166,518 $ — $ 12,675 $ — $ 79,751 5 / Performing - Closely Monitored 264,420 — 158,806 — 39,883 65,731 — 6 / Performing - Special Mention 666,561 67,312 218,925 268,236 60,565 — 51,523 7 / Substandard 67,003 — — 67,003 — — — 8 / Doubtful 145,159 — — 37,374 107,785 — — 9 / Loss (2) — — — — — — — Total $ 1,493,504 $ 158,729 $ 544,249 $ 372,613 $ 220,908 $ 65,731 $ 131,274 (1) The amortized cost basis excludes accrued interest. As of June 30, 2020, the Company had $4.3 million of accrued interest receivable on commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition. (2) Includes two commercial mezzanine loans for which the Company recorded a full loan loss allowance of $46.6 million . 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’s internal risk rating rubric for corporate debt has nine categories as depicted below: Risk Rating - Corporate Debt Description 1-5 / Performing Meets all present contractual obligations. 6 / Performing - Closely Monitored Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal. 7 / Substandard A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible. 8 / Doubtful A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues. 9 / Loss Considered uncollectible. Management assesses each loan at least quarterly and assigns an internal risk rating based on its evaluation of the most recent financial information produced by the borrower and consideration of economic conditions. See below for a tabular disclosure of the amortized cost basis of the Company’s corporate debt held for investment by year of origination and internal risk rating. For the six months ended June 30, 2020, the Company recorded a loan loss provision of $10.0 million on impaired corporate loans using a discounted cash flow methodology with a beginning principal balance and carrying value, net of allowances of $29.3 million and $4.3 million , respectively. During the six months ended June 30, 2020, a loan was restructured and the Company received $2.8 million of second lien debt and $4.8 million of equity. As a result of the restructuring, $19.6 million of first lien debt was written off and the related allowance of $11.9 million was charged off. There was no provision for loan loss recorded on corporate loans for the six months ended June 30, 2019 . As a result of the implementation of the Loss given default methodology under the modified retrospective method, a cumulative effect loan loss allowance on corporate loans of $29.7 million was recorded on January 1, 2020. For the three and six months ended June 30, 2020, the Company recorded a loan loss allowance on corporate loans of $7.6 million and $21.7 million , respectively, based upon its Loss given default methodology. As of June 30, 2020 and December 31, 2019 , the amortized cost basis of corporate loans on nonaccrual status was $0 and $12.2 million , respectively. At June 30, 2020 and December 31, 2019 , the Company had unfunded corporate loan commitments of $74.9 million and $81.2 million , respectively. At June 30, 2020 , the liability related to the expected credit losses on the unfunded corporate loan commitments was $0.8 million . The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at June 30, 2020 and December 31, 2019 are as follows: Industry Dispersion June 30, 2020 December 31, 2019 Total (1) Total (1) (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services $ 406,827 $ 394,193 Management & Public Relations Services 277,511 339,179 Industrial Inorganic Chemicals 147,622 — Miscellaneous Business Services 122,279 164,033 Public Warehousing & Storage 116,967 107,029 Engineering, Architectural, and Surveying 110,926 124,201 Metal Cans & Shipping Containers 108,333 118,456 Offices & Clinics of Doctors of Medicine 104,000 106,993 Surgical, Medical & Dental Instruments & Supplies 99,657 102,182 Electronic Components & Accessories 77,788 24,000 Insurance Agents, Brokers and Service 70,978 75,410 Telephone Communications 57,482 61,210 Miscellaneous Health & Allied Services, not elsewhere classified 52,177 78,908 Miscellaneous Equipment Rental & Leasing 49,505 49,776 Electric Work 40,642 43,175 Medical & Dental Laboratories 35,231 41,344 Metal Forgings & Stampings 29,739 — Research, Development & Testing Services 29,541 45,610 Home Health Care Services 28,896 29,361 Motor Vehicles and Motor Vehicle Parts & Supplies 28,415 28,815 Legal Services 27,923 — Petroleum and Petroleum Products 24,745 24,923 Grocery Stores 22,948 23,248 Coating, Engraving and Allied Services 20,298 47,249 Schools & Educational Services, not elsewhere classified 19,331 19,586 Drugs 15,856 15,923 Chemicals & Allied Products 14,844 15,002 Machinery, Equipment & Supplies 12,419 — Mailing, Reproduction, Commercial Art and Photography and Stenographic 12,356 14,755 Offices and Clinics of Other Health Practitioners 10,091 10,098 Miscellaneous Plastic Products 9,937 10,000 Nonferrous Foundries (Castings) — 30,191 Total $ 2,185,264 $ 2,144,850 (1) All middle market lending positions are floating rate. The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at June 30, 2020 and December 31, 2019 . June 30, 2020 December 31, 2019 (dollars in thousands) First lien loans $ 1,357,123 $ 1,396,140 Second lien loans 828,141 748,710 Total $ 2,185,264 $ 2,144,850 The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at June 30, 2020 and December 31, 2019: June 30, 2020 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2020) (1) $ 1,403,503 $ 748,710 $ 2,152,213 Originations & advances 484,393 179,003 663,396 Principal payments (247,658 ) (25,898 ) (273,556 ) Amortization & accretion of (premium) discounts 4,898 1,874 6,772 Loan restructuring (19,550 ) 2,818 (16,732 ) Sales (248,258 ) (47,382 ) (295,640 ) Syndications 5,600 — 5,600 Allowance for loan losses — Beginning allowance, prior to CECL adoption (7,363 ) — (7,363 ) Impact of adopting CECL (10,787 ) (18,866 ) (29,653 ) Current period allowance (19,549 ) (12,118 ) (31,667 ) Write offs 11,894 — 11,894 Ending allowance (25,805 ) (30,984 ) (56,789 ) Net carrying value (June 30, 2020) $ 1,357,123 $ 828,141 $ 2,185,264 (1) Excludes loan loss allowances. December 31, 2019 First Lien Second Lien Total (dollars in thousands) Net carrying value (January 1, 2019) $ 1,346,356 $ 540,826 $ 1,887,182 Originations & advances 542,463 345,573 888,036 Principal payments (228,302 ) (140,625 ) (368,927 ) Amortization & accretion of (premium) discounts 5,960 2,936 8,896 Sales (262,974 ) — (262,974 ) Net (increase) decrease in allowance (7,363 ) — (7,363 ) Net carrying value (December 31, 2019) $ 1,396,140 $ 748,710 $ 2,144,850 The following table provides the amortized cost basis of corporate debt held for investment as of June 30, 2020 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 2015 Revolvers (dollars in thousands) 1-5 / Performing $ 1,613,987 $ 275,139 $ 413,306 $ 503,077 $ 301,941 $ 72,187 $ 34,048 $ 14,289 6 / Performing - Closely Monitored 382,619 — 77,211 221,072 38,366 44,728 — 1,242 7 / Substandard 172,548 — 23,911 108,333 40,304 — — — 8 / Doubtful 16,623 — — 12,356 4,267 — — — 9 / Loss — — — — — — — — Total $ 2,185,777 $ 275,139 $ 514,428 $ 844,838 $ 384,878 $ 116,915 $ 34,048 $ 15,531 (1) The amortized cost basis excludes accrued interest and costs related to unfunded loans. As of June 30, 2020, the Company had $11.4 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition.

MORTGAGE SERVICING RIGHTS

MORTGAGE SERVICING RIGHTS	6 Months Ended
	Jun. 30, 2020
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 six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 (dollars in thousands) Fair value, beginning of period $ 280,558 $ 500,745 $ 378,078 $ 557,813 Change in fair value due to: Changes in valuation inputs or assumptions (1) (27,629 ) (55,749 ) (106,854 ) (98,838 ) Other changes, including realization of expected cash flows (25,529 ) (19,668 ) (43,824 ) (33,647 ) Fair value, end of period $ 227,400 $ 425,328 $ 227,400 $ 425,328 (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 six months ended June 30, 2020 , the Company recognized $16.4 million and $39.2 million , respectively, and for the three and six months ended June 30, 2019 , the Company recognized $27.5 million and $55.2 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	6 Months Ended
	Jun. 30, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]
VARIABLE INTEREST ENTITIES	8. VARIABLE INTEREST ENTITIES Commercial Trusts The Company has invested in subordinate mortgage-backed securities issued by commercial securitization trusts (“Commercial Trusts”) and determined that it is the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the subordinate securities and its current designation as the directing certificate holder. Information regarding these securitization trusts are summarized in the table below. Type of Underlying Collateral Settlement Date Cut-off Date Principal Balance Face Value of Company’s Variable Interest at Settlement Date (dollars in thousands) Multifamily April 2015 $ 1,192,607 $ 89,446 Hotels June 2018 $ 982,000 $ 93,500 Multifamily August 2019 $ 271,700 $ 20,270 Office Building October 2019 $ 60,000 $ 60,000 Multifamily October 2019 $ 415,000 $ 75,359 Multifamily December 2019 $ 394,000 $ 110,350 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 and commercial 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 $2.3 billion and $2.3 billion at June 30, 2020 and December 31, 2019 , respectively. At June 30, 2020 and December 31, 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 June 30, 2020 and 2019 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. Commercial Securitizations The Company also invests in commercial mortgage-backed securities issued by entities that are VIEs because they do not have sufficient equity at risk for the entities to finance their activities without additional subordinated financial support from other parties, but the Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs’ economic performance. For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these VIEs. See the “Securities” Note for further information on Commercial Securities. 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 June 30, 2020 a total of $610.1 million of notes were held by third parties and the Company retained or purchased $196.6 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 year ended December 31, 2019. The aggregate unpaid principal balance of loans in the CLO was $857.3 million at June 30, 2020 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 June 30, 2020 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 June 30, 2020 . Multifamily Securitization In November 2019, the Company repackaged Fannie Mae guaranteed multifamily mortgage-backed securities with a principal cut-off balance of $1.0 billion and retained interest only securities with a notional balance of $1.0 billion and senior securities with a principal balance of $28.5 million . In March 2020, the Company repackaged Fannie Mae guaranteed multifamily mortgage-backed securities with a principal cut-off balance of $0.5 billion and retained interest only securities with a notional balance of $0.5 billion . The Company determined that it was the primary beneficiary based upon its involvement in the design of these VIEs. The Company elected the fair value option for the financial liabilities of these VIEs in order to simplify the accounting; however, the financial assets were not eligible for the fair value option as it was not elected at purchase. The Company incurred $1.1 million of costs in connection with this multifamily securitization that were expensed as incurred during the six months ended June 30, 2020 . 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 $43.2 million and $57.3 million at June 30, 2020 and December 31, 2019 , respectively. Residential Securitizations The Company also invests in residential mortgage-backed securities issued by entities that are VIEs because they do not have sufficient equity at risk for the entities to finance their activities without additional subordinated financial support from other parties, but the Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs’ economic performance. For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these VIEs. See the “Securities” Note for further information on Residential Securities. 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 OBX 2019-EXP3 October 2019 $ 465,492 OBX 2020-INV1 January 2020 $ 374,609 OBX 2020-EXP1 February 2020 $ 467,511 As of June 30, 2020 , a total of $2.3 billion of bonds were held by third parties and the Company retained $526.3 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 $0.0 and $3.0 million of costs during the three months ended June 30, 2020 and 2019 , respectively, and $3.7 million and $4.7 million of costs during the six months ended June 30, 2020 and 2019 , 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 $2.3 billion at June 30, 2020 . 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 June 30, 2020 , the borrowing limit on this facility was $625.0 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 $741.3 million at June 30, 2020 . The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At June 30, 2020 , the subsidiary had an intercompany receivable of $426.4 million , which eliminates upon consolidation and a secured financing of $426.4 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 June 30, 2020 , the borrowing limit on this facility was $320.0 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 $454.9 million at June 30, 2020 , which continue to be reflected in the Company’s Consolidated Statements of Financial Condition under Loans, net. At June 30, 2020 , the subsidiary had a secured financing of $257.8 million to the third party financial institution. In January 2019, a consolidated subsidiary of the Company (the “Borrower”) entered into a $300.0 million credit facility with a third party financial institution. The Company has pledged as collateral for this facility corporate loans with a carrying amount of $336.8 million at June 30, 2020 . As of June 30, 2020 , the Borrower had a secured financing of $211.6 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 $2.6 billion at June 30, 2020 . 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 June 30, 2020 and December 31, 2019 are as follows: June 30, 2020 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 74,654 Loans — — 61,147 Assets transferred or pledged to securitization vehicles 2,150,623 60,948 — Mortgage servicing rights — — 227,400 Principal and interest receivable 5,405 364 — Other assets — — 23,581 Total assets $ 2,156,028 $ 61,312 $ 386,782 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,830,018 $ 43,408 $ — Other secured financing — — 33,896 Payable for unsettled trades — — 11,720 Interest payable 1,622 104 — Other liabilities — 129 2,378 Total liabilities $ 1,831,640 $ 43,641 $ 47,994 December 31, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 67,455 Loans — — 66,722 Assets transferred or pledged to securitization vehicles 2,345,120 75,924 — Mortgage servicing rights — — 378,078 Principal and interest receivable 7,085 408 — Other assets — — 27,021 Total assets $ 2,352,205 $ 76,332 $ 539,276 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,967,523 $ 57,905 $ — Other secured financing — — 38,981 Payable for unsettled trades — — 18,364 Interest payable 3,008 137 — Other liabilities — 78 2,393 Total liabilities $ 1,970,531 $ 58,120 $ 59,738 The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the CLO, OBX Trusts and credit facility VIEs, at June 30, 2020 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) California $ 1,270,544 38.7 % California $ 27,442 45.0 % Texas 478,457 14.6 % Texas 8,309 13.6 % New York 370,697 11.3 % Illinois 6,534 10.7 % Florida 196,495 6.0 % Other (1) 18,695 30.7 % Other (1) 968,561 29.4 % Total $ 3,284,754 100.0 % Total $ 60,980 100.0 % (1) No individual state greater than 5% .

REAL ESTATE

REAL ESTATE	6 Months Ended
	Jun. 30, 2020
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 June 30, 2020 or December 31, 2019 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 classified 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. During the six months ended June 30, 2020 , the Company entered into a deed-in-lieu of foreclosure agreement and took title of a commercial real estate property with a basis of $35.3 million . There were no new acquisitions of real estate holdings during the six months ended June 30, 2019 . No properties were sold during the six months ended June 30, 2020 . The Company sold one of its wholly owned triple net leased properties during the six months ended June 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 June 30, 2020 is 5.4 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. June 30, 2020 December 31, 2019 Real estate, net (dollars in thousands) Land $ 135,220 $ 121,720 Buildings and improvements 593,758 571,396 Furniture, fixtures and equipment 11,375 11,238 Subtotal 740,353 704,354 Less: accumulated depreciation (98,770 ) (87,532 ) Total real estate held for investment, at amortized cost, net 641,583 616,822 Equity in unconsolidated joint ventures 104,484 108,816 Total real estate, net $ 746,067 $ 725,638 Depreciation expense was $6.0 million and $11.2 million for the three and six months ended June 30, 2020 , respectively. Depreciation expense was $6.0 million and $11.8 million for the three and six months ended June 30, 2019 , 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 June 30, 2020 for consolidated investments in real estate are as follows: June 30, 2020 (dollars in thousands) 2020 (remaining) $ 27,410 2021 53,386 2022 48,948 2023 45,517 2024 41,734 Later years 188,627 Total $ 405,622

DERIVATIVE INSTRUMENTS

DERIVATIVE INSTRUMENTS	6 Months Ended
	Jun. 30, 2020
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 June 30, 2020 and December 31, 2019 , $1.8 billion and $517.8 million 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 are estimated using internal pricing models and compared to the counterparty market values. 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 a 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 June 30, 2020 and December 31, 2019 : Derivatives Instruments June 30, 2020 December 31, 2019 Assets (dollars in thousands) Interest rate swaps $ — $ 1,199 Interest rate swaptions 41,668 11,580 TBA derivatives 123,974 15,181 Futures contracts — 77,889 Purchase commitments — 2,050 Credit derivatives (1) — 5,657 $ 165,642 $ 113,556 Liabilities Interest rate swaps $ 1,198,970 $ 706,862 TBA derivatives 5,778 11,316 Futures contracts 17,579 84,781 Purchase commitments — 907 Credit derivatives (1) 34,711 — $ 1,257,038 $ 803,866 (1) The notional amount of the credit derivatives in which the Company purchased protection was $0.0 and $10.0 million at June 30, 2020 and December 31, 2019 , respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $495.0 million and $345.0 million at June 30, 2020 and December 31, 2019 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-. The following table summarizes certain characteristics of the Company’s interest rate swaps at June 30, 2020 and December 31, 2019 : June 30, 2020 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 15,469,400 0.20 % 0.42 % 2.37 3 - 6 years 6,215,450 0.73 % 0.15 % 4.09 6 - 10 years 5,456,500 1.51 % 1.18 % 8.22 Greater than 10 years 1,709,000 3.16 % 0.57 % 19.60 Total / Weighted average $ 28,850,350 1.01 % 0.75 % 4.87 December 31, 2019 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 38,942,400 1.60 % 1.84 % 1.29 3 - 6 years 16,097,450 1.77 % 1.87 % 4.30 6 - 10 years 16,176,500 2.20 % 2.02 % 9.00 Greater than 10 years 2,930,000 3.76 % 1.86 % 17.88 Total / Weighted average $ 74,146,350 1.84 % 1.89 % 4.23 (1) As of June 30, 2020 , 17% , 80% and 3% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. As of December 31, 2019 , 75% and 25% of the Company’s interest rate swaps were linked to LIBOR and the overnight index swap rate, respectively. (2) There were no forward starting swaps at June 30, 2020 and December 31, 2019 . (3) As of June 30, 2020 , the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. The following table presents swaptions outstanding at June 30, 2020 and December 31, 2019 . June 30, 2020 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 $4,625,000 1.60% 3M LIBOR 10.45 6.60 Long receive $250,000 1.66% 3M LIBOR 10.53 6.27 December 31, 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 $4,675,000 2.53% 3M LIBOR 9.22 4.66 Long receive $2,000,000 1.49% 3M LIBOR 10.29 3.40 The following table summarizes certain characteristics of the Company’s TBA derivatives at June 30, 2020 and December 31, 2019 : June 30, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 18,381,000 $ 19,030,505 $ 19,148,701 $ 118,196 Net TBA derivatives $ 18,381,000 $ 19,030,505 $ 19,148,701 $ 118,196 December 31, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 10,043,000 $ 10,182,891 $ 10,192,038 $ 9,147 Sale contracts (3,144,000 ) (3,294,486 ) (3,299,768 ) (5,282 ) Net TBA derivatives $ 6,899,000 $ 6,888,405 $ 6,892,270 $ 3,865 The following table summarizes certain characteristics of the Company’s futures derivatives at June 30, 2020 and December 31, 2019 : June 30, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 10 year and greater $ — $ (1,847,800 ) 6.87 Total $ — $ (1,847,800 ) 6.87 December 31, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (180,000 ) 1.96 U.S. Treasury futures - 5 year — (2,953,300 ) 4.42 U.S. Treasury futures - 10 year and greater 2,600,000 (5,806,400 ) 9.74 Total $ 2,600,000 $ (8,939,700 ) 8.26 The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset on our Consolidated Statements of Financial Condition at June 30, 2020 and December 31, 2019 , respectively. June 30, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 41,668 $ — $ — $ 41,668 TBA derivatives, at fair value 123,974 (4,848 ) — 119,126 Liabilities Interest rate swaps, at fair value $ 1,198,970 $ — $ (124,301 ) $ 1,074,669 TBA derivatives, at fair value 5,778 (4,848 ) — 930 Futures contracts, at fair value 17,579 — (17,579 ) — Credit derivatives 34,711 — (34,711 ) — December 31, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 1,199 $ (951 ) $ — $ 248 Interest rate swaptions, at fair value 11,580 — — 11,580 TBA derivatives, at fair value 15,181 (5,018 ) — 10,163 Futures contracts, at fair value 77,889 (10,902 ) — 66,987 Purchase commitments 2,050 — — 2,050 Credit derivatives 5,657 — — 5,657 Liabilities Interest rate swaps, at fair value $ 706,862 $ (951 ) $ (104,205 ) $ 601,706 TBA derivatives, at fair value 11,316 (5,018 ) — 6,298 Futures contracts, at fair value 84,781 (10,902 ) (73,879 ) — Purchase commitments 907 — — 907 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) June 30, 2020 $ (64,561 ) $ (1,521,732 ) $ 1,494,628 June 30, 2019 $ 83,653 $ (167,491 ) $ (1,276,019 ) For the six months ended June 30, 2020 $ (78,541 ) $ (1,919,293 ) $ (1,333,095 ) June 30, 2019 $ 217,688 $ (755,747 ) $ (1,666,575 ) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended June 30, 2020 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 $ 250,525 $ (46,363 ) $ 204,162 Net interest rate swaptions (29,880 ) (22,634 ) (52,514 ) Futures 246 (17,579 ) (17,333 ) Purchase commitments — 9,666 9,666 Credit derivatives 1,203 25,732 26,935 Total $ 170,916 Three Months Ended June 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 $ 174,221 $ (68,291 ) $ 105,930 Net interest rate swaptions (11,317 ) (7,178 ) (18,495 ) Futures (514,441 ) (82,779 ) (597,220 ) Purchase commitments — 1,106 1,106 Credit derivatives 1,199 1,069 2,268 Total $ (506,411 ) Six Months Ended June 30, 2020 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 $ 521,610 $ 114,331 $ 635,941 Net interest rate swaptions 21,566 47,499 69,065 Futures (279,230 ) (10,687 ) (289,917 ) Purchase commitments — (1,143 ) (1,143 ) Credit derivatives 3,128 (39,732 ) (36,604 ) Total $ 377,342 Six Months Ended June 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 $ 387,946 $ (108,231 ) $ 279,715 Net interest rate swaptions (41,309 ) 12,506 (28,803 ) Futures (1,006,182 ) 119,533 (886,649 ) Purchase commitments — 2,251 2,251 Credit derivatives 3,501 8,415 11,916 Total $ (621,570 ) 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 June 30, 2020 was approximately $1.1 billion , 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	6 Months Ended
	Jun. 30, 2020
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 and MSRs that are accounted for at fair value. The fair value of a financial instrument and MSR 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 and MSRs 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 and MSRs 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 and MSRs measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. June 30, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 76,761,800 $ — $ 76,761,800 Credit risk transfer securities — 362,901 — 362,901 Non-Agency mortgage-backed securities — 619,840 — 619,840 Commercial mortgage-backed securities — 61,202 — 61,202 Loans Residential mortgage loans — 1,168,521 — 1,168,521 Mortgage servicing rights — — 227,400 227,400 Assets transferred or pledged to securitization vehicles — 6,815,833 — 6,815,833 Derivative assets Other derivatives — 165,642 — 165,642 Total assets $ — $ 85,955,739 $ 227,400 $ 86,183,139 Liabilities Debt issued by securitization vehicles — 6,458,130 — 6,458,130 Derivative liabilities Interest rate swaps — 1,198,970 — 1,198,970 Other derivatives 17,579 40,489 — 58,068 Total liabilities $ 17,579 $ 7,697,589 $ — $ 7,715,168 December 31, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 112,893,367 $ — $ 112,893,367 Credit risk transfer securities — 531,322 — 531,322 Non-Agency mortgage-backed securities — 1,135,868 — 1,135,868 Commercial mortgage-backed securities — 273,023 — 273,023 Loans Residential mortgage loans — 1,647,787 — 1,647,787 Mortgage servicing rights — — 378,078 378,078 Assets transferred or pledged to securitization vehicles — 6,066,082 — 6,066,082 Derivative assets Interest rate swaps — 1,199 — 1,199 Other derivatives 77,889 34,468 — 112,357 Total assets $ 77,889 $ 122,583,116 $ 378,078 $ 123,039,083 Liabilities Debt issued by securitization vehicles $ — $ 5,622,801 $ — $ 5,622,801 Derivative liabilities Interest rate swaps — 706,862 — 706,862 Other derivatives 84,781 12,223 — 97,004 Total liabilities $ 84,781 $ 6,341,886 $ — $ 6,426,667 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. June 30, 2020 December 31, 2019 Valuation Technique Unobservable Input (1) Range (Weighted Average ) (2) Unobservable Input (1) Range (Weighted Average ) (2) Discounted cash flow Discount rate 9.0% -12.0% (9.3%) Discount rate 9.0% -12.0% (9.3%) Prepayment rate 11.1% - 44.7% (28.7%) Prepayment rate 6.3% - 26.6% (13.7%) Delinquency rate 0.0% - 9.0% (2.7%) Delinquency rate 0.0% - 4.0% (2.2%) Cost to service $81 - $202 ($115) Cost to service $81 - $135 ($107) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSRs, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSRs. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at June 30, 2020 and December 31, 2019 . June 30, 2020 December 31, 2019 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $ 1,493,504 $ 1,567,118 $ 1,606,091 $ 1,619,018 Corporate debt, held for investment 2,185,264 2,114,904 2,144,850 2,081,327 Financial liabilities Repurchase agreements $ 67,163,598 $ 67,163,598 $ 101,740,728 $ 101,740,728 Other secured financing 1,538,996 1,538,996 4,455,700 4,455,700 Mortgage payable 508,565 595,542 485,005 515,994 (1) Includes assets of consolidated VIEs. Commercial real estate debt and preferred equity, held for investment, corporate debt, held for investment and mortgage payable are valued using Level 3 inputs. The carrying values of repurchase agreements and short term other secured financing approximates fair value and are considered Level 2 fair value measurements. Long term other secured financing are valued using Level 2 inputs.

