Annaly Capital Management (NLY) 10-Q 5 Nov 20 2020 Q3 Quarterly report Financial data

COVER PAGE

COVER PAGE - shares	9 Months Ended
	Sep. 30, 2020	Oct. 30, 2020
Document Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 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		1,398,228,330
Amendment Flag	false
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q3
Entity Central Index Key	0001043219
Current Fiscal Year End Date	--12-31
Common Stock, par value $0.01 per share
Document Information [Line Items]
Title of Each Class	Common Stock, par value $0.01 per share
Trading Symbol	NLY
Name of Each Exchange on Which Registered	NYSE
7.50% Series D Cumulative Redeemable Preferred Stock
Document Information [Line Items]
Title of Each Class	7.50% Series D Cumulative Redeemable Preferred Stock
Trading Symbol	NLY.D
Name of Each Exchange on Which Registered	NYSE
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Document Information [Line Items]
Title of Each Class	6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	NLY.F
Name of Each Exchange on Which Registered	NYSE
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Document Information [Line Items]
Title of Each Class	6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	NLY.G
Name of Each Exchange on Which Registered	NYSE
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Document Information [Line Items]
Title of Each Class	6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	NLY.I
Name of Each Exchange on Which Registered	NYSE

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands		Sep. 30, 2020	Dec. 31, 2019
Assets
Cash and cash equivalents (includes pledged assets of $1,168,816 and $1,648,545, respectively)	[1]	$ 1,239,982	$ 1,850,729	[2]
Securities (includes pledged assets of $70,393,155 and $108,809,569, respectively)	[3]	76,098,985	114,833,580	[2]
Loans, net (includes pledged assets of $3,017,199 and $3,240,583, respectively)	[4]	2,788,341	4,462,350	[2]
Mortgage servicing rights (includes pledged assets of $3,431 and $3,336, respectively)		207,985	378,078	[2]
Assets transferred or pledged to securitization vehicles		7,269,402	7,002,460	[2]
Real estate, net		790,597	725,638	[2]
Derivative assets		103,245	113,556	[2]
Receivable for unsettled trades		54,200	4,792	[2]
Principal and interest receivable		281,009	449,906	[2]
Goodwill and intangible assets, net		136,900	92,772	[2]
Other assets		221,765	381,220	[2]
Total assets		89,192,411	130,295,081	[2]
Liabilities
Repurchase agreements		64,633,447	101,740,728	[2]
Other secured financing		861,373	4,455,700	[2]
Debt issued by securitization vehicles		6,027,576	5,622,801	[2]
Mortgages payable		507,934	485,005	[2]
Derivative liabilities		1,182,681	803,866	[2]
Payable for unsettled trades		1,176,001	463,387	[2]
Interest payable		155,338	476,335	[2]
Dividends payable		308,644	357,527	[2]
Other liabilities		144,745	93,388	[2]
Total liabilities		74,997,739	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, 1,402,928,317 and 1,430,106,199 issued and outstanding, respectively		14,029	14,301	[2]
Additional paid-in capital		19,798,032	19,966,923	[2]
Accumulated other comprehensive income (loss)		3,589,056	2,138,191	[2]
Accumulated deficit		(11,200,937)	(8,309,424)	[2]
Total stockholders’ equity		14,182,206	15,792,017	[2]
Noncontrolling interests		12,466	4,327	[2]
Total equity		14,194,672	15,796,344	[2]
Total liabilities and equity		89,192,411	130,295,081	[2]
Residential Mortgage Loans
Assets
Total assets		200	1,600,000
Liabilities
Repurchase agreements		70,642
Stockholders’ equity
Loans		50,000	66,700
Consolidated VIEs
Assets
Cash and cash equivalents (includes pledged assets of $1,168,816 and $1,648,545, respectively)		84,900	67,500
Consolidated VIEs | Agency Mortgage-Backed Securities
Assets
Securities (includes pledged assets of $70,393,155 and $108,809,569, respectively)		50,300	102,500
Consolidated VIEs | Non-Agency Mortgage-Backed Securities
Assets
Securities (includes pledged assets of $70,393,155 and $108,809,569, respectively)		544,000	468,000
Consolidation, Eliminations | Consolidated VIEs | Commercial Mortgage Loans
Assets
Securities (includes pledged assets of $70,393,155 and $108,809,569, respectively)		$ 392,600	$ 500,300
[1]	Includes cash of consolidated Variable Interest Entities (“VIEs”) of $84.9 million and $67.5 million at September 30, 2020 and December 31, 2019, respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2019.
[3]	Excludes $50.3 million and $102.5 million at September 30, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $544.0 million and $468.0 million at September 30, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $392.6 million and $500.3 million at September 30, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[4]	Includes $50.0 million and $66.7 million of residential mortgage loans held for sale at September 30, 2020 and December 31, 2019, respectively.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Cash Collateral for Borrowed Securities	$ 1,025,431	$ 1,648,545
Pledged Financial Instruments, Not Separately Reported, Securities	$ 2,096,223	$ 3,240,583
Preferred Stock, Par or Stated Value Per Share	$ 0.01	$ 0.01
Preferred Stock, Shares Authorized	85,150,000	85,150,000
Preferred Stock, Shares Issued	81,900,000	81,900,000
Preferred Stock, Shares Outstanding	81,900,000	81,900,000
Common Stock, Par or Stated Value Per Share	$ 0.01	$ 0.01
Common Stock, Shares Authorized	2,914,850,000	2,914,850,000
Common Stock, Shares, Issued	1,402,928,317	1,430,106,199
Common Stock, Shares, Outstanding	1,402,928,317	1,430,106,199
Non-Agency Mortgage-Backed Securities
Pledged assets	$ 3,431	$ 3,336
Agency Mortgage-Backed Securities
Pledged assets	$ 67,664,458	$ 108,809,569

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Net interest income
Interest income		$ 562,443	$ 919,299	$ 1,702,281	$ 2,713,083
Interest expense		115,126	766,905	804,631	2,164,817
Net interest income		447,317	152,394	897,650	548,266
Realized and unrealized gains (losses)
Net interest component of interest rate swaps		(62,529)	88,466	(141,070)	306,154
Realized gains (losses) on termination or maturity of interest rate swaps		(427)	(682,602)	(1,919,720)	(1,438,349)
Unrealized gains (losses) on interest rate swaps		170,327	(326,309)	(1,162,768)	(1,992,884)
Subtotal		107,371	(920,445)	(3,223,558)	(3,125,079)
Net gains (losses) on disposal of investments and other		198,888	66,522	652,150	(65,727)
Net gains (losses) on other derivatives		169,316	(16,888)	546,658	(638,458)
Net unrealized gains (losses) on instruments measured at fair value through earnings		121,255	(1,091)	(354,133)	41,657
Loan loss provision		21,993	(3,504)	(146,084)	(9,207)
Subtotal		511,452	45,039	698,591	(671,735)
Total realized and unrealized gains (losses)		618,823	(875,406)	(2,524,967)	(3,796,814)
Other income (loss)		7,959	35,074	38,109	93,757
General and administrative expenses
Compensation and management fee		29,196	41,161	107,057	130,225
Other general and administrative expenses		19,636	24,977	87,070	98,058
Total general and administrative expenses		48,832	66,138	194,127	228,283
Income (loss) before income taxes		1,025,267	(754,076)	(1,783,335)	(3,383,074)
Income taxes		9,719	(6,907)	(14,928)	(10,241)
Net income (loss)		1,015,548	(747,169)	(1,768,407)	(3,372,833)
Net income (loss) attributable to noncontrolling interests		(126)	(110)	(28)	(294)
Net income (loss) attributable to Annaly		1,015,674	(747,059)	(1,768,379)	(3,372,539)
Dividends on preferred stock (1)	[1]	35,509	36,151	106,527	101,067
Net income (loss) available (related) to common stockholders		$ 980,165	$ (783,210)	$ (1,874,906)	$ (3,473,606)
Net income (loss) per share available (related) to common stockholders
Basic (in dollars per share)		$ 0.70	$ (0.54)	$ (1.32)	$ (2.42)
Diluted (in dollars per share)		$ 0.70	$ (0.54)	$ (1.32)	$ (2.42)
Weighted average number of common shares outstanding
Basic (in shares)		1,404,202,695	1,453,359,211	1,419,645,475	1,436,204,582
Diluted (in shares)		1,404,368,300	1,453,359,211	1,419,645,475	1,436,204,582
Other comprehensive income (loss)
Net income (loss)		$ 1,015,548	$ (747,169)	$ (1,768,407)	$ (3,372,833)
Unrealized gains (losses) on available-for-sale securities		(140,671)	1,034,873	2,220,271	4,289,054
Reclassification adjustment for net (gains) losses included in net income (loss)		(112,347)	(86,061)	(769,406)	4,626
Other comprehensive income (loss)		(253,018)	948,812	1,450,865	4,293,680
Comprehensive income (loss)		762,530	201,643	(317,542)	920,847
Comprehensive income (loss) attributable to noncontrolling interests		(126)	(110)	(28)	(294)
Comprehensive income (loss) attributable to Annaly		762,656	201,753	(317,514)	921,141
Comprehensive income (loss) attributable to common stockholders		$ 727,147	$ 165,602	$ (424,041)	$ 820,074
[1]	The three months ended September 30, 2019 exclude cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019.

CONSOLIDATED STATEMENTS OF STOC

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ 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				428,324	1,422	1,397,484
Redemption				(224,466)		(5,534)
Buyback of common stock					(182)	(155,122)
Stock-based award activity					0	2,018
Direct purchase and dividend reinvestment		$ 1,795			2	1,793
Unrealized gains (losses) on available-for-sale securities		4,289,054					4,289,054
Reclassification adjustment for net (gains) losses included in net income (loss)		4,626					4,626
Net income (loss) attributable to Annaly		(3,372,539)						(3,372,539)
Dividends declared on preferred stock	[1]							(101,067)
Dividends and dividend equivalents declared on common stock and share-based awards		(1,158,629)						(1,158,629)	[1]
Net income (loss) attributable to noncontrolling interests		294											(294)
Equity contributions from (distributions to) noncontrolling interest													(987)
End of period at Sep. 30, 2019		15,223,704		1,982,026	14,380	20,034,970	2,313,815	(9,125,895)				$ 15,219,296	4,408
Beginning of period at Jun. 30, 2019				2,110,346	14,562	20,195,419	1,365,003	(7,982,649)		0	(7,982,649)		4,726
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance				41,146	0	0
Redemption				(169,466)		(5,534)
Buyback of common stock					(182)	(155,122)
Stock-based award activity					0	207
Direct purchase and dividend reinvestment					0	0
Unrealized gains (losses) on available-for-sale securities		1,034,873					1,034,873
Reclassification adjustment for net (gains) losses included in net income (loss)		(86,061)					(86,061)
Net income (loss) attributable to Annaly		(747,059)						(747,059)
Dividends declared on preferred stock	[1]							(36,451)
Dividends and dividend equivalents declared on common stock and share-based awards		(359,736)						(359,736)	[1]
Net income (loss) attributable to noncontrolling interests		110											(110)
Equity contributions from (distributions to) noncontrolling interest													(208)
End of period at Sep. 30, 2019		15,223,704		1,982,026	14,380	20,034,970	2,313,815	(9,125,895)				15,219,296	4,408
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	(93)
Redemption				0		0
Buyback of common stock					(277)	(174,799)
Stock-based award activity					3	4,928
Direct purchase and dividend reinvestment		1,075			2	1,073
Unrealized gains (losses) on available-for-sale securities		2,220,271					2,220,271
Reclassification adjustment for net (gains) losses included in net income (loss)		(769,406)					(769,406)
Net income (loss) attributable to Annaly		(1,768,379)						(1,768,379)
Dividends declared on preferred stock	[1]							(106,527)
Dividends and dividend equivalents declared on common stock and share-based awards		(976,966)						(976,966)	[1]
Net income (loss) attributable to noncontrolling interests		28											(28)
Equity contributions from (distributions to) noncontrolling interest													8,167
End of period at Sep. 30, 2020		14,194,672		1,982,026	14,029	19,798,032	3,589,056	(11,200,937)				14,182,206	12,466
Beginning of period at Jun. 30, 2020				1,982,026	14,077	19,827,216	3,842,074	(11,871,927)		$ 0	$ (11,871,927)		4,137
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Issuance				0	0	0
Redemption				0		0
Buyback of common stock					(49)	(31,363)
Stock-based award activity					0	1,510
Direct purchase and dividend reinvestment					1	669
Unrealized gains (losses) on available-for-sale securities		(140,671)					(140,671)
Reclassification adjustment for net (gains) losses included in net income (loss)		(112,347)					(112,347)
Net income (loss) attributable to Annaly		1,015,674						1,015,674
Dividends declared on preferred stock	[1]							(35,509)
Dividends and dividend equivalents declared on common stock and share-based awards		(309,175)						(309,175)	[1]
Net income (loss) attributable to noncontrolling interests		126											(126)
Equity contributions from (distributions to) noncontrolling interest													8,455
End of period at Sep. 30, 2020		$ 14,194,672		$ 1,982,026	$ 14,029	$ 19,798,032	$ 3,589,056	$ (11,200,937)				$ 14,182,206	$ 12,466
[1]	The three months ended September 30, 2019 exclude cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019.
[2]	Derived from the audited consolidated financial statements at December 31, 2019.

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019
Statement of Cash Flows [Abstract]
Net income (loss)	$ (1,768,407)	$ (3,372,833)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Amortization of premiums and discounts of investments, net	1,130,285	943,277
Amortization of securitized debt premiums and discounts and deferred financing costs	(7,263)	(11,457)
Depreciation, amortization and other noncash expenses	28,181	24,107
Net (gains) losses on disposal of investments and other	(652,150)	65,727
Net (gains) losses on investments and derivatives	2,889,963	2,589,685
Income from unconsolidated joint ventures	(2,596)	3,350
Loan loss provision	146,084	9,207
Payments on purchases of loans held for sale	(120,855)	(196,252)
Proceeds from sales and repayments of loans held for sale	139,672	220,409
Net receipts (payments) on derivatives	(2,210,881)	(2,561,170)
Net change in
Other assets	291,745	(45,547)
Interest receivable	148,165	(92,959)
Interest payable	(320,997)	(5,131)
Other liabilities	(30,769)	34,194
Net cash provided by (used in) operating activities	(339,823)	(2,395,393)
Cash flows from investing activities
Payments on purchases of securities	(24,970,238)	(51,502,672)
Proceeds from sales of securities	50,295,038	19,713,184
Principal payments on securities	14,392,160	11,206,792
Payments on purchases and origination of loans	(1,658,578)	(2,718,403)
Proceeds from sales of loans	583,040	365,787
Principal payments on loans	1,558,859	2,523,471
Investments in real estate	(6,123)	(12,384)
Proceeds from sales of real estate	0
Proceeds from sales of real estate		6,661
Proceeds from reverse repurchase agreements	46,100,000	78,439,755
Payments on reverse repurchase agreements	(46,100,000)	(77,789,715)
Distributions in excess of cumulative earnings from unconsolidated joint ventures	6,641	1,975
Cash acquired in asset acquisition	1,047	0
Net cash provided by (used in) investing activities	40,201,846	(19,765,549)
Cash flows from financing activities
Proceeds from repurchase agreements and other secured financing	2,353,694,509	4,275,937,246
Payments on repurchase agreements and other secured financing	(2,394,417,060)	(4,254,088,297)
Proceeds from issuances of securitized debt	2,385,374	2,030,356
Principal payments on securitized debt	(860,306)	(1,778,314)
Payment of deferred financing cost	(553)	(5,222)
Net proceeds from stock offerings, direct purchases and dividend reinvestments	1,075	1,829,025
Redemptions of preferred stock	0	(230,000)
Net principal receipts (payments) on mortgages payable	22,550	(25,398)
Net contributions (distributions) from (to) noncontrolling interests	8,167	(987)
Net payment on share repurchase	(175,076)	(155,304)
Dividends paid	(1,131,450)	(1,293,991)
Net cash provided by (used in) financing activities	(40,472,770)	22,219,114
Net (decrease) increase in cash and cash equivalents	(610,747)	58,172
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	1,239,982	1,793,921
Supplemental disclosure of cash flow information
Interest received	2,926,598	3,583,189
Dividends received	4,485	6,279
Interest paid (excluding interest paid on interest rate swaps)	1,050,203	2,041,539
Net interest paid on interest rate swaps	290,277	(96,169)
Taxes received (paid)	1,551	274
Noncash investing and financing activities
Receivable for unsettled trades	54,200	193,229
Payable for unsettled trades	1,176,001	245,626
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment	1,450,865	4,293,680
Dividends declared, not yet paid	308,644	359,491
Derecognition of assets of consolidated VIEs	1,222,221	0
Derecognition of securitized debt of consolidated VIEs	$ 1,141,311	$ 0

CONSOLIDATED STATEMENTS OF CO_2

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Parenthetical) $ in Millions	Jun. 30, 2019USD ($)
Series I
Cumulative dividends	$ 0.3

CONSOLIDATED STATEMENTS OF ST_2

CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) $ in Millions	Jun. 30, 2019USD ($)
Series I
Cumulative dividends	$ 0.3

DESCRIPTION OF BUSINESS

DESCRIPTION OF BUSINESS	9 Months Ended
	Sep. 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 financing to private equity-backed middle market businesses, focusing primarily on senior debt within select industries. 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 “Former Manager”).

BASIS OF PRESENTATION

BASIS OF PRESENTATION	9 Months Ended
	Sep. 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	9 Months Ended
	Sep. 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 $1.0 billion and $1.6 billion at September 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	9 Months Ended
	Sep. 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 September 30, 2020 and December 31, 2019. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 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 $ 74,393,763 $ 112,124,958 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 521,404 768,409 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 411,538 531,322 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 717,602 1,135,868 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 31,140 64,655 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 23,538 208,368 Total securities 76,098,985 114,833,580 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 152,959 1,647,787 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 573,504 669,713 Loans, net Corporate debt held for investment, net Amortized cost 2,061,878 2,144,850 Total loans, net 2,788,341 4,462,350 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 623,650 1,122,588 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,588,679 2,598,374 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,174,118 2,345,120 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 882,955 936,378 Total assets transferred or pledged to securitization vehicles 7,269,402 7,002,460 Liabilities Repurchase agreements Repurchase agreements Amortized cost 64,633,447 101,740,728 Other secured financing Loans Amortized cost 861,373 4,455,700 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 6,027,576 5,622,801 Mortgages payable Loans Amortized cost 507,934 485,005 (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	9 Months Ended
	Sep. 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 nine months ended September 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 nine months ended September 30, 2020: Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2020 $ 114,560,557 $ 273,023 $ 114,833,580 Purchases 25,679,591 — 25,679,591 Sales and transfers (1) (50,079,936) (204,062) (50,283,998) Principal paydowns (14,354,169) (4,933) (14,359,102) (Amortization) / accretion (1,135,486) 377 (1,135,109) Fair value adjustment 1,373,750 (9,727) 1,364,023 Ending balance September 30, 2020 $ 76,044,307 $ 54,678 $ 76,098,985 (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 September 30, 2020 and December 31, 2019: September 30, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 65,676,115 $ 3,142,668 $ (23,694) $ 68,795,089 $ 3,416,366 $ (885) $ 72,210,570 Adjustable-rate pass-through 502,382 3,436 (3,423) 502,395 24,872 — 527,267 CMO 144,899 2,253 — 147,152 5,361 — 152,513 Interest-only 3,081,524 600,917 — 600,917 7,705 (143,246) 465,376 Multifamily 1,433,340 17,207 (1,083) 1,449,464 62,240 (8,291) 1,503,413 Reverse mortgages 51,189 4,379 — 55,568 563 (103) 56,028 Total agency securities $ 70,889,449 $ 3,770,860 $ (28,200) $ 71,550,585 $ 3,517,107 $ (152,525) $ 74,915,167 Residential credit CRT (1) $ 463,482 $ 8,280 $ (1,556) $ 459,233 $ 1,007 $ (48,702) $ 411,538 Alt-A 104,381 51 (20,322) 84,110 6,845 (1) 90,954 Prime 184,166 4,877 (14,520) 174,523 12,121 (466) 186,178 Prime interest-only 237,377 2,355 — 2,355 — (1,164) 1,191 Subprime 131,194 — (19,750) 111,444 8,107 (4) 119,547 NPL/RPL 284,699 697 (2,684) 282,712 1,950 (2,793) 281,869 Prime jumbo (>=2010 vintage) 39,666 — (5,107) 34,559 1,766 (121) 36,204 Prime jumbo (>=2010 vintage) Interest-only 366,870 7,485 — 7,485 — (5,826) 1,659 Total residential credit securities $ 1,811,835 $ 23,745 $ (63,939) $ 1,156,421 $ 31,796 $ (59,077) $ 1,129,140 Total Residential Securities $ 72,701,284 $ 3,794,605 $ (92,139) $ 72,707,006 $ 3,548,903 $ (211,602) $ 76,044,307 Commercial Commercial Securities $ 64,458 $ — $ (7,631) $ 56,827 $ — $ (2,149) $ 54,678 Total securities $ 72,765,742 $ 3,794,605 $ (99,770) $ 72,763,833 $ 3,548,903 $ (213,751) $ 76,098,985 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 $11.0 million and $14.9 million of a CRT interest-only security as of September 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 September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 Investment Type (dollars in thousands) Fannie Mae $ 55,191,253 $ 76,656,831 Freddie Mac 19,599,587 36,087,100 Ginnie Mae 124,327 149,436 Total $ 74,915,167 $ 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 September 30, 2020 and December 31, 2019, according to their estimated weighted average life classifications: September 30, 2020 December 31, 2019 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 816,998 $ 799,272 $ 3,997 $ 4,543 Greater than one year through five years 50,911,159 48,461,791 36,290,254 35,581,833 Greater than five years through ten years 23,073,677 22,217,393 77,732,756 76,504,845 Greater than ten years 1,242,473 1,228,550 533,550 506,719 Total $ 76,044,307 $ 72,707,006 $ 114,560,557 $ 112,597,940 The estimated weighted average lives of the Residential Securities at September 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 September 30, 2020 and December 31, 2019. September 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 $ 1,154,762 $ (9,176) 23 $ 7,388,239 $ (24,056) 139 12 Months or more — — — 11,619,280 (105,329) 352 Total $ 1,154,762 $ (9,176) 23 $ 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 nine months ended September 30, 2020, the Company disposed of $2.8 billion and $50.2 billion of Residential Securities, respectively. During the three and nine months ended September 30, 2019, the Company disposed of $11.1 billion and $30.7 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 nine months ended September 30, 2020 and 2019. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) September 30, 2020 $ 117,373 $ (13,440) $ 103,933 September 30, 2019 $ 104,427 $ (28,175) $ 76,252 For the nine months ended September 30, 2020 $ 929,010 $ (297,934) $ 631,076 September 30, 2019 $ 127,970 $ (178,531) $ (50,561)

LOANS

LOANS	9 Months Ended
	Sep. 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 September 30, 2020 and December 31, 2019, the Company rep orted $0.2 million 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 a net loan loss (reversal) provision of ($22.0) million and $146.1 million for the three and nine months ended September 30, 2020, respectively. The Company recorded loan loss provisions of $3.5 million and $9.2 million for the three and nine months ended September 30, 2019, respectively. As of September 30, 2020 and December 31, 2019, the Company’s loan loss provision was $168.0 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 nine months ended September 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 935,232 194,926 678,608 1,808,766 Sales and transfers (1) (2,258,330) (148,036) (321,847) (2,728,213) Principal payments (151,708) (59,675) (410,421) (621,804) Gains / (losses) (2) (14,980) (81,659) (9,842) (106,481) (Amortization) / accretion (5,042) 1,835 10,183 6,976 Ending balance September 30, 2020 $ 152,959 $ 573,504 $ 2,061,878 $ 2,788,341 (1) Includes securitizations, syndications and transfers to securitization vehicles or REO. (2) Includes loan loss allowances. The carrying value of the Company’s residential loans held for sale was $50.0 million and $66.7 million at September 30, 2020 and December 31, 2019, respectively. There were no commercial loans held for sale at September 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 September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 (dollars in thousands) Fair value $ 3,741,638 $ 4,246,161 Unpaid principal balance $ 3,666,420 $ 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 nine months ended September 30, 2020 and 2019 for these investments: For the Three Months Ended For the Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands) Interest income $ 42,508 $ 37,673 $ 132,937 $ 102,689 Net gains (losses) on disposal of investments and other (4,638) (9,671) (22,014) (19,499) Net unrealized gains (losses) on instruments measured at fair value through earnings 77,837 18,093 (4,381) 61,805 Total included in net income (loss) $ 115,707 $ 46,095 $ 106,542 $ 144,995 The following table provides the geographic concentrations based on the unpaid principal balances at September 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 September 30, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 50.1% California 52.1% New York 12.8% New York 10.5% Florida 5.8% Florida 5.3% All other (none individually greater than 5%) 31.3% 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 September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $458 $1 - $3,448 $459 Interest rate 0.50% - 9.24% 4.88% 2.00% - 8.38% 4.94% Maturity 7/1/2029 - 10/1/2060 4/29/2048 1/1/2028 - 12/1/2059 12/29/2047 FICO score at loan origination 505 - 829 756 505 - 829 758 Loan-to-value ratio at loan origination 8% - 105% 67% 8% - 105% 67% At September 30, 2020 and December 31, 2019, approximately 35% and 36%, respectively, of the carrying value of the Company’s residential mortgage loans, including 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. The Company’s commercial loans are collateral-dependent and, as such, for loans experiencing credit deterioration, the Company is required to record an allowance based upon the fair value of the underlying collateral if foreclosure is probable or if the practical expedient is elected. For the three months ended September 30, 2020, the Company did not record a loan loss provision on commercial loans based upon the fair value of the underlying collateral. For the three months ended September 30, 2019, the Company recorded a loan loss provision on impaired commercial loans of $3.5 million with a principal balance and carrying value, net of allowances of $7.0 million and $0.0 million, respectively, based upon the fair value of the underlying collateral. For the nine months ended September 30, 2020, the Company recorded a loan loss provision on impaired commercial loans of $74.1 million with a principal balance and carrying value, net of allowances of $160.2 million and $97.0 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 nine months ended September 30, 2019, the Company recorded a loan loss provision of $9.2 million on commercial loans with a principal balance and carrying value, net of allowances of $43.6 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 nine months ended September 30, 2020, the Company recorded a net loan loss (reversal) provision of ($4.9) million and $57.4 million, respectively, based upon its Loss Given Default methodology. During the three months ended September 30, 2020, the Company restructured two commercial loans with a carrying value of $109.5 million at September 30, 2020. The maturity dates on the two commercial loans were extended and one commercial loan was granted a 120 day forbearance. The loan loss allowance recorded for these commercial loans was $9.9 million at September 30, 2020. At September 30, 2020 and December 31, 2019, the amortized cost basis of commercial loans on nonaccrual status was $50.6 million and $175.2 million, respectively. At September 30, 2020 and December 31, 2019, the Company had unfunded commercial real estate loan commitments of $123.2 million and $181.4 million, respectively. At September 30, 2020, the liability related to the expected credit losses on the unfunded commercial loan commitments was $6.2 million. At September 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 September 30, 2020 and December 31, 2019 were as follows: Sector Dispersion September 30, 2020 December 31, 2019 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 666,115 45.7 % $ 681,129 42.4 % Retail 278,714 19.1 % 389,076 24.2 % Multifamily 279,430 19.2 % 262,302 16.3 % Hotel 121,829 8.4 % 135,681 8.4 % Industrial 58,890 4.0 % 82,441 5.1 % Other 31,805 2.2 % 36,589 2.3 % Healthcare 19,676 1.4 % 18,873 1.3 % Total $ 1,456,459 100.0 % $ 1,606,091 100.0 % At September 30, 2020 and December 31, 2019, commercial real estate investments held for investment were comprised of the following: September 30, 2020 December 31, 2019 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 469,813 $ 450,177 29.5 % $ 503,499 $ 499,690 30.9 % Senior securitized mortgages (3) 939,654 882,955 59.1 % 940,546 936,378 57.8 % Mezzanine loans 181,170 123,327 11.4 % 183,064 170,023 11.3 % Total $ 1,590,637 $ 1,456,459 100.0 % $ 1,627,109 $ 1,606,091 100.0 % (1) Carrying value includes unamortized origination fees of $5.9 million and $8.3 million at September 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 September 30, 2020 and December 31, 2019: September 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) 183,612 — 12,206 195,818 Principal payments (59,675) (56,017) — (115,692) Principal write off — — (7,000) (7,000) Transfers (3) (157,623) 54,471 (7,100) (110,252) Net (increase) decrease in origination fees (812) — (80) (892) Realized gain 204 — — 204 Amortization of net origination fees 1,695 1,908 140 3,743 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 (14,650) (49,619) (67,213) (131,482) Write offs — — 23,687 23,687 Ending allowance (16,914) (53,785) (57,565) (128,264) Net carrying value (September 30, 2020) $ 450,177 $ 882,955 $ 123,327 $ 1,456,459 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. (3) Includes transfers to securitization vehicles or REO. The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of September 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 $ 354,960 $ 92,076 $ 168,409 $ — $ 12,447 $ — $ 82,028 5 / Performing - Closely Monitored 158,701 — 158,701 — — — — 6 / Performing - Special Mention 676,700 56,845 216,591 270,767 64,139 68,358 — 7 / Substandard 169,058 9,155 — 67,391 42,716 — 49,796 8 / Doubtful 97,040 — — 39,668 57,372 — — 9 / Loss (2) — — — — — — — Total $ 1,456,459 $ 158,076 $ 543,701 $ 377,826 $ 176,674 $ 68,358 $ 131,824 (1) The amortized cost basis excludes accrued interest. As of September 30, 2020, the Company had $4.1 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 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 three months ended September 30, 2020, the Company recorded a reduction in the loan loss provision of ($5.4) million on impaired corporate loans using a discounted cash flow methodology with a principal balance and carrying value, net of allowances of $9.7 million and $9.6 million, respectively. For the nine months ended September 30, 2020, the Company recorded a loan loss provision of $4.5 million on impaired corporate loans using a discounted cash flow methodology with a principal balance and carrying value, net of allowances of $29.3 million and $21.9 million, respectively. During the nine months ended September 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 three and nine months ended September 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 nine months ended September 30, 2020, the Company recorded a net loan loss (reversal) provision on corporate loans of ($11.6) million and $10.1 million, respectively, based upon its Loss Given Default methodology. As of September 30, 2020 and December 31, 2019, the amortized cost basis of corporate loans on nonaccrual status was $12.9 and $12.2 million, respectively. At September 30, 2020 and December 31, 2019, the Company had unfunded corporate loan commitments of $61.3 million and $81.2 million, respectively. At September 30, 2020, the liability related to the expected credit losses on the unfunded corporate loan commitments was $0.7 million. The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at September 30, 2020 and December 31, 2019 are as follows: Industry Dispersion September 30, 2020 December 31, 2019 Total (1) Total (1) (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services $ 409,644 $ 394,193 Management & Public Relations Services 257,404 339,179 Industrial Inorganic Chemicals 141,941 — Public Warehousing & Storage 124,836 107,029 Engineering, Architectural, and Surveying 110,984 124,201 Metal Cans & Shipping Containers 110,478 118,456 Offices & Clinics of Doctors of Medicine 104,064 106,993 Surgical, Medical & Dental Instruments & Supplies 99,444 102,182 Electronic Components & Accessories 78,114 24,000 Insurance Agents, Brokers and Service 68,577 75,410 Telephone Communications 58,233 61,210 Miscellaneous Health & Allied Services, not elsewhere classified 52,307 78,908 Miscellaneous Equipment Rental & Leasing 49,589 49,776 Electric Work 41,170 43,175 Medical & Dental Laboratories 40,477 41,344 Research, Development & Testing Services 29,648 45,610 Metal Forgings & Stampings 29,390 — Home Health Care Services 28,914 29,361 Motor Vehicles and Motor Vehicle Parts & Supplies 28,545 28,815 Legal Services 26,420 — Petroleum and Petroleum Products 24,709 24,923 Grocery Stores 22,937 23,248 Coating, Engraving and Allied Services 19,456 47,249 Schools & Educational Services, not elsewhere classified 19,325 19,586 Chemicals & Allied Products 14,595 15,002 Miscellaneous Business Services 12,953 164,033 Drugs 12,952 15,923 Mailing, Reproduction, Commercial Art and Photography and Stenographic 12,879 14,755 Machinery, Equipment & Supplies 12,080 — Miscellaneous Plastic Products 9,940 10,000 Offices and Clinics of Other Health Practitioners 9,873 10,098 Nonferrous Foundries (Castings) — 30,191 Total $ 2,061,878 $ 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 September 30, 2020 and December 31, 2019. September 30, 2020 December 31, 2019 (dollars in thousands) First lien loans $ 1,320,115 $ 1,396,140 Second lien loans 741,763 748,710 Total $ 2,061,878 $ 2,144,850 The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at September 30, 2020 and December 31, 2019: September 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 499,623 178,985 678,608 Principal payments (311,856) (98,565) (410,421) Amortization & accretion of (premium) discounts 6,826 3,357 10,183 Loan restructuring (19,550) 2,818 (16,732) Sales (2) (242,658) (69,592) (312,250) 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 (9,517) (5,084) (14,601) Write offs 11,894 — 11,894 Ending allowance (15,773) (23,950) (39,723) Net carrying value (September 30, 2020) $ 1,320,115 $ 741,763 $ 2,061,878 (1) Excludes loan loss allowances. (2) Includes syndications. 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 September 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 $ 1,520,243 $ 259,377 $ 373,388 $ 457,891 $ 295,371 $ 95,256 $ 34,268 $ 4,692 6 / Performing - Closely Monitored 294,795 23,574 38,874 168,115 38,178 21,855 — 4,199 7 / Substandard 234,535 — 31,416 142,595 60,524 — — — 8 / Doubtful 12,879 — — 12,879 — — — — 9 / Loss — — — — — — — — Total $ 2,062,452 $ 282,951 $ 443,678 $ 781,480 $ 394,073 $ 117,111 $ 34,268 $ 8,891 (1) The amortized cost basis excludes accrued interest and deferred fees on unfunded loans. As of September 30, 2020, the Company had $11.9 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	9 Months Ended
	Sep. 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 nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands) Fair value, beginning of period $ 227,400 $ 425,328 $ 378,078 $ 557,813 Change in fair value due to: Changes in valuation inputs or assumptions (1) 7,633 (17,312) (99,220) (116,150) Other changes, including realization of expected cash flows (27,048) (21,965) (70,873) (55,612) Fair value, end of period $ 207,985 $ 386,051 $ 207,985 $ 386,051 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. For the three and nine months ended September 30, 2020, the Company recognized $15.1 million and $54.4 million, respectively, and for the three and nine months ended September 30, 2019, the Company recognized $27.7 million and $82.9 million, respectively, of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).