GOODWILL AND INTANGIBLE ASSETS

GOODWILL AND INTANGIBLE ASSETS	6 Months Ended
	Jun. 30, 2020
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 June 30, 2020 and December 31, 2019 , goodwill totaled $71.8 million . Intangible assets, net Finite life intangible assets are amortized over their expected useful lives. As part of the Internalization, which closed on June 30, 2020 , the Company recognized an intangible asset for the acquired assembled workforce of approximately $41 million , and accrued liabilities and cash that were recognized on the legal entity acquired. The following table presents the activity of finite lived intangible assets for the six months ended June 30, 2020 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2019 $ 20,957 Intangible assets acquired 47,686 Intangible assets divested (110 ) Less: amortization expense (2,668 ) Balance at June 30, 2020 $ 65,865

SECURED FINANCING

SECURED FINANCING	6 Months Ended
	Jun. 30, 2020
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 $67.2 billion and $101.7 billion of repurchase agreements with weighted average borrowing rates of 0.70% and 1.99% , after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 74 days and 65 days at June 30, 2020 and December 31, 2019 , respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $2.1 billion with remaining capacity of $1.7 billion at June 30, 2020 . At June 30, 2020 and December 31, 2019 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 15,091,891 $ — $ — $ — $ — $ — $ 15,091,891 0.15 % 2 to 29 days 17,911,648 2,281 143,055 — — 27,997 18,084,981 0.48 % 30 to 59 days 4,724,516 — 70,301 — 66,026 131,188 4,992,031 0.67 % 60 to 89 days 5,061,005 41,283 271,552 — — 39,697 5,413,537 0.47 % 90 to 119 days 8,643,555 8,090 — — — 19,856 8,671,501 0.58 % Over 119 days (1) 14,297,403 — 176,232 47,652 303,575 84,795 14,909,657 0.74 % Total $ 65,730,018 $ 51,654 $ 661,140 $ 47,652 $ 369,601 $ 303,533 $ 67,163,598 0.49 % December 31, 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 $ — $ — $ — $ — $ — $ — — % 2 to 29 days 36,030,104 237,897 698,091 — 416,439 37,382,531 2.15 % 30 to 59 days 15,079,989 — 115,805 — 104,363 15,300,157 2.00 % 60 to 89 days 21,931,335 30,841 151,920 — 3,639 22,117,735 1.97 % 90 to 119 days 9,992,914 — — — — 9,992,914 1.97 % Over 119 days (1) 16,557,123 — 58,712 303,078 28,478 16,947,391 1.90 % Total $ 99,591,465 $ 268,738 $ 1,024,528 $ 303,078 $ 552,919 $ 101,740,728 2.03 % (1) Approximately 1% of total repurchase agreements had a remaining maturity over one year at June 30, 2020 . No repurchase agreements had a remaining maturity over one year at December 31, 2019 . 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 June 30, 2020 and December 31, 2019 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. June 30, 2020 December 31, 2019 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 150,000 $ 67,313,598 $ 100,000 $ 101,840,728 Amounts offset (150,000 ) (150,000 ) (100,000 ) (100,000 ) Netted amounts $ — $ 67,163,598 $ — $ 101,740,728 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 June 30, 2020 , $0.6 billion of advances from the FHLB Des Moines matured in less than one year . At December 31, 2019 , $1.4 billion of advances from the FHLB Des Moines matured in less than one year and $2.1 billion matured between one to three years . The weighted average rate of the advances from the FHLB Des Moines was 1.55% and 2.16% at June 30, 2020 and December 31, 2019 , respectively. The Company held $28.8 million and $147.9 million of capital stock in the FHLB Des Moines at June 30, 2020 and December 31, 2019 , respectively, 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 $74.3 billion and $225.8 million , respectively, at June 30, 2020 and $112.8 billion and $357.9 million , respectively, at December 31, 2019 . Mortgage loans payable at June 30, 2020 and December 31, 2019 , were as follows: June 30, 2020 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,631 $ 318,433 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,517 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 81,980 83,710 2.34% - 4.55% Fixed 2036 - 2053 First liens Virginia 24,447 25,000 L+2.85% Floating 2036 - 2053 First liens Texas 31,400 32,877 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+2.75% Floating 1/31/2021 First liens Utah 7,024 7,041 3.69% Fixed 6/1/2053 First liens Minnesota 13,142 13,175 3.69% Fixed 6/1/2053 First liens Wisconsin 7,718 7,738 3.69% Fixed 6/1/2053 First liens Total $ 508,565 $ 514,005 December 31, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,566 $ 318,562 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,029 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 82,940 84,702 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,667 33,167 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 7,077 7,096 3.69% Fixed 6/1/2053 First liens Minnesota 13,243 13,276 3.69% Fixed 6/1/2053 First liens Wisconsin 7,777 7,797 3.69% Fixed 6/1/2053 First liens Total $ 485,005 $ 490,631 The following table details future mortgage loan principal payments at June 30, 2020 : Mortgage Loan Principal Payments (dollars in thousands) 2020 (remaining) $ 1,657 2021 13,197 2022 20,034 2023 3,844 2024 3,980 Later years 471,293 Total $ 514,005

CAPITAL STOCK

CAPITAL STOCK	6 Months Ended
	Jun. 30, 2020
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 June 30, 2020 and December 31, 2019 . Shares authorized Shares issued and outstanding June 30, 2020 December 31, 2019 June 30, 2020 December 31, 2019 Par Value Common stock 2,914,850,000 2,914,850,000 1,407,662,483 1,430,106,199 $0.01 During the six months ended June 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. 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 six months ended June 30, 2020 , the Company repurchased 22.9 million shares of its common stock for an aggregate amount of $143.3 million , excluding commission costs, pursuant to this authorization. All common shares were purchased in open-market transactions. No shares were purchased pursuant to this authorization during the three and six months ended June 30, 2019 . The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Six Months Ended June 30, 2020 June 30, 2019 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 63,000 180,000 Amount raised from direct purchase and dividend reinvestment program $ 405 $ 1,795 In January 2018, the Company entered into separate Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of Wells Fargo Securities, LLC, BofA Securities, Inc. (formerly known as 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. No shares were issued under the at-the-market sales program during the six months ended June 30, 2020 . During the three and six months ended June 30, 2019 , the Company issued 8.0 million shares and 56.0 million , respectively, for proceeds of $80.1 million and $569.1 million , respectively, 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 June 30, 2020 and December 31, 2019 . 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 June 30, 2020 December 31, 2019 June 30, 2020 December 31, 2019 June 30, 2020 December 31, 2019 Fixed-rate (dollars in thousands) 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 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 18,400,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 85,150,000 81,900,000 81,900,000 $ 1,982,026 $ 1,982,026 (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 June 30, 2020 , the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. During the three and six months ended June 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 three and six months ended June 30, 2019 , the Company issued 16.0 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 $400.0 million befo re deducting the underwriting discount and other estimated offering expenses. In connection with the offering, the Company granted the underwriters a thirty-day option to purchase up to an additional 2.4 million shares of Series I Preferred Stock solely to cover over-allotments. 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 Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 309,972 $ 364,266 $ 667,791 $ 798,893 Distributions declared per common share $ 0.22 $ 0.25 $ 0.47 $ 0.55 Distributions paid to common stockholders after period end $ 309,686 $ 364,066 $ 309,686 $ 364,066 Distributions paid per common share after period end $ 0.22 $ 0.25 $ 0.22 $ 0.25 Date of distributions paid to common stockholders after period end July 31, 2020 July 31, 2019 July 31, 2020 July 31, 2019 Dividends declared to series C preferred stockholders $ — $ 3,336 $ — $ 6,672 Dividends declared per share of series C preferred stock (1) $ — $ 0.477 $ — $ 0.953 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 $ 17,250 $ 17,250 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 $ 0.938 $ 0.938 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 25,020 $ 25,020 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 0.869 $ 0.868 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 13,812 $ 13,812 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 0.813 $ 0.813 Dividends declared to series H preferred stockholders $ — $ 745 $ — $ 1,862 Dividends declared per share of series H preferred stock $ — $ 0.339 $ — $ 0.846 Dividends declared to series I preferred stockholders $ 7,468 $ — $ 14,936 $ — Dividends declared per share of series I preferred stock $ 0.422 $ — $ 0.844 $ —

INTEREST INCOME AND INTEREST EX

INTEREST INCOME AND INTEREST EXPENSE	6 Months Ended
	Jun. 30, 2020
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 six months ended June 30, 2020 and June 30, 2019 . For the Three Months Ended June 30, For the Six Months Ended June 30, 2020 2019 2020 2019 Interest income (dollars in thousands) Residential Securities (1) $ 457,684 $ 777,891 $ 868,064 $ 1,487,665 Residential mortgage loans (1) 42,871 35,025 90,428 65,016 Commercial investment portfolio (1) (2) 84,208 92,131 179,884 193,083 Reverse repurchase agreements 49 22,551 1,462 48,020 Total interest income $ 584,812 $ 927,598 $ 1,139,838 $ 1,793,784 Interest expense Repurchase agreements 136,962 683,647 570,983 1,263,161 Debt issued by securitization vehicles 38,757 34,151 80,876 68,358 Other 10,313 32,419 37,646 66,393 Total interest expense 186,032 750,217 689,505 1,397,912 Net interest income $ 398,780 $ 177,381 $ 450,333 $ 395,872 (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	6 Months Ended
	Jun. 30, 2020
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 six months ended June 30, 2020 and June 30, 2019 . For the Three Months Ended For the Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 (dollars in thousands, except per share data) Net income (loss) $ 856,234 $ (1,776,413 ) $ (2,783,955 ) $ (2,625,664 ) Net income (loss) attributable to noncontrolling interests 32 (83 ) 98 (184 ) Net income (loss) attributable to Annaly 856,202 (1,776,330 ) (2,784,053 ) (2,625,480 ) Dividends on preferred stock (1) 35,509 32,422 71,018 64,916 Net income (loss) available (related) to common stockholders $ 820,693 $ (1,808,752 ) $ (2,855,071 ) $ (2,690,396 ) Weighted average shares of common stock outstanding-basic 1,423,909,112 1,456,038,736 1,427,451,716 1,427,485,102 Add: Effect of stock awards, if dilutive — — — — Weighted average shares of common stock outstanding-diluted 1,423,909,112 1,456,038,736 1,427,451,716 1,427,485,102 Net income (loss) per share available (related) to common share Basic $ 0.58 $ (1.24 ) $ (2.00 ) $ (1.88 ) Diluted $ 0.58 $ (1.24 ) $ (2.00 ) $ (1.88 ) (1) The three and six months ended June 30, 2019 includes cumulative and undeclared dividends of $0.3 million on the Company's Series Preferred Stock as of June 30, 2019. The computations of diluted net income (loss) per share available (related) to common share for the three and six months ended June 30, 2020 excludes 0.5 million and 0.4 million of potentially dilutive restricted stock units and performance stock units because their effect would have been anti-dilutive.

INCOME TAXES

INCOME TAXES	6 Months Ended
	Jun. 30, 2020
Income Tax Disclosure [Abstract]
INCOME TAXES	17. INCOME TAXES For the three months ended June 30, 2020 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 June 30, 2020 and December 31, 2019 . 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 six months ended June 30, 2020 , the Company recorded $2.1 million and ($24.6) million , respectively, of income tax expense (benefit) attributable to its TRSs. During the three and six months ended June 30, 2019 , the Company recorded ($5.9) 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	6 Months Ended
	Jun. 30, 2020
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. The conditions related to Coronavirus Disease 2019 (“COVID-19”) could further impact the aforementioned primary risks to the Company. The significant decrease in economic activity and/or the resulting decline in the housing market could have an adverse effect on the value of the Company’s investments in mortgage real estate-related assets, particularly residential real estate assets. Further, borrowers may experience difficulties meeting their obligations or seek to forbear payment on or refinance their mortgage loans to avail themselves of lower rates which may have an adverse impact on the value of the Company’s mortgage real estate related-assets. In addition to residential mortgage-related assets, the adverse economic conditions could negatively impact tenants in the Company’s commercial property assets and/or businesses in which it lends to in connection with its middle market lending activities, resulting in potential delinquencies, defaults or declines in asset values. If conditions related to COVID-19 persist, the Company could also experience an unwillingness or inability of its potential lenders to provide the Company with or renew financing, increased margin calls, and/or additional capital requirements particularly in connection with the Company’s less liquid credit assets. These conditions could force the Company to sell its assets at inopportune times or otherwise cause the Company to potentially revise its strategic business initiatives, which could adversely affect its business. The extent of the COVID 19-related disruptions, the duration of the pandemic and the effectiveness of government policies, laws and plans are unknown at this time.

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS	6 Months Ended
	Jun. 30, 2020
Related Party Transactions [Abstract]
RELATED PARTY TRANSACTIONS	19. RELATED PARTY TRANSACTIONS Closing of the Internalization and Termination of Management Agreement On February 12, 2020, the Company entered into an internalization agreement (the “Internalization Agreement”) with the Manager and certain affiliates of the Manager. Pursuant to the Internalization Agreement, the Company agreed to acquire all of the outstanding equity interests of the Manager and the Manager’s direct and indirect parent companies from their respective owners (the “Internalization”) for nominal cash consideration ($1.00). In connection with the closing of the Internalization, on June 30, 2020, the Company acquired all of the assets and liabilities of the Manager (the net effect of which was immaterial in amount), and the Company transitioned from an externally-managed real estate investment trust (“REIT”) to an internally-managed REIT. At the closing, all employees of the Manager became employees of the Company. The parties also terminated the Amended and Restated Management Agreement by and between the Company and the Manager (the “Management Agreement”) and therefore the Company no longer pays a management fee to, or reimburses expenses of, the Manager. Pursuant to the Internalization Agreement, the Manager waived any Acceleration Fee (as defined in the Management Agreement). Prior to the closing of the Internalization, management of the Company was conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board. The management agreement was amended and restated on August 1, 2018, and further amended on March 27, 2019 (the management agreement, as amended and restated, is referred to as “Management Agreement”). Prior to the closing of the Internalization, the Manager, under the Management Agreement and subject to the supervision and direction of the Board, was 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 performed such other supervisory and management services and activities relating to the Company’s assets and operations as appropriate. In exchange for the management services, the Company paid the Manager a monthly management fee, and the Manager was responsible for providing personnel to manage the Company. Prior to the amendment to the Management Agreement, that 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, until the closing of the Internalization, the Company paid 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 did not pay the Manager any incentive fees. For the three and six months ended June 30, 2020 , the compensation and management fee was $37.0 million and $77.9 million , respectively. For the three and six months ended June 30, 2019 , the compensation and management fee was $44.2 million and $89.1 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 included 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, until the closing of the Internalization, the Company reimbursed the Manager for the cost of such services, provided such costs were no greater than those that would be payable to comparable third party providers. Expense reimbursements and related waivers were routinely reviewed with the Audit Committee of the Board in conformance with established policies. For the three and six months ended June 30, 2020 , reimbursement payments to the Manager were $7.1 million and $14.2 million , respectively. For the three and six months ended June 30, 2019 , reimbursement payments to the Manager were $7.1 million and $14.3 million , respectively. None of the reimbursement payments were attributable to compensation of the Company’s executive officers. At June 30, 2020 and December 31, 2019 the Company had amounts payable to the Manager of $0.0 million and $15.8 million

LEASE COMMITMENTS AND CONTINGEN

LEASE COMMITMENTS AND CONTINGENCIES	6 Months Ended
	Jun. 30, 2020
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 five 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 six months ended June 30, 2020 was $0.8 million and $1.6 million , respectively. Supplemental information related to leases as of and for the six months ended June 30, 2020 was as follows: Operating Leases Classification June 30, 2020 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 14,488 Liabilities Operating lease liabilities (1) Other liabilities $ 18,867 Lease term and discount rate Weighted average remaining lease term 5.2 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 $ 1,856 (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) 2020 (remaining) $ 1,943 2021 3,918 2022 3,862 2023 3,862 2024 3,862 Later years 2,895 Total lease payments $ 20,342 Less imputed interest 1,475 Present value of lease liabilities $ 18,867 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 June 30, 2020 and December 31, 2019 .

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS	6 Months Ended
	Jun. 30, 2020
Broker-Dealer, Net Capital Requirement, SEC Regulation [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 June 30, 2020 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 June 30, 2020 was $421.7 million with excess net capital of $421.4 million .

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS	6 Months Ended
	Jun. 30, 2020
Subsequent Events [Abstract]
Subsequent Events	22. SUBSEQUENT EVENTS In July 2020, the Company repurchased 4.8 million shares of its common stock for an aggregate amount of $31.3 million , excluding commission costs, under the Company’s stock repurchase program. In July 2020, the Company completed and closed the securitization of residential mortgage loans, OBX 2020-EXP2 Trust, with a face value of $489.4 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 July 2020, the Company entered into an additional credit facility for residential mortgage loans with a third party financial institution. The borrowing limit on this facility is $250 million .

SIGNIFICANT ACCOUNTING POLICI_2

SIGNIFICANT ACCOUNTING POLICIES (Policies)	6 Months Ended
	Jun. 30, 2020
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 and commercial 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 and MSRs that are accounted for at fair value. The fair value of a financial instrument and MSR 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 and MSRs 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 and MSRs 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 measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Stock-based awards that do not require future service (i.e., vested awards) are expensed immediately. Forfeitures are recorded when they occur. The Company generally issues new shares of common stock upon delivery of stock-based awards.
Interest Income	Interest Income - The Company recognizes interest income primarily on Residential securities, residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not paid is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income. Refer to the “Interest Income and Interest Expense” note for further discussion. For its securities, 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 interest-only securities, multifamily and reverse mortgages), 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). 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. See the Note “Interest Income and Interest Expense” for further discussion on interest. The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans or 120 days for corporate debt carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as interest income. 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 were adopted ASU 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments (“ASU 2016-13”) 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 cash and cash equivalents, reverse repurchase agreements, 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 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020.
Allowance for Losses	Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible. Given the unique nature of each underlying borrower and any collateral, the Company assesses an allowance for each individual loan held-for-investment. A provision is established at origination or acquisition that reflects management’s estimate of the total expected credit loss over the expected life of the loan. In estimating the lifetime expected credit losses, management utilizes a probability of default and loss given default methodology (“Loss given default methodology”), which considers projected economic conditions over the reasonable and supportable forecast period. The forecast incorporates primarily market-based assumptions including, but not limited to, forward interest rate curves, unemployment rate estimates and certain indexes sourced from third party vendors. For any remaining period of the expected life of the loan after the reasonable and supportable period, the Company reverts to historical losses on a straight-line basis. Management uses third-party vendors’ loan pool data for loans with similar risk characteristics to estimate historical losses given the limited loss history of the Company’s loan portfolio. Changes in the lifetime expected credit loss are reflected in Loan loss provision in the Consolidated Statements of Comprehensive Income (Loss). For loans experiencing credit deterioration, the Company may use a different methodology to determine the expected credit losses such as a discounted cash flow analysis. For collateral-dependent loans, if foreclosure is probable, expected credit losses are based on the fair value of the collateral at the reporting date, adjusted for any selling costs, if applicable. Additionally, the Company may elect the practical expedient for a financial asset for which the repayment is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty by measuring the allowance as the difference between the fair value of the collateral, less costs to sell, if applicable, and the amortized cost basis of the financial asset at the reporting date. The Company’s commercial loans are collateralized by commercial real estate including, but not limited to, multifamily real estate, office and retail space, hotels and industrial space. At origination, the fair value of the collateral generally exceeds the principal loan balance. 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.
Residential Mortgage Loans	The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Statements of Comprehensive Income. 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. 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-
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.
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)	6 Months Ended
	Jun. 30, 2020
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 debt financing to private equity-backed middle market businesses across the capital structure.

SIGNIFICANT ACCOUNTING POLICI_3

SIGNIFICANT ACCOUNTING POLICIES (Tables)	6 Months Ended
	Jun. 30, 2020
Accounting Policies [Abstract]
Recent Accounting Pronouncements	Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments (“ASU 2016-13”) 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 cash and cash equivalents, reverse repurchase agreements, 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 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020.

FINANCIAL INSTRUMENTS (Tables)

FINANCIAL INSTRUMENTS (Tables)	6 Months Ended
	Jun. 30, 2020
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 June 30, 2020 and December 31, 2019 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis June 30, 2020 December 31, 2019 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 76,179,651 $ 112,124,958 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 582,149 768,409 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 362,901 531,322 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 619,840 1,135,868 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 28,557 64,655 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 32,645 208,368 Total securities 77,805,743 114,833,580 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,168,521 1,647,787 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 618,886 669,713 Loans, net Corporate debt held for investment, net Amortized cost 2,185,264 2,144,850 Total loans, net 3,972,671 4,462,350 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 1,832,708 1,122,588 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,832,502 2,598,374 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,150,623 2,345,120 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 874,618 936,378 Total assets transferred or pledged to securitization vehicles 7,690,451 7,002,460 Liabilities Repurchase agreements Repurchase agreements Amortized cost 67,163,598 101,740,728 Other secured financing Loans Amortized cost 1,538,996 4,455,700 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 6,458,130 5,622,801 Mortgages payable Loans Amortized cost 508,565 485,005 (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 single-asset / single-borrower CMBS.

SECURITIES (Tables)

SECURITIES (Tables)	6 Months Ended
	Jun. 30, 2020
Investments, Debt and Equity Securities [Abstract]
Rollforward of Company's Securities	The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the six months ended June 30, 2020 : Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2020 $ 114,560,557 $ 273,023 $ 114,833,580 Purchases 19,317,457 — 19,317,457 Sales and transfers (1) (47,391,453 ) (194,057 ) (47,585,510 ) Principal paydowns (9,302,451 ) (4,933 ) (9,307,384 ) (Amortization) / accretion (887,336 ) 378 (886,958 ) Fair value adjustment 1,447,767 (13,209 ) 1,434,558 Ending balance June 30, 2020 $ 77,744,541 $ 61,202 $ 77,805,743 (1) Includes transfers to securitization vehicles.
Schedule of Available-for-sale Securities Reconciliation	The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at June 30, 2020 and December 31, 2019 : June 30, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 67,681,807 $ 3,078,694 $ (25,303 ) $ 70,735,198 $ 3,479,647 $ (214 ) $ 74,214,631 Adjustable-rate pass-through 560,942 5,136 (3,063 ) 563,015 26,130 (5 ) 589,140 CMO 149,798 2,334 — 152,132 10,542 — 162,674 Interest-only 3,363,096 640,320 — 640,320 12,892 (130,278 ) 522,934 Multifamily 1,144,549 14,609 (1,108 ) 1,158,050 55,226 (70 ) 1,213,206 Reverse mortgages 53,931 4,622 — 58,553 701 (39 ) 59,215 Total agency securities $ 72,954,123 $ 3,745,715 $ (29,474 ) $ 73,307,268 $ 3,585,138 $ (130,606 ) $ 76,761,800 Residential credit CRT (1) $ 423,284 $ 10,439 $ (1,144 ) $ 419,428 $ 112 $ (56,639 ) $ 362,901 Alt-A 106,758 52 (20,570 ) 86,240 5,093 (681 ) 90,652 Prime 179,368 4,320 (14,649 ) 169,039 9,544 (1,538 ) 177,045 Prime interest-only 280,259 2,906 — 2,906 — (974 ) 1,932 Subprime 135,160 — (20,853 ) 114,307 6,396 (16 ) 120,687 NPL/RPL 191,529 791 (1,423 ) 190,897 1,644 (2,026 ) 190,515 Prime jumbo (>=2010 vintage) 39,977 — (4,656 ) 35,321 666 (400 ) 35,587 Prime jumbo (>=2010 vintage) Interest-only 448,980 8,185 — 8,185 — (4,763 ) 3,422 Total residential credit securities $ 1,805,315 $ 26,693 $ (63,295 ) $ 1,026,323 $ 23,455 $ (67,037 ) $ 982,741 Total Residential Securities $ 74,759,438 $ 3,772,408 $ (92,769 ) $ 74,333,591 $ 3,608,593 $ (197,643 ) $ 77,744,541 Commercial Commercial Securities $ 74,458 $ 66 $ (7,692 ) $ 66,832 $ — $ (5,630 ) $ 61,202 Total securities $ 74,833,896 $ 3,772,474 $ (100,461 ) $ 74,400,423 $ 3,608,593 $ (203,273 ) $ 77,805,743 December 31, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 102,448,565 $ 4,345,053 $ (46,614 ) $ 106,747,004 $ 2,071,583 $ (95,173 ) $ 108,723,414 Adjustable-rate pass-through 1,474,818 72,245 (1,400 ) 1,545,663 10,184 (31,516 ) 1,524,331 CMO 156,937 2,534 — 159,471 545 — 160,016 Interest-only 4,486,845 862,905 — 862,905 2,787 (157,130 ) 708,562 Multifamily 1,619,900 19,981 (2,280 ) 1,637,601 82,292 (2,696 ) 1,717,197 Reverse mortgages 54,553 5,053 — 59,606 550 (309 ) 59,847 Total agency investments $ 110,241,618 $ 5,307,771 $ (50,294 ) $ 111,012,250 $ 2,167,941 $ (286,824 ) $ 112,893,367 Residential credit CRT (1) $ 517,110 $ 15,850 $ (2,085 ) $ 515,950 $ 16,605 $ (1,233 ) $ 531,322 Alt-A 160,957 250 (22,306 ) 138,901 12,482 — 151,383 Prime 277,076 3,362 (17,794 ) 262,644 14,142 (529 ) 276,257 Prime interest-only 391,234 3,757 — 3,757 — (590 ) 3,167 Subprime 370,263 1,356 (59,727 ) 311,892 37,205 (118 ) 348,979 NPL/RPL 164,180 351 (440 ) 164,091 191 (14 ) 164,268 Prime jumbo (>=2010 vintage) 182,709 1,026 (4,281 ) 179,454 5,360 (150 ) 184,664 Prime jumbo (>=2010 vintage) Interest-only 554,189 9,001 — 9,001 — (1,851 ) 7,150 Total residential credit securities $ 2,617,718 $ 34,953 $ (106,633 ) $ 1,585,690 $ 85,985 $ (4,485 ) $ 1,667,190 Total Residential Securities $ 112,859,336 $ 5,342,724 $ (156,927 ) $ 112,597,940 $ 2,253,926 $ (291,309 ) $ 114,560,557 Commercial Commercial Securities $ 263,965 $ 10,873 $ (9,393 ) $ 265,445 $ 7,710 $ (132 ) $ 273,023 Total securities $ 113,123,301 $ 5,353,597 $ (166,320 ) $ 112,863,385 $ 2,261,636 $ (291,441 ) $ 114,833,580 (1) Principal/Notional amount includes $13.2 million and $14.9 million of a CRT interest-only security as of June 30, 2020 and December 31, 2019 , respectively.
Types of Agency Mortgage Backed Securities	The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at June 30, 2020 and December 31, 2019 : June 30, 2020 December 31, 2019 Investment Type (dollars in thousands) Fannie Mae $ 54,418,283 $ 76,656,831 Freddie Mac 22,206,471 36,087,100 Ginnie Mae 137,046 149,436 Total $ 76,761,800 $ 112,893,367
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification	The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at June 30, 2020 and December 31, 2019 , according to their estimated weighted average life classifications: June 30, 2020 December 31, 2019 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 1,209,988 $ 1,206,144 $ 3,997 $ 4,543 Greater than one year through five years 56,873,831 54,319,935 36,290,254 35,581,833 Greater than five years through ten years 18,855,032 18,027,945 77,732,756 76,504,845 Greater than ten years 805,690 779,567 533,550 506,719 Total $ 77,744,541 $ 74,333,591 $ 114,560,557 $ 112,597,940
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 June 30, 2020 and December 31, 2019 . June 30, 2020 December 31, 2019 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 $ 312,936 $ (284 ) 7 $ 7,388,239 $ (24,056 ) 139 12 Months or more 1,563 (5 ) 2 11,619,280 (105,329 ) 352 Total $ 314,499 $ (289 ) 9 $ 19,007,519 $ (129,385 ) 491 (1) Excludes interest-only mortgage-backed securities and reverse mortgages.
Schedule of Realized Gain (Loss)	Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) June 30, 2020 $ 272,382 $ (12,496 ) $ 259,886 June 30, 2019 $ 21,017 $ (55,316 ) $ (34,299 ) For the six months ended June 30, 2020 $ 811,637 $ (284,494 ) $ 527,143 June 30, 2019 $ 23,543 $ (150,356 ) $ (126,813 )

LOANS (Tables)

LOANS (Tables)	6 Months Ended
	Jun. 30, 2020
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 six months ended June 30, 2020 : Residential Commercial Corporate Debt Total (dollars in thousands) Beginning balance January 1, 2020 $ 1,647,787 $ 669,713 $ 2,144,850 $ 4,462,350 Impact of adopting CECL — (3,600 ) (29,653 ) (33,253 ) Purchases / originations 841,507 187,195 663,396 1,692,098 Sales and transfers (1) (1,184,947 ) (97,623 ) (299,628 ) (1,582,198 ) Principal payments (98,636 ) (59,675 ) (273,556 ) (431,867 ) Gains / (losses) (2) (33,035 ) (78,648 ) (26,917 ) (138,600 ) (Amortization) / accretion (4,155 ) 1,524 6,772 4,141 Ending balance June 30, 2020 $ 1,168,521 $ 618,886 $ 2,185,264 $ 3,972,671 (1) Includes securitizations, syndications and transfers to securitization vehicles. (2) Includes loan loss allowances.
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 June 30, 2020 and December 31, 2019 : June 30, 2020 December 31, 2019 (dollars in thousands) Fair value $ 4,001,023 $ 4,246,161 Unpaid principal balance $ 3,989,923 $ 4,133,149
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 six months ended June 30, 2020 and 2019 for these investments: For the Three Months Ended For the Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 (dollars in thousands) Interest income $ 42,872 $ 35,025 $ 90,429 $ 65,016 Net gains (losses) on disposal of investments and other (5,376 ) (4,605 ) (17,376 ) (9,828 ) Net unrealized gains (losses) on instruments measured at fair value through earnings 110,545 25,891 (82,218 ) 43,712 Total included in net income (loss) $ 148,041 $ 56,311 $ (9,165 ) $ 98,900
Geographic Concentrations Based on Unpaid Principal Balances	The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2020 and December 31, 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans June 30, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 51.1% California 52.1% New York 11.4% New York 10.5% Florida 5.7% Florida 5.3% All other (none individually greater than 5%) 31.8% All other (none individually greater than 5%) 32.1% 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 CLO, OBX Trusts and credit facility VIEs, at June 30, 2020 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) California $ 1,270,544 38.7 % California $ 27,442 45.0 % Texas 478,457 14.6 % Texas 8,309 13.6 % New York 370,697 11.3 % Illinois 6,534 10.7 % Florida 196,495 6.0 % Other (1) 18,695 30.7 % Other (1) 968,561 29.4 % Total $ 3,284,754 100.0 % Total $ 60,980 100.0 % (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 June 30, 2020 and December 31, 2019 : June 30, 2020 December 31, 2019 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $433 $1 - $3,448 $459 Interest rate 0.88% - 9.24% 4.90% 2.00% - 8.38% 4.94% Maturity 7/1/2029 - 4/1/2060 4/15/2048 1/1/2028 - 12/1/2059 12/29/2047 FICO score at loan origination 505 - 829 757 505 - 829 758 Loan-to-value ratio at loan origination 8% - 105% 67% 8% - 105% 67%
Schedule of Commercial Mortgage Loans Held for Investment	The sector attributes of the Company’s commercial real estate investments held for investment at June 30, 2020 and December 31, 2019 were as follows: Sector Dispersion June 30, 2020 December 31, 2019 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 660,994 44.2 % $ 681,129 42.4 % Retail 326,695 21.9 % 389,076 24.2 % Multifamily 279,943 18.7 % 262,302 16.3 % Hotel 116,053 7.8 % 135,681 8.4 % Industrial 59,137 4.0 % 82,441 5.1 % Other 31,637 2.1 % 36,589 2.3 % Healthcare 19,045 1.3 % 18,873 1.3 % Total $ 1,493,504 100.0 % $ 1,606,091 100.0 % At June 30, 2020 and December 31, 2019 , commercial real estate investments held for investment were comprised of the following: June 30, 2020 December 31, 2019 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 512,278 $ 496,765 31.0 % $ 503,499 $ 499,690 30.9 % Senior securitized mortgages (3) 939,951 874,618 57.0 % 940,546 936,378 57.8 % Mezzanine loans 198,075 122,121 12.0 % 183,064 170,023 11.3 % Total $ 1,650,304 $ 1,493,504 100.0 % $ 1,627,109 $ 1,606,091 100.0 % (1) Carrying value includes unamortized origination fees of $6.9 million and $8.3 million at June 30, 2020 and December 31, 2019 , respectively. (2) Based on outstanding principal. (3) Represents assets of consolidated VIEs. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at June 30, 2020 and December 31, 2019 : June 30, 2020 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2020) (2) $ 499,690 $ 936,378 $ 182,726 $ 1,618,794 Originations & advances (principal) 176,077 — 12,010 188,087 Principal payments (59,675 ) (55,719 ) — (115,394 ) Principal write off — — (7,000 ) (7,000 ) Transfers (107,623 ) 54,472 10,000 (43,151 ) Net (increase) decrease in origination fees (812 ) — (80 ) (892 ) Realized gain 204 — — 204 Amortization of net origination fees 1,430 1,211 94 2,735 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703 ) (12,703 ) Impact of adopting CECL (2,264 ) (4,166 ) (1,336 ) (7,766 ) Current period allowance (10,262 ) (57,558 ) (68,590 ) (136,410 ) Write offs — — 7,000 7,000 Ending allowance (12,526 ) (61,724 ) (75,629 ) (149,879 ) Net carrying value (June 30, 2020) $ 496,765 $ 874,618 $ 122,121 $ 1,493,504 December 31, 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) 572,204 — 21,709 593,913 Principal payments (16,785 ) (150,245 ) (149,633 ) (316,663 ) Transfers (1,034,754 ) 1,083,487 (8,675 ) 40,058 Net (increase) decrease in origination fees (4,200 ) — (184 ) (4,384 ) Amortization of net origination fees 2,023 3,136 412 5,571 Net (increase) decrease in allowance — — (9,207 ) (9,207 ) Net carrying value (December 31, 2019) $ 499,690 $ 936,378 $ 170,023 $ 1,606,091 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances.
Commercial Real Estate, Held for Investments, Amortized Cost Basis by Risk Rating and Vintage	The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below: Risk Rating - Corporate Debt Description 1-5 / Performing Meets all present contractual obligations. 6 / Performing - Closely Monitored Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal. 7 / Substandard A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible. 8 / Doubtful A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues. 9 / Loss Considered uncollectible. 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 rubric for commercial loans has nine categories as depicted below: Risk Rating - Commercial Loans Description 1-4 / Performing Meets all present contractual obligations. 5 / Performing - Closely Monitored Meets all present contractual obligations, but are transitional or could be exhibiting some weaknesses in both leverage and liquidity. 6 / Performing - Special Mention Meets all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects. 7 / Substandard 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. 8 / Doubtful Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. 9 / Loss Considered uncollectible. The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of June 30, 2020 . Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 Prior (dollars in thousands) 1-4 / Performing $ 350,361 $ 91,417 $ 166,518 $ — $ 12,675 $ — $ 79,751 5 / Performing - Closely Monitored 264,420 — 158,806 — 39,883 65,731 — 6 / Performing - Special Mention 666,561 67,312 218,925 268,236 60,565 — 51,523 7 / Substandard 67,003 — — 67,003 — — — 8 / Doubtful 145,159 — — 37,374 107,785 — — 9 / Loss (2) — — — — — — — Total $ 1,493,504 $ 158,729 $ 544,249 $ 372,613 $ 220,908 $ 65,731 $ 131,274 (1) The amortized cost basis excludes accrued interest. As of June 30, 2020, the Company had $4.3 million of accrued interest receivable on commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition. (2) Includes two commercial mezzanine loans for which the Company recorded a full loan loss allowance of $46.6 million .
Schedule of Industry and Rate Attributes of The Portfolio	The industry and rate attributes of the portfolio at June 30, 2020 and December 31, 2019 are as follows: Industry Dispersion June 30, 2020 December 31, 2019 Total (1) Total (1) (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services $ 406,827 $ 394,193 Management & Public Relations Services 277,511 339,179 Industrial Inorganic Chemicals 147,622 — Miscellaneous Business Services 122,279 164,033 Public Warehousing & Storage 116,967 107,029 Engineering, Architectural, and Surveying 110,926 124,201 Metal Cans & Shipping Containers 108,333 118,456 Offices & Clinics of Doctors of Medicine 104,000 106,993 Surgical, Medical & Dental Instruments & Supplies 99,657 102,182 Electronic Components & Accessories 77,788 24,000 Insurance Agents, Brokers and Service 70,978 75,410 Telephone Communications 57,482 61,210 Miscellaneous Health & Allied Services, not elsewhere classified 52,177 78,908 Miscellaneous Equipment Rental & Leasing 49,505 49,776 Electric Work 40,642 43,175 Medical & Dental Laboratories 35,231 41,344 Metal Forgings & Stampings 29,739 — Research, Development & Testing Services 29,541 45,610 Home Health Care Services 28,896 29,361 Motor Vehicles and Motor Vehicle Parts & Supplies 28,415 28,815 Legal Services 27,923 — Petroleum and Petroleum Products 24,745 24,923 Grocery Stores 22,948 23,248 Coating, Engraving and Allied Services 20,298 47,249 Schools & Educational Services, not elsewhere classified 19,331 19,586 Drugs 15,856 15,923 Chemicals & Allied Products 14,844 15,002 Machinery, Equipment & Supplies 12,419 — Mailing, Reproduction, Commercial Art and Photography and Stenographic 12,356 14,755 Offices and Clinics of Other Health Practitioners 10,091 10,098 Miscellaneous Plastic Products 9,937 10,000 Nonferrous Foundries (Castings) — 30,191 Total $ 2,185,264 $ 2,144,850 (1) All middle market lending positions are floating rate.
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 June 30, 2020 and December 31, 2019 . June 30, 2020 December 31, 2019 (dollars in thousands) First lien loans $ 1,357,123 $ 1,396,140 Second lien loans 828,141 748,710 Total $ 2,185,264 $ 2,144,850
Schedule of Corporate Loans Held for Investment	The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at June 30, 2020 and December 31, 2019: June 30, 2020 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2020) (1) $ 1,403,503 $ 748,710 $ 2,152,213 Originations & advances 484,393 179,003 663,396 Principal payments (247,658 ) (25,898 ) (273,556 ) Amortization & accretion of (premium) discounts 4,898 1,874 6,772 Loan restructuring (19,550 ) 2,818 (16,732 ) Sales (248,258 ) (47,382 ) (295,640 ) Syndications 5,600 — 5,600 Allowance for loan losses — Beginning allowance, prior to CECL adoption (7,363 ) — (7,363 ) Impact of adopting CECL (10,787 ) (18,866 ) (29,653 ) Current period allowance (19,549 ) (12,118 ) (31,667 ) Write offs 11,894 — 11,894 Ending allowance (25,805 ) (30,984 ) (56,789 ) Net carrying value (June 30, 2020) $ 1,357,123 $ 828,141 $ 2,185,264 (1) Excludes loan loss allowances. December 31, 2019 First Lien Second Lien Total (dollars in thousands) Net carrying value (January 1, 2019) $ 1,346,356 $ 540,826 $ 1,887,182 Originations & advances 542,463 345,573 888,036 Principal payments (228,302 ) (140,625 ) (368,927 ) Amortization & accretion of (premium) discounts 5,960 2,936 8,896 Sales (262,974 ) — (262,974 ) Net (increase) decrease in allowance (7,363 ) — (7,363 ) Net carrying value (December 31, 2019) $ 1,396,140 $ 748,710 $ 2,144,850
Debt Securities, Held-to-maturity, Amortized Costs Basis by Risk Rating and Vintage	The following table provides the amortized cost basis of corporate debt held for investment as of June 30, 2020 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 2015 Revolvers (dollars in thousands) 1-5 / Performing $ 1,613,987 $ 275,139 $ 413,306 $ 503,077 $ 301,941 $ 72,187 $ 34,048 $ 14,289 6 / Performing - Closely Monitored 382,619 — 77,211 221,072 38,366 44,728 — 1,242 7 / Substandard 172,548 — 23,911 108,333 40,304 — — — 8 / Doubtful 16,623 — — 12,356 4,267 — — — 9 / Loss — — — — — — — — Total $ 2,185,777 $ 275,139 $ 514,428 $ 844,838 $ 384,878 $ 116,915 $ 34,048 $ 15,531 (1) The amortized cost basis excludes accrued interest and costs related to unfunded loans. As of June 30, 2020, the Company had $11.4 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition.