VARIABLE INTEREST ENTITIES

VARIABLE INTEREST ENTITIES	9 Months Ended
	Sep. 30, 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 September 30, 2020 and December 31, 2019, respectively. At September 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 September 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 September 30, 2020 a total of $629.2 million of notes were held by third parties and the Company retained or purchased $205.2 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 September 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 September 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 September 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. At the inception of the arrangements, the Company determined that it was the primary beneficiary based upon its involvement in the design of these VIEs and through the retention of a significant variable interest in the 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. During the three months ended September 30, 2020, the Company deconsolidated the 2019 multifamily VIE since it sold all of its interest only securities and no longer retains a significant variable interest in the entity. As a result of the deconsolidation of this VIE, the Company derecognized approximately $1.2 billion of securities and approximately $1.1 billion of debt issued by securitization vehicles and recognized a realized gain of $104.8 million, which is included in Net gains (losses) on disposal of investments and other in the Consolidated Statements of Comprehensive Income (Loss). The Company incurred $1.1 million of costs in connection with the 2020 multifamily securitization that were expensed as incurred during the nine months ended September 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 $32.6 million and $57.3 million at September 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 OBX 2020-EXP2 July 2020 $ 489,352 OBX 2020-EXP3 September 2020 $ 514,609 As of September 30, 2020, a total of $2.9 billion of bonds were held by third parties and the Company retained $641.3 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 $2.8 million and $2.6 million of costs during the three months ended September 30, 2020 and 2019, respectively, and $7.1 million and $7.3 million of costs during the nine months ended September 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 $2.9 billion at September 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 September 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 $717.5 million at September 30, 2020. The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At September 30, 2020, the subsidiary had an intercompany receivable of $412.7 million, which eliminates upon consolidation and a secured financing of $412.7 million to the third party financial institution. In July 2017, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of September 30, 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 $411.7 million at September 30, 2020, which continue to be reflected in the Company’s Consolidated Statements of Financial Condition under Loans, net. At September 30, 2020, the subsidiary had a secured financing of $219.6 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 $317.3 million at September 30, 2020. As of September 30, 2020, the Borrower had a secured financing of $196.3 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 $3.2 billion at September 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, multifamily securitizations, credit facility VIEs and OBX Trusts as the transfers of loans or securities did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2020 and December 31, 2019 are as follows: September 30, 2020 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 84,904 Loans — — 50,042 Assets transferred or pledged to securitization vehicles 2,174,118 50,810 — Mortgage servicing rights — — 207,985 Principal and interest receivable 5,370 324 — Other assets — — 23,087 Total assets $ 2,179,488 $ 51,134 $ 366,018 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,843,036 $ 33,084 $ — Other secured financing — — 32,842 Payable for unsettled trades — — 6,203 Interest payable 1,594 78 — Other liabilities — 201 2,830 Total liabilities $ 1,844,630 $ 33,363 $ 41,875 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 September 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 $ 1,236,527 37.9 % California $ 22,925 45.6 % Texas 477,642 14.6 % Texas 7,481 14.9 % New York 381,425 11.7 % Illinois 6,504 12.9 % Florida 180,892 5.5 % Other (1) 13,343 26.6 % Other (1) 986,851 30.3 % Total $ 3,263,337 100.0 % Total $ 50,253 100.0 % (1) No individual state greater than 5%. Corporate Debt Transfers

REAL ESTATE

REAL ESTATE	9 Months Ended
	Sep. 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 September 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 nine months ended September 30, 2020, the Company took title of two commercial real estate properties for $79.8 million through foreclosure or deed-in-lieu of foreclosure. There were no new acquisitions of real estate holdings during the nine months ended September 30, 2019 . No properties were sold during the nine months ended September 30, 2020. The Company sold one of its wholly owned triple net leased properties during the nine months ended September 30, 2019 for $6.7 million and recognized a gain on sale of $2.7 million . The weighted average amortization period for intangible assets and liabilities at September 30, 2020 is 6.0 years. Above market leases and leasehold intangible assets are included in Intangible assets, net and below market leases are included in Other liabilities in the Consolidated Statements of Financial Condition. September 30, 2020 December 31, 2019 Real estate, net (dollars in thousands) Land $ 173,220 $ 121,720 Buildings and improvements 601,783 571,396 Furniture, fixtures and equipment 11,487 11,238 Subtotal 786,490 704,354 Less: accumulated depreciation (104,978) (87,532) Total real estate held for investment, at amortized cost, net 681,512 616,822 Equity in unconsolidated joint ventures 109,085 108,816 Total real estate, net $ 790,597 $ 725,638 Depreciation expense was $6.2 million and $17.4 million for the three and nine months ended September 30, 2020, respectively. Depreciation expense was $6.0 million and $17.8 million for the three and nine months ended September 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 September 30, 2020 for consolidated investments in real estate are as follows: September 30, 2020 (dollars in thousands) 2020 (remaining) $ 14,768 2021 55,088 2022 50,685 2023 47,119 2024 42,429 Later years 191,310 Total $ 401,399

DERIVATIVE INSTRUMENTS

DERIVATIVE INSTRUMENTS	9 Months Ended
	Sep. 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 September 30, 2020 and December 31, 2019, $1.7 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 September 30, 2020 and December 31, 2019: Derivatives Instruments September 30, 2020 December 31, 2019 Assets (dollars in thousands) Interest rate swaps $ — $ 1,199 Interest rate swaptions 63,601 11,580 TBA derivatives 38,656 15,181 Futures contracts 550 77,889 Purchase commitments 438 2,050 Credit derivatives (1) — 5,657 Total derivative assets $ 103,245 $ 113,556 Liabilities Interest rate swaps $ 1,126,179 $ 706,862 TBA derivatives 21,140 11,316 Futures contracts 7,792 84,781 Purchase commitments 488 907 Credit derivatives (1) 27,082 — Total derivative liabilities $ 1,182,681 $ 803,866 (1) The notional amount of the credit derivatives in which the Company purchased protection was $0.0 and $10.0 million at September 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 $499.0 million and $345.0 million at September 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 September 30, 2020 and December 31, 2019: September 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 $ 17,816,700 0.14 % 0.41 % 2.27 3 - 6 years 7,255,000 0.69 % 0.09 % 3.87 6 - 10 years 5,806,500 1.43 % 0.65 % 8.09 Greater than 10 years 1,349,000 2.90 % 0.39 % 21.85 Total / Weighted average $ 32,227,200 0.91 % 0.48 % 4.51 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 September 30, 2020, 12%, 77% and 11% 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) As of September 30, 2020, notional amount includes $655.0 million of a forward starting pay fixed swap on October 1, 2020. There were no forward starting swaps at December 31, 2019. (3) As of September 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 September 30, 2020 and December 31, 2019. September 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 $6,550,000 1.29% 3M LIBOR 10.60 7.97 Long receive $250,000 1.66% 3M LIBOR 10.27 3.20 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 September 30, 2020 and December 31, 2019: September 30, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 20,394,000 $ 21,176,883 $ 21,194,446 $ 17,563 Sale contracts (100,000) (104,844) (104,891) (47) Net TBA derivatives $ 20,294,000 $ 21,072,039 $ 21,089,555 $ 17,516 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 September 30, 2020 and December 31, 2019: September 30, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 10 year and greater $ — $ (2,822,800) 6.90 Total $ — $ (2,822,800) 6.90 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 September 30, 2020 and December 31, 2019, respectively. September 30, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 63,601 $ — $ — $ 63,601 TBA derivatives, at fair value 38,656 (18,950) — 19,706 Futures contracts, at fair value 550 (550) — — Purchase commitments 438 — — 438 Liabilities Interest rate swaps, at fair value $ 1,126,179 $ — $ (117,947) $ 1,008,232 TBA derivatives, at fair value 21,140 (18,950) — 2,190 Futures contracts, at fair value 7,792 (550) (7,242) — Purchase commitments 488 — — 488 Credit derivatives 27,082 — (27,082) — 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) September 30, 2020 $ (62,529) $ (427) $ 170,327 September 30, 2019 $ 88,466 $ (682,602) $ (326,309) For the nine months ended September 30, 2020 $ (141,070) $ (1,919,720) $ (1,162,768) September 30, 2019 $ 306,154 $ (1,438,349) $ (1,992,884) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended September 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 $ 276,849 $ (100,680) $ 176,169 Net interest rate swaptions (9,836) 3,263 (6,573) Futures (19,989) 10,337 (9,652) Purchase commitments — (51) (51) Credit derivatives 1,531 7,892 9,423 Total $ 169,316 Three Months Ended September 30, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 93,919 $ (46,124) $ 47,795 Net interest rate swaptions (2,778) (4,571) (7,349) Futures (424,268) 364,613 (59,655) Purchase commitments — (348) (348) Credit derivatives 1,784 885 2,669 Total $ (16,888) Nine Months Ended September 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 $ 798,459 $ 13,651 $ 812,110 Net interest rate swaptions 11,730 50,762 62,492 Futures (299,220) (350) (299,570) Purchase commitments — (1,194) (1,194) Credit derivatives 4,659 (31,839) (27,180) Total $ 546,658 Nine Months Ended September 30, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 481,865 $ (154,355) $ 327,510 Net interest rate swaptions (44,088) 7,935 (36,153) Futures (1,430,450) 484,146 (946,304) Purchase commitments — 1,903 1,903 Credit derivatives 5,285 9,301 14,586 Total $ (638,458) 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.

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS	9 Months Ended
	Sep. 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 bet ween 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. September 30, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 74,915,167 $ — $ 74,915,167 Credit risk transfer securities — 411,538 — 411,538 Non-Agency mortgage-backed securities — 717,602 — 717,602 Commercial mortgage-backed securities — 54,678 — 54,678 Loans Residential mortgage loans — 152,959 — 152,959 Mortgage servicing rights — — 207,985 207,985 Assets transferred or pledged to securitization vehicles — 6,386,447 — 6,386,447 Derivative assets Other derivatives 550 102,695 — 103,245 Total assets $ 550 $ 82,741,086 $ 207,985 $ 82,949,621 Liabilities Debt issued by securitization vehicles — 6,027,576 — 6,027,576 Derivative liabilities Interest rate swaps — 1,126,179 — 1,126,179 Other derivatives 7,792 48,710 — 56,502 Total liabilities $ 7,792 $ 7,202,465 $ — $ 7,210,257 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. September 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% (9.4%) Discount rate 9.0% -12.0% (9.3%) Prepayment rate 14.6% - 48.0% (34.0%) Prepayment rate 6.3% - 26.6% (13.7%) Delinquency rate 0.0% - 17.0% (4.9%) Delinquency rate 0.0% - 4.0% (2.2%) Cost to service $83 - $223 ($128) 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 September 30, 2020 and December 31, 2019. September 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) $1,456,459 $1,529,485 $1,606,091 $1,619,018 Corporate debt, held for investment 2,061,878 2,011,153 2,144,850 2,081,327 Financial liabilities Repurchase agreements $64,633,447 $64,633,447 $101,740,728 $101,740,728 Other secured financing 861,373 861,373 4,455,700 4,455,700 Mortgages payable 507,934 594,242 485,005 515,994 (1) Includes assets of consolidated VIEs. Commercial real estate debt and preferred equity, held for investment, corporate debt, held for investment and mortgages 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	9 Months Ended
	Sep. 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 September 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 $41.2 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 nine months ended September 30, 2020. Intangible Assets, net (dollars in thousands) Balance at December 31, 2019 $ 20,957 Intangible assets acquired 50,360 Intangible assets divested (110) Less: amortization expense (6,122) Balance at September 30, 2020 $ 65,085

SECURED FINANCING

SECURED FINANCING	9 Months Ended
	Sep. 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 $64.6 billion and $101.7 billion of repurchase agreements with weighted average borrowing rates of 0.81% 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 72 days and 65 days at September 30, 2020 and December 31, 2019, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $2.4 billion with remaining capacity of $2.0 billion at September 30, 2020. At September 30, 2020 and December 31, 2019, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 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 $ 2,700,000 $ — $ — $ — $ — $ — $ 2,700,000 0.13 % 2 to 29 days 23,585,476 68,994 196,748 — — 43,213 23,894,431 0.36 % 30 to 59 days 8,463,636 60,651 73,438 — — 46,466 8,644,191 0.51 % 60 to 89 days 9,078,487 50,871 274,454 — 269,085 29,962 9,702,859 0.33 % 90 to 119 days 5,320,952 50,758 102,189 23,407 — 31,730 5,529,036 0.73 % Over 119 days (1) 13,656,052 — 237,980 47,235 66,026 155,637 14,162,930 0.45 % Total $ 62,804,603 $ 231,274 $ 884,809 $ 70,642 $ 335,111 $ 307,008 $ 64,633,447 0.42 % December 31, 2019 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted (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) No repurchase agreements had a remaining maturity over one year at September 30, 2020 and 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 September 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. September 30, 2020 December 31, 2019 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 200,000 $ 64,833,447 $ 100,000 $ 101,840,728 Amounts offset (200,000) (200,000) (100,000) (100,000) Netted amounts $ — $ 64,633,447 $ — $ 101,740,728 Other Secured Financing - The Company previously financed a portion of its financial assets with advances from the Federal Home Loan Bank of Des Moines (“FHLB Des Moines”). Borrowings from FHLB Des Moines are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. At September 30, 2020, the Company did not hold advances from the FHLB Des Moines. 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 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 $70.6 billion and $202.7 million, respectively, at September 30, 2020 and $112.8 billion and $357.9 million, respectively, at December 31, 2019. Mortgage loans payable at September 30, 2020 and December 31, 2019, were as follows: September 30, 2020 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,661 $ 318,371 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,575 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 81,498 83,204 2.34% - 4.55% Fixed 2036 - 2053 First liens Virginia 24,457 25,000 L+2.85% Floating 5/1/2023 First liens Texas 31,263 32,730 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 6,996 7,014 3.69% Fixed 6/1/2053 First liens Minnesota 13,090 13,124 3.69% Fixed 6/1/2053 First liens Wisconsin 7,688 7,708 3.69% Fixed 6/1/2053 First liens Total $ 507,934 $ 513,182 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 September 30, 2020: Mortgage Loan Principal Payments (dollars in thousands) 2020 (remaining) $ 833 2021 13,197 2022 20,034 2023 28,844 2024 107,929 Later years 342,345 Total $ 513,182

CAPITAL STOCK

CAPITAL STOCK	9 Months Ended
	Sep. 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 September 30, 2020 and December 31, 2019. Shares authorized Shares issued and outstanding September 30, 2020 December 31, 2019 September 30, 2020 December 31, 2019 Par Value Common stock 2,914,850,000 2,914,850,000 1,402,928,317 1,430,106,199 $0.01 During the nine months ended September 30, 2019, the Company closed the public offering of an original issuance of 75.0 million shares of common stock for proceeds of $730.5 million before deducting offering expenses. In connection with the offering, the Company granted the underwriters a thirty In June 2019, the Company announced that its board of directors (“Board”) had authorized the repurchase of up to $1.5 billion of its outstanding shares of common stock through December 31, 2020. During the three and nine months ended September 30, 2020, the Company repurchased 4.8 million and 27.7 million shares of its common stock, respectively, for an aggregate amount of $31.3 million and $174.7 million, respectively, excluding commission costs, pursuant to this authorization. All common shares were purchased in open-market transactions. During the three and nine months ended September 30, 2019, the Company repurchased 18.3 million shares of its common stock for an aggregate amount of $155.0 million, excluding commission costs. All common shares purchased pursuant to this authorization were in open-market transactions. The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Nine Months Ended September 30, 2020 September 30, 2019 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 154,000 180,000 Amount raised from direct purchase and dividend reinvestment program $ 1,075 $ 1,795 In January 2018, the Company entered into separate Distribution Agency Agreements (as amended and restated on August 6, 2020, 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 nine months ended September 30, 2020. During the nine months ended September 30, 2019, the Company issued 56.0 million shares for proceeds of $569.1 million, net of commissions and fees, under the at-the-market sales program. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 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 September 30, 2020 December 31, 2019 September 30, 2020 December 31, 2019 September 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 September 30, 2020, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. During the three and nine months ended September 30, 2019, the Company redeemed all 7.0 million of its issued and outstanding shares of 7.625% Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”) for $175.0 million. The cash redemption amount for each share of Series C Preferred Stock was $25.00 plus accrued and unpaid dividends to, but not including, the redemption date of July 21, 2019. During the nine months ended September 30, 2019, the Company redeemed all 2.2 million of its issued and outstanding shares of 8.125% Series H Cumulative Redeemable Preferred Stock (“Series H Preferred Stock”) for $55.0 million. The cash redemption amount for each share of Series H Preferred Stock was $25.00 plus accrued and unpaid dividends to, but not including, the redemption date of May 31, 2019. During the nine months ended September 30, 2019, the Company issued 17.7 million shares of its 6.750% Seri es I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series I Preferred Stock”) for gross proceeds o f $442.5 million befo re deducting the underwriting discount and other estimated offering expenses. The Series D Cumulative Redeemable Preferred Stock, Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, Series G Preferred Stock and Series I Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended For the Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 309,175 $ 359,736 $ 976,966 $ 1,158,629 Distributions declared per common share $ 0.22 $ 0.25 $ 0.69 $ 0.80 Distributions paid to common stockholders after period end $ 308,644 $ 359,491 $ 308,644 $ 359,491 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 October 30, 2020 October 31, 2019 October 30, 2020 October 31, 2019 Dividends declared to series C preferred stockholders $ — $ 742 $ — $ 7,414 Dividends declared per share of series C preferred stock $ — $ 0.106 $ — $ 1.060 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 $ 25,875 $ 25,875 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 $ 1.406 $ 1.407 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 37,530 $ 37,530 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 1.303 $ 1.303 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 20,718 $ 20,718 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 1.219 $ 1.219 Dividends declared to series H preferred stockholders $ — $ — $ — $ 1,862 Dividends declared per share of series H preferred stock $ — $ — $ — $ 0.846 Dividends declared to series I preferred stockholders $ 7,468 $ 7,668 $ 22,404 $ 7,668 Dividends declared per share of series I preferred stock $ 0.422 $ 0.436 $ 1.266 $ 0.436

INTEREST INCOME AND INTEREST EX

INTEREST INCOME AND INTEREST EXPENSE	9 Months Ended
	Sep. 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 nine months ended September 30, 2020 and September 30, 2019. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2020 2019 2020 2019 Interest income (dollars in thousands) Residential Securities (1) $ 439,502 $ 784,228 $ 1,307,566 $ 2,271,893 Residential mortgage loans (1) 42,508 37,673 132,936 102,689 Commercial investment portfolio (1) (2) 80,324 87,946 260,208 281,029 Reverse repurchase agreements 109 9,452 1,571 57,472 Total interest income $ 562,443 $ 919,299 $ 1,702,281 $ 2,713,083 Interest expense Repurchase agreements 75,386 699,838 646,369 1,962,999 Debt issued by securitization vehicles 32,491 34,524 113,367 102,882 Other 7,249 32,543 44,895 98,936 Total interest expense 115,126 766,905 804,631 2,164,817 Net interest income $ 447,317 $ 152,394 $ 897,650 $ 548,266 (1) Includes assets transferred or pledged to securitization vehicles. (2 ) Includes commercial real estate debt and preferred equity and corporate debt.

NET INCOME (LOSS) PER COMMON SH

NET INCOME (LOSS) PER COMMON SHARE	9 Months Ended
	Sep. 30, 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 nine months ended September 30, 2020 and September 30, 2019. For the Three Months Ended For the Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands, except per share data) Net income (loss) $ 1,015,548 $ (747,169) $ (1,768,407) $ (3,372,833) Net income (loss) attributable to noncontrolling interests (126) (110) (28) (294) Net income (loss) attributable to Annaly 1,015,674 (747,059) (1,768,379) (3,372,539) Dividends on preferred stock (1) 35,509 36,151 106,527 101,067 Net income (loss) available (related) to common stockholders $ 980,165 $ (783,210) $ (1,874,906) $ (3,473,606) Weighted average shares of common stock outstanding-basic 1,404,202,695 1,453,359,211 1,419,645,475 1,436,204,582 Add: Effect of stock awards, if dilutive 165,605 — — — Weighted average shares of common stock outstanding-diluted 1,404,368,300 1,453,359,211 1,419,645,475 1,436,204,582 Net income (loss) per share available (related) to common share Basic $ 0.70 $ (0.54) $ (1.32) $ (2.42) Diluted $ 0.70 $ (0.54) $ (1.32) $ (2.42) (1) The three months ended September 30, 2019 exclude cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019. The computations of diluted net income (loss) per share available (related) to common share for the three and nine months ended September 30, 2020 excludes 0.5 million of potentially dilutive restricted stock units and 0.8 million of potentially dilutive restricted stock units and performance stock units because their effect would have been anti-dilutive.