MORTGAGE SERVICING RIGHTS (Tabl

MORTGAGE SERVICING RIGHTS (Tables)	6 Months Ended
	Jun. 30, 2020
Transfers and Servicing [Abstract]
Presentation of Activity Related to MSR	The following table presents activity related to MSRs for the three and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 (dollars in thousands) Fair value, beginning of period $ 280,558 $ 500,745 $ 378,078 $ 557,813 Change in fair value due to: Changes in valuation inputs or assumptions (1) (27,629 ) (55,749 ) (106,854 ) (98,838 ) Other changes, including realization of expected cash flows (25,529 ) (19,668 ) (43,824 ) (33,647 ) Fair value, end of period $ 227,400 $ 425,328 $ 227,400 $ 425,328 (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)	6 Months Ended
	Jun. 30, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Fair Value of OBX Trusts	Information regarding these securitization trusts are summarized in the table below. Type of Underlying Collateral Settlement Date Cut-off Date Principal Balance Face Value of Company’s Variable Interest at Settlement Date (dollars in thousands) Multifamily April 2015 $ 1,192,607 $ 89,446 Hotels June 2018 $ 982,000 $ 93,500 Multifamily August 2019 $ 271,700 $ 20,270 Office Building October 2019 $ 60,000 $ 60,000 Multifamily October 2019 $ 415,000 $ 75,359 Multifamily December 2019 $ 394,000 $ 110,350 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 OBX 2019-EXP3 October 2019 $ 465,492 OBX 2020-INV1 January 2020 $ 374,609 OBX 2020-EXP1 February 2020 $ 467,511
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 June 30, 2020 and December 31, 2019 are as follows: June 30, 2020 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 74,654 Loans — — 61,147 Assets transferred or pledged to securitization vehicles 2,150,623 60,948 — Mortgage servicing rights — — 227,400 Principal and interest receivable 5,405 364 — Other assets — — 23,581 Total assets $ 2,156,028 $ 61,312 $ 386,782 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,830,018 $ 43,408 $ — Other secured financing — — 33,896 Payable for unsettled trades — — 11,720 Interest payable 1,622 104 — Other liabilities — 129 2,378 Total liabilities $ 1,831,640 $ 43,641 $ 47,994 December 31, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 67,455 Loans — — 66,722 Assets transferred or pledged to securitization vehicles 2,345,120 75,924 — Mortgage servicing rights — — 378,078 Principal and interest receivable 7,085 408 — Other assets — — 27,021 Total assets $ 2,352,205 $ 76,332 $ 539,276 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,967,523 $ 57,905 $ — Other secured financing — — 38,981 Payable for unsettled trades — — 18,364 Interest payable 3,008 137 — Other liabilities — 78 2,393 Total liabilities $ 1,970,531 $ 58,120 $ 59,738
Geographic Concentrations Based on Unpaid Principal Balances	The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2020 and December 31, 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans June 30, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 51.1% California 52.1% New York 11.4% New York 10.5% Florida 5.7% Florida 5.3% All other (none individually greater than 5%) 31.8% All other (none individually greater than 5%) 32.1% 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 CLO, OBX Trusts and credit facility VIEs, at June 30, 2020 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) California $ 1,270,544 38.7 % California $ 27,442 45.0 % Texas 478,457 14.6 % Texas 8,309 13.6 % New York 370,697 11.3 % Illinois 6,534 10.7 % Florida 196,495 6.0 % Other (1) 18,695 30.7 % Other (1) 968,561 29.4 % Total $ 3,284,754 100.0 % Total $ 60,980 100.0 % (1) No individual state greater than 5% .

REAL ESTATE (Tables)

REAL ESTATE (Tables)	6 Months Ended
	Jun. 30, 2020
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	June 30, 2020 December 31, 2019 Real estate, net (dollars in thousands) Land $ 135,220 $ 121,720 Buildings and improvements 593,758 571,396 Furniture, fixtures and equipment 11,375 11,238 Subtotal 740,353 704,354 Less: accumulated depreciation (98,770 ) (87,532 ) Total real estate held for investment, at amortized cost, net 641,583 616,822 Equity in unconsolidated joint ventures 104,484 108,816 Total real estate, net $ 746,067 $ 725,638
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 June 30, 2020 for consolidated investments in real estate are as follows: June 30, 2020 (dollars in thousands) 2020 (remaining) $ 27,410 2021 53,386 2022 48,948 2023 45,517 2024 41,734 Later years 188,627 Total $ 405,622

DERIVATIVE INSTRUMENTS (Tables)

DERIVATIVE INSTRUMENTS (Tables)	6 Months Ended
	Jun. 30, 2020
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 June 30, 2020 and December 31, 2019 : Derivatives Instruments June 30, 2020 December 31, 2019 Assets (dollars in thousands) Interest rate swaps $ — $ 1,199 Interest rate swaptions 41,668 11,580 TBA derivatives 123,974 15,181 Futures contracts — 77,889 Purchase commitments — 2,050 Credit derivatives (1) — 5,657 $ 165,642 $ 113,556 Liabilities Interest rate swaps $ 1,198,970 $ 706,862 TBA derivatives 5,778 11,316 Futures contracts 17,579 84,781 Purchase commitments — 907 Credit derivatives (1) 34,711 — $ 1,257,038 $ 803,866 (1) The notional amount of the credit derivatives in which the Company purchased protection was $0.0 and $10.0 million at June 30, 2020 and December 31, 2019 , respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $495.0 million and $345.0 million at June 30, 2020 and December 31, 2019 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-.
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company’s interest rate swaps at June 30, 2020 and December 31, 2019 : June 30, 2020 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 15,469,400 0.20 % 0.42 % 2.37 3 - 6 years 6,215,450 0.73 % 0.15 % 4.09 6 - 10 years 5,456,500 1.51 % 1.18 % 8.22 Greater than 10 years 1,709,000 3.16 % 0.57 % 19.60 Total / Weighted average $ 28,850,350 1.01 % 0.75 % 4.87 December 31, 2019 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 38,942,400 1.60 % 1.84 % 1.29 3 - 6 years 16,097,450 1.77 % 1.87 % 4.30 6 - 10 years 16,176,500 2.20 % 2.02 % 9.00 Greater than 10 years 2,930,000 3.76 % 1.86 % 17.88 Total / Weighted average $ 74,146,350 1.84 % 1.89 % 4.23 (1) As of June 30, 2020 , 17% , 80% and 3% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. As of December 31, 2019 , 75% and 25% of the Company’s interest rate swaps were linked to LIBOR and the overnight index swap rate, respectively. (2) There were no forward starting swaps at June 30, 2020 and December 31, 2019 . (3) As of June 30, 2020 , the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. The following table presents swaptions outstanding at June 30, 2020 and December 31, 2019 . June 30, 2020 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 $4,625,000 1.60% 3M LIBOR 10.45 6.60 Long receive $250,000 1.66% 3M LIBOR 10.53 6.27 December 31, 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 $4,675,000 2.53% 3M LIBOR 9.22 4.66 Long receive $2,000,000 1.49% 3M LIBOR 10.29 3.40 The following table summarizes certain characteristics of the Company’s TBA derivatives at June 30, 2020 and December 31, 2019 : June 30, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 18,381,000 $ 19,030,505 $ 19,148,701 $ 118,196 Net TBA derivatives $ 18,381,000 $ 19,030,505 $ 19,148,701 $ 118,196 December 31, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 10,043,000 $ 10,182,891 $ 10,192,038 $ 9,147 Sale contracts (3,144,000 ) (3,294,486 ) (3,299,768 ) (5,282 ) Net TBA derivatives $ 6,899,000 $ 6,888,405 $ 6,892,270 $ 3,865 The following table summarizes certain characteristics of the Company’s futures derivatives at June 30, 2020 and December 31, 2019 : June 30, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 10 year and greater $ — $ (1,847,800 ) 6.87 Total $ — $ (1,847,800 ) 6.87 December 31, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (180,000 ) 1.96 U.S. Treasury futures - 5 year — (2,953,300 ) 4.42 U.S. Treasury futures - 10 year and greater 2,600,000 (5,806,400 ) 9.74 Total $ 2,600,000 $ (8,939,700 ) 8.26
Offsetting of Derivative Assets and Liabilities	The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset on our Consolidated Statements of Financial Condition at June 30, 2020 and December 31, 2019 , respectively. June 30, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 41,668 $ — $ — $ 41,668 TBA derivatives, at fair value 123,974 (4,848 ) — 119,126 Liabilities Interest rate swaps, at fair value $ 1,198,970 $ — $ (124,301 ) $ 1,074,669 TBA derivatives, at fair value 5,778 (4,848 ) — 930 Futures contracts, at fair value 17,579 — (17,579 ) — Credit derivatives 34,711 — (34,711 ) — December 31, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 1,199 $ (951 ) $ — $ 248 Interest rate swaptions, at fair value 11,580 — — 11,580 TBA derivatives, at fair value 15,181 (5,018 ) — 10,163 Futures contracts, at fair value 77,889 (10,902 ) — 66,987 Purchase commitments 2,050 — — 2,050 Credit derivatives 5,657 — — 5,657 Liabilities Interest rate swaps, at fair value $ 706,862 $ (951 ) $ (104,205 ) $ 601,706 TBA derivatives, at fair value 11,316 (5,018 ) — 6,298 Futures contracts, at fair value 84,781 (10,902 ) (73,879 ) — Purchase commitments 907 — — 907
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) June 30, 2020 $ (64,561 ) $ (1,521,732 ) $ 1,494,628 June 30, 2019 $ 83,653 $ (167,491 ) $ (1,276,019 ) For the six months ended June 30, 2020 $ (78,541 ) $ (1,919,293 ) $ (1,333,095 ) June 30, 2019 $ 217,688 $ (755,747 ) $ (1,666,575 ) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended June 30, 2020 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 $ 250,525 $ (46,363 ) $ 204,162 Net interest rate swaptions (29,880 ) (22,634 ) (52,514 ) Futures 246 (17,579 ) (17,333 ) Purchase commitments — 9,666 9,666 Credit derivatives 1,203 25,732 26,935 Total $ 170,916 Three Months Ended June 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 $ 174,221 $ (68,291 ) $ 105,930 Net interest rate swaptions (11,317 ) (7,178 ) (18,495 ) Futures (514,441 ) (82,779 ) (597,220 ) Purchase commitments — 1,106 1,106 Credit derivatives 1,199 1,069 2,268 Total $ (506,411 ) Six Months Ended June 30, 2020 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 $ 521,610 $ 114,331 $ 635,941 Net interest rate swaptions 21,566 47,499 69,065 Futures (279,230 ) (10,687 ) (289,917 ) Purchase commitments — (1,143 ) (1,143 ) Credit derivatives 3,128 (39,732 ) (36,604 ) Total $ 377,342 Six Months Ended June 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 $ 387,946 $ (108,231 ) $ 279,715 Net interest rate swaptions (41,309 ) 12,506 (28,803 ) Futures (1,006,182 ) 119,533 (886,649 ) Purchase commitments — 2,251 2,251 Credit derivatives 3,501 8,415 11,916 Total $ (621,570 )

FAIR VALUE MEASUREMENTS (Tables

FAIR VALUE MEASUREMENTS (Tables)	6 Months Ended
	Jun. 30, 2020
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 and MSRs measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. June 30, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 76,761,800 $ — $ 76,761,800 Credit risk transfer securities — 362,901 — 362,901 Non-Agency mortgage-backed securities — 619,840 — 619,840 Commercial mortgage-backed securities — 61,202 — 61,202 Loans Residential mortgage loans — 1,168,521 — 1,168,521 Mortgage servicing rights — — 227,400 227,400 Assets transferred or pledged to securitization vehicles — 6,815,833 — 6,815,833 Derivative assets Other derivatives — 165,642 — 165,642 Total assets $ — $ 85,955,739 $ 227,400 $ 86,183,139 Liabilities Debt issued by securitization vehicles — 6,458,130 — 6,458,130 Derivative liabilities Interest rate swaps — 1,198,970 — 1,198,970 Other derivatives 17,579 40,489 — 58,068 Total liabilities $ 17,579 $ 7,697,589 $ — $ 7,715,168 December 31, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 112,893,367 $ — $ 112,893,367 Credit risk transfer securities — 531,322 — 531,322 Non-Agency mortgage-backed securities — 1,135,868 — 1,135,868 Commercial mortgage-backed securities — 273,023 — 273,023 Loans Residential mortgage loans — 1,647,787 — 1,647,787 Mortgage servicing rights — — 378,078 378,078 Assets transferred or pledged to securitization vehicles — 6,066,082 — 6,066,082 Derivative assets Interest rate swaps — 1,199 — 1,199 Other derivatives 77,889 34,468 — 112,357 Total assets $ 77,889 $ 122,583,116 $ 378,078 $ 123,039,083 Liabilities Debt issued by securitization vehicles $ — $ 5,622,801 $ — $ 5,622,801 Derivative liabilities Interest rate swaps — 706,862 — 706,862 Other derivatives 84,781 12,223 — 97,004 Total liabilities $ 84,781 $ 6,341,886 $ — $ 6,426,667
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. June 30, 2020 December 31, 2019 Valuation Technique Unobservable Input (1) Range (Weighted Average ) (2) Unobservable Input (1) Range (Weighted Average ) (2) Discounted cash flow Discount rate 9.0% -12.0% (9.3%) Discount rate 9.0% -12.0% (9.3%) Prepayment rate 11.1% - 44.7% (28.7%) Prepayment rate 6.3% - 26.6% (13.7%) Delinquency rate 0.0% - 9.0% (2.7%) Delinquency rate 0.0% - 4.0% (2.2%) Cost to service $81 - $202 ($115) Cost to service $81 - $135 ($107) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSRs, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSRs.
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 June 30, 2020 and December 31, 2019 . June 30, 2020 December 31, 2019 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $ 1,493,504 $ 1,567,118 $ 1,606,091 $ 1,619,018 Corporate debt, held for investment 2,185,264 2,114,904 2,144,850 2,081,327 Financial liabilities Repurchase agreements $ 67,163,598 $ 67,163,598 $ 101,740,728 $ 101,740,728 Other secured financing 1,538,996 1,538,996 4,455,700 4,455,700 Mortgage payable 508,565 595,542 485,005 515,994 (1) Includes assets of consolidated VIEs.

GOODWILL AND INTANGIBLE ASSETS

GOODWILL AND INTANGIBLE ASSETS (Tables)	6 Months Ended
	Jun. 30, 2020
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 six months ended June 30, 2020 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2019 $ 20,957 Intangible assets acquired 47,686 Intangible assets divested (110 ) Less: amortization expense (2,668 ) Balance at June 30, 2020 $ 65,865

SECURED FINANCING (Tables)

SECURED FINANCING (Tables)	6 Months Ended
	Jun. 30, 2020
Debt Disclosure [Abstract]
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates	At June 30, 2020 and December 31, 2019 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: June 30, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 15,091,891 $ — $ — $ — $ — $ — $ 15,091,891 0.15 % 2 to 29 days 17,911,648 2,281 143,055 — — 27,997 18,084,981 0.48 % 30 to 59 days 4,724,516 — 70,301 — 66,026 131,188 4,992,031 0.67 % 60 to 89 days 5,061,005 41,283 271,552 — — 39,697 5,413,537 0.47 % 90 to 119 days 8,643,555 8,090 — — — 19,856 8,671,501 0.58 % Over 119 days (1) 14,297,403 — 176,232 47,652 303,575 84,795 14,909,657 0.74 % Total $ 65,730,018 $ 51,654 $ 661,140 $ 47,652 $ 369,601 $ 303,533 $ 67,163,598 0.49 % December 31, 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 $ — $ — $ — $ — $ — $ — — % 2 to 29 days 36,030,104 237,897 698,091 — 416,439 37,382,531 2.15 % 30 to 59 days 15,079,989 — 115,805 — 104,363 15,300,157 2.00 % 60 to 89 days 21,931,335 30,841 151,920 — 3,639 22,117,735 1.97 % 90 to 119 days 9,992,914 — — — — 9,992,914 1.97 % Over 119 days (1) 16,557,123 — 58,712 303,078 28,478 16,947,391 1.90 % Total $ 99,591,465 $ 268,738 $ 1,024,528 $ 303,078 $ 552,919 $ 101,740,728 2.03 % (1) Approximately 1% of total repurchase agreements had a remaining maturity over one year at June 30, 2020 . No repurchase agreements had a remaining maturity over one year at December 31, 2019 .
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 June 30, 2020 and December 31, 2019 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. June 30, 2020 December 31, 2019 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 150,000 $ 67,313,598 $ 100,000 $ 101,840,728 Amounts offset (150,000 ) (150,000 ) (100,000 ) (100,000 ) Netted amounts $ — $ 67,163,598 $ — $ 101,740,728
Schedule of Mortgage Notes Payable	Mortgage loans payable at June 30, 2020 and December 31, 2019 , were as follows: June 30, 2020 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,631 $ 318,433 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,517 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 81,980 83,710 2.34% - 4.55% Fixed 2036 - 2053 First liens Virginia 24,447 25,000 L+2.85% Floating 2036 - 2053 First liens Texas 31,400 32,877 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+2.75% Floating 1/31/2021 First liens Utah 7,024 7,041 3.69% Fixed 6/1/2053 First liens Minnesota 13,142 13,175 3.69% Fixed 6/1/2053 First liens Wisconsin 7,718 7,738 3.69% Fixed 6/1/2053 First liens Total $ 508,565 $ 514,005 December 31, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,566 $ 318,562 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,029 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 82,940 84,702 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,667 33,167 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 7,077 7,096 3.69% Fixed 6/1/2053 First liens Minnesota 13,243 13,276 3.69% Fixed 6/1/2053 First liens Wisconsin 7,777 7,797 3.69% Fixed 6/1/2053 First liens Total $ 485,005 $ 490,631
Schedule of Mortgage Loan Principle Payments Due	The following table details future mortgage loan principal payments at June 30, 2020 : Mortgage Loan Principal Payments (dollars in thousands) 2020 (remaining) $ 1,657 2021 13,197 2022 20,034 2023 3,844 2024 3,980 Later years 471,293 Total $ 514,005

CAPITAL STOCK (Tables)

CAPITAL STOCK (Tables)	6 Months Ended
	Jun. 30, 2020
Equity [Abstract]
Schedule of Stock by Class	The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at June 30, 2020 and December 31, 2019 . 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 June 30, 2020 December 31, 2019 June 30, 2020 December 31, 2019 June 30, 2020 December 31, 2019 Fixed-rate (dollars in thousands) 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 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 18,400,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 85,150,000 81,900,000 81,900,000 $ 1,982,026 $ 1,982,026 (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. The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at June 30, 2020 and December 31, 2019 . Shares authorized Shares issued and outstanding June 30, 2020 December 31, 2019 June 30, 2020 December 31, 2019 Par Value Common stock 2,914,850,000 2,914,850,000 1,407,662,483 1,430,106,199 $0.01
Summary of Dividend Reinvestment Plan	The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Six Months Ended June 30, 2020 June 30, 2019 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 63,000 180,000 Amount raised from direct purchase and dividend reinvestment program $ 405 $ 1,795
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 Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 309,972 $ 364,266 $ 667,791 $ 798,893 Distributions declared per common share $ 0.22 $ 0.25 $ 0.47 $ 0.55 Distributions paid to common stockholders after period end $ 309,686 $ 364,066 $ 309,686 $ 364,066 Distributions paid per common share after period end $ 0.22 $ 0.25 $ 0.22 $ 0.25 Date of distributions paid to common stockholders after period end July 31, 2020 July 31, 2019 July 31, 2020 July 31, 2019 Dividends declared to series C preferred stockholders $ — $ 3,336 $ — $ 6,672 Dividends declared per share of series C preferred stock (1) $ — $ 0.477 $ — $ 0.953 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 $ 17,250 $ 17,250 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 $ 0.938 $ 0.938 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 25,020 $ 25,020 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 0.869 $ 0.868 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 13,812 $ 13,812 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 0.813 $ 0.813 Dividends declared to series H preferred stockholders $ — $ 745 $ — $ 1,862 Dividends declared per share of series H preferred stock $ — $ 0.339 $ — $ 0.846 Dividends declared to series I preferred stockholders $ 7,468 $ — $ 14,936 $ — Dividends declared per share of series I preferred stock $ 0.422 $ — $ 0.844 $ —

INTEREST INCOME AND INTEREST _2

INTEREST INCOME AND INTEREST EXPENSE (Tables)	6 Months Ended
	Jun. 30, 2020
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 six months ended June 30, 2020 and June 30, 2019 . For the Three Months Ended June 30, For the Six Months Ended June 30, 2020 2019 2020 2019 Interest income (dollars in thousands) Residential Securities (1) $ 457,684 $ 777,891 $ 868,064 $ 1,487,665 Residential mortgage loans (1) 42,871 35,025 90,428 65,016 Commercial investment portfolio (1) (2) 84,208 92,131 179,884 193,083 Reverse repurchase agreements 49 22,551 1,462 48,020 Total interest income $ 584,812 $ 927,598 $ 1,139,838 $ 1,793,784 Interest expense Repurchase agreements 136,962 683,647 570,983 1,263,161 Debt issued by securitization vehicles 38,757 34,151 80,876 68,358 Other 10,313 32,419 37,646 66,393 Total interest expense 186,032 750,217 689,505 1,397,912 Net interest income $ 398,780 $ 177,381 $ 450,333 $ 395,872 (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)	6 Months Ended
	Jun. 30, 2020
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 six months ended June 30, 2020 and June 30, 2019 . For the Three Months Ended For the Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 (dollars in thousands, except per share data) Net income (loss) $ 856,234 $ (1,776,413 ) $ (2,783,955 ) $ (2,625,664 ) Net income (loss) attributable to noncontrolling interests 32 (83 ) 98 (184 ) Net income (loss) attributable to Annaly 856,202 (1,776,330 ) (2,784,053 ) (2,625,480 ) Dividends on preferred stock (1) 35,509 32,422 71,018 64,916 Net income (loss) available (related) to common stockholders $ 820,693 $ (1,808,752 ) $ (2,855,071 ) $ (2,690,396 ) Weighted average shares of common stock outstanding-basic 1,423,909,112 1,456,038,736 1,427,451,716 1,427,485,102 Add: Effect of stock awards, if dilutive — — — — Weighted average shares of common stock outstanding-diluted 1,423,909,112 1,456,038,736 1,427,451,716 1,427,485,102 Net income (loss) per share available (related) to common share Basic $ 0.58 $ (1.24 ) $ (2.00 ) $ (1.88 ) Diluted $ 0.58 $ (1.24 ) $ (2.00 ) $ (1.88 ) (1) The three and six months ended June 30, 2019 includes cumulative and undeclared dividends of $0.3 million on the Company's Series Preferred Stock as of June 30, 2019.

LEASE COMMITMENTS AND CONTING_2

LEASE COMMITMENTS AND CONTINGENCIES (Tables)	6 Months Ended
	Jun. 30, 2020
Commitments and Contingencies Disclosure [Abstract]
Supplemental Information Regarding Leases	Supplemental information related to leases as of and for the six months ended June 30, 2020 was as follows: Operating Leases Classification June 30, 2020 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 14,488 Liabilities Operating lease liabilities (1) Other liabilities $ 18,867 Lease term and discount rate Weighted average remaining lease term 5.2 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 $ 1,856 (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) 2020 (remaining) $ 1,943 2021 3,918 2022 3,862 2023 3,862 2024 3,862 Later years 2,895 Total lease payments $ 20,342 Less imputed interest 1,475 Present value of lease liabilities $ 18,867

SIGNIFICANT ACCOUNTING POLICI_4

SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) $ in Billions	Jun. 30, 2020	Dec. 31, 2019
Interest rate swaps, at fair value
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Margin deposit assets	$ 1.2	$ 1.6

SIGNIFICANT ACCOUNTING POLICI_5

SIGNIFICANT ACCOUNTING POLICIES - Recent Accounting Pronouncements (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2019	Jun. 30, 2020
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Allowance for loan loss	$ 20.1	$ 206.7
2016-13
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Allowance for loan loss	37.4
Off-balance sheet credit loss, liability	2.2
Cumulative effect on retained earnings	$ 39.6

FINANCIAL INSTRUMENTS - Summary

FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	$ 93,458,653	$ 130,295,081	[1]
Liabilities	79,661,050	114,498,737	[1]
Total securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	77,805,743	114,833,580
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	76,179,651	112,124,958
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	582,149	768,409
Credit risk transfer securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	362,901	531,322
Non-agency mortgage-backed securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	619,840	1,135,868
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	28,557	64,655
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	32,645	208,368
Total loans, net
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	3,972,671	4,462,350
Residential mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	1,168,521	1,647,787
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	618,886	669,713
Corporate debt held for investment, net
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	2,185,264	2,144,850
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	7,690,451	7,002,460
Mortgage-backed securities, recognized through other comprehensive income
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	1,832,708	1,122,588
Residential mortgage loans, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	2,832,502	2,598,374
Commercial mortgage loans, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	2,150,623	2,345,120
Commercial mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	874,618	936,378
Repurchase agreements
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	67,163,598	101,740,728
Other secured financing
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	1,538,996	4,455,700
Debt issued by securitization vehicles
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	6,458,130	5,622,801
Mortgages payable
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	$ 508,565	$ 485,005
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

SECURITIES - Summary of Residen

SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2020USD ($)
Debt Securities, Available-For-Sale [Roll Forward]
Beginning balance	$ 114,833,580
Purchases	19,317,457
Sales and transfers	(47,585,510)
Principal paydowns	(9,307,384)
(Amortization) / accretion	(886,958)
Fair value adjustment	1,434,558
Ending balance	77,805,743
Residential Securities
Debt Securities, Available-For-Sale [Roll Forward]
Beginning balance	114,560,557
Purchases	19,317,457
Sales and transfers	(47,391,453)
Principal paydowns	(9,302,451)
(Amortization) / accretion	(887,336)
Fair value adjustment	1,447,767
Ending balance	77,744,541
Commercial Securities
Debt Securities, Available-For-Sale [Roll Forward]
Beginning balance	273,023
Purchases	0
Sales and transfers	(194,057)
Principal paydowns	(4,933)
(Amortization) / accretion	378
Fair value adjustment	(13,209)
Ending balance	$ 61,202

SECURITIES - Portfolio (Details

SECURITIES - Portfolio (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	$ 74,833,896	$ 113,123,301
Remaining premium	3,772,474	5,353,597
Remaining discount	(100,461)	(166,320)
Amortized cost	74,400,423	112,863,385
Unrealized gains	3,608,593	2,261,636
Unrealized losses	(203,273)	(291,441)
Estimated fair value	77,805,743	114,833,580
Agency
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	72,954,123	110,241,618
Remaining premium	3,745,715	5,307,771
Remaining discount	(29,474)	(50,294)
Amortized cost	73,307,268	111,012,250
Unrealized gains	3,585,138	2,167,941
Unrealized losses	(130,606)	(286,824)
Estimated fair value	76,761,800	112,893,367
Agency | Fixed-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	67,681,807	102,448,565
Remaining premium	3,078,694	4,345,053
Remaining discount	(25,303)	(46,614)
Amortized cost	70,735,198	106,747,004
Unrealized gains	3,479,647	2,071,583
Unrealized losses	(214)	(95,173)
Estimated fair value	74,214,631	108,723,414
Agency | Adjustable-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	560,942	1,474,818
Remaining premium	5,136	72,245
Remaining discount	(3,063)	(1,400)
Amortized cost	563,015	1,545,663
Unrealized gains	26,130	10,184
Unrealized losses	(5)	(31,516)
Estimated fair value	589,140	1,524,331
Agency | CMO
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	149,798	156,937
Remaining premium	2,334	2,534
Remaining discount	0	0
Amortized cost	152,132	159,471
Unrealized gains	10,542	545
Unrealized losses	0	0
Estimated fair value	162,674	160,016
Agency | Interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	3,363,096	4,486,845
Remaining premium	640,320	862,905
Remaining discount	0	0
Amortized cost	640,320	862,905
Unrealized gains	12,892	2,787
Unrealized losses	(130,278)	(157,130)
Estimated fair value	522,934	708,562
Agency | Multifamily
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	1,144,549	1,619,900
Remaining premium	14,609	19,981
Remaining discount	(1,108)	(2,280)
Amortized cost	1,158,050	1,637,601
Unrealized gains	55,226	82,292
Unrealized losses	(70)	(2,696)
Estimated fair value	1,213,206	1,717,197
Agency | Reverse mortgages
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	53,931	54,553
Remaining premium	4,622	5,053
Remaining discount	0	0
Amortized cost	58,553	59,606
Unrealized gains	701	550
Unrealized losses	(39)	(309)
Estimated fair value	59,215	59,847
Residential credit
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	1,805,315	2,617,718
Remaining premium	26,693	34,953
Remaining discount	(63,295)	(106,633)
Amortized cost	1,026,323	1,585,690
Unrealized gains	23,455	85,985
Unrealized losses	(67,037)	(4,485)
Estimated fair value	982,741	1,667,190
Residential credit | CRT
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	423,284	517,110
Remaining premium	10,439	15,850
Remaining discount	(1,144)	(2,085)
Amortized cost	419,428	515,950
Unrealized gains	112	16,605
Unrealized losses	(56,639)	(1,233)
Estimated fair value	362,901	531,322
Residential credit | CRT interest-only security
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	13,200	14,900
Residential credit | Alt-A
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	106,758	160,957
Remaining premium	52	250
Remaining discount	(20,570)	(22,306)
Amortized cost	86,240	138,901
Unrealized gains	5,093	12,482
Unrealized losses	(681)	0
Estimated fair value	90,652	151,383
Residential credit | Prime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	179,368	277,076
Remaining premium	4,320	3,362
Remaining discount	(14,649)	(17,794)
Amortized cost	169,039	262,644
Unrealized gains	9,544	14,142
Unrealized losses	(1,538)	(529)
Estimated fair value	177,045	276,257
Residential credit | Prime interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	280,259	391,234
Remaining premium	2,906	3,757
Remaining discount	0	0
Amortized cost	2,906	3,757
Unrealized gains	0	0
Unrealized losses	(974)	(590)
Estimated fair value	1,932	3,167
Residential credit | Subprime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	135,160	370,263
Remaining premium	0	1,356
Remaining discount	(20,853)	(59,727)
Amortized cost	114,307	311,892
Unrealized gains	6,396	37,205
Unrealized losses	(16)	(118)
Estimated fair value	120,687	348,979
Residential credit | NPL/RPL
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	191,529	164,180
Remaining premium	791	351
Remaining discount	(1,423)	(440)
Amortized cost	190,897	164,091
Unrealized gains	1,644	191
Unrealized losses	(2,026)	(14)
Estimated fair value	190,515	164,268
Residential credit | Prime jumbo (2010 vintage)
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	39,977	182,709
Remaining premium	0	1,026
Remaining discount	(4,656)	(4,281)
Amortized cost	35,321	179,454
Unrealized gains	666	5,360
Unrealized losses	(400)	(150)
Estimated fair value	35,587	184,664
Residential credit | Prime jumbo (2010 vintage) Interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	448,980	554,189
Remaining premium	8,185	9,001
Remaining discount	0	0
Amortized cost	8,185	9,001
Unrealized gains	0	0
Unrealized losses	(4,763)	(1,851)
Estimated fair value	3,422	7,150
Total Residential Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	74,759,438	112,859,336
Remaining premium	3,772,408	5,342,724
Remaining discount	(92,769)	(156,927)
Amortized cost	74,333,591	112,597,940
Unrealized gains	3,608,593	2,253,926
Unrealized losses	(197,643)	(291,309)
Estimated fair value	77,744,541	114,560,557
Commercial Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	74,458	263,965
Remaining premium	66	10,873
Remaining discount	(7,692)	(9,393)
Amortized cost	66,832	265,445
Unrealized gains	0	7,710
Unrealized losses	(5,630)	(132)
Estimated fair value	$ 61,202	$ 273,023

SECURITIES - Component of Agenc

SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities	[1]	$ 77,805,743	$ 114,833,580	[2]
Agency Mortgage-Backed Securities
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		76,761,800	112,893,367
Agency Mortgage-Backed Securities | Fannie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		54,418,283	76,656,831
Agency Mortgage-Backed Securities | Freddie Mac
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		22,206,471	36,087,100
Agency Mortgage-Backed Securities | Ginnie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		$ 137,046	$ 149,436
[1]	Excludes $144.2 million and $102.5 million at June 30, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $398.9 million and $468.0 million at June 30, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $381.3 million and $500.3 million at June 30, 2020 and December 31, 2019
[2]	Derived from the audited consolidated financial statements at December 31, 2019 .

SECURITIES - Weighted Average L

SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Estimated Fair Value
Total	[1]	$ 77,805,743	$ 114,833,580	[2]
Amortized Cost
Total		74,400,423	112,863,385
Total Residential Securities
Estimated Fair Value
Less than one year		1,209,988	3,997
Greater than one year through five years		56,873,831	36,290,254
Greater than five years through ten years		18,855,032	77,732,756
Greater than ten years		805,690	533,550
Total		77,744,541	114,560,557
Amortized Cost
Less than one year		1,206,144	4,543
Greater than one year through five years		54,319,935	35,581,833
Greater than five years through ten years		18,027,945	76,504,845
Greater than ten years		779,567	506,719
Total		$ 74,333,591	$ 112,597,940
[1]	Excludes $144.2 million and $102.5 million at June 30, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $398.9 million and $468.0 million at June 30, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $381.3 million and $500.3 million at June 30, 2020 and December 31, 2019
[2]	Derived from the audited consolidated financial statements at December 31, 2019 .

SECURITIES - Unrealized Loss Po

SECURITIES - Unrealized Loss Position (Details) $ in Thousands	Jun. 30, 2020USD ($)security	Dec. 31, 2019USD ($)security
Unrealized Loss Position For:
Estimated fair value	$ 77,805,743	$ 114,833,580
Gross unrealized losses	(203,273)	(291,441)
Agency Mortgage-Backed Securities
Unrealized Loss Position For:
Estimated fair value	314,499	19,007,519
Gross unrealized losses	$ (289)	$ (129,385)
Number of securities | security	9	491
Agency Mortgage-Backed Securities | Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months
Unrealized Loss Position For:
Estimated fair value	$ 312,936	$ 7,388,239
Gross unrealized losses	$ (284)	$ (24,056)
Number of securities | security	7	139
Agency Mortgage-Backed Securities | Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months
Unrealized Loss Position For:
Estimated fair value	$ 1,563	$ 11,619,280
Gross unrealized losses	$ (5)	$ (105,329)
Number of securities | security	2	352

SECURITIES - Additional Informa

SECURITIES - Additional Information (Details) - USD ($) $ in Billions	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Investments, Debt and Equity Securities [Abstract]
Residential Investment securities sold, carrying value	$ 5.5	$ 9.1	$ 47.4	$ 19.5

SECURITIES - Realized Gain (Los

SECURITIES - Realized Gain (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Investments, Debt and Equity Securities [Abstract]
Gross Realized Gains	$ 272,382	$ 21,017	$ 811,637	$ 23,543
Gross Realized Losses	(12,496)	(55,316)	(284,494)	(150,356)
Net Realized Gains (Losses)	$ 259,886	$ (34,299)	$ 527,143	$ (126,813)

LOANS - Additional Information

LOANS - Additional Information (Details) - USD ($)	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019		Jan. 01, 2020	Dec. 31, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Assets	$ 93,458,653,000		$ 93,458,653,000		$ 130,295,081,000	[1]
Loan loss provision recorded during period	68,751,000	$ 0	168,077,000	$ 5,703,000
Allowance for loan loss	206,700,000		206,700,000		20,100,000
Commercial Mortgage Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loan loss provision recorded during period	22,000,000		74,100,000	5,700,000
Principal balance	96,900,000		175,100,000	36,600,000
Carrying value	57,800,000		95,200,000	30,900,000
Loans on nonaccrual status	101,000,000		101,000,000		175,200,000
Unfunded commitments	129,600,000		129,600,000		$ 181,400,000
Unfunded commitments, expected credit loss	5,900,000		$ 5,900,000
Loans receivable with variable rates of interest			94.00%		92.00%
Commercial Mortgage Loans | Impact of adopting CECL
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Allowance for loan loss							$ 7,800,000
Commercial Mortgage Loans | CECL provision, adjusted balance
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loan loss provision recorded during period	39,100,000		$ 62,300,000
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		$ 1,600,000,000
Loans	$ 61,100,000		$ 61,100,000		$ 66,700,000
Percent of adjustable-rate loans	34.00%		34.00%		36.00%
Corporate Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loan loss provision recorded during period			$ 10,000,000	0
Loans	$ 2,185,264,000		2,185,264,000		$ 2,144,850,000			$ 1,887,182,000
Principal balance			29,300,000
Carrying value			4,300,000
Loans on nonaccrual status	0		0		12,200,000
Debt	4,800,000		4,800,000
Allowance for loan losses, writeoffs			11,900,000
Unfunded commitments	74,900,000		74,900,000		81,200,000
Unfunded commitments, expected credit loss	800,000		$ 800,000
Corporate Loans | Impact of adopting CECL
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Allowance for loan loss							$ 29,700,000
Corporate Loans | CECL provision, adjusted balance
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loan loss provision recorded during period		$ 7,600,000		$ 21,700,000
Minimum
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Senior secured loans, stated maturity (in years)			5 years
Maximum
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Senior secured loans, stated maturity (in years)			7 years
First lien loans | Corporate Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	1,357,123,000		$ 1,357,123,000		1,396,140,000			1,346,356,000
Allowance for loan losses, writeoffs			19,600,000
Second lien loans | Corporate Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	828,141,000		828,141,000		$ 748,710,000			$ 540,826,000
Debt	$ 2,800,000		$ 2,800,000
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

LOANS - Investment Loan Activit

LOANS - Investment Loan Activity (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2020USD ($)
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	$ 4,462,350	[1],[2]
Impact of adopting CECL	(33,253)
Purchases / originations	1,692,098
Sales and transfers	(1,582,198)
Principal payments	(431,867)
Gains / (losses)	(138,600)
(Amortization) / accretion	4,141
Ending balance	3,972,671	[2]
Residential
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	1,647,787
Impact of adopting CECL	0
Purchases / originations	841,507
Sales and transfers	(1,184,947)
Principal payments	(98,636)
Gains / (losses)	(33,035)
(Amortization) / accretion	(4,155)
Ending balance	1,168,521
Commercial
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	669,713
Impact of adopting CECL	(3,600)
Purchases / originations	187,195
Sales and transfers	(97,623)
Principal payments	(59,675)
Gains / (losses)	(78,648)
(Amortization) / accretion	1,524
Ending balance	618,886
Corporate Debt
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	2,144,850
Impact of adopting CECL	(29,653)
Purchases / originations	663,396
Sales and transfers	(299,628)
Principal payments	(273,556)
Gains / (losses)	(26,917)
(Amortization) / accretion	6,772
Ending balance	$ 2,185,264
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .
[2]	Includes $61.1 million and $66.7 million of residential mortgage loans held for sale at June 30, 2020 and December 31, 2019 , 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	Jun. 30, 2020	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Fair value	$ 4,001,023	$ 4,246,161
Unpaid principal balance	$ 3,989,923	$ 4,133,149