INCOME TAXES

INCOME TAXES	9 Months Ended
	Sep. 30, 2020
Income Tax Disclosure [Abstract]
INCOME TAXES	17. INCOME TAXES For the three months ended September 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 September 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 nine months ended September 30, 2020, the Company recorded $9.7 million and ($14.9) million, respectively, of income tax expense (benefit) attributable to its TRSs. During the three and nine months ended September 30, 2019, the Company recorded ($6.9) million and ($10.2) million, respectively of income tax benefit attributable to its TRSs. The Company’s federal, state and local tax returns from 2016 and forward remain open for examination.

RISK MANAGEMENT

RISK MANAGEMENT	9 Months Ended
	Sep. 30, 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 impact to 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 continue to 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 full extent of the COVID 19-related disruptions, the duration of the pandemic and the effectiveness of government policies, laws and plans continue to be highly uncertain.

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS	9 Months Ended
	Sep. 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 Former Manager and certain affiliates of the Former Manager. Pursuant to the Internalization Agreement, the Company agreed to acquire all of the outstanding equity interests of the Former Manager and the Former 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 Former 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 Former Manager became employees of the Company. The parties also terminated the Amended and Restated Management Agreement by and between the Company and the Former Manager (the “Management Agreement”) and therefore the Company no longer pays a management fee to, or reimburses expenses of, the Former Manager. Pursuant to the Internalization Agreement, the Former Manager waived any Acceleration Fee (as defined in the Management Agreement). Prior to the closing of the Internalization, the Former 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 Former 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 Former Manager a monthly management fee, and the Former Manager was responsible for providing personnel to manage the Company. Prior to the closing of the Internalization, the Company had paid the Former 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 Former Manager any incentive fees. For the six months ended June 30, 2020, the compensation and management fee computed in accordance with the Management Agreement was $77.9 million. For the three and nine months ended September 30, 2019, the compensation and management fee was $41.2 million and $130.2 million, respectively. Prior to the closing of the Internalization, the Company reimbursed the Former 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 Former Manager to the Company. Pursuant to the Management Agreement, until the closing of the Internalization, the Company reimbursed the Former 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 nine months ended September 30, 2020 and September 30, 2019, reimbursement payments to the Former Manager were $14.2 million and $14.3 million, respectively. None of the reimbursement payments were attributable to compensation of the Company’s executive officers.

LEASE COMMITMENTS AND CONTINGEN

LEASE COMMITMENTS AND CONTINGENCIES	9 Months Ended
	Sep. 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 nine months ended September 30, 2020 was $0.9 million and $2.4 million, respectively. Supplemental information related to leases as of and for the nine months ended September 30, 2020 was as follows: Operating Leases Classification September 30, 2020 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 13,831 Liabilities Operating lease liabilities (1) Other liabilities $ 18,059 Lease term and discount rate Weighted average remaining lease term 4.9 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 2,797 (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) $ 1,002 2021 3,918 2022 3,862 2023 3,862 2024 3,862 Later years 2,895 Total lease payments $ 19,401 Less imputed interest 1,342 Present value of lease liabilities $ 18,059 Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at September 30, 2020 and December 31, 2019.

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS	9 Months Ended
	Sep. 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 September 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 September 30, 2020 was $422.5 million with excess net capital of $422.2 million.

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS	9 Months Ended
	Sep. 30, 2020
Subsequent Events [Abstract]
Subsequent Events	22. SUBSEQUENT EVENTS In October 2020, the Company repurchased 4.7 million shares of its common stock for an aggregate amount of $34.3 million, excluding commission costs, under the Company’s stock repurchase program.

SIGNIFICANT ACCOUNTING POLICI_2

SIGNIFICANT ACCOUNTING POLICIES (Policies)	9 Months Ended
	Sep. 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.
Equity Method Investments	Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in real estate, net and Other assets with income or loss included in Other income (loss).
Cash and Cash Equivalents	Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value.
Equity Securities	Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings.
Fair Value Measurements 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 bet ween 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.
Goodwill and Intangible Assets	The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain.The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed.  The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value.  If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value.
Secured Financing	Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements meet the specified criteria in this guidance. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows.
Contingencies	ContingenciesFrom time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements.

DESCRIPTION OF BUSINESS (Tables

DESCRIPTION OF BUSINESS (Tables)	9 Months Ended
	Sep. 30, 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 financing to private equity-backed middle market businesses, focusing primarily on senior debt within select industries.

SIGNIFICANT ACCOUNTING POLICI_3

SIGNIFICANT ACCOUNTING POLICIES (Tables)	9 Months Ended
	Sep. 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)	9 Months Ended
	Sep. 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 September 30, 2020 and December 31, 2019. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis September 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 $ 74,393,763 $ 112,124,958 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 521,404 768,409 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 411,538 531,322 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 717,602 1,135,868 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 31,140 64,655 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 23,538 208,368 Total securities 76,098,985 114,833,580 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 152,959 1,647,787 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 573,504 669,713 Loans, net Corporate debt held for investment, net Amortized cost 2,061,878 2,144,850 Total loans, net 2,788,341 4,462,350 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 623,650 1,122,588 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,588,679 2,598,374 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 2,174,118 2,345,120 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 882,955 936,378 Total assets transferred or pledged to securitization vehicles 7,269,402 7,002,460 Liabilities Repurchase agreements Repurchase agreements Amortized cost 64,633,447 101,740,728 Other secured financing Loans Amortized cost 861,373 4,455,700 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 6,027,576 5,622,801 Mortgages payable Loans Amortized cost 507,934 485,005 (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)	9 Months Ended
	Sep. 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 nine months ended September 30, 2020: Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2020 $ 114,560,557 $ 273,023 $ 114,833,580 Purchases 25,679,591 — 25,679,591 Sales and transfers (1) (50,079,936) (204,062) (50,283,998) Principal paydowns (14,354,169) (4,933) (14,359,102) (Amortization) / accretion (1,135,486) 377 (1,135,109) Fair value adjustment 1,373,750 (9,727) 1,364,023 Ending balance September 30, 2020 $ 76,044,307 $ 54,678 $ 76,098,985 (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 September 30, 2020 and December 31, 2019: September 30, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 65,676,115 $ 3,142,668 $ (23,694) $ 68,795,089 $ 3,416,366 $ (885) $ 72,210,570 Adjustable-rate pass-through 502,382 3,436 (3,423) 502,395 24,872 — 527,267 CMO 144,899 2,253 — 147,152 5,361 — 152,513 Interest-only 3,081,524 600,917 — 600,917 7,705 (143,246) 465,376 Multifamily 1,433,340 17,207 (1,083) 1,449,464 62,240 (8,291) 1,503,413 Reverse mortgages 51,189 4,379 — 55,568 563 (103) 56,028 Total agency securities $ 70,889,449 $ 3,770,860 $ (28,200) $ 71,550,585 $ 3,517,107 $ (152,525) $ 74,915,167 Residential credit CRT (1) $ 463,482 $ 8,280 $ (1,556) $ 459,233 $ 1,007 $ (48,702) $ 411,538 Alt-A 104,381 51 (20,322) 84,110 6,845 (1) 90,954 Prime 184,166 4,877 (14,520) 174,523 12,121 (466) 186,178 Prime interest-only 237,377 2,355 — 2,355 — (1,164) 1,191 Subprime 131,194 — (19,750) 111,444 8,107 (4) 119,547 NPL/RPL 284,699 697 (2,684) 282,712 1,950 (2,793) 281,869 Prime jumbo (>=2010 vintage) 39,666 — (5,107) 34,559 1,766 (121) 36,204 Prime jumbo (>=2010 vintage) Interest-only 366,870 7,485 — 7,485 — (5,826) 1,659 Total residential credit securities $ 1,811,835 $ 23,745 $ (63,939) $ 1,156,421 $ 31,796 $ (59,077) $ 1,129,140 Total Residential Securities $ 72,701,284 $ 3,794,605 $ (92,139) $ 72,707,006 $ 3,548,903 $ (211,602) $ 76,044,307 Commercial Commercial Securities $ 64,458 $ — $ (7,631) $ 56,827 $ — $ (2,149) $ 54,678 Total securities $ 72,765,742 $ 3,794,605 $ (99,770) $ 72,763,833 $ 3,548,903 $ (213,751) $ 76,098,985 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 $11.0 million and $14.9 million of a CRT interest-only security as of September 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 September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 Investment Type (dollars in thousands) Fannie Mae $ 55,191,253 $ 76,656,831 Freddie Mac 19,599,587 36,087,100 Ginnie Mae 124,327 149,436 Total $ 74,915,167 $ 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 September 30, 2020 and December 31, 2019, according to their estimated weighted average life classifications: September 30, 2020 December 31, 2019 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 816,998 $ 799,272 $ 3,997 $ 4,543 Greater than one year through five years 50,911,159 48,461,791 36,290,254 35,581,833 Greater than five years through ten years 23,073,677 22,217,393 77,732,756 76,504,845 Greater than ten years 1,242,473 1,228,550 533,550 506,719 Total $ 76,044,307 $ 72,707,006 $ 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 September 30, 2020 and December 31, 2019. September 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 $ 1,154,762 $ (9,176) 23 $ 7,388,239 $ (24,056) 139 12 Months or more — — — 11,619,280 (105,329) 352 Total $ 1,154,762 $ (9,176) 23 $ 19,007,519 $ (129,385) 491 (1) Excludes interest-only mortgage-backed securities and reverse mortgages.
Schedule of Realized Gain (Loss)	The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and nine months ended September 30, 2020 and 2019. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) September 30, 2020 $ 117,373 $ (13,440) $ 103,933 September 30, 2019 $ 104,427 $ (28,175) $ 76,252 For the nine months ended September 30, 2020 $ 929,010 $ (297,934) $ 631,076 September 30, 2019 $ 127,970 $ (178,531) $ (50,561)

LOANS (Tables)

LOANS (Tables)	9 Months Ended
	Sep. 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 nine months ended September 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 935,232 194,926 678,608 1,808,766 Sales and transfers (1) (2,258,330) (148,036) (321,847) (2,728,213) Principal payments (151,708) (59,675) (410,421) (621,804) Gains / (losses) (2) (14,980) (81,659) (9,842) (106,481) (Amortization) / accretion (5,042) 1,835 10,183 6,976 Ending balance September 30, 2020 $ 152,959 $ 573,504 $ 2,061,878 $ 2,788,341 (1) Includes securitizations, syndications and transfers to securitization vehicles or REO. (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 September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 (dollars in thousands) Fair value $ 3,741,638 $ 4,246,161 Unpaid principal balance $ 3,666,420 $ 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 nine months ended September 30, 2020 and 2019 for these investments: For the Three Months Ended For the Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands) Interest income $ 42,508 $ 37,673 $ 132,937 $ 102,689 Net gains (losses) on disposal of investments and other (4,638) (9,671) (22,014) (19,499) Net unrealized gains (losses) on instruments measured at fair value through earnings 77,837 18,093 (4,381) 61,805 Total included in net income (loss) $ 115,707 $ 46,095 $ 106,542 $ 144,995
Geographic Concentrations Based on Unpaid Principal Balances	The following table provides the geographic concentrations based on the unpaid principal balances at September 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 September 30, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 50.1% California 52.1% New York 12.8% New York 10.5% Florida 5.8% Florida 5.3% All other (none individually greater than 5%) 31.3% 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 September 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 $ 1,236,527 37.9 % California $ 22,925 45.6 % Texas 477,642 14.6 % Texas 7,481 14.9 % New York 381,425 11.7 % Illinois 6,504 12.9 % Florida 180,892 5.5 % Other (1) 13,343 26.6 % Other (1) 986,851 30.3 % Total $ 3,263,337 100.0 % Total $ 50,253 100.0 % (1) No individual state greater than 5%.
Residential Mortgage Loans	The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $458 $1 - $3,448 $459 Interest rate 0.50% - 9.24% 4.88% 2.00% - 8.38% 4.94% Maturity 7/1/2029 - 10/1/2060 4/29/2048 1/1/2028 - 12/1/2059 12/29/2047 FICO score at loan origination 505 - 829 756 505 - 829 758 Loan-to-value ratio at loan origination 8% - 105% 67% 8% - 105% 67%
Commercial Real Estate, Held for Investments, Amortized Cost Basis by Risk Rating and Vintage	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 September 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 $ 354,960 $ 92,076 $ 168,409 $ — $ 12,447 $ — $ 82,028 5 / Performing - Closely Monitored 158,701 — 158,701 — — — — 6 / Performing - Special Mention 676,700 56,845 216,591 270,767 64,139 68,358 — 7 / Substandard 169,058 9,155 — 67,391 42,716 — 49,796 8 / Doubtful 97,040 — — 39,668 57,372 — — 9 / Loss (2) — — — — — — — Total $ 1,456,459 $ 158,076 $ 543,701 $ 377,826 $ 176,674 $ 68,358 $ 131,824 (1) The amortized cost basis excludes accrued interest. As of September 30, 2020, the Company had $4.1 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. 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.
Schedule of Commercial Mortgage Loans Held for Investment	The sector attributes of the Company’s commercial real estate investments held for investment at September 30, 2020 and December 31, 2019 were as follows: Sector Dispersion September 30, 2020 December 31, 2019 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 666,115 45.7 % $ 681,129 42.4 % Retail 278,714 19.1 % 389,076 24.2 % Multifamily 279,430 19.2 % 262,302 16.3 % Hotel 121,829 8.4 % 135,681 8.4 % Industrial 58,890 4.0 % 82,441 5.1 % Other 31,805 2.2 % 36,589 2.3 % Healthcare 19,676 1.4 % 18,873 1.3 % Total $ 1,456,459 100.0 % $ 1,606,091 100.0 % At September 30, 2020 and December 31, 2019, commercial real estate investments held for investment were comprised of the following: September 30, 2020 December 31, 2019 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 469,813 $ 450,177 29.5 % $ 503,499 $ 499,690 30.9 % Senior securitized mortgages (3) 939,654 882,955 59.1 % 940,546 936,378 57.8 % Mezzanine loans 181,170 123,327 11.4 % 183,064 170,023 11.3 % Total $ 1,590,637 $ 1,456,459 100.0 % $ 1,627,109 $ 1,606,091 100.0 % (1) Carrying value includes unamortized origination fees of $5.9 million and $8.3 million at September 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 September 30, 2020 and December 31, 2019: September 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) 183,612 — 12,206 195,818 Principal payments (59,675) (56,017) — (115,692) Principal write off — — (7,000) (7,000) Transfers (3) (157,623) 54,471 (7,100) (110,252) Net (increase) decrease in origination fees (812) — (80) (892) Realized gain 204 — — 204 Amortization of net origination fees 1,695 1,908 140 3,743 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 (14,650) (49,619) (67,213) (131,482) Write offs — — 23,687 23,687 Ending allowance (16,914) (53,785) (57,565) (128,264) Net carrying value (September 30, 2020) $ 450,177 $ 882,955 $ 123,327 $ 1,456,459 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. (3) Includes transfers to securitization vehicles or REO.
Schedule of Industry and Rate Attributes of The Portfolio	The industry and rate attributes of the portfolio at September 30, 2020 and December 31, 2019 are as follows: Industry Dispersion September 30, 2020 December 31, 2019 Total (1) Total (1) (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services $ 409,644 $ 394,193 Management & Public Relations Services 257,404 339,179 Industrial Inorganic Chemicals 141,941 — Public Warehousing & Storage 124,836 107,029 Engineering, Architectural, and Surveying 110,984 124,201 Metal Cans & Shipping Containers 110,478 118,456 Offices & Clinics of Doctors of Medicine 104,064 106,993 Surgical, Medical & Dental Instruments & Supplies 99,444 102,182 Electronic Components & Accessories 78,114 24,000 Insurance Agents, Brokers and Service 68,577 75,410 Telephone Communications 58,233 61,210 Miscellaneous Health & Allied Services, not elsewhere classified 52,307 78,908 Miscellaneous Equipment Rental & Leasing 49,589 49,776 Electric Work 41,170 43,175 Medical & Dental Laboratories 40,477 41,344 Research, Development & Testing Services 29,648 45,610 Metal Forgings & Stampings 29,390 — Home Health Care Services 28,914 29,361 Motor Vehicles and Motor Vehicle Parts & Supplies 28,545 28,815 Legal Services 26,420 — Petroleum and Petroleum Products 24,709 24,923 Grocery Stores 22,937 23,248 Coating, Engraving and Allied Services 19,456 47,249 Schools & Educational Services, not elsewhere classified 19,325 19,586 Chemicals & Allied Products 14,595 15,002 Miscellaneous Business Services 12,953 164,033 Drugs 12,952 15,923 Mailing, Reproduction, Commercial Art and Photography and Stenographic 12,879 14,755 Machinery, Equipment & Supplies 12,080 — Miscellaneous Plastic Products 9,940 10,000 Offices and Clinics of Other Health Practitioners 9,873 10,098 Nonferrous Foundries (Castings) — 30,191 Total $ 2,061,878 $ 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 September 30, 2020 and December 31, 2019. September 30, 2020 December 31, 2019 (dollars in thousands) First lien loans $ 1,320,115 $ 1,396,140 Second lien loans 741,763 748,710 Total $ 2,061,878 $ 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 September 30, 2020 and December 31, 2019: September 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 499,623 178,985 678,608 Principal payments (311,856) (98,565) (410,421) Amortization & accretion of (premium) discounts 6,826 3,357 10,183 Loan restructuring (19,550) 2,818 (16,732) Sales (2) (242,658) (69,592) (312,250) 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 (9,517) (5,084) (14,601) Write offs 11,894 — 11,894 Ending allowance (15,773) (23,950) (39,723) Net carrying value (September 30, 2020) $ 1,320,115 $ 741,763 $ 2,061,878 (1) Excludes loan loss allowances. (2) Includes syndications. 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 September 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 $ 1,520,243 $ 259,377 $ 373,388 $ 457,891 $ 295,371 $ 95,256 $ 34,268 $ 4,692 6 / Performing - Closely Monitored 294,795 23,574 38,874 168,115 38,178 21,855 — 4,199 7 / Substandard 234,535 — 31,416 142,595 60,524 — — — 8 / Doubtful 12,879 — — 12,879 — — — — 9 / Loss — — — — — — — — Total $ 2,062,452 $ 282,951 $ 443,678 $ 781,480 $ 394,073 $ 117,111 $ 34,268 $ 8,891 (1) The amortized cost basis excludes accrued interest and deferred fees on unfunded loans. As of September 30, 2020, the Company had $11.9 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)	9 Months Ended
	Sep. 30, 2020
Transfers and Servicing [Abstract]
Presentation of Activity Related to MSR	The following table presents activity related to MSRs for the three and nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands) Fair value, beginning of period $ 227,400 $ 425,328 $ 378,078 $ 557,813 Change in fair value due to: Changes in valuation inputs or assumptions (1) 7,633 (17,312) (99,220) (116,150) Other changes, including realization of expected cash flows (27,048) (21,965) (70,873) (55,612) Fair value, end of period $ 207,985 $ 386,051 $ 207,985 $ 386,051 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.