LOANS - Summary of Comprehensiv

LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Interest income	$ 398,780	$ 177,381	$ 450,333	$ 395,872
Net gains (losses) on disposal of investments and other			453,262	(132,249)
Net income (loss) attributable to Annaly	856,202	(1,776,330)	(2,784,053)	(2,625,480)
Residential Mortgage Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Interest income	42,872	35,025	90,429	65,016
Net gains (losses) on disposal of investments and other	(5,376)	(4,605)	(17,376)	(9,828)
Net unrealized gains (losses) on instruments measured at fair value through earnings	110,545	25,891	(82,218)	43,712
Net income (loss) attributable to Annaly	$ 148,041	$ 56,311	$ (9,165)	$ 98,900

LOANS - Geographic Concentratio

LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
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	51.10%	52.10%
New York
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	11.40%	10.50%
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%	5.30%
Other
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	31.80%	32.10%

LOANS - Additional Data On Resi

LOANS - Additional Data On Residential Mortgage Loans (Details) - Residential Mortgage Loans $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020USD ($)point	Dec. 31, 2019USD ($)point
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 3,989,923	$ 4,133,149
Minimum
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 1	$ 1
Interest rate	0.88%	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	$ 3,448
Interest rate	9.24%	8.38%
FICO score at loan origination | point	829	829
Loan-to-value ratio at loan origination	105.00%	105.00%
Weighted Average
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 433	$ 459
Interest rate	4.90%	4.94%
FICO score at loan origination | point	757	758
Loan-to-value ratio at loan origination	67.00%	67.00%

LOANS - Summary of Commercial R

LOANS - Summary of Commercial Real Estate Investments Held for Investment (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019	Dec. 31, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 74,833,896	$ 113,123,301
Commercial Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	1,650,304	1,627,109
Loans	$ 1,493,504	$ 1,606,091	$ 1,296,803
Percentage of Loan Portfolio	100.00%	100.00%
Carrying value, unamortized origination fees	$ 6,900	$ 8,300
Commercial Mortgage | Office
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 660,994	$ 681,129
Percentage of Loan Portfolio	44.20%	42.40%
Commercial Mortgage | Retail
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 326,695	$ 389,076
Percentage of Loan Portfolio	21.90%	24.20%
Commercial Mortgage | Multifamily
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 279,943	$ 262,302
Percentage of Loan Portfolio	18.70%	16.30%
Commercial Mortgage | Hotel
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 116,053	$ 135,681
Percentage of Loan Portfolio	7.80%	8.40%
Commercial Mortgage | Industrial
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 59,137	$ 82,441
Percentage of Loan Portfolio	4.00%	5.10%
Commercial Mortgage | Other
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 31,637	$ 36,589
Percentage of Loan Portfolio	2.10%	2.30%
Commercial Mortgage | Healthcare
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 19,045	$ 18,873
Percentage of Loan Portfolio	1.30%	1.30%
Commercial Mortgage | Senior mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 512,278	$ 503,499
Loans	$ 496,765	$ 499,690	981,202
Percentage of Loan Portfolio	31.00%	30.90%
Commercial Mortgage | Senior Securitized Mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 939,951	$ 940,546
Loans	$ 874,618	$ 936,378	0
Percentage of Loan Portfolio	57.00%	57.80%
Commercial Mortgage | Mezzanine loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 198,075	$ 183,064
Loans	$ 122,121	$ 170,023	$ 315,601
Percentage of Loan Portfolio	12.00%	11.30%

LOANS - Commercial Real Estate

LOANS - Commercial Real Estate Held for Investment (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Principal payments	$ (431,867)
Realized gain	(138,600)
Beginning allowance	(20,100)
Ending allowance	(206,700)	$ (20,100)
Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	1,606,091	1,296,803
Originations & advances	188,087	593,913
Principal payments	(115,394)	(316,663)
Principal write off	(7,000)
Transfers	(43,151)	40,058
Net (increase) decrease in origination fees	(892)	(4,384)
Realized gain	204
Amortization of net origination fees	2,735	5,571
Net (increase) decrease in allowance		(9,207)
Beginning allowance	(12,703)
Current period allowance	(136,410)
Write offs	7,000
Ending allowance	(149,879)	(12,703)
Ending balance	1,493,504	1,606,091
Mezzanine loans | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	170,023	315,601
Originations & advances	12,010	21,709
Principal payments	0	(149,633)
Principal write off	(7,000)
Transfers	10,000	(8,675)
Net (increase) decrease in origination fees	(80)	(184)
Realized gain	0
Amortization of net origination fees	94	412
Net (increase) decrease in allowance		(9,207)
Beginning allowance	(12,703)
Current period allowance	(68,590)
Write offs	7,000
Ending allowance	(75,629)	(12,703)
Ending balance	122,121	170,023
Impact of adopting CECL | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	(7,766)
Ending allowance		(7,766)
Impact of adopting CECL | Mezzanine loans | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	(1,336)
Ending allowance		(1,336)
CECL provision, adjusted balance | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	1,618,794
Ending balance		1,618,794
CECL provision, adjusted balance | Mezzanine loans | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	182,726
Ending balance		182,726
Senior Mortgages | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	499,690	981,202
Originations & advances	176,077	572,204
Principal payments	(59,675)	(16,785)
Principal write off	0
Transfers	(107,623)	(1,034,754)
Net (increase) decrease in origination fees	(812)	(4,200)
Realized gain	204
Amortization of net origination fees	1,430	2,023
Net (increase) decrease in allowance		0
Beginning allowance	0
Current period allowance	(10,262)
Write offs	0
Ending allowance	(12,526)	0
Ending balance	496,765	499,690
Senior Mortgages | Impact of adopting CECL | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	(2,264)
Ending allowance		(2,264)
Senior Mortgages | CECL provision, adjusted balance | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	499,690
Ending balance		499,690
Senior Securitized Mortgages | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	936,378	0
Originations & advances	0	0
Principal payments	(55,719)	(150,245)
Principal write off	0
Transfers	54,472	1,083,487
Net (increase) decrease in origination fees	0	0
Realized gain	0
Amortization of net origination fees	1,211	3,136
Net (increase) decrease in allowance		0
Beginning allowance	0
Current period allowance	(57,558)
Write offs	0
Ending allowance	(61,724)	0
Ending balance	874,618	936,378
Senior Securitized Mortgages | Impact of adopting CECL | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	(4,166)
Ending allowance		(4,166)
Senior Securitized Mortgages | CECL provision, adjusted balance | Commercial Mortgage
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	$ 936,378
Ending balance		$ 936,378

LOANS - Commercial Real Estat_2

LOANS - Commercial Real Estate Amortized Cost Basis by Risk Rating and Vintage (Details) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)	Jun. 30, 2020USD ($)loan	Jun. 30, 2019USD ($)
Financing Receivable, Credit Quality Indicator [Line Items]
Loan loss provision	$ 68,751	$ 0	$ 168,077	$ 5,703
Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	1,493,504		1,493,504
2020	158,729		158,729
2019	544,249		544,249
2018	372,613		372,613
2017	220,908		220,908
2016	65,731		65,731
Prior	131,274		131,274
Accrued interest receivable	4,300		4,300
Performing | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	350,361		350,361
2020	91,417		91,417
2019	166,518		166,518
2018	0		0
2017	12,675		12,675
2016	0		0
Prior	79,751		79,751
Closely Monitored | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	264,420		264,420
2020	0		0
2019	158,806		158,806
2018	0		0
2017	39,883		39,883
2016	65,731		65,731
Prior	0		0
Special Mention | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	666,561		666,561
2020	67,312		67,312
2019	218,925		218,925
2018	268,236		268,236
2017	60,565		60,565
2016	0		0
Prior	51,523		51,523
Substandard | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	67,003		67,003
2020	0		0
2019	0		0
2018	67,003		67,003
2017	0		0
2016	0		0
Prior	0		0
Doubtful | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	145,159		145,159
2020	0		0
2019	0		0
2018	37,374		37,374
2017	107,785		107,785
2016	0		0
Prior	0		0
Loss | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	0		0
2020	0		0
2019	0		0
2018	0		0
2017	0		0
2016	0		0
Prior	$ 0		$ 0
Mezzanine loans | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Number of loans | loan			2
Loan loss provision			$ 46,600

LOANS - Schedule of Industry an

LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 2,185,264	$ 2,144,850
Computer Programming, Data Processing & Other Computer Related Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	406,827	394,193
Management & Public Relations Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	277,511	339,179
Industrial Inorganic Chemicals
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	147,622	0
Miscellaneous Business Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	122,279	164,033
Public Warehousing & Storage
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	116,967	107,029
Engineering, Architectural, and Surveying
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	110,926	124,201
Metal Cans & Shipping Containers
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	108,333	118,456
Offices & Clinics of Doctors of Medicine
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	104,000	106,993
Surgical, Medical & Dental Instruments & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	99,657	102,182
Electronic Components & Accessories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	77,788	24,000
Insurance Agents, Brokers and Service
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	70,978	75,410
Telephone Communications
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	57,482	61,210
Miscellaneous Health & Allied Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	52,177	78,908
Miscellaneous Equipment Rental & Leasing
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,505	49,776
Electric Work
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	40,642	43,175
Medical & Dental Laboratories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	35,231	41,344
Metal Forgings & Stampings
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	29,739	0
Research, Development & Testing Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	29,541	45,610
Home Health Care Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	28,896	29,361
Motor Vehicles and Motor Vehicle Parts & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	28,415	28,815
Legal Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	27,923	0
Petroleum and Petroleum Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,745	24,923
Grocery Stores
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	22,948	23,248
Coating, Engraving and Allied Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	20,298	47,249
Schools & Educational Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,331	19,586
Drugs
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	15,856	15,923
Chemicals & Allied Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,844	15,002
Machinery, Equipment & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,419	0
Mailing, Reproduction, Commercial Art and Photography and Stenographic
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,356	14,755
Offices and Clinics of Other Health Practitioners
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	10,091	10,098
Miscellaneous Plastic Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	9,937	10,000
Nonferrous Foundries (Castings)
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 0	$ 30,191

LOANS - Aggregate Positions in

LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 2,185,264	$ 2,144,850
First lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	1,357,123	1,396,140
Second lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 828,141	$ 748,710

LOANS - Corporate Debt Held for

LOANS - Corporate Debt Held for Investment (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Principal payments	$ (431,867)
Sales	(1,582,198)
Corporate Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	2,144,850	$ 1,887,182
Beginning balance	2,152,213
Originations & advances	663,396	888,036
Principal payments	(273,556)	(368,927)
Amortization & accretion of (premium) discounts	6,772	8,896
Loan restructuring	(16,732)
Sales	(295,640)	(262,974)
Syndications	5,600
Net (increase) decrease in allowance		(7,363)
Current period allowance	(31,667)
Write offs	11,894
Ending allowance	(56,789)
Ending balance	2,185,264	2,144,850
Corporate Loans | First lien loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	1,396,140	1,346,356
Beginning balance	1,403,503
Originations & advances	484,393	542,463
Principal payments	(247,658)	(228,302)
Amortization & accretion of (premium) discounts	4,898	5,960
Loan restructuring	(19,550)
Sales	(248,258)	(262,974)
Syndications	5,600
Net (increase) decrease in allowance		(7,363)
Current period allowance	(19,549)
Write offs	11,894
Ending allowance	(25,805)
Ending balance	1,357,123	1,396,140
Corporate Loans | Second lien loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning balance	748,710	540,826
Beginning balance	748,710
Originations & advances	179,003	345,573
Principal payments	(25,898)	(140,625)
Amortization & accretion of (premium) discounts	1,874	2,936
Loan restructuring	2,818
Sales	(47,382)	0
Syndications	0
Net (increase) decrease in allowance		0
Current period allowance	(12,118)
Write offs	0
Ending allowance	(30,984)
Ending balance	828,141	748,710
Impact of adopting CECL | Corporate Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	(29,653)
Ending allowance		(29,653)
Impact of adopting CECL | Corporate Loans | First lien loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	(10,787)
Ending allowance		(10,787)
Impact of adopting CECL | Corporate Loans | Second lien loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	(18,866)
Ending allowance		(18,866)
CECL provision, adjusted balance | Corporate Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	(7,363)
Ending allowance		(7,363)
CECL provision, adjusted balance | Corporate Loans | First lien loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	(7,363)
Ending allowance		(7,363)
CECL provision, adjusted balance | Corporate Loans | Second lien loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Beginning allowance	$ 0
Ending allowance		$ 0

LOANS - Corporate Debt Amortize

LOANS - Corporate Debt Amortized Costs Basis by Risk Rating and Vintage Year (Details) - Corporate Loans $ in Thousands	Jun. 30, 2020USD ($)
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	$ 2,185,777
2020	275,139
2019	514,428
2018	844,838
2017	384,878
2016	116,915
2015	34,048
Revolvers	15,531
Accrued interest receivable	11,400
Performing
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	1,613,987
2020	275,139
2019	413,306
2018	503,077
2017	301,941
2016	72,187
2015	34,048
Revolvers	14,289
Special Mention
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	382,619
2020	0
2019	77,211
2018	221,072
2017	38,366
2016	44,728
2015	0
Revolvers	1,242
Substandard
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	172,548
2020	0
2019	23,911
2018	108,333
2017	40,304
2016	0
2015	0
Revolvers	0
Doubtful
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	16,623
2020	0
2019	0
2018	12,356
2017	4,267
2016	0
2015	0
Revolvers	0
Loss
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	0
2020	0
2019	0
2018	0
2017	0
2016	0
2015	0
Revolvers	$ 0

MORTGAGE SERVICING RIGHTS - Pre

MORTGAGE SERVICING RIGHTS - Presentation of Activity Related to MSR (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Servicing Asset at Fair Value, Amount [Roll Forward]
Fair value, beginning of period	$ 280,558	$ 500,745	$ 378,078	$ 557,813
Changes in valuation inputs or assumptions	(27,629)	(55,749)	(106,854)	(98,838)
Other changes, including realization of expected cash flows	(25,529)	(19,668)	(43,824)	(33,647)
Fair value, end of period	$ 227,400	$ 425,328	$ 227,400	$ 425,328

MORTGAGE SERVICING RIGHTS - Add

MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Bank Servicing
Servicing Assets at Fair Value [Line Items]
Service income fee	$ 16.4	$ 27.5	$ 39.2	$ 55.2

VARIABLE INTEREST ENTITIES - Ad

VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($)		1 Months Ended	3 Months Ended		6 Months Ended		12 Months Ended
		Aug. 31, 2017	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019		Mar. 31, 2020	Feb. 29, 2020	Jan. 31, 2020	Nov. 30, 2019	Oct. 31, 2019	Jul. 31, 2019	Apr. 30, 2019	Feb. 28, 2019	Jan. 31, 2019	Dec. 31, 2018	Oct. 31, 2018	Aug. 31, 2018	Mar. 31, 2018
Variable Interest Entity [Line Items]
Principal receivable	[1]		$ 3,972,671,000		$ 3,972,671,000		$ 4,462,350,000	[2]
Securitized debt of consolidated VIEs			6,458,130,000		6,458,130,000		5,622,801,000	[2]
Mortgage-backed securities	[3]		77,805,743,000		77,805,743,000		114,833,580,000	[2]
Costs incurred in connection with securitization			67,666,000	$ 78,408,000	145,295,000	$ 162,145,000
Other secured financings			1,538,996,000		1,538,996,000		4,455,700,000	[2]
Corporate Loans
Variable Interest Entity [Line Items]
Loans 90 days or more past due or on nonaccrual status			0		0		12,200,000
Loans			2,185,264,000		2,185,264,000		2,144,850,000											$ 1,887,182,000
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			2,600,000,000		2,600,000,000
Consolidated VIEs | Commercial Trusts
Variable Interest Entity [Line Items]
Principal receivable			2,300,000,000		2,300,000,000		2,300,000,000
Gain (loss) attributable to instrument- specific credit risk					0	0
Loans			0		0		0
Other secured financings			0		0		0
Consolidated VIEs | Residential Trusts
Variable Interest Entity [Line Items]
Loans			0		0		0
Contractual principal amount of debt held by third parties			43,200,000		43,200,000		57,300,000
Other secured financings			0		0		0
Consolidated VIEs | Borrower
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity			625,000,000		625,000,000
Other secured financings			426,400,000		426,400,000
Consolidated VIEs | Consolidation, Eliminations | Borrower
Variable Interest Entity [Line Items]
Principal receivable			426,400,000		426,400,000
Consolidated VIEs | Corporate Loans | Borrower
Variable Interest Entity [Line Items]
Transferred loans pledged as collateral for credit facility			741,300,000		741,300,000
Consolidated VIEs | NLY 2019-FL2
Variable Interest Entity [Line Items]
Principal receivable			857,300,000		857,300,000
Loans																$ 857,300,000
Securitized debt of consolidated VIEs			610,100,000		610,100,000
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]
Mortgage-backed securities			196,600,000		196,600,000
Consolidated VIEs | OBX Trust
Variable Interest Entity [Line Items]
Loans				383,760,000		383,760,000				$ 467,511,000	$ 374,609,000		$ 465,492,000	$ 463,405,000	$ 388,156,000		$ 393,961,000		$ 384,027,000	$ 383,451,000	$ 327,162,000
Securitized debt of consolidated VIEs			2,300,000,000		2,300,000,000
Costs incurred in connection with securitization			0	$ 3,000,000	3,700,000	$ 4,700,000
Contractual principal amount of debt held by third parties			2,300,000,000		2,300,000,000
Consolidated VIEs | OBX Trust | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Mortgage-backed securities			526,300,000		526,300,000
Consolidated VIEs | Financing Receivables, Equal to Greater than 90 Days Past Due | Commercial Trusts
Variable Interest Entity [Line Items]
Loans 90 days or more past due or on nonaccrual status			0		0		$ 0
Consolidated VIEs | July 2017 Credit Facility | Borrower
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity			320,000,000		320,000,000
Consolidated VIEs | July 2017 Credit Facility | Corporate Loans | Borrower
Variable Interest Entity [Line Items]
Transferred loans pledged as collateral for credit facility			454,900,000		454,900,000
Other secured financings			257,800,000		257,800,000
Consolidated VIEs | January 2019 Credit Facility | Borrower
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity																	$ 300,000,000
Consolidated VIEs | January 2019 Credit Facility | Corporate Loans | Borrower
Variable Interest Entity [Line Items]
Transferred loans pledged as collateral for credit facility			336,800,000		336,800,000
Other secured financings			$ 211,600,000		211,600,000
Multifamily | Consolidated VIEs
Variable Interest Entity [Line Items]
Cut-off date principal balance									$ 500,000,000			$ 1,000,000,000
Costs incurred					$ 1,100,000
Retained Interest | Multifamily | Consolidated VIEs
Variable Interest Entity [Line Items]
Retained interest notional balance									$ 500,000,000			1,000,000,000
Senior Loans | Multifamily | Consolidated VIEs
Variable Interest Entity [Line Items]
Principal receivable												$ 28,500,000
[1]	Includes $61.1 million and $66.7 million of residential mortgage loans held for sale at June 30, 2020 and December 31, 2019 , respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2019 .
[3]	Excludes $144.2 million and $102.5 million at June 30, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $398.9 million and $468.0 million at June 30, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $381.3 million and $500.3 million at June 30, 2020 and December 31, 2019

VARIABLE INTEREST ENTITIES - Sc

VARIABLE INTEREST ENTITIES - Schedule of Securitization Trusts (Details) - Consolidated VIEs - Commercial Trusts - USD ($) $ in Thousands	Dec. 31, 2019	Oct. 31, 2019	Aug. 31, 2019	Jun. 30, 2018	Apr. 30, 2015
Multifamily
Variable Interest Entity [Line Items]
Cut-off Date Principal Balance	$ 394,000	$ 415,000	$ 271,700		$ 1,192,607
Face Value of Company’s Variable Interest at Settlement Date	$ 110,350	75,359	$ 20,270		$ 89,446
Hotel
Variable Interest Entity [Line Items]
Cut-off Date Principal Balance				$ 982,000
Face Value of Company’s Variable Interest at Settlement Date				$ 93,500
Office Building
Variable Interest Entity [Line Items]
Cut-off Date Principal Balance		60,000
Face Value of Company’s Variable Interest at Settlement Date		$ 60,000

VARIABLE INTEREST ENTITIES - _2

VARIABLE INTEREST ENTITIES - Schedule of the Fair Value of OBX Trusts Closed (Details) - USD ($) $ in Thousands	Feb. 29, 2020	Jan. 31, 2020	Oct. 31, 2019	Jul. 31, 2019	Jun. 30, 2019	Apr. 30, 2019	Jan. 31, 2019	Oct. 31, 2018	Aug. 31, 2018	Mar. 31, 2018
OBX Trust | Consolidated VIEs
Variable Interest Entity [Line Items]
Loans	$ 467,511	$ 374,609	$ 465,492	$ 463,405	$ 383,760	$ 388,156	$ 393,961	$ 384,027	$ 383,451	$ 327,162

VARIABLE INTEREST ENTITIES Sche

VARIABLE INTEREST ENTITIES Schedule of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Assets
Cash and cash equivalents	[1]	$ 1,393,910	$ 1,850,729	[2]
Assets transferred or pledged to securitization vehicles		7,690,451	7,002,460	[2]
Mortgage servicing rights		227,400	378,078	[2]
Principal and interest receivable		300,089	449,906	[2]
Other assets		271,918	381,220	[2]
Total assets		93,458,653	130,295,081	[2]
Liabilities
Other secured financing		1,538,996	4,455,700	[2]
Interest payable		180,943	476,335	[2]
Other liabilities		121,359	93,388	[2]
Total liabilities		79,661,050	114,498,737	[2]
Consolidated VIEs
Assets
Cash and cash equivalents		74,700	67,500
Consolidated VIEs | Commercial Trusts
Assets
Cash and cash equivalents		0	0
Loans		0	0
Assets transferred or pledged to securitization vehicles		2,150,623	2,345,120
Mortgage servicing rights		0	0
Principal and interest receivable		5,405	7,085
Other assets		0	0
Total assets		2,156,028	2,352,205
Liabilities
Debt issued by securitization vehicles (non-recourse)		1,830,018	1,967,523
Other secured financing		0	0
Payable for unsettled trades		0	0
Interest payable		1,622	3,008
Other liabilities		0	0
Total liabilities		1,831,640	1,970,531
Consolidated VIEs | Residential Trusts
Assets
Cash and cash equivalents		0	0
Loans		0	0
Assets transferred or pledged to securitization vehicles		60,948	75,924
Mortgage servicing rights		0	0
Principal and interest receivable		364	408
Other assets		0	0
Total assets		61,312	76,332
Liabilities
Debt issued by securitization vehicles (non-recourse)		43,408	57,905
Other secured financing		0	0
Payable for unsettled trades		0	0
Interest payable		104	137
Other liabilities		129	78
Total liabilities		43,641	58,120
Consolidated VIEs | MSR Silo
Assets
Cash and cash equivalents		74,654	67,455
Loans		61,147	66,722
Assets transferred or pledged to securitization vehicles		0	0
Mortgage servicing rights		227,400	378,078
Principal and interest receivable		0	0
Other assets		23,581	27,021
Total assets		386,782	539,276
Liabilities
Debt issued by securitization vehicles (non-recourse)		0	0
Other secured financing		33,896	38,981
Payable for unsettled trades		11,720	18,364
Interest payable		0	0
Other liabilities		2,378	2,393
Total liabilities		$ 47,994	$ 59,738
[1]	Includes cash of consolidated Variable Interest Entities (“VIEs”) of $74.7 million and $67.5 million at June 30, 2020 and December 31, 2019 , respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2019 .