VARIABLE INTEREST ENTITIES (Tab

VARIABLE INTEREST ENTITIES (Tables)	9 Months Ended
	Sep. 30, 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 OBX 2020-EXP2 July 2020 $ 489,352 OBX 2020-EXP3 September 2020 $ 514,609
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, multifamily securitizations, credit facility VIEs and OBX Trusts as the transfers of loans or securities did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2020 and December 31, 2019 are as follows: September 30, 2020 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 84,904 Loans — — 50,042 Assets transferred or pledged to securitization vehicles 2,174,118 50,810 — Mortgage servicing rights — — 207,985 Principal and interest receivable 5,370 324 — Other assets — — 23,087 Total assets $ 2,179,488 $ 51,134 $ 366,018 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,843,036 $ 33,084 $ — Other secured financing — — 32,842 Payable for unsettled trades — — 6,203 Interest payable 1,594 78 — Other liabilities — 201 2,830 Total liabilities $ 1,844,630 $ 33,363 $ 41,875 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 September 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 September 30, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 50.1% California 52.1% New York 12.8% New York 10.5% Florida 5.8% Florida 5.3% All other (none individually greater than 5%) 31.3% 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 September 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 $ 1,236,527 37.9 % California $ 22,925 45.6 % Texas 477,642 14.6 % Texas 7,481 14.9 % New York 381,425 11.7 % Illinois 6,504 12.9 % Florida 180,892 5.5 % Other (1) 13,343 26.6 % Other (1) 986,851 30.3 % Total $ 3,263,337 100.0 % Total $ 50,253 100.0 % (1) No individual state greater than 5%.

REAL ESTATE (Tables)

REAL ESTATE (Tables)	9 Months Ended
	Sep. 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	September 30, 2020 December 31, 2019 Real estate, net (dollars in thousands) Land $ 173,220 $ 121,720 Buildings and improvements 601,783 571,396 Furniture, fixtures and equipment 11,487 11,238 Subtotal 786,490 704,354 Less: accumulated depreciation (104,978) (87,532) Total real estate held for investment, at amortized cost, net 681,512 616,822 Equity in unconsolidated joint ventures 109,085 108,816 Total real estate, net $ 790,597 $ 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 September 30, 2020 for consolidated investments in real estate are as follows: September 30, 2020 (dollars in thousands) 2020 (remaining) $ 14,768 2021 55,088 2022 50,685 2023 47,119 2024 42,429 Later years 191,310 Total $ 401,399

DERIVATIVE INSTRUMENTS (Tables)

DERIVATIVE INSTRUMENTS (Tables)	9 Months Ended
	Sep. 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 September 30, 2020 and December 31, 2019: Derivatives Instruments September 30, 2020 December 31, 2019 Assets (dollars in thousands) Interest rate swaps $ — $ 1,199 Interest rate swaptions 63,601 11,580 TBA derivatives 38,656 15,181 Futures contracts 550 77,889 Purchase commitments 438 2,050 Credit derivatives (1) — 5,657 Total derivative assets $ 103,245 $ 113,556 Liabilities Interest rate swaps $ 1,126,179 $ 706,862 TBA derivatives 21,140 11,316 Futures contracts 7,792 84,781 Purchase commitments 488 907 Credit derivatives (1) 27,082 — Total derivative liabilities $ 1,182,681 $ 803,866 (1)
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2020 and December 31, 2019: September 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 $ 17,816,700 0.14 % 0.41 % 2.27 3 - 6 years 7,255,000 0.69 % 0.09 % 3.87 6 - 10 years 5,806,500 1.43 % 0.65 % 8.09 Greater than 10 years 1,349,000 2.90 % 0.39 % 21.85 Total / Weighted average $ 32,227,200 0.91 % 0.48 % 4.51 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 September 30, 2020, 12%, 77% and 11% 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) As of September 30, 2020, notional amount includes $655.0 million of a forward starting pay fixed swap on October 1, 2020. There were no forward starting swaps at December 31, 2019. (3) As of September 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 September 30, 2020 and December 31, 2019. September 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 $6,550,000 1.29% 3M LIBOR 10.60 7.97 Long receive $250,000 1.66% 3M LIBOR 10.27 3.20 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 September 30, 2020 and December 31, 2019: September 30, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 20,394,000 $ 21,176,883 $ 21,194,446 $ 17,563 Sale contracts (100,000) (104,844) (104,891) (47) Net TBA derivatives $ 20,294,000 $ 21,072,039 $ 21,089,555 $ 17,516 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 September 30, 2020 and December 31, 2019: September 30, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 10 year and greater $ — $ (2,822,800) 6.90 Total $ — $ (2,822,800) 6.90 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 September 30, 2020 and December 31, 2019, respectively. September 30, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 63,601 $ — $ — $ 63,601 TBA derivatives, at fair value 38,656 (18,950) — 19,706 Futures contracts, at fair value 550 (550) — — Purchase commitments 438 — — 438 Liabilities Interest rate swaps, at fair value $ 1,126,179 $ — $ (117,947) $ 1,008,232 TBA derivatives, at fair value 21,140 (18,950) — 2,190 Futures contracts, at fair value 7,792 (550) (7,242) — Purchase commitments 488 — — 488 Credit derivatives 27,082 — (27,082) — 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) September 30, 2020 $ (62,529) $ (427) $ 170,327 September 30, 2019 $ 88,466 $ (682,602) $ (326,309) For the nine months ended September 30, 2020 $ (141,070) $ (1,919,720) $ (1,162,768) September 30, 2019 $ 306,154 $ (1,438,349) $ (1,992,884) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended September 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 $ 276,849 $ (100,680) $ 176,169 Net interest rate swaptions (9,836) 3,263 (6,573) Futures (19,989) 10,337 (9,652) Purchase commitments — (51) (51) Credit derivatives 1,531 7,892 9,423 Total $ 169,316 Three Months Ended September 30, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 93,919 $ (46,124) $ 47,795 Net interest rate swaptions (2,778) (4,571) (7,349) Futures (424,268) 364,613 (59,655) Purchase commitments — (348) (348) Credit derivatives 1,784 885 2,669 Total $ (16,888) Nine Months Ended September 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 $ 798,459 $ 13,651 $ 812,110 Net interest rate swaptions 11,730 50,762 62,492 Futures (299,220) (350) (299,570) Purchase commitments — (1,194) (1,194) Credit derivatives 4,659 (31,839) (27,180) Total $ 546,658 Nine Months Ended September 30, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 481,865 $ (154,355) $ 327,510 Net interest rate swaptions (44,088) 7,935 (36,153) Futures (1,430,450) 484,146 (946,304) Purchase commitments — 1,903 1,903 Credit derivatives 5,285 9,301 14,586 Total $ (638,458)

FAIR VALUE MEASUREMENTS (Tables

FAIR VALUE MEASUREMENTS (Tables)	9 Months Ended
	Sep. 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. September 30, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 74,915,167 $ — $ 74,915,167 Credit risk transfer securities — 411,538 — 411,538 Non-Agency mortgage-backed securities — 717,602 — 717,602 Commercial mortgage-backed securities — 54,678 — 54,678 Loans Residential mortgage loans — 152,959 — 152,959 Mortgage servicing rights — — 207,985 207,985 Assets transferred or pledged to securitization vehicles — 6,386,447 — 6,386,447 Derivative assets Other derivatives 550 102,695 — 103,245 Total assets $ 550 $ 82,741,086 $ 207,985 $ 82,949,621 Liabilities Debt issued by securitization vehicles — 6,027,576 — 6,027,576 Derivative liabilities Interest rate swaps — 1,126,179 — 1,126,179 Other derivatives 7,792 48,710 — 56,502 Total liabilities $ 7,792 $ 7,202,465 $ — $ 7,210,257 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. September 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% (9.4%) Discount rate 9.0% -12.0% (9.3%) Prepayment rate 14.6% - 48.0% (34.0%) Prepayment rate 6.3% - 26.6% (13.7%) Delinquency rate 0.0% - 17.0% (4.9%) Delinquency rate 0.0% - 4.0% (2.2%) Cost to service $83 - $223 ($128) 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 September 30, 2020 and December 31, 2019. September 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) $1,456,459 $1,529,485 $1,606,091 $1,619,018 Corporate debt, held for investment 2,061,878 2,011,153 2,144,850 2,081,327 Financial liabilities Repurchase agreements $64,633,447 $64,633,447 $101,740,728 $101,740,728 Other secured financing 861,373 861,373 4,455,700 4,455,700 Mortgages payable 507,934 594,242 485,005 515,994 (1) Includes assets of consolidated VIEs.

GOODWILL AND INTANGIBLE ASSETS

GOODWILL AND INTANGIBLE ASSETS (Tables)	9 Months Ended
	Sep. 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 nine months ended September 30, 2020. Intangible Assets, net (dollars in thousands) Balance at December 31, 2019 $ 20,957 Intangible assets acquired 50,360 Intangible assets divested (110) Less: amortization expense (6,122) Balance at September 30, 2020 $ 65,085

SECURED FINANCING (Tables)

SECURED FINANCING (Tables)	9 Months Ended
	Sep. 30, 2020
Debt Disclosure [Abstract]
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates	At September 30, 2020 and December 31, 2019, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: September 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 $ 2,700,000 $ — $ — $ — $ — $ — $ 2,700,000 0.13 % 2 to 29 days 23,585,476 68,994 196,748 — — 43,213 23,894,431 0.36 % 30 to 59 days 8,463,636 60,651 73,438 — — 46,466 8,644,191 0.51 % 60 to 89 days 9,078,487 50,871 274,454 — 269,085 29,962 9,702,859 0.33 % 90 to 119 days 5,320,952 50,758 102,189 23,407 — 31,730 5,529,036 0.73 % Over 119 days (1) 13,656,052 — 237,980 47,235 66,026 155,637 14,162,930 0.45 % Total $ 62,804,603 $ 231,274 $ 884,809 $ 70,642 $ 335,111 $ 307,008 $ 64,633,447 0.42 % December 31, 2019 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted (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) No repurchase agreements had a remaining maturity over one year at September 30, 2020 and 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 September 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. September 30, 2020 December 31, 2019 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 200,000 $ 64,833,447 $ 100,000 $ 101,840,728 Amounts offset (200,000) (200,000) (100,000) (100,000) Netted amounts $ — $ 64,633,447 $ — $ 101,740,728
Schedule of Mortgage Notes Payable	Mortgage loans payable at September 30, 2020 and December 31, 2019, were as follows: September 30, 2020 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,661 $ 318,371 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,575 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 81,498 83,204 2.34% - 4.55% Fixed 2036 - 2053 First liens Virginia 24,457 25,000 L+2.85% Floating 5/1/2023 First liens Texas 31,263 32,730 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 6,996 7,014 3.69% Fixed 6/1/2053 First liens Minnesota 13,090 13,124 3.69% Fixed 6/1/2053 First liens Wisconsin 7,688 7,708 3.69% Fixed 6/1/2053 First liens Total $ 507,934 $ 513,182 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 September 30, 2020: Mortgage Loan Principal Payments (dollars in thousands) 2020 (remaining) $ 833 2021 13,197 2022 20,034 2023 28,844 2024 107,929 Later years 342,345 Total $ 513,182

CAPITAL STOCK (Tables)

CAPITAL STOCK (Tables)	9 Months Ended
	Sep. 30, 2020
Equity [Abstract]
Schedule of Stock by Class	The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at September 30, 2020 and December 31, 2019. Shares authorized Shares issued and outstanding September 30, 2020 December 31, 2019 September 30, 2020 December 31, 2019 Par Value Common stock 2,914,850,000 2,914,850,000 1,402,928,317 1,430,106,199 $0.01 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 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 September 30, 2020 December 31, 2019 September 30, 2020 December 31, 2019 September 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.
Summary of Dividend Reinvestment Plan	The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Nine Months Ended September 30, 2020 September 30, 2019 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program 154,000 180,000 Amount raised from direct purchase and dividend reinvestment program $ 1,075 $ 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 Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 309,175 $ 359,736 $ 976,966 $ 1,158,629 Distributions declared per common share $ 0.22 $ 0.25 $ 0.69 $ 0.80 Distributions paid to common stockholders after period end $ 308,644 $ 359,491 $ 308,644 $ 359,491 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 October 30, 2020 October 31, 2019 October 30, 2020 October 31, 2019 Dividends declared to series C preferred stockholders $ — $ 742 $ — $ 7,414 Dividends declared per share of series C preferred stock $ — $ 0.106 $ — $ 1.060 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 $ 25,875 $ 25,875 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 $ 1.406 $ 1.407 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 $ 37,530 $ 37,530 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 $ 1.303 $ 1.303 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 $ 20,718 $ 20,718 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 $ 1.219 $ 1.219 Dividends declared to series H preferred stockholders $ — $ — $ — $ 1,862 Dividends declared per share of series H preferred stock $ — $ — $ — $ 0.846 Dividends declared to series I preferred stockholders $ 7,468 $ 7,668 $ 22,404 $ 7,668 Dividends declared per share of series I preferred stock $ 0.422 $ 0.436 $ 1.266 $ 0.436

INTEREST INCOME AND INTEREST _2

INTEREST INCOME AND INTEREST EXPENSE (Tables)	9 Months Ended
	Sep. 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 nine months ended September 30, 2020 and September 30, 2019. For the Three Months Ended September 30, For the Nine Months Ended September 30, 2020 2019 2020 2019 Interest income (dollars in thousands) Residential Securities (1) $ 439,502 $ 784,228 $ 1,307,566 $ 2,271,893 Residential mortgage loans (1) 42,508 37,673 132,936 102,689 Commercial investment portfolio (1) (2) 80,324 87,946 260,208 281,029 Reverse repurchase agreements 109 9,452 1,571 57,472 Total interest income $ 562,443 $ 919,299 $ 1,702,281 $ 2,713,083 Interest expense Repurchase agreements 75,386 699,838 646,369 1,962,999 Debt issued by securitization vehicles 32,491 34,524 113,367 102,882 Other 7,249 32,543 44,895 98,936 Total interest expense 115,126 766,905 804,631 2,164,817 Net interest income $ 447,317 $ 152,394 $ 897,650 $ 548,266 (1) Includes assets transferred or pledged to securitization vehicles. (2 ) Includes commercial real estate debt and preferred equity and corporate debt.

NET INCOME (LOSS) PER COMMON _2

NET INCOME (LOSS) PER COMMON SHARE (Tables)	9 Months Ended
	Sep. 30, 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 nine months ended September 30, 2020 and September 30, 2019. For the Three Months Ended For the Nine Months Ended September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019 (dollars in thousands, except per share data) Net income (loss) $ 1,015,548 $ (747,169) $ (1,768,407) $ (3,372,833) Net income (loss) attributable to noncontrolling interests (126) (110) (28) (294) Net income (loss) attributable to Annaly 1,015,674 (747,059) (1,768,379) (3,372,539) Dividends on preferred stock (1) 35,509 36,151 106,527 101,067 Net income (loss) available (related) to common stockholders $ 980,165 $ (783,210) $ (1,874,906) $ (3,473,606) Weighted average shares of common stock outstanding-basic 1,404,202,695 1,453,359,211 1,419,645,475 1,436,204,582 Add: Effect of stock awards, if dilutive 165,605 — — — Weighted average shares of common stock outstanding-diluted 1,404,368,300 1,453,359,211 1,419,645,475 1,436,204,582 Net income (loss) per share available (related) to common share Basic $ 0.70 $ (0.54) $ (1.32) $ (2.42) Diluted $ 0.70 $ (0.54) $ (1.32) $ (2.42) (1) The three months ended September 30, 2019 exclude cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019.

LEASE COMMITMENTS AND CONTING_2

LEASE COMMITMENTS AND CONTINGENCIES (Tables)	9 Months Ended
	Sep. 30, 2020
Commitments and Contingencies Disclosure [Abstract]
Supplemental Information Regarding Leases	Supplemental information related to leases as of and for the nine months ended September 30, 2020 was as follows: Operating Leases Classification September 30, 2020 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 13,831 Liabilities Operating lease liabilities (1) Other liabilities $ 18,059 Lease term and discount rate Weighted average remaining lease term 4.9 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 2,797 (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) $ 1,002 2021 3,918 2022 3,862 2023 3,862 2024 3,862 Later years 2,895 Total lease payments $ 19,401 Less imputed interest 1,342 Present value of lease liabilities $ 18,059

DESCRIPTION OF BUSINESS (Detail

DESCRIPTION OF BUSINESS (Details)	9 Months Ended
	Sep. 30, 2020numberOfInvestmentGroups
Accounting Policies [Abstract]
Number of investment groups	4

SIGNIFICANT ACCOUNTING POLICI_4

SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) $ in Billions	Sep. 30, 2020	Dec. 31, 2019
Interest rate swaps, at fair value
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Margin deposit assets	$ 1	$ 1.6

SIGNIFICANT ACCOUNTING POLICI_5

SIGNIFICANT ACCOUNTING POLICIES - Recent Accounting Pronouncements (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2019	Sep. 30, 2020
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Allowance for loan loss	$ 20.1	$ 168
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, Net of Tax	$ 39.6

FINANCIAL INSTRUMENTS - Summary

FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	$ 89,192,411	$ 130,295,081	[1]
Liabilities	74,997,739	114,498,737	[1]
Total securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	76,098,985	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	74,393,763	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	521,404	768,409
Credit risk transfer securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	411,538	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	717,602	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	31,140	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	23,538	208,368
Total loans, net
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	2,788,341	4,462,350
Residential mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	152,959	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	573,504	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	2,061,878	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	7,269,402	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	623,650	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	3,588,679	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	2,174,118	2,345,120
Commercial mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	882,955	936,378
Repurchase agreements
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	64,633,447	101,740,728
Other secured financing
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	861,373	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	6,027,576	5,622,801
Mortgages payable
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	$ 507,934	$ 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	9 Months Ended
	Sep. 30, 2020USD ($)
Debt Securities, Available-For-Sale [Roll Forward]
Beginning balance	$ 114,833,580
Purchases	25,679,591
Sales and transfers	(50,283,998)
Principal paydowns	(14,359,102)
(Amortization) / accretion	(1,135,109)
Fair value adjustment	1,364,023
Ending balance	76,098,985
Residential Securities
Debt Securities, Available-For-Sale [Roll Forward]
Beginning balance	114,560,557
Purchases	25,679,591
Sales and transfers	(50,079,936)
Principal paydowns	(14,354,169)
(Amortization) / accretion	(1,135,486)
Fair value adjustment	1,373,750
Ending balance	76,044,307
Commercial Securities
Debt Securities, Available-For-Sale [Roll Forward]
Beginning balance	273,023
Purchases	0
Sales and transfers	(204,062)
Principal paydowns	(4,933)
(Amortization) / accretion	377
Fair value adjustment	(9,727)
Ending balance	$ 54,678

SECURITIES - Portfolio (Details

SECURITIES - Portfolio (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	$ 72,765,742	$ 113,123,301
Remaining premium	3,794,605	5,353,597
Remaining discount	(99,770)	(166,320)
Total	72,763,833	112,863,385
Unrealized gains	3,548,903	2,261,636
Unrealized losses	(213,751)	(291,441)
Estimated fair value	76,098,985	114,833,580
Agency
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	70,889,449	110,241,618
Remaining premium	3,770,860	5,307,771
Remaining discount	(28,200)	(50,294)
Total	71,550,585	111,012,250
Unrealized gains	3,517,107	2,167,941
Unrealized losses	(152,525)	(286,824)
Estimated fair value	74,915,167	112,893,367
Agency | Fixed-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	65,676,115	102,448,565
Remaining premium	3,142,668	4,345,053
Remaining discount	(23,694)	(46,614)
Total	68,795,089	106,747,004
Unrealized gains	3,416,366	2,071,583
Unrealized losses	(885)	(95,173)
Estimated fair value	72,210,570	108,723,414
Agency | Adjustable-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	502,382	1,474,818
Remaining premium	3,436	72,245
Remaining discount	(3,423)	(1,400)
Total	502,395	1,545,663
Unrealized gains	24,872	10,184
Unrealized losses	0	(31,516)
Estimated fair value	527,267	1,524,331
Agency | CMO
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	144,899	156,937
Remaining premium	2,253	2,534
Remaining discount	0	0
Total	147,152	159,471
Unrealized gains	5,361	545
Unrealized losses	0	0
Estimated fair value	152,513	160,016
Agency | Interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	3,081,524	4,486,845
Remaining premium	600,917	862,905
Remaining discount	0	0
Total	600,917	862,905
Unrealized gains	7,705	2,787
Unrealized losses	(143,246)	(157,130)
Estimated fair value	465,376	708,562
Agency | Multifamily
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	1,433,340	1,619,900
Remaining premium	17,207	19,981
Remaining discount	(1,083)	(2,280)
Total	1,449,464	1,637,601
Unrealized gains	62,240	82,292
Unrealized losses	(8,291)	(2,696)
Estimated fair value	1,503,413	1,717,197
Agency | Reverse mortgages
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	51,189	54,553
Remaining premium	4,379	5,053
Remaining discount	0	0
Total	55,568	59,606
Unrealized gains	563	550
Unrealized losses	(103)	(309)
Estimated fair value	56,028	59,847
Residential credit
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	1,811,835	2,617,718
Remaining premium	23,745	34,953
Remaining discount	(63,939)	(106,633)
Total	1,156,421	1,585,690
Unrealized gains	31,796	85,985
Unrealized losses	(59,077)	(4,485)
Estimated fair value	1,129,140	1,667,190
Residential credit | CRT
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	463,482	517,110
Remaining premium	8,280	15,850
Remaining discount	(1,556)	(2,085)
Total	459,233	515,950
Unrealized gains	1,007	16,605
Unrealized losses	(48,702)	(1,233)
Estimated fair value	411,538	531,322
Residential credit | CRT interest-only security
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	11,000	14,900
Residential credit | Alt-A
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	104,381	160,957
Remaining premium	51	250
Remaining discount	(20,322)	(22,306)
Total	84,110	138,901
Unrealized gains	6,845	12,482
Unrealized losses	(1)	0
Estimated fair value	90,954	151,383
Residential credit | Prime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	184,166	277,076
Remaining premium	4,877	3,362
Remaining discount	(14,520)	(17,794)
Total	174,523	262,644
Unrealized gains	12,121	14,142
Unrealized losses	(466)	(529)
Estimated fair value	186,178	276,257
Residential credit | Prime interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	237,377	391,234
Remaining premium	2,355	3,757
Remaining discount	0	0
Total	2,355	3,757
Unrealized gains	0	0
Unrealized losses	(1,164)	(590)
Estimated fair value	1,191	3,167
Residential credit | Subprime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	131,194	370,263
Remaining premium	0	1,356
Remaining discount	(19,750)	(59,727)
Total	111,444	311,892
Unrealized gains	8,107	37,205
Unrealized losses	(4)	(118)
Estimated fair value	119,547	348,979
Residential credit | NPL/RPL
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	284,699	164,180
Remaining premium	697	351
Remaining discount	(2,684)	(440)
Total	282,712	164,091
Unrealized gains	1,950	191
Unrealized losses	(2,793)	(14)
Estimated fair value	281,869	164,268
Residential credit | Prime jumbo (>=2010 vintage)
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	39,666	182,709
Remaining premium	0	1,026
Remaining discount	(5,107)	(4,281)
Total	34,559	179,454
Unrealized gains	1,766	5,360
Unrealized losses	(121)	(150)
Estimated fair value	36,204	184,664
Residential credit | Prime jumbo (>=2010 vintage) Interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	366,870	554,189
Remaining premium	7,485	9,001
Remaining discount	0	0
Total	7,485	9,001
Unrealized gains	0	0
Unrealized losses	(5,826)	(1,851)
Estimated fair value	1,659	7,150
Total Residential Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	72,701,284	112,859,336
Remaining premium	3,794,605	5,342,724
Remaining discount	(92,139)	(156,927)
Total	72,707,006	112,597,940
Unrealized gains	3,548,903	2,253,926
Unrealized losses	(211,602)	(291,309)
Estimated fair value	76,044,307	114,560,557
Commercial Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / notional	64,458	263,965
Remaining premium	0	10,873
Remaining discount	(7,631)	(9,393)
Total	56,827	265,445
Unrealized gains	0	7,710
Unrealized losses	(2,149)	(132)
Estimated fair value	$ 54,678	$ 273,023

SECURITIES - Component of Agenc

SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands		Sep. 30, 2020	Dec. 31, 2019
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities	[1]	$ 76,098,985	$ 114,833,580	[2]
Agency Mortgage-Backed Securities
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		74,915,167	112,893,367
Agency Mortgage-Backed Securities | Fannie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		55,191,253	76,656,831
Agency Mortgage-Backed Securities | Freddie Mac
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		19,599,587	36,087,100
Agency Mortgage-Backed Securities | Ginnie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		$ 124,327	$ 149,436
[1]	Excludes $50.3 million and $102.5 million at September 30, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $544.0 million and $468.0 million at September 30, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $392.6 million and $500.3 million at September 30, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[2]	Derived from the audited consolidated financial statements at December 31, 2019.

SECURITIES - Weighted Average L

SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands		Sep. 30, 2020	Dec. 31, 2019
Estimated Fair Value
Total	[1]	$ 76,098,985	$ 114,833,580	[2]
Amortized Cost
Total		72,763,833	112,863,385
Total Residential Securities
Estimated Fair Value
Less than one year		816,998	3,997
Greater than one year through five years		50,911,159	36,290,254
Greater than five years through ten years		23,073,677	77,732,756
Greater than ten years		1,242,473	533,550
Total		76,044,307	114,560,557
Amortized Cost
Less than one year		799,272	4,543
Greater than one year through five years		48,461,791	35,581,833
Greater than five years through ten years		22,217,393	76,504,845
Greater than ten years		1,228,550	506,719
Total		$ 72,707,006	$ 112,597,940
[1]	Excludes $50.3 million and $102.5 million at September 30, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $544.0 million and $468.0 million at September 30, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $392.6 million and $500.3 million at September 30, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[2]	Derived from the audited consolidated financial statements at December 31, 2019.

SECURITIES - Unrealized Loss Po

SECURITIES - Unrealized Loss Position (Details) $ in Thousands	Sep. 30, 2020USD ($)security	Dec. 31, 2019USD ($)security
Unrealized Loss Position For:
Estimated fair value	$ 76,098,985	$ 114,833,580
Gross unrealized losses	(213,751)	(291,441)
Agency Mortgage-Backed Securities
Unrealized Loss Position For:
Estimated fair value	1,154,762	19,007,519
Gross unrealized losses	$ (9,176)	$ (129,385)
Number of securities | security	23	491
Agency Mortgage-Backed Securities | Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months
Unrealized Loss Position For:
Estimated fair value	$ 1,154,762	$ 7,388,239
Gross unrealized losses	$ (9,176)	$ (24,056)
Number of securities | security	23	139
Agency Mortgage-Backed Securities | Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months
Unrealized Loss Position For:
Estimated fair value	$ 0	$ 11,619,280
Gross unrealized losses	$ 0	$ (105,329)
Number of securities | security	0	352

SECURITIES - Additional Informa

SECURITIES - Additional Information (Details) - USD ($) $ in Billions	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract]
Residential Investment securities sold, carrying value	$ 2.8	$ 11.1	$ 50.2	$ 30.7

SECURITIES - Realized Gain (Los

SECURITIES - Realized Gain (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract]
Gross Realized Gains	$ 117,373	$ 104,427	$ 929,010	$ 127,970
Gross Realized Losses	(13,440)	(28,175)	(297,934)	(178,531)
Net Realized Gains (Losses)	$ 103,933	$ 76,252	$ 631,076	$ (50,561)

LOANS - Additional Information

LOANS - Additional Information (Details)	3 Months Ended		9 Months Ended
	Sep. 30, 2020USD ($)loan	Sep. 30, 2019USD ($)	Sep. 30, 2020USD ($)	Sep. 30, 2019USD ($)	Jan. 01, 2020USD ($)	Dec. 31, 2019USD ($)		Dec. 31, 2018USD ($)
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Assets	$ 89,192,411,000		$ 89,192,411,000			$ 130,295,081,000	[1]
Loan loss provision recorded during period	(21,993,000)	$ 3,504,000	146,084,000	$ 9,207,000
Allowance for loan loss	168,000,000		168,000,000			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		3,500,000	74,100,000	9,200,000
Principal balance		7,000,000	160,200,000	43,600,000
Carrying value		$ 0	97,000,000	30,900,000
Loans on nonaccrual status	50,600,000		50,600,000			175,200,000
Unfunded commitments	123,200,000		123,200,000			$ 181,400,000
Unfunded commitments, expected credit loss	$ 6,200,000		$ 6,200,000
Loans receivable with variable interest rates	94.00%		94.00%			92.00%
Commercial Mortgage Loans | Extended Maturity
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Allowance for loan loss	$ 9,900,000		$ 9,900,000
Restructuring, carrying value	$ 109,500,000		109,500,000
Number of loans restructured | loan	2
Commercial Mortgage Loans | Payment Deferral, Forbearance
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Number of loans restructured | loan	1
Forbearance duration	120 days
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	$ (4,900,000)		57,400,000
Residential Mortgage Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Assets	200,000		200,000			$ 1,600,000,000
Loans	$ 50,000,000		$ 50,000,000			$ 66,700,000
Percent of adjustable-rate loans	35.00%		35.00%			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	$ (5,400,000)		$ 4,500,000	$ 0
Loans	2,061,878,000		2,061,878,000			$ 2,144,850,000		$ 1,887,182,000
Principal balance	9,700,000		29,300,000
Carrying value	9,600,000		21,900,000
Loans on nonaccrual status	12.9		12.9			12,200,000
Debt	4,800,000		4,800,000
Allowance for loan losses, writeoffs			11,900,000
Unfunded commitments	61,300,000		61,300,000			81,200,000
Unfunded commitments, expected credit loss	700,000		700,000
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	(11,600,000)		$ 10,100,000
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	1,320,115,000		$ 1,320,115,000			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	741,763,000		741,763,000			$ 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	9 Months Ended
	Sep. 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	1,808,766
Sales and transfers	(2,728,213)
Principal payments	(621,804)
Gains / (losses)	(106,481)
(Amortization) / accretion	6,976
Ending balance	2,788,341	[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	935,232
Sales and transfers	(2,258,330)
Principal payments	(151,708)
Gains / (losses)	(14,980)
(Amortization) / accretion	(5,042)
Ending balance	152,959
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	194,926
Sales and transfers	(148,036)
Principal payments	(59,675)
Gains / (losses)	(81,659)
(Amortization) / accretion	1,835
Ending balance	573,504
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	678,608
Sales and transfers	(321,847)
Principal payments	(410,421)
Gains / (losses)	(9,842)
(Amortization) / accretion	10,183
Ending balance	$ 2,061,878
[1]	Derived from the audited consolidated financial statements at December 31, 2019.
[2]	Includes $50.0 million and $66.7 million of residential mortgage loans held for sale at September 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	Sep. 30, 2020	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Fair value	$ 3,741,638	$ 4,246,161
Unpaid principal balance	$ 3,666,420	$ 4,133,149

LOANS - Summary of Comprehensiv

LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Interest income	$ 447,317	$ 152,394	$ 897,650	$ 548,266
Net gains (losses) on disposal of investments and other			652,150	(65,727)
Net income (loss) attributable to Annaly	1,015,674	(747,059)	(1,768,379)	(3,372,539)
Residential Mortgage Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Interest income	42,508	37,673	132,937	102,689
Net gains (losses) on disposal of investments and other	(4,638)	(9,671)	(22,014)	(19,499)
Net unrealized gains (losses) on instruments measured at fair value through earnings	77,837	18,093	(4,381)	61,805
Net income (loss) attributable to Annaly	$ 115,707	$ 46,095	$ 106,542	$ 144,995

LOANS - Geographic Concentratio

LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk	9 Months Ended	12 Months Ended
	Sep. 30, 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	50.10%	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	12.80%	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	5.80%	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	31.30%	32.10%

LOANS - Additional Data On Resi

LOANS - Additional Data On Residential Mortgage Loans (Details) - Residential Mortgage Loans $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 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	$ 3,666,420	$ 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	0.50%	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	$ 458	$ 459
Interest rate	4.88%	4.94%
FICO score at loan origination | point	756	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	Sep. 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	$ 72,765,742	$ 113,123,301
Commercial Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	1,590,637	1,627,109
Loans	$ 1,456,459	$ 1,606,091	$ 1,296,803
Percentage of Loan Portfolio	100.00%	100.00%
Carrying value, unamortized origination fees	$ 5,900	$ 8,300
Commercial Mortgage | Office
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 666,115	$ 681,129
Percentage of Loan Portfolio	45.70%	42.40%
Commercial Mortgage | Retail
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 278,714	$ 389,076
Percentage of Loan Portfolio	19.10%	24.20%
Commercial Mortgage | Multifamily
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 279,430	$ 262,302
Percentage of Loan Portfolio	19.20%	16.30%
Commercial Mortgage | Hotel
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 121,829	$ 135,681
Percentage of Loan Portfolio	8.40%	8.40%
Commercial Mortgage | Industrial
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 58,890	$ 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	$ 31,805	$ 36,589
Percentage of Loan Portfolio	2.20%	2.30%
Commercial Mortgage | Healthcare
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 19,676	$ 18,873
Percentage of Loan Portfolio	1.40%	1.30%
Commercial Mortgage | Senior mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 469,813	$ 503,499
Loans	$ 450,177	$ 499,690	981,202
Percentage of Loan Portfolio	29.50%	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	$ 939,654	$ 940,546
Loans	$ 882,955	$ 936,378	0
Percentage of Loan Portfolio	59.10%	57.80%
Commercial Mortgage | Mezzanine loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 181,170	$ 183,064
Loans	$ 123,327	$ 170,023	$ 315,601
Percentage of Loan Portfolio	11.40%	11.30%