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	6 Months Ended
	Jun. 30, 2020USD ($)
Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	$ 3,284,754
Residential Trusts
Concentration Risk [Line Items]
Principal Balance	60,980
California
Concentration Risk [Line Items]
Principal Balance	1,270,544
California | Residential Trusts
Concentration Risk [Line Items]
Principal Balance	27,442
Texas | Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	478,457
Texas | Residential Trusts
Concentration Risk [Line Items]
Principal Balance	8,309
New York | Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	370,697
Illinois | Residential Trusts
Concentration Risk [Line Items]
Principal Balance	6,534
Florida | Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	196,495
Other (1) | Residential Trusts
Concentration Risk [Line Items]
Principal Balance	18,695
Other | Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	968,561
Other | Residential Trusts
Concentration Risk [Line Items]
Principal Balance
Securitized Loans | Geographic Concentration Risk | Commercial Trusts
Concentration Risk [Line Items]
% of Balance	100.00%
Securitized Loans | Geographic Concentration Risk | Residential Trusts
Concentration Risk [Line Items]
% of Balance	100.00%
Securitized Loans | Geographic Concentration Risk | California | Commercial Trusts
Concentration Risk [Line Items]
% of Balance	38.70%
Securitized Loans | Geographic Concentration Risk | California | Residential Trusts
Concentration Risk [Line Items]
% of Balance	45.00%
Securitized Loans | Geographic Concentration Risk | Texas | Commercial Trusts
Concentration Risk [Line Items]
% of Balance	14.60%
Securitized Loans | Geographic Concentration Risk | Texas | Residential Trusts
Concentration Risk [Line Items]
% of Balance	13.60%
Securitized Loans | Geographic Concentration Risk | New York | Commercial Trusts
Concentration Risk [Line Items]
% of Balance	11.30%
Securitized Loans | Geographic Concentration Risk | Illinois | Residential Trusts
Concentration Risk [Line Items]
% of Balance	10.70%
Securitized Loans | Geographic Concentration Risk | Florida | Commercial Trusts
Concentration Risk [Line Items]
% of Balance	6.00%
Securitized Loans | Geographic Concentration Risk | Other (1) | Residential Trusts
Concentration Risk [Line Items]
% of Balance	30.70%
Securitized Loans | Geographic Concentration Risk | Other | Commercial Trusts
Concentration Risk [Line Items]
% of Balance	29.40%
Securitized Loans | Geographic Concentration Risk | Other | Residential Trusts
Concentration Risk [Line Items]
% of Balance

REAL ESTATE - Summary of Estima

REAL ESTATE - Summary of Estimated Useful Lives of Assets (Details)	6 Months Ended
	Jun. 30, 2020
Building and building improvements | Minimum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets (in years)	1 year
Building and building improvements | Maximum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets (in years)	44 years
Furniture, fixtures and equipment | Minimum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets (in years)	1 year
Furniture, fixtures and equipment | Maximum
Property, Plant and Equipment [Line Items]
Estimated useful lives of assets (in years)	4 years

REAL ESTATE - Additional Inform

REAL ESTATE - Additional Information (Details)	3 Months Ended		6 Months Ended
	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)	Jun. 30, 2020USD ($)property	Jun. 30, 2019USD ($)property	Dec. 31, 2019USD ($)
Real Estate Properties [Line Items]
Real estate acquired in settlement of residential mortgage loans	$ 0		$ 0		$ 0
Foreclosure agreement, amount	35,300,000		$ 35,300,000
Number of commercial real estate acquisitions | property				0
Number of real estate properties sold | property			0	1
Proceeds from sales of real estate				$ 6,700,000
Recognized gain on sale of real estate				2,700,000
Weighted average amortization period (in years)			5 years 4 months 24 days
General and Administrative Expense
Real Estate Properties [Line Items]
Depreciation expense	$ 6,000,000	$ 6,000,000	$ 11,200,000	$ 11,800,000

REAL ESTATE - Total Commercial

REAL ESTATE - Total Commercial Real Estate Held for Investments (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Real estate held for investment, at amortized cost
Subtotal	$ 740,353	$ 704,354
Less: accumulated depreciation	(98,770)	(87,532)
Total real estate held for investment, at amortized cost, net	641,583	616,822
Equity in unconsolidated joint ventures	104,484	108,816
Total real estate, net	746,067	725,638	[1]
Land
Real estate held for investment, at amortized cost
Subtotal	135,220	121,720
Buildings and improvements
Real estate held for investment, at amortized cost
Subtotal	593,758	571,396
Furniture, fixtures and equipment
Real estate held for investment, at amortized cost
Subtotal	$ 11,375	$ 11,238
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

REAL ESTATE - Minimum Future Re

REAL ESTATE - Minimum Future Rentals to be Received on Noncancelable Operating Leases (Details) $ in Thousands	Jun. 30, 2020USD ($)
Real Estate [Abstract]
2020 (remaining)	$ 27,410
2021	53,386
2022	48,948
2023	45,517
2024	41,734
Later years	188,627
Total	$ 405,622

DERIVATIVE INSTRUMENTS - Additi

DERIVATIVE INSTRUMENTS - Additional Information (Details) - USD ($) $ in Millions	Jun. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Aggregate fair value of derivative instruments in a net liability position	$ 1,100
Interest rate swaps, at fair value
Derivative [Line Items]
Variation margin	$ 1,800	$ 517.8

DERIVATIVE INSTRUMENTS - Summar

DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Assets
Interest rate swaps	$ 0	$ 1,199
Derivative assets	165,642	113,556	[1]
Liabilities
Interest rate swaps	1,198,970	706,862
Derivative liabilities	1,257,038	803,866	[1]
Futures contracts
Assets
Other derivative assets	0	77,889
Derivative assets		77,889
Liabilities
Other derivative liabilities	17,579	84,781
Derivative liabilities	17,579	84,781
Purchase commitments
Assets
Other derivative assets	0	2,050
Derivative assets		2,050
Liabilities
Other derivative liabilities	0	907
Derivative liabilities		907
Interest rate swaptions
Assets
Other derivative assets	41,668	11,580
Derivative assets	41,668	11,580
TBA derivatives
Assets
Other derivative assets	123,974	15,181
Derivative assets	123,974	15,181
Liabilities
Other derivative liabilities	5,778	11,316
Derivative liabilities	5,778	11,316
Credit derivatives
Assets
Other derivative assets	0	5,657
Derivative assets		5,657
Liabilities
Other derivative liabilities	34,711	0
Derivative liabilities	34,711
Notional Amount	0	10,000
Credit derivatives | Maximum
Liabilities
Notional Amount	$ 495,000	$ 345,000
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

DERIVATIVE INSTRUMENTS - Summ_2

DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($)	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Federal funds index swap
Derivative [Line Items]
Notional Amount, Percentage	0.80
Interest rate swaps, at fair value
Derivative [Line Items]
Current Notional	$ 28,850,350,000	$ 74,146,350,000
Weighted Average Pay Rate	1.01%	1.84%
Weighted Average Receive Rate	0.75%	1.89%
Weighted Average Underlying Years to Maturity	4 years 10 months 13 days	4 years 2 months 23 days
Notional Amount, Percentage	0.17	0.75
Interest rate swaps, at fair value | 0 - 3 years
Derivative [Line Items]
Current Notional	$ 15,469,400,000	$ 38,942,400,000
Weighted Average Pay Rate	0.20%	1.60%
Weighted Average Receive Rate	0.42%	1.84%
Weighted Average Underlying Years to Maturity	2 years 4 months 13 days	1 year 3 months 14 days
Derivative Instruments minimum maturity period (in years)	0 years	0 years
Derivative Instruments maximum maturity period (in years)	3 years	3 years
Interest rate swaps, at fair value | 3 - 6 years
Derivative [Line Items]
Current Notional	$ 6,215,450,000	$ 16,097,450,000
Weighted Average Pay Rate	0.73%	1.77%
Weighted Average Receive Rate	0.15%	1.87%
Weighted Average Underlying Years to Maturity	4 years 1 month 2 days	4 years 3 months 18 days
Derivative Instruments minimum maturity period (in years)	3 years	3 years
Derivative Instruments maximum maturity period (in years)	6 years	6 years
Interest rate swaps, at fair value | 6 - 10 years
Derivative [Line Items]
Current Notional	$ 5,456,500,000	$ 16,176,500,000
Weighted Average Pay Rate	1.51%	2.20%
Weighted Average Receive Rate	1.18%	2.02%
Weighted Average Underlying Years to Maturity	8 years 2 months 19 days	9 years
Derivative Instruments minimum maturity period (in years)	6 years	6 years
Derivative Instruments maximum maturity period (in years)	10 years	10 years
Interest rate swaps, at fair value | Greater than 10 years
Derivative [Line Items]
Current Notional	$ 1,709,000,000	$ 2,930,000,000
Weighted Average Pay Rate	3.16%	3.76%
Weighted Average Receive Rate	0.57%	1.86%
Weighted Average Underlying Years to Maturity	19 years 7 months 6 days	17 years 10 months 17 days
Derivative Instruments minimum maturity period (in years)	10 years	10 years
Overnight index swap
Derivative [Line Items]
Notional Amount, Percentage	0.03	0.25
Forward starting pay fixed swaps
Derivative [Line Items]
Current Notional	$ 0	$ 0

DERIVATIVE INSTRUMENTS - Summ_3

DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Long pay
Derivative [Line Items]
Current Notional	$ 4,625,000	$ 4,675,000
Weighted Average Underlying Fixed Rate	1.60%	2.53%
Weighted Average Underlying Years to Maturity	10 years 5 months 12 days	9 years 2 months 19 days
Weighted Average Months to Expiration	6 years 7 months 6 days	4 years 7 months 28 days
Long receive
Derivative [Line Items]
Current Notional	$ 250,000	$ 2,000,000
Weighted Average Underlying Fixed Rate	1.66%	1.49%
Weighted Average Underlying Years to Maturity	10 years 6 months 10 days	10 years 3 months 14 days
Weighted Average Months to Expiration	6 years 3 months 7 days	3 years 4 months 24 days

DERIVATIVE INSTRUMENTS - Summ_4

DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Notional	$ 18,381,000	$ 6,899,000
Implied Cost Basis	19,030,505	6,888,405
Implied Market Value	19,148,701	6,892,270
Net Carrying Value	118,196	3,865
Purchase contracts
Derivative [Line Items]
Notional	18,381,000	10,043,000
Implied Cost Basis	19,030,505	10,182,891
Implied Market Value	19,148,701	10,192,038
Net Carrying Value	$ 118,196	9,147
Sale contracts
Derivative [Line Items]
Notional		(3,144,000)
Implied Cost Basis		(3,294,486)
Implied Market Value		(3,299,768)
Net Carrying Value		$ (5,282)

DERIVATIVE INSTRUMENTS - Summ_5

DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
U.S. Treasury futures | 2 Year
Derivative [Line Items]
Weighted Average Underlying Years to Maturity		1 year 11 months 15 days
Derivative Instruments, maturity period (in years)		2 years
U.S. Treasury futures | 2 Year | Notional - Long Positions
Derivative [Line Items]
Notional Amount		$ 0
Notional Amount		0
U.S. Treasury futures | 2 Year | Notional - Short Positions
Derivative [Line Items]
Notional Amount		180,000
Notional Amount		$ (180,000)
U.S. Treasury futures | 5 Year
Derivative [Line Items]
Weighted Average Underlying Years to Maturity		4 years 5 months 1 day
Derivative Instruments, maturity period (in years)		5 years
U.S. Treasury futures | 5 Year | Notional - Long Positions
Derivative [Line Items]
Notional Amount		$ 0
Notional Amount		0
U.S. Treasury futures | 5 Year | Notional - Short Positions
Derivative [Line Items]
Notional Amount		2,953,300
Notional Amount		$ (2,953,300)
U.S. Treasury futures | 10 Year and Greater
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	6 years 10 months 13 days	9 years 8 months 26 days
Derivative Instruments minimum maturity period (in years)	10 years	10 years
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions
Derivative [Line Items]
Notional Amount	$ 0	$ 2,600,000
Notional Amount	0	(2,600,000)
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions
Derivative [Line Items]
Notional Amount	1,847,800	5,806,400
Notional Amount	$ (1,847,800)	$ (5,806,400)
Futures contracts
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	6 years 10 months 13 days	8 years 3 months 3 days
Futures contracts | Notional - Long Positions
Derivative [Line Items]
Notional Amount	$ 0	$ 2,600,000
Notional Amount	0	(2,600,000)
Futures contracts | Notional - Short Positions
Derivative [Line Items]
Notional Amount	1,847,800	8,939,700
Notional Amount	$ (1,847,800)	$ (8,939,700)

DERIVATIVE INSTRUMENTS - Offset

DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Assets
Gross Amounts	$ 165,642	$ 113,556	[1]
Liabilities
Gross Amounts	1,257,038	803,866	[1]
Futures contracts, at fair value
Assets
Gross Amounts		77,889
Financial Instruments		(10,902)
Cash Collateral		0
Net Amounts		66,987
Liabilities
Gross Amounts	17,579	84,781
Financial Instruments	0	(10,902)
Cash Collateral	(17,579)	(73,879)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts		2,050
Financial Instruments		0
Cash Collateral		0
Net Amounts		2,050
Liabilities
Gross Amounts		907
Financial Instruments		0
Cash Collateral		0
Net Amounts		907
Interest rate swaps, at fair value
Assets
Gross Amounts		1,199
Financial Instruments		(951)
Cash Collateral		0
Net Amounts		248
Liabilities
Gross Amounts	1,198,970	706,862
Financial Instruments	0	(951)
Cash Collateral	(124,301)	(104,205)
Net Amounts	1,074,669	601,706
Interest rate swaptions, at fair value
Assets
Gross Amounts	41,668	11,580
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	41,668	11,580
TBA derivatives, at fair value
Assets
Gross Amounts	123,974	15,181
Financial Instruments	(4,848)	(5,018)
Cash Collateral	0	0
Net Amounts	119,126	10,163
Liabilities
Gross Amounts	5,778	11,316
Financial Instruments	(4,848)	(5,018)
Cash Collateral	0	0
Net Amounts	930	6,298
Credit derivatives
Assets
Gross Amounts		5,657
Financial Instruments		0
Cash Collateral		0
Net Amounts		$ 5,657
Liabilities
Gross Amounts	34,711
Financial Instruments	0
Cash Collateral	(34,711)
Net Amounts	$ 0
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

DERIVATIVE INSTRUMENTS - Effect

DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Net Interest Component of Interest Rate Swaps	$ (64,561)	$ 83,653	$ (78,541)	$ 217,688
Realized Gains (Losses) on Termination of Interest Rate Swaps	(1,521,732)	(167,491)	(1,919,293)	(755,747)
Unrealized Gains (Losses) on Interest Rate Swaps	$ 1,494,628	$ (1,276,019)	$ (1,333,095)	$ (1,666,575)

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		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ 1,494,628	$ (1,276,019)	$ (1,333,095)	$ (1,666,575)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	170,916	(506,411)	377,342	(621,570)
Futures
Derivative [Line Items]
Realized Gain (Loss)	246	(514,441)	(279,230)	(1,006,182)
Unrealized Gains (Losses) on Interest Rate Swaps	(17,579)	(82,779)	(10,687)	119,533
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(17,333)	(597,220)	(289,917)	(886,649)
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	9,666	1,106	(1,143)	2,251
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	9,666	1,106	(1,143)	2,251
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	250,525	174,221	521,610	387,946
Unrealized Gains (Losses) on Interest Rate Swaps	(46,363)	(68,291)	114,331	(108,231)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	204,162	105,930	635,941	279,715
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(29,880)	(11,317)	21,566	(41,309)
Unrealized Gains (Losses) on Interest Rate Swaps	(22,634)	(7,178)	47,499	12,506
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(52,514)	(18,495)	69,065	(28,803)
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,203	1,199	3,128	3,501
Unrealized Gains (Losses) on Interest Rate Swaps	25,732	1,069	(39,732)	8,415
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ 26,935	$ 2,268	$ (36,604)	$ 11,916

FAIR VALUE MEASUREMENTS - Estim

FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019		Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018
Assets
Mortgage-backed securities	[1]	$ 77,805,743		$ 114,833,580	[2]
Mortgage servicing rights		227,400	$ 280,558	378,078		$ 425,328	$ 500,745	$ 557,813
Assets transferred or pledged to securitization vehicles		7,690,451		7,002,460	[2]
Interest rate swaps		0		1,199
Liabilities
Interest rate swaps		1,198,970		706,862
Residential Mortgage Loans
Assets
Residential mortgage loans		4,001,023		4,246,161
Fair Value, Measurements, Recurring
Assets
Agency mortgage-backed securities		76,761,800		112,893,367
Credit risk transfer securities		362,901		531,322
Mortgage servicing rights		227,400		378,078
Assets transferred or pledged to securitization vehicles		6,815,833		6,066,082
Interest rate swaps				1,199
Other derivatives		165,642		112,357
Total assets		86,183,139		123,039,083
Liabilities
Debt issued by securitization vehicles		6,458,130		5,622,801
Interest rate swaps		1,198,970		706,862
Other derivatives		58,068		97,004
Total liabilities		7,715,168		6,426,667
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities
Assets
Mortgage-backed securities		619,840		1,135,868
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities
Assets
Mortgage-backed securities		61,202		273,023
Fair Value, Measurements, Recurring | Residential Mortgage Loans
Assets
Residential mortgage loans		1,168,521		1,647,787
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
Other derivatives		0		77,889
Total assets		0		77,889
Liabilities
Debt issued by securitization vehicles		0		0
Interest rate swaps		0		0
Other derivatives		17,579		84,781
Total liabilities		17,579		84,781
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-Backed Securities
Assets
Mortgage-backed securities		0		0
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities
Assets
Mortgage-backed securities		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		76,761,800		112,893,367
Credit risk transfer securities		362,901		531,322
Mortgage servicing rights		0		0
Assets transferred or pledged to securitization vehicles		6,815,833		6,066,082
Interest rate swaps				1,199
Other derivatives		165,642		34,468
Total assets		85,955,739		122,583,116
Liabilities
Debt issued by securitization vehicles		6,458,130		5,622,801
Interest rate swaps		1,198,970		706,862
Other derivatives		40,489		12,223
Total liabilities		7,697,589		6,341,886
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities
Assets
Mortgage-backed securities		619,840		1,135,868
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities
Assets
Mortgage-backed securities		61,202		273,023
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans
Assets
Residential mortgage loans		1,168,521		1,647,787
Fair Value, Measurements, Recurring | Level 3
Assets
Agency mortgage-backed securities		0		0
Credit risk transfer securities		0		0
Mortgage servicing rights		227,400		378,078
Assets transferred or pledged to securitization vehicles		0		0
Interest rate swaps				0
Other derivatives		0		0
Total assets		227,400		378,078
Liabilities
Debt issued by securitization vehicles		0		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
Mortgage-backed securities		0		0
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities
Assets
Mortgage-backed securities		0		0
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage Loans
Assets
Residential mortgage loans		$ 0		$ 0
[1]	Excludes $144.2 million and $102.5 million at June 30, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $398.9 million and $468.0 million at June 30, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $381.3 million and $500.3 million at June 30, 2020 and December 31, 2019
[2]	Derived from the audited consolidated financial statements at December 31, 2019 .