LOANS - Commercial Real Estate

LOANS - Commercial Real Estate Held for Investment (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2020	Dec. 31, 2019
Allowance for loan losses
Principal payments	$ (621,804)
Realized gain	(106,481)
Beginning allowance	(20,100)
Ending allowance	(168,000)	$ (20,100)
Commercial Mortgage
Allowance for loan losses
Beginning balance	1,606,091	1,296,803
Originations & advances	195,818	593,913
Principal payments	(115,692)	(316,663)
Principal write off	(7,000)
Transfers (3)	(110,252)	40,058
Net (increase) decrease in origination fees	(892)	(4,384)
Realized gain	204
Amortization of net origination fees	3,743	5,571
Net (increase) decrease in allowance		(9,207)
Beginning allowance	(12,703)
Current period allowance	(131,482)
Write offs	23,687
Ending allowance	(128,264)	(12,703)
Ending balance	1,456,459	1,606,091
Mezzanine loans | Commercial Mortgage
Allowance for loan losses
Beginning balance	170,023	315,601
Originations & advances	12,206	21,709
Principal payments	0	(149,633)
Principal write off	(7,000)
Transfers (3)	(7,100)	(8,675)
Net (increase) decrease in origination fees	(80)	(184)
Realized gain	0
Amortization of net origination fees	140	412
Net (increase) decrease in allowance		(9,207)
Beginning allowance	(12,703)
Current period allowance	(67,213)
Write offs	23,687
Ending allowance	(57,565)	(12,703)
Ending balance	123,327	170,023
Impact of adopting CECL | Commercial Mortgage
Allowance for loan losses
Beginning allowance	(7,766)
Ending allowance		(7,766)
Impact of adopting CECL | Mezzanine loans | Commercial Mortgage
Allowance for loan losses
Beginning allowance	(1,336)
Ending allowance		(1,336)
CECL provision, adjusted balance | Commercial Mortgage
Allowance for loan losses
Beginning balance	1,618,794
Ending balance		1,618,794
CECL provision, adjusted balance | Mezzanine loans | Commercial Mortgage
Allowance for loan losses
Beginning balance	182,726
Ending balance		182,726
Senior Mortgages | Commercial Mortgage
Allowance for loan losses
Beginning balance	499,690	981,202
Originations & advances	183,612	572,204
Principal payments	(59,675)	(16,785)
Principal write off	0
Transfers (3)	(157,623)	(1,034,754)
Net (increase) decrease in origination fees	(812)	(4,200)
Realized gain	204
Amortization of net origination fees	1,695	2,023
Net (increase) decrease in allowance		0
Beginning allowance	0
Current period allowance	(14,650)
Write offs	0
Ending allowance	(16,914)	0
Ending balance	450,177	499,690
Senior Mortgages | Impact of adopting CECL | Commercial Mortgage
Allowance for loan losses
Beginning allowance	(2,264)
Ending allowance		(2,264)
Senior Mortgages | CECL provision, adjusted balance | Commercial Mortgage
Allowance for loan losses
Beginning balance	499,690
Ending balance		499,690
Senior Securitized Mortgages | Commercial Mortgage
Allowance for loan losses
Beginning balance	936,378	0
Originations & advances	0	0
Principal payments	(56,017)	(150,245)
Principal write off	0
Transfers (3)	54,471	1,083,487
Net (increase) decrease in origination fees	0	0
Realized gain	0
Amortization of net origination fees	1,908	3,136
Net (increase) decrease in allowance		0
Beginning allowance	0
Current period allowance	(49,619)
Write offs	0
Ending allowance	(53,785)	0
Ending balance	882,955	936,378
Senior Securitized Mortgages | Impact of adopting CECL | Commercial Mortgage
Allowance for loan losses
Beginning allowance	(4,166)
Ending allowance		(4,166)
Senior Securitized Mortgages | CECL provision, adjusted balance | Commercial Mortgage
Allowance for loan losses
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		9 Months Ended
	Sep. 30, 2020USD ($)	Sep. 30, 2019USD ($)	Sep. 30, 2020USD ($)loan	Sep. 30, 2019USD ($)
Financing Receivable, Credit Quality Indicator [Line Items]
Loan loss provision	$ (21,993)	$ 3,504	$ 146,084	$ 9,207
Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	1,456,459		1,456,459
2020	158,076		158,076
2019	543,701		543,701
2018	377,826		377,826
2017	176,674		176,674
2016	68,358		68,358
Prior	131,824		131,824
Accrued interest receivable	4,100		4,100
Performing | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	354,960		354,960
2020	92,076		92,076
2019	168,409		168,409
2018	0		0
2017	12,447		12,447
2016	0		0
Prior	82,028		82,028
Closely Monitored | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	158,701		158,701
2020	0		0
2019	158,701		158,701
2018	0		0
2017	0		0
2016	0		0
Prior	0		0
Special Mention | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	676,700		676,700
2020	56,845		56,845
2019	216,591		216,591
2018	270,767		270,767
2017	64,139		64,139
2016	68,358		68,358
Prior	0		0
Substandard | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	169,058		169,058
2020	9,155		9,155
2019	0		0
2018	67,391		67,391
2017	42,716		42,716
2016	0		0
Prior	49,796		49,796
Doubtful | Commercial Mortgage
Financing Receivable, Credit Quality Indicator [Line Items]
Total	97,040		97,040
2020	0		0
2019	0		0
2018	39,668		39,668
2017	57,372		57,372
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	Sep. 30, 2020	Dec. 31, 2019
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 2,061,878	$ 2,144,850
Computer Programming, Data Processing & Other Computer Related Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	409,644	394,193
Management & Public Relations Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	257,404	339,179
Industrial Inorganic Chemicals
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	141,941	0
Public Warehousing & Storage
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	124,836	107,029
Engineering, Architectural, and Surveying
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	110,984	124,201
Metal Cans & Shipping Containers
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	110,478	118,456
Offices & Clinics of Doctors of Medicine
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	104,064	106,993
Surgical, Medical & Dental Instruments & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	99,444	102,182
Electronic Components & Accessories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	78,114	24,000
Insurance Agents, Brokers and Service
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	68,577	75,410
Telephone Communications
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	58,233	61,210
Miscellaneous Health & Allied Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	52,307	78,908
Miscellaneous Equipment Rental & Leasing
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,589	49,776
Electric Work
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	41,170	43,175
Medical & Dental Laboratories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	40,477	41,344
Research, Development & Testing Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	29,648	45,610
Metal Forgings & Stampings
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	29,390	0
Home Health Care Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	28,914	29,361
Motor Vehicles and Motor Vehicle Parts & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	28,545	28,815
Legal Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	26,420	0
Petroleum and Petroleum Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	24,709	24,923
Grocery Stores
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	22,937	23,248
Coating, Engraving and Allied Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,456	47,249
Schools & Educational Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,325	19,586
Chemicals & Allied Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,595	15,002
Miscellaneous Business Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,953	164,033
Drugs
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,952	15,923
Mailing, Reproduction, Commercial Art and Photography and Stenographic
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,879	14,755
Machinery, Equipment & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,080	0
Miscellaneous Plastic Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	9,940	10,000
Offices and Clinics of Other Health Practitioners
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	9,873	10,098
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	Sep. 30, 2020	Dec. 31, 2019
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 2,061,878	$ 2,144,850
First lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	1,320,115	1,396,140
Second lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 741,763	$ 748,710

LOANS - Corporate Debt Held for

LOANS - Corporate Debt Held for Investment (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2020	Dec. 31, 2019
Financing Receivable, Allowance for Credit Loss [Line Items]
Principal payments	$ (621,804)
Sales	(2,728,213)
Corporate Loans
Financing Receivable, Allowance for Credit Loss [Line Items]
Beginning balance	2,152,213
Beginning balance	2,144,850	$ 1,887,182
Originations & advances	678,608	888,036
Principal payments	(410,421)	(368,927)
Amortization & accretion of (premium) discounts	10,183	8,896
Loan restructuring	(16,732)
Sales	(312,250)	(262,974)
Net (increase) decrease in allowance		(7,363)
Allowance for loan losses
Current period allowance	(14,601)
Write offs	11,894
Ending allowance	(39,723)
Ending balance	2,061,878	2,144,850
Corporate Loans | First lien loans
Financing Receivable, Allowance for Credit Loss [Line Items]
Beginning balance	1,403,503
Beginning balance	1,396,140	1,346,356
Originations & advances	499,623	542,463
Principal payments	(311,856)	(228,302)
Amortization & accretion of (premium) discounts	6,826	5,960
Loan restructuring	(19,550)
Sales	(242,658)	(262,974)
Net (increase) decrease in allowance		(7,363)
Allowance for loan losses
Current period allowance	(9,517)
Write offs	11,894
Ending allowance	(15,773)
Ending balance	1,320,115	1,396,140
Corporate Loans | Second lien loans
Financing Receivable, Allowance for Credit Loss [Line Items]
Beginning balance	748,710
Beginning balance	748,710	540,826
Originations & advances	178,985	345,573
Principal payments	(98,565)	(140,625)
Amortization & accretion of (premium) discounts	3,357	2,936
Loan restructuring	2,818
Sales	(69,592)	0
Net (increase) decrease in allowance		0
Allowance for loan losses
Current period allowance	(5,084)
Write offs	0
Ending allowance	(23,950)
Ending balance	741,763	748,710
Impact of adopting CECL | Corporate Loans
Allowance for loan losses
Beginning allowance	(29,653)
Ending allowance		(29,653)
Impact of adopting CECL | Corporate Loans | First lien loans
Allowance for loan losses
Beginning allowance	(10,787)
Ending allowance		(10,787)
Impact of adopting CECL | Corporate Loans | Second lien loans
Allowance for loan losses
Beginning allowance	(18,866)
Ending allowance		(18,866)
CECL provision, adjusted balance | Corporate Loans
Allowance for loan losses
Beginning allowance	(7,363)
Ending allowance		(7,363)
CECL provision, adjusted balance | Corporate Loans | First lien loans
Allowance for loan losses
Beginning allowance	(7,363)
Ending allowance		(7,363)
CECL provision, adjusted balance | Corporate Loans | Second lien loans
Allowance for loan losses
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	Sep. 30, 2020USD ($)
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	$ 2,062,452
2020	282,951
2019	443,678
2018	781,480
2017	394,073
2016	117,111
2015	34,268
Revolvers	8,891
Accrued interest receivable	11,900
Performing
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	1,520,243
2020	259,377
2019	373,388
2018	457,891
2017	295,371
2016	95,256
2015	34,268
Revolvers	4,692
Special Mention
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	294,795
2020	23,574
2019	38,874
2018	168,115
2017	38,178
2016	21,855
2015	0
Revolvers	4,199
Substandard
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	234,535
2020	0
2019	31,416
2018	142,595
2017	60,524
2016	0
2015	0
Revolvers	0
Doubtful
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	12,879
2020	0
2019	0
2018	12,879
2017	0
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		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Servicing Asset at Fair Value, Amount [Roll Forward]
Fair value, beginning of period	$ 227,400	$ 425,328	$ 378,078	$ 557,813
Changes in valuation inputs or assumptions	7,633	(17,312)	(99,220)	(116,150)
Other changes, including realization of expected cash flows	(27,048)	(21,965)	(70,873)	(55,612)
Fair value, end of period	$ 207,985	$ 386,051	$ 207,985	$ 386,051

MORTGAGE SERVICING RIGHTS - Add

MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Bank Servicing
Servicing Assets at Fair Value [Line Items]
Service income fee	$ 15.1	$ 27.7	$ 54.4	$ 82.9

VARIABLE INTEREST ENTITIES - Ad

VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($)		1 Months Ended	3 Months Ended		9 Months Ended		12 Months Ended
		Aug. 31, 2017	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019	Dec. 31, 2019		Jul. 31, 2020	Mar. 31, 2020	Feb. 29, 2020	Jan. 31, 2020	Nov. 30, 2019	Oct. 31, 2019	Jul. 31, 2019	Jun. 30, 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]		$ 2,788,341,000		$ 2,788,341,000		$ 4,462,350,000	[2]
Securitized debt of consolidated VIEs			6,027,576,000		6,027,576,000		5,622,801,000	[2]
Mortgage-backed securities	[3]		76,098,985,000		76,098,985,000		114,833,580,000	[2]
Costs incurred in connection with securitization			48,832,000	$ 66,138,000	194,127,000	$ 228,283,000
Gain on disposal of investments and other			198,888,000	66,522,000	652,150,000	(65,727,000)
Other secured financing			861,373,000		861,373,000		4,455,700,000	[2]
Corporate Loans
Variable Interest Entity [Line Items]
Loans 90 days or more past due or on nonaccrual status			12.9		12.9		12,200,000
Loans			2,061,878,000		2,061,878,000		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			3,200,000,000		3,200,000,000
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 financing			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			32,600,000		32,600,000		57,300,000
Other secured financing			0		0		0
Consolidated VIEs | Borrower
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity			625,000,000		625,000,000
Other secured financing			412,700,000		412,700,000
Consolidated VIEs | Consolidation, Eliminations | Borrower
Variable Interest Entity [Line Items]
Principal receivable			412,700,000		412,700,000
Consolidated VIEs | Corporate Loans | Borrower
Variable Interest Entity [Line Items]
Transferred loans pledged as collateral for credit facility			717,500,000		717,500,000
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			629,200,000		629,200,000
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			205,200,000		205,200,000
Consolidated VIEs | OBX Trust
Variable Interest Entity [Line Items]
Loans			514,609,000		514,609,000				$ 489,352,000		$ 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
Securitized debt of consolidated VIEs			2,900,000,000		2,900,000,000
Costs incurred in connection with securitization			2,800,000	$ 2,600,000	7,100,000	$ 7,300,000
Contractual principal amount of debt held by third parties			2,900,000,000		2,900,000,000
Consolidated VIEs | OBX Trust | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Mortgage-backed securities			641,300,000		641,300,000
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			411,700,000		411,700,000
Other secured financing			219,600,000		219,600,000
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			317,300,000		317,300,000
Other secured financing			196,300,000		196,300,000
VIE, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Loans transferred for cash			22,200,000		145,500,000
Multifamily | Consolidated VIEs
Variable Interest Entity [Line Items]
Cut-off date principal balance										$ 500,000,000			$ 1,000,000,000
Gain on disposal of investments and other			104,800,000
Derecognized assets, securities			1,200,000,000
Derecognized assets, securitization vehicles			$ 1,100,000,000
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 $50.0 million and $66.7 million of residential mortgage loans held for sale at September 30, 2020 and December 31, 2019, respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2019.
[3]	Excludes $50.3 million and $102.5 million at September 30, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $544.0 million and $468.0 million at September 30, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $392.6 million and $500.3 million at September 30, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.

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	Sep. 30, 2020	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
OBX Trust | Consolidated VIEs
Variable Interest Entity [Line Items]
Loans	$ 514,609	$ 489,352	$ 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		Sep. 30, 2020	Dec. 31, 2019
Assets
Cash and cash equivalents	[1]	$ 1,239,982	$ 1,850,729	[2]
Assets transferred or pledged to securitization vehicles		7,269,402	7,002,460	[2]
Mortgage servicing rights		207,985	378,078	[2]
Principal and interest receivable		281,009	449,906	[2]
Other assets		221,765	381,220	[2]
Total assets		89,192,411	130,295,081	[2]
Liabilities
Other secured financing		861,373	4,455,700	[2]
Interest payable		155,338	476,335	[2]
Other liabilities		144,745	93,388	[2]
Total liabilities		74,997,739	114,498,737	[2]
Consolidated VIEs
Assets
Cash and cash equivalents		84,900	67,500
Consolidated VIEs | Commercial Trusts
Assets
Cash and cash equivalents		0	0
Loans		0	0
Assets transferred or pledged to securitization vehicles		2,174,118	2,345,120
Mortgage servicing rights		0	0
Principal and interest receivable		5,370	7,085
Other assets		0	0
Total assets		2,179,488	2,352,205
Liabilities
Debt issued by securitization vehicles (non-recourse)		1,843,036	1,967,523
Other secured financing		0	0
Payable for unsettled trades		0	0
Interest payable		1,594	3,008
Other liabilities		0	0
Total liabilities		1,844,630	1,970,531
Consolidated VIEs | Residential Trusts
Assets
Cash and cash equivalents		0	0
Loans		0	0
Assets transferred or pledged to securitization vehicles		50,810	75,924
Mortgage servicing rights		0	0
Principal and interest receivable		324	408
Other assets		0	0
Total assets		51,134	76,332
Liabilities
Debt issued by securitization vehicles (non-recourse)		33,084	57,905
Other secured financing		0	0
Payable for unsettled trades		0	0
Interest payable		78	137
Other liabilities		201	78
Total liabilities		33,363	58,120
Consolidated VIEs | MSR Silo
Assets
Cash and cash equivalents		84,904	67,455
Loans		50,042	66,722
Assets transferred or pledged to securitization vehicles		0	0
Mortgage servicing rights		207,985	378,078
Principal and interest receivable		0	0
Other assets		23,087	27,021
Total assets		366,018	539,276
Liabilities
Debt issued by securitization vehicles (non-recourse)		0	0
Other secured financing		32,842	38,981
Payable for unsettled trades		6,203	18,364
Interest payable		0	0
Other liabilities		2,830	2,393
Total liabilities		$ 41,875	$ 59,738
[1]	Includes cash of consolidated Variable Interest Entities (“VIEs”) of $84.9 million and $67.5 million at September 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	9 Months Ended
	Sep. 30, 2020USD ($)
Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	$ 3,263,337
Residential Trusts
Concentration Risk [Line Items]
Principal Balance	50,253
California
Concentration Risk [Line Items]
Principal Balance	1,236,527
California | Residential Trusts
Concentration Risk [Line Items]
Principal Balance	22,925
Texas | Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	477,642
Texas | Residential Trusts
Concentration Risk [Line Items]
Principal Balance	7,481
New York | Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	381,425
Illinois | Residential Trusts
Concentration Risk [Line Items]
Principal Balance	6,504
Florida | Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	180,892
Other | Commercial Trusts
Concentration Risk [Line Items]
Principal Balance	986,851
Other | Residential Trusts
Concentration Risk [Line Items]
Principal Balance	$ 13,343
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	37.90%
Securitized Loans | Geographic Concentration Risk | California | Residential Trusts
Concentration Risk [Line Items]
% of Balance	45.60%
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	14.90%
Securitized Loans | Geographic Concentration Risk | New York | Commercial Trusts
Concentration Risk [Line Items]
% of Balance	11.70%
Securitized Loans | Geographic Concentration Risk | Illinois | Residential Trusts
Concentration Risk [Line Items]
% of Balance	12.90%
Securitized Loans | Geographic Concentration Risk | Florida | Commercial Trusts
Concentration Risk [Line Items]
% of Balance	5.50%
Securitized Loans | Geographic Concentration Risk | Other | Commercial Trusts
Concentration Risk [Line Items]
% of Balance	30.30%
Securitized Loans | Geographic Concentration Risk | Other | Residential Trusts
Concentration Risk [Line Items]
% of Balance	26.60%

REAL ESTATE - Summary of Estima

REAL ESTATE - Summary of Estimated Useful Lives of Assets (Details)	9 Months Ended
	Sep. 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		9 Months Ended
	Sep. 30, 2020USD ($)	Sep. 30, 2019USD ($)	Sep. 30, 2020USD ($)property	Sep. 30, 2019USD ($)property	Dec. 31, 2019USD ($)
Real Estate Properties [Line Items]
Real estate acquired in settlement of residential mortgage loans	$ 0		$ 0		$ 0
Number of commercial real estate acquisitions, foreclosure | property			2
Foreclosure agreement, amount	79,800,000		$ 79,800,000
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)			6 years
General and Administrative Expense
Real Estate Properties [Line Items]
Depreciation expense	$ 6,200,000	$ 6,000,000	$ 17,400,000	$ 17,800,000

REAL ESTATE - Total Commercial

REAL ESTATE - Total Commercial Real Estate Held for Investments (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Real estate held for investment, at amortized cost
Subtotal	$ 786,490	$ 704,354
Less: accumulated depreciation	(104,978)	(87,532)
Total real estate held for investment, at amortized cost, net	681,512	616,822
Equity in unconsolidated joint ventures	109,085	108,816
Total real estate, net	790,597	725,638	[1]
Land
Real estate held for investment, at amortized cost
Subtotal	173,220	121,720
Buildings and improvements
Real estate held for investment, at amortized cost
Subtotal	601,783	571,396
Furniture, fixtures and equipment
Real estate held for investment, at amortized cost
Subtotal	$ 11,487	$ 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	Sep. 30, 2020USD ($)
Real Estate [Abstract]
2020 (remaining)	$ 14,768
2021	55,088
2022	50,685
2023	47,119
2024	42,429
Later years	191,310
Total	$ 401,399

DERIVATIVE INSTRUMENTS - Additi

DERIVATIVE INSTRUMENTS - Additional Information (Details) - USD ($) $ in Millions	Sep. 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	$ 1,700	$ 517.8