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
	Jun. 30, 2020USD ($)	Dec. 31, 2019USD ($)
Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
Unobservable input, cost to service	$ 81	$ 81
Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
Unobservable input, cost to service	202	135
Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
Unobservable input, cost to service	$ 115	$ 107
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	0.093
Prepayment Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.111	0.063
Prepayment Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.447	0.266
Prepayment Rate | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.287	0.137
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	0.090	0.040
Delinquency Rate | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31)
MSR measurement inputs	0.027	0.022

FAIR VALUE MEASUREMENTS - Est_2

FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Financial liabilities
Other secured financing	$ 1,538,996	$ 4,455,700	[1]
Carrying Value | Level 2
Financial liabilities
Repurchase agreements	67,163,598	101,740,728
Other secured financing	1,538,996	4,455,700
Carrying Value | Level 3
Financial assets
Commercial real estate debt and preferred equity, held for investment	1,493,504	1,606,091
Corporate debt, held for investment	2,185,264	2,144,850
Financial liabilities
Mortgage payable	508,565	485,005
Fair Value | Level 2
Financial liabilities
Repurchase agreements	67,163,598	101,740,728
Other secured financing	1,538,996	4,455,700
Fair Value | Level 3
Financial assets
Commercial real estate debt and preferred equity, held for investment	1,567,118	1,619,018
Corporate debt, held for investment	2,114,904	2,081,327
Financial liabilities
Mortgage payable	$ 595,542	$ 515,994
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

GOODWILL AND INTANGIBLE ASSET_2

GOODWILL AND INTANGIBLE ASSETS - Additional Information (Details) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Finite-Lived Intangible Assets [Line Items]
Goodwill	$ 71.8	$ 71.8
Assembled Workforce
Finite-Lived Intangible Assets [Line Items]
Intangible assets acquired	$ 41

GOODWILL AND INTANGIBLE ASSET_3

GOODWILL AND INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2020USD ($)
Intangible Assets [Roll Forward]
Intangible assets, net beginning of period	$ 20,957
Intangible assets acquired	47,686
Intangible assets divested	(110)
Less: amortization expense	(2,668)
Intangible assets, net end of period	$ 65,865

SECURED FINANCING - Additional

SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Repurchase Agreements:
Netted amounts	$ 67,163,598	$ 101,740,728	[1]
Repurchase agreements - weighted average effective borrowing rates	0.70%	1.99%
Repurchase agreements - weighted average remaining maturities	74 days	65 days
Repurchase agreement amount	$ 2,100,000
Remaining capacity of repurchase agreement	1,700,000
Other secured financing long term, amount	1,538,996	$ 4,455,700	[1]
Secured financings and interest rate swaps - collateral held, estimated fair value	74,300,000	112,800,000
Secured financings and interest rate swaps - collateral held, accrued interest	$ 225,800	$ 357,900
Minimum
Repurchase Agreements:
Maturity period (in years)	5 years
Maximum
Repurchase Agreements:
Maturity period (in years)	7 years
Maturity Period Beyond Three Years | Period One | Maximum
Repurchase Agreements:
Maturity period (in years)	1 year	1 year
Maturity Period Beyond Three Years | Period Two | Minimum
Repurchase Agreements:
Maturity period (in years)		1 year
Maturity Period Beyond Three Years | Period Two | Maximum
Repurchase Agreements:
Maturity period (in years)		3 years
FHLB De Moines
Repurchase Agreements:
Debt weighted average interest rate	1.55%	2.16%
Stock held in FHLB	$ 28,800	$ 147,900
FHLB De Moines | Maturity Period Beyond Three Years | Period One
Repurchase Agreements:
Other secured financing long term, amount	$ 600,000	1,400,000
FHLB De Moines | Maturity Period Beyond Three Years | Period Two
Repurchase Agreements:
Other secured financing long term, amount		$ 2,100,000
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

SECURED FINANCING - Repurchase

SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Repurchase Agreements:
Netted amounts	$ 67,163,598	$ 101,740,728	[1]
Weighted Average Rate	0.49%	2.03%
Repurchase agreements, remaining maturities, percentage	1.00%	0.00%
CRTs
Repurchase Agreements:
Netted amounts	$ 51,654	$ 268,738
Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	661,140	1,024,528
Commercial Loans
Repurchase Agreements:
Netted amounts	369,601	303,078
Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	47,652
Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	65,730,018	99,591,465
Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	303,533	552,919
1 day
Repurchase Agreements:
Netted amounts	$ 15,091,891	$ 0
Weighted Average Rate	0.15%	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 | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	0
1 day | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	15,091,891	0
1 day | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0	0
2 to 29 days
Repurchase Agreements:
Netted amounts	$ 18,084,981	$ 37,382,531
Weighted Average Rate	0.48%	2.15%
2 to 29 days | CRTs
Repurchase Agreements:
Netted amounts	$ 2,281	$ 237,897
2 to 29 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	143,055	698,091
2 to 29 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0	0
2 to 29 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	0
2 to 29 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	17,911,648	36,030,104
2 to 29 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	27,997	416,439
30 to 59 days
Repurchase Agreements:
Netted amounts	$ 4,992,031	$ 15,300,157
Weighted Average Rate	0.67%	2.00%
30 to 59 days | CRTs
Repurchase Agreements:
Netted amounts	$ 0	$ 0
30 to 59 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	70,301	115,805
30 to 59 days | Commercial Loans
Repurchase Agreements:
Netted amounts	66,026	0
30 to 59 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	0
30 to 59 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	4,724,516	15,079,989
30 to 59 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	131,188	104,363
60 to 89 days
Repurchase Agreements:
Netted amounts	$ 5,413,537	$ 22,117,735
Weighted Average Rate	0.47%	1.97%
60 to 89 days | CRTs
Repurchase Agreements:
Netted amounts	$ 41,283	$ 30,841
60 to 89 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	271,552	151,920
60 to 89 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0	0
60 to 89 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	0
60 to 89 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	5,061,005	21,931,335
60 to 89 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	39,697	3,639
90 to 119 days
Repurchase Agreements:
Netted amounts	$ 8,671,501	$ 9,992,914
Weighted Average Rate	0.58%	1.97%
90 to 119 days | CRTs
Repurchase Agreements:
Netted amounts	$ 8,090	$ 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 | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	0
90 to 119 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	8,643,555	9,992,914
90 to 119 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	19,856	0
Over 120 days
Repurchase Agreements:
Netted amounts	$ 14,909,657	$ 16,947,391
Weighted Average Rate	0.74%	1.90%
Over 120 days | CRTs
Repurchase Agreements:
Netted amounts	$ 0	$ 0
Over 120 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	176,232	58,712
Over 120 days | Commercial Loans
Repurchase Agreements:
Netted amounts	303,575	303,078
Over 120 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	47,652
Over 120 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	14,297,403	16,557,123
Over 120 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	$ 84,795	$ 28,478
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

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	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Reverse Repurchase Agreements
Gross amounts	$ 150,000	$ 100,000
Amounts offset	(150,000)	(100,000)
Netted amounts	0	0
Repurchase Agreements
Gross amounts	67,313,598	101,840,728
Amounts offset	(150,000)	(100,000)
Netted amounts	$ 67,163,598	$ 101,740,728	[1]
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

SECURED FINANCING - Mortgage Lo

SECURED FINANCING - Mortgage Loans Payable (Details) - Commercial Mortgage Loans - USD ($)	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 508,565,000	$ 485,005,000
Mortgage Principal	514,005,000	490,631,000
Joint Ventures
Debt Instrument [Line Items]
Mortgage Carrying Value	316,631,000	316,566,000
Mortgage Principal	$ 318,433,000	$ 318,562,000
Joint Ventures | Minimum
Debt Instrument [Line Items]
Interest Rate	4.03%	4.03%
Joint Ventures | Maximum
Debt Instrument [Line Items]
Interest Rate	4.96%	4.96%
Joint Ventures | LIBOR
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 16,517,000	$ 16,029,000
Mortgage Principal	$ 16,325,000	$ 16,325,000
Variable interest rate	2.15%	2.15%
Virginia
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 81,980,000	$ 82,940,000
Mortgage Principal	$ 83,710,000	$ 84,702,000
Virginia | Minimum
Debt Instrument [Line Items]
Interest Rate	2.34%	2.34%
Virginia | Maximum
Debt Instrument [Line Items]
Interest Rate	4.55%	4.55%
Virginia | LIBOR
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 24,447,000
Mortgage Principal	$ 25,000,000
Variable interest rate	2.85%
Texas
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 31,400,000	$ 31,667,000
Mortgage Principal	$ 32,877,000	$ 33,167,000
Interest Rate	3.28%	3.28%
Utah
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 7,024,000	$ 7,077,000
Mortgage Principal	$ 7,041,000	$ 7,096,000
Interest Rate	3.69%	3.69%
Utah | LIBOR
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 9,706,000	$ 9,706,000
Mortgage Principal	$ 9,706,000	$ 9,706,000
Variable interest rate	2.75%	3.50%
Minnesota
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 13,142,000	$ 13,243,000
Mortgage Principal	$ 13,175,000	$ 13,276,000
Interest Rate	3.69%	3.69%
Wisconsin
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 7,718,000	$ 7,777,000
Mortgage Principal	$ 7,738,000	$ 7,797,000
Interest Rate	3.69%	3.69%

SECURED FINANCING - Future Mort

SECURED FINANCING - Future Mortgage Loan Principal Payments (Details) $ in Thousands	Jun. 30, 2020USD ($)
Debt Disclosure [Abstract]
2020 (remaining)	$ 1,657
2021	13,197
2022	20,034
2023	3,844
2024	3,980
Later years	471,293
Total	$ 514,005

CAPITAL STOCK - Schedule of Com

CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares	Jun. 30, 2020	Dec. 31, 2019
Equity [Abstract]
Shares authorized (in shares)	2,914,850,000	2,914,850,000
Shares issued (in shares)	1,407,662,483	1,430,106,199
Shares outstanding (in shares)	1,407,662,483	1,430,106,199
Par Value (in dollars per share)	$ 0.01	$ 0.01

CAPITAL STOCK - Additional Info

CAPITAL STOCK - Additional Information (Details) - USD ($)	1 Months Ended	3 Months Ended		6 Months Ended
	Jan. 31, 2018	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Class of Stock [Line Items]
Options exercised under incentive plans (in shares)					11,300,000
Authorized amount of stock available for repurchase			$ 1,500,000,000		$ 1,500,000,000
Shares repurchased (in shares)		22,900,000		22,900,000
Aggregate stock offering price		$ 143,300,000		$ 143,300,000
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		81,900,000
Series H
Class of Stock [Line Items]
Preferred stock, redemption price (in dollars per share)			$ 25		$ 25
Preferred stock dividend rate, percentage					8.125%
Series I
Class of Stock [Line Items]
Preferred stock dividend rate, percentage				6.75%	6.75%
Preferred stock, shares issued (in shares)		17,700,000	16,000,000	17,700,000	16,000,000	17,700,000
Proceeds from issuance of preferred stock					$ 400,000,000
Public Offering
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)					75,000,000
Proceeds from sale of stock					$ 730,500,000
Public Offering, Additional Share Purchase Option
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)					11,300,000
Proceeds from sale of stock					$ 109,600,000
Option to purchase additional shares, period					30 days
Public Offering, Additional Share Purchase Option | Series I
Class of Stock [Line Items]
Preferred stock, shares issued (in shares)			2,400,000		2,400,000
Preferred stock, option to purchase additional shares, period					30 days
At-the-market Sale Program
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)			8,000,000	0	56,000,000
Proceeds from sale of stock			$ 80,100,000		$ 569,100,000
Aggregate stock offering price	$ 1,500,000,000
Preferred stock
Class of Stock [Line Items]
Preferred stock redeemed		$ 0	$ 55,000,000	$ 0	$ 55,000,000
Preferred stock | Series H
Class of Stock [Line Items]
Preferred stock redeemed (in shares)					2,200,000
Preferred stock redeemed					$ 55,000,000

CAPITAL STOCK - Summary of Divi

CAPITAL STOCK - Summary of Dividend Reinvestment Plan (Details) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019
Equity [Abstract]
Shares issued through direct purchase and dividend reinvestment program (in shares)	63,000	180,000
Amount raised from direct purchase and dividend reinvestment program	$ 405	$ 1,795

CAPITAL STOCK - Schedule of Pre

CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Class of Stock [Line Items]
Shares Authorized (in shares)	85,150,000		85,150,000
Shares Issued (in shares)	81,900,000		81,900,000
Shares Outstanding (in shares)	81,900,000		81,900,000
Carrying Value	$ 1,982,026		$ 1,982,026	[1]
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 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
Shares Outstanding (in shares)	17,000,000		17,000,000
Carrying Value	$ 411,335		$ 411,335
Contractual Rate	6.50%
Floating annual rate	4.172%
Series I
Class of Stock [Line Items]
Shares Authorized (in shares)	18,400,000		18,400,000
Shares Issued (in shares)	17,700,000	16,000,000	17,700,000
Shares Outstanding (in shares)	17,700,000		17,700,000
Carrying Value	$ 428,324		$ 428,324
Contractual Rate	6.75%	6.75%
Floating annual rate	4.989%
[1]	Derived from the audited consolidated financial statements at December 31, 2019 .

CAPITAL STOCK - Summary of Di_2

CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Dividends Payable [Line Items]
Dividends and dividend equivalents declared on common stock and share-based awards	$ 309,972,000	$ 364,266,000	$ 667,791,000	$ 798,893,000
Distributions declared per common share (in dollars per share)	$ 0.22	$ 0.25	$ 0.47	$ 0.55
Distributions paid to common stockholders after period end	$ 309,686,000	$ 364,066,000	$ 309,686,000	$ 364,066,000
Distributions paid per common share after period end (in dollars per share)	$ 0.22	$ 0.25	$ 0.22	$ 0.25
Series C
Dividends Payable [Line Items]
Preferred dividends declared	$ 0	$ 3,336,000	$ 0	$ 6,672,000
Preferred series dividends declared (in dollars per share)	$ 0	$ 0.477	$ 0	$ 0.953
Series D
Dividends Payable [Line Items]
Preferred dividends declared	$ 8,625,000	$ 8,625,000	$ 17,250,000	$ 17,250,000
Preferred series dividends declared (in dollars per share)	$ 0.469	$ 0.469	$ 0.938	$ 0.938
Series F
Dividends Payable [Line Items]
Preferred dividends declared	$ 12,510,000	$ 12,510,000	$ 25,020,000	$ 25,020,000
Preferred series dividends declared (in dollars per share)	$ 0.434	$ 0.434	$ 0.869	$ 0.868
Series G
Dividends Payable [Line Items]
Preferred dividends declared	$ 6,906,000	$ 6,906,000	$ 13,812,000	$ 13,812,000
Preferred series dividends declared (in dollars per share)	$ 0.406	$ 0.406	$ 0.813	$ 0.813
Series H
Dividends Payable [Line Items]
Preferred dividends declared	$ 0	$ 745,000	$ 0	$ 1,862,000
Preferred series dividends declared (in dollars per share)	$ 0	$ 0.339	$ 0	$ 0.846
Series I
Dividends Payable [Line Items]
Preferred dividends declared	$ 7,468,000	$ 0	$ 14,936,000	$ 0
Preferred series dividends declared (in dollars per share)	$ 0.422	$ 0	$ 0.844	$ 0

INTEREST INCOME AND INTEREST _3

INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Interest income
Residential securities	$ 457,684	$ 777,891	$ 868,064	$ 1,487,665
Residential mortgage loans	42,871	35,025	90,428	65,016
Commercial investment portfolio	84,208	92,131	179,884	193,083
Reverse repurchase agreements	49	22,551	1,462	48,020
Total interest income	584,812	927,598	1,139,838	1,793,784
Interest expense
Repurchase agreements	136,962	683,647	570,983	1,263,161
Debt issued by securitization vehicles	38,757	34,151	80,876	68,358
Other	10,313	32,419	37,646	66,393
Total interest expense	186,032	750,217	689,505	1,397,912
Net interest income	$ 398,780	$ 177,381	$ 450,333	$ 395,872

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		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Earnings Per Share [Abstract]
Net income (loss)	$ 856,234	$ (1,776,413)	$ (2,783,955)	$ (2,625,664)
Net income (loss) attributable to noncontrolling interests	32	(83)	98	(184)
Net income (loss) attributable to Annaly	856,202	(1,776,330)	(2,784,053)	(2,625,480)
Dividends on preferred stock	35,509	32,422	71,018	64,916
Net income (loss) available (related) to common stockholders	$ 820,693	$ (1,808,752)	$ (2,855,071)	$ (2,690,396)
Weighted average shares of common stock outstanding-basic (in shares)	1,423,909,112	1,456,038,736	1,427,451,716	1,427,485,102
Add: Effect of stock awards, if dilutive (in shares)	0	0	0	0
Weighted average shares of common stock outstanding-diluted (in shares)	1,423,909,112	1,456,038,736	1,427,451,716	1,427,485,102
Net income (loss) per share available (related) to common share
Basic (in dollars per share)	$ 0.58	$ (1.24)	$ (2)	$ (1.88)
Diluted (in dollars per share)	$ 0.58	$ (1.24)	$ (2)	$ (1.88)
Dividends, preferred stock		$ 300		$ 300

NET INCOME (LOSS) PER COMMON _4

NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares	3 Months Ended	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2020
Earnings Per Share [Abstract]
Options to purchase common stock (in shares)	500,000	400,000

INCOME TAXES - Additional Infor

INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Income Taxes:
REIT Taxable income distributed			100.00%
Income tax benefit	$ 2,055	$ (5,915)	$ (24,647)	$ (3,334)
Taxable REIT Subsidiary
Income Taxes:
Income tax benefit	$ 2,100	$ (5,900)	$ (24,600)	$ (3,300)

RELATED PARTY TRANSACTIONS - Ad

RELATED PARTY TRANSACTIONS - Additional Information (Details) $ in Thousands	Mar. 27, 2019USD ($)	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)	Dec. 31, 2019USD ($)
Related Party Transaction [Line Items]
Ratio of percentage of stockholders' equity paid up to predetermined amount	0.0875
Ratio of percentage of stockholders' equity paid over a predetermined amount	0.0075
Predetermined amount of stockholders equity used in calculating monthly management fee	$ 17,280,000
Compensation and management fee		$ 37,036	$ 44,231	$ 77,861	$ 89,064
Ratio of independent directors or holders of a majority of the outstanding shares				0.0067
Management Agreement
Related Party Transaction [Line Items]
Compensation and management fee		37,000	44,200	$ 77,900	89,100
Reimbursement payments		7,100	$ 7,100	14,200	$ 14,300
Management fee payable		$ 0		$ 0		$ 15,800

LEASE COMMITMENTS AND CONTING_3

LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2020	Dec. 31, 2019
Commitments and Contingencies Disclosure [Abstract]
Remaining lease term, in years		5 years
Option to extend, in years	5 years	5 years
Lease cost	$ 800	$ 1,600
Material contingencies	$ 0	$ 0	$ 0

LEASE COMMITMENTS AND CONTING_4

LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2020USD ($)
Leases [Abstract]
Operating lease right-of-use assets	$ 14,488
Operating lease liabilities	$ 18,867
Weighted average remaining lease term	5 years 2 months 12 days
Weighted average discount rate	2.90%
Operating cash flows from operating leases	$ 1,856

LEASE COMMITMENTS AND CONTING_5

LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands	Jun. 30, 2020USD ($)
Commitments and Contingencies Disclosure [Abstract]
2020 (remaining)	$ 1,943
2021	3,918
2022	3,862
2023	3,862
2024	3,862
Later years	2,895
Total lease payments	20,342
Less imputed interest	1,475
Present value of lease liabilities	$ 18,867

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - RCap $ in Millions	Jun. 30, 2020USD ($)
Minimum net capital requirement	$ 0.3
Regulatory net capital	421.7
Regulatory net capital, excess net capital	$ 421.4

SUBSEQUENT EVENTS (Details)

SUBSEQUENT EVENTS (Details) - USD ($) shares in Millions	1 Months Ended
	Jul. 31, 2020	Feb. 29, 2020	Jan. 31, 2020	Oct. 31, 2019	Jul. 31, 2019	Jun. 30, 2019	Apr. 30, 2019	Jan. 31, 2019	Oct. 31, 2018	Aug. 31, 2018	Mar. 31, 2018
Subsequent Event
Subsequent Event [Line Items]
Stock repurchased (in shares)	4.8
Stock repurchased, value	$ 31,300,000
Credit facility, maximum borrowing capacity	250,000,000
Consolidated VIEs | OBX Trust
Subsequent Event [Line Items]
Loans		$ 467,511,000	$ 374,609,000	$ 465,492,000	$ 463,405,000	$ 383,760,000	$ 388,156,000	$ 393,961,000	$ 384,027,000	$ 383,451,000	$ 327,162,000
Consolidated VIEs | Subsequent Event | OBX Trust
Subsequent Event [Line Items]
Loans	$ 489,400,000