DERIVATIVE INSTRUMENTS - Summar

DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Assets
Interest rate swaps	$ 0	$ 1,199
Derivative assets	103,245	113,556	[1]
Liabilities
Interest rate swaps	1,126,179	706,862
Derivative liabilities	1,182,681	803,866	[1]
Futures contracts
Assets
Other derivative assets	550	77,889
Derivative assets	550	77,889
Liabilities
Other derivative liabilities	7,792	84,781
Derivative liabilities	7,792	84,781
Purchase commitments
Assets
Other derivative assets	438	2,050
Derivative assets	438	2,050
Liabilities
Other derivative liabilities	488	907
Derivative liabilities	488	907
Interest rate swaptions
Assets
Other derivative assets	63,601	11,580
Derivative assets	63,601	11,580
TBA derivatives
Assets
Other derivative assets	38,656	15,181
Derivative assets	38,656	15,181
Liabilities
Other derivative liabilities	21,140	11,316
Derivative liabilities	21,140	11,316
Credit derivatives
Assets
Other derivative assets	0	5,657
Derivative assets		5,657
Liabilities
Other derivative liabilities	27,082	0
Derivative liabilities	27,082
Notional Amount	0	10,000
Credit derivatives | Maximum
Liabilities
Notional Amount	$ 499,000	$ 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 ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2020	Dec. 31, 2019
Federal funds index swap
Derivative [Line Items]
Notional Amount, Percentage	0.77
Interest rate swaps, at fair value
Derivative [Line Items]
Current Notional	$ 32,227,200,000	$ 74,146,350,000
Weighted Average Pay Rate	0.91%	1.84%
Weighted Average Receive Rate	0.48%	1.89%
Weighted Average Underlying Years to Maturity	4 years 6 months 3 days	4 years 2 months 23 days
Notional Amount, Percentage	0.12	0.75
Interest rate swaps, at fair value | 0 - 3 years
Derivative [Line Items]
Current Notional	$ 17,816,700,000	$ 38,942,400,000
Weighted Average Pay Rate	0.14%	1.60%
Weighted Average Receive Rate	0.41%	1.84%
Weighted Average Underlying Years to Maturity	2 years 3 months 7 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	$ 7,255,000,000	$ 16,097,450,000
Weighted Average Pay Rate	0.69%	1.77%
Weighted Average Receive Rate	0.09%	1.87%
Weighted Average Underlying Years to Maturity	3 years 10 months 13 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	$ 5,806,500,000	$ 16,176,500,000
Weighted Average Pay Rate	1.43%	2.20%
Weighted Average Receive Rate	0.65%	2.02%
Weighted Average Underlying Years to Maturity	8 years 1 month 2 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	$ 1,349,000,000	$ 2,930,000,000
Weighted Average Pay Rate	2.90%	3.76%
Weighted Average Receive Rate	0.39%	1.86%
Weighted Average Underlying Years to Maturity	21 years 10 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	0.11	0.25
Forward starting pay fixed swaps
Derivative [Line Items]
Current Notional	$ 655,000,000	$ 0

DERIVATIVE INSTRUMENTS - Summ_3

DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2020	Dec. 31, 2019
Long pay
Derivative [Line Items]
Current Notional	$ 6,550,000	$ 4,675,000
Weighted Average Underlying Fixed Rate	1.29%	2.53%
Weighted Average Underlying Years to Maturity	10 years 7 months 6 days	9 years 2 months 19 days
Weighted Average Months to Expiration	7 years 11 months 19 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 3 months 7 days	10 years 3 months 14 days
Weighted Average Months to Expiration	3 years 2 months 12 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	9 Months Ended	12 Months Ended
	Sep. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Notional	$ 20,294,000	$ 6,899,000
Implied Cost Basis	21,072,039	6,888,405
Implied Market Value	21,089,555	6,892,270
Net Carrying Value	17,516	3,865
Purchase contracts
Derivative [Line Items]
Notional	20,394,000	10,043,000
Implied Cost Basis	21,176,883	10,182,891
Implied Market Value	21,194,446	10,192,038
Net Carrying Value	17,563	9,147
Sale contracts
Derivative [Line Items]
Notional	(100,000)	(3,144,000)
Implied Cost Basis	(104,844)	(3,294,486)
Implied Market Value	(104,891)	(3,299,768)
Net Carrying Value	$ (47)	$ (5,282)

DERIVATIVE INSTRUMENTS - Summ_5

DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 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 Long (Short)		$ 0
U.S. Treasury futures | 2 Year | Notional - Short Positions
Derivative [Line Items]
Notional Amount Long (Short)		$ 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 Long (Short)		$ 0
U.S. Treasury futures | 5 Year | Notional - Short Positions
Derivative [Line Items]
Notional Amount Long (Short)		$ 2,953,300
U.S. Treasury futures | 10 Year and Greater
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	6 years 10 months 24 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 Long (Short)	$ 0	$ 2,600,000
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions
Derivative [Line Items]
Notional Amount Long (Short)	$ 2,822,800	$ 5,806,400
Futures contracts
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	6 years 10 months 24 days	8 years 3 months 3 days
Futures contracts | Notional - Long Positions
Derivative [Line Items]
Notional Amount Long (Short)	$ 0	$ 2,600,000
Futures contracts | Notional - Short Positions
Derivative [Line Items]
Notional Amount Long (Short)	$ 2,822,800	$ 8,939,700

DERIVATIVE INSTRUMENTS - Offset

DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Assets
Gross Amounts	$ 103,245	$ 113,556	[1]
Liabilities
Gross Amounts	1,182,681	803,866	[1]
Futures contracts, at fair value
Assets
Gross Amounts	550	77,889
Financial Instruments	(550)	(10,902)
Cash Collateral	0	0
Net Amounts	0	66,987
Liabilities
Gross Amounts	7,792	84,781
Financial Instruments	(550)	(10,902)
Cash Collateral	(7,242)	(73,879)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	438	2,050
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	438	2,050
Liabilities
Gross Amounts	488	907
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	488	907
Interest rate swaps, at fair value
Assets
Gross Amounts		1,199
Financial Instruments		(951)
Cash Collateral		0
Net Amounts		248
Liabilities
Gross Amounts	1,126,179	706,862
Financial Instruments	0	(951)
Cash Collateral	(117,947)	(104,205)
Net Amounts	1,008,232	601,706
Interest rate swaptions, at fair value
Assets
Gross Amounts	63,601	11,580
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	63,601	11,580
TBA derivatives, at fair value
Assets
Gross Amounts	38,656	15,181
Financial Instruments	(18,950)	(5,018)
Cash Collateral	0	0
Net Amounts	19,706	10,163
Liabilities
Gross Amounts	21,140	11,316
Financial Instruments	(18,950)	(5,018)
Cash Collateral	0	0
Net Amounts	2,190	6,298
Credit derivatives
Assets
Gross Amounts		5,657
Financial Instruments		0
Cash Collateral		0
Net Amounts		$ 5,657
Liabilities
Gross Amounts	27,082
Financial Instruments	0
Cash Collateral	(27,082)
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		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Net Interest Component of Interest Rate Swaps	$ (62,529)	$ 88,466	$ (141,070)	$ 306,154
Realized Gains (Losses) on Termination of Interest Rate Swaps	(427)	(682,602)	(1,919,720)	(1,438,349)
Unrealized Gains (Losses) on Interest Rate Swaps	$ 170,327	$ (326,309)	$ (1,162,768)	$ (1,992,884)

DERIVATIVE INSTRUMENTS - Effe_2

DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ 170,327	$ (326,309)	$ (1,162,768)	$ (1,992,884)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	169,316	(16,888)	546,658	(638,458)
Futures
Derivative [Line Items]
Realized Gain (Loss)	(19,989)	(424,268)	(299,220)	(1,430,450)
Unrealized Gains (Losses) on Interest Rate Swaps	10,337	364,613	(350)	484,146
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(9,652)	(59,655)	(299,570)	(946,304)
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	(51)	(348)	(1,194)	1,903
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(51)	(348)	(1,194)	1,903
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	276,849	93,919	798,459	481,865
Unrealized Gains (Losses) on Interest Rate Swaps	(100,680)	(46,124)	13,651	(154,355)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	176,169	47,795	812,110	327,510
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(9,836)	(2,778)	11,730	(44,088)
Unrealized Gains (Losses) on Interest Rate Swaps	3,263	(4,571)	50,762	7,935
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(6,573)	(7,349)	62,492	(36,153)
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,531	1,784	4,659	5,285
Unrealized Gains (Losses) on Interest Rate Swaps	7,892	885	(31,839)	9,301
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ 9,423	$ 2,669	$ (27,180)	$ 14,586

FAIR VALUE MEASUREMENTS - Estim

FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands		Sep. 30, 2020	Jun. 30, 2020	Dec. 31, 2019		Sep. 30, 2019	Jun. 30, 2019	Dec. 31, 2018
Assets
Mortgage-backed securities	[1]	$ 76,098,985		$ 114,833,580	[2]
Loans
Mortgage servicing rights		207,985	$ 227,400	378,078		$ 386,051	$ 425,328	$ 557,813
Assets transferred or pledged to securitization vehicles		7,269,402		7,002,460	[2]
Interest rate swaps		0		1,199
Derivative liabilities
Interest rate swaps		1,126,179		706,862
Residential Mortgage Loans
Loans
Residential mortgage loans		3,741,638		4,246,161
Fair Value, Measurements, Recurring
Assets
Agency mortgage-backed securities		74,915,167		112,893,367
Credit risk transfer securities		411,538		531,322
Loans
Mortgage servicing rights		207,985		378,078
Assets transferred or pledged to securitization vehicles		6,386,447		6,066,082
Interest rate swaps				1,199
Derivative assets
Other derivatives		103,245		112,357
Total assets		82,949,621		123,039,083
Liabilities
Debt issued by securitization vehicles		6,027,576		5,622,801
Derivative liabilities
Interest rate swaps		1,126,179		706,862
Other derivatives		56,502		97,004
Total liabilities		7,210,257		6,426,667
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities
Assets
Mortgage-backed securities		717,602		1,135,868
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities
Assets
Mortgage-backed securities		54,678		273,023
Fair Value, Measurements, Recurring | Residential Mortgage Loans
Loans
Residential mortgage loans		152,959		1,647,787
Fair Value, Measurements, Recurring | Level 1
Assets
Agency mortgage-backed securities		0		0
Credit risk transfer securities		0		0
Loans
Mortgage servicing rights		0		0
Assets transferred or pledged to securitization vehicles		0		0
Interest rate swaps				0
Derivative assets
Other derivatives		550		77,889
Total assets		550		77,889
Liabilities
Debt issued by securitization vehicles		0		0
Derivative liabilities
Interest rate swaps		0		0
Other derivatives		7,792		84,781
Total liabilities		7,792		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
Loans
Residential mortgage loans		0		0
Fair Value, Measurements, Recurring | Level 2
Assets
Agency mortgage-backed securities		74,915,167		112,893,367
Credit risk transfer securities		411,538		531,322
Loans
Mortgage servicing rights		0		0
Assets transferred or pledged to securitization vehicles		6,386,447		6,066,082
Interest rate swaps				1,199
Derivative assets
Other derivatives		102,695		34,468
Total assets		82,741,086		122,583,116
Liabilities
Debt issued by securitization vehicles		6,027,576		5,622,801
Derivative liabilities
Interest rate swaps		1,126,179		706,862
Other derivatives		48,710		12,223
Total liabilities		7,202,465		6,341,886
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities
Assets
Mortgage-backed securities		717,602		1,135,868
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities
Assets
Mortgage-backed securities		54,678		273,023
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans
Loans
Residential mortgage loans		152,959		1,647,787
Fair Value, Measurements, Recurring | Level 3
Assets
Agency mortgage-backed securities		0		0
Credit risk transfer securities		0		0
Loans
Mortgage servicing rights		207,985		378,078
Assets transferred or pledged to securitization vehicles		0		0
Interest rate swaps				0
Derivative assets
Other derivatives		0		0
Total assets		207,985		378,078
Liabilities
Debt issued by securitization vehicles		0		0
Derivative liabilities
Interest rate swaps		0		0
Other derivatives		0		0
Total liabilities		0		0
Fair Value, Measurements, Recurring | Level 3 | 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
Loans
Residential mortgage loans		$ 0		$ 0
[1]	Excludes $50.3 million and $102.5 million at September 30, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $544.0 million and $468.0 million at September 30, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $392.6 million and $500.3 million at September 30, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[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	9 Months Ended	12 Months Ended
	Sep. 30, 2020USD ($)	Dec. 31, 2019USD ($)
Minimum
Fair Value, Option, Quantitative Disclosures [Line Items]
Unobservable input, cost to service	$ 83	$ 81
Maximum
Fair Value, Option, Quantitative Disclosures [Line Items]
Unobservable input, cost to service	223	135
Weighted Average
Fair Value, Option, Quantitative Disclosures [Line Items]
Unobservable input, cost to service	$ 128	$ 107
Discount Rate | Minimum
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.090	0.090
Discount Rate | Maximum
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.120	0.120
Discount Rate | Weighted Average
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.094	0.093
Prepayment Rate | Minimum
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.146	0.063
Prepayment Rate | Maximum
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.480	0.266
Prepayment Rate | Weighted Average
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.340	0.137
Delinquency Rate | Minimum
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0	0
Delinquency Rate | Maximum
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.170	0.040
Delinquency Rate | Weighted Average
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.049	0.022

FAIR VALUE MEASUREMENTS - Est_2

FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Financial liabilities
Other secured financing	$ 861,373	$ 4,455,700	[1]
Carrying Value | Level 2
Financial liabilities
Repurchase agreements	64,633,447	101,740,728
Other secured financing	861,373	4,455,700
Carrying Value | Level 3
Financial assets
Commercial real estate debt and preferred equity, held for investment	1,456,459	1,606,091
Corporate debt, held for investment	2,061,878	2,144,850
Financial liabilities
Mortgages payable	507,934	485,005
Fair Value | Level 2
Financial liabilities
Repurchase agreements	64,633,447	101,740,728
Other secured financing	861,373	4,455,700
Fair Value | Level 3
Financial assets
Commercial real estate debt and preferred equity, held for investment	1,529,485	1,619,018
Corporate debt, held for investment	2,011,153	2,081,327
Financial liabilities
Mortgages payable	$ 594,242	$ 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	Sep. 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	$ 41.2

GOODWILL AND INTANGIBLE ASSET_3

GOODWILL AND INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2020USD ($)
Intangible Assets [Roll Forward]
Intangible assets, net beginning of period	$ 20,957
Intangible assets acquired	50,360
Intangible assets divested	(110)
Less: amortization expense	(6,122)
Intangible assets, net end of period	$ 65,085

SECURED FINANCING - Additional

SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2020	Dec. 31, 2019
Repurchase Agreements:
Netted amounts	$ 64,633,447	$ 101,740,728	[1]
Repurchase agreements - weighted average effective borrowing rates	0.81%	1.99%
Repurchase agreements - weighted average remaining maturities	72 days	65 days
Repurchase agreement amount	$ 2,400,000
Remaining capacity of repurchase agreement	2,000,000
Other secured financing long term, amount	861,373	$ 4,455,700	[1]
Secured financings and interest rate swaps - collateral held, estimated fair value	70,600,000	112,800,000
Secured financings and interest rate swaps - collateral held, accrued interest	$ 202,700	$ 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
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		2.16%
Stock held in FHLB	$ 4,400	$ 147,900
FHLB De Moines | Maturity Period Beyond Three Years | Period One
Repurchase Agreements:
Other secured financing long term, amount		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	Sep. 30, 2020	Dec. 31, 2019
Repurchase Agreements:
Netted amounts	$ 64,633,447	$ 101,740,728	[1]
Weighted Average Rate	0.42%	2.03%
Repurchase agreements, remaining maturities, percentage		0.00%
CRTs
Repurchase Agreements:
Netted amounts	$ 231,274	$ 268,738
Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	884,809	1,024,528
Commercial Loans
Repurchase Agreements:
Netted amounts	335,111	303,078
Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	70,642
Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	62,804,603	99,591,465
Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	307,008	552,919
1 day
Repurchase Agreements:
Netted amounts	$ 2,700,000	$ 0
Weighted Average Rate	0.13%	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	2,700,000	0
1 day | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0	0
2 to 29 days
Repurchase Agreements:
Netted amounts	$ 23,894,431	$ 37,382,531
Weighted Average Rate	0.36%	2.15%
2 to 29 days | CRTs
Repurchase Agreements:
Netted amounts	$ 68,994	$ 237,897
2 to 29 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	196,748	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	23,585,476	36,030,104
2 to 29 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	43,213	416,439
30 to 59 days
Repurchase Agreements:
Netted amounts	$ 8,644,191	$ 15,300,157
Weighted Average Rate	0.51%	2.00%
30 to 59 days | CRTs
Repurchase Agreements:
Netted amounts	$ 60,651	$ 0
30 to 59 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	73,438	115,805
30 to 59 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0	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	8,463,636	15,079,989
30 to 59 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	46,466	104,363
60 to 89 days
Repurchase Agreements:
Netted amounts	$ 9,702,859	$ 22,117,735
Weighted Average Rate	0.33%	1.97%
60 to 89 days | CRTs
Repurchase Agreements:
Netted amounts	$ 50,871	$ 30,841
60 to 89 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	274,454	151,920
60 to 89 days | Commercial Loans
Repurchase Agreements:
Netted amounts	269,085	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	9,078,487	21,931,335
60 to 89 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	29,962	3,639
90 to 119 days
Repurchase Agreements:
Netted amounts	$ 5,529,036	$ 9,992,914
Weighted Average Rate	0.73%	1.97%
90 to 119 days | CRTs
Repurchase Agreements:
Netted amounts	$ 50,758	$ 0
90 to 119 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	102,189	0
90 to 119 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0	0
90 to 119 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	23,407
90 to 119 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	5,320,952	9,992,914
90 to 119 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	31,730	0
Over 120 days
Repurchase Agreements:
Netted amounts	$ 14,162,930	$ 16,947,391
Weighted Average Rate	0.45%	1.90%
Over 120 days | CRTs
Repurchase Agreements:
Netted amounts	$ 0	$ 0
Over 120 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	237,980	58,712
Over 120 days | Commercial Loans
Repurchase Agreements:
Netted amounts	66,026	303,078
Over 120 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	47,235
Over 120 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	13,656,052	16,557,123
Over 120 days | Commercial Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	$ 155,637	$ 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	Sep. 30, 2020	Dec. 31, 2019
Reverse Repurchase Agreements
Gross amounts	$ 200,000	$ 100,000
Amounts offset	(200,000)	(100,000)
Netted amounts	0	0
Repurchase Agreements
Gross amounts	64,833,447	101,840,728
Amounts offset	(200,000)	(100,000)
Netted amounts	$ 64,633,447	$ 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 ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2020	Dec. 31, 2019
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 507,934,000	$ 485,005,000
Mortgage Principal	513,182,000	490,631,000
Joint Ventures
Debt Instrument [Line Items]
Mortgage Carrying Value	316,661,000	316,566,000
Mortgage Principal	$ 318,371,000	$ 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	$ 16,575,000	$ 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	$ 81,498,000	$ 82,940,000
Mortgage Principal	$ 83,204,000	$ 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	$ 24,457,000
Mortgage Principal	$ 25,000,000
Variable interest rate	2.85%
Texas
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 31,263,000	$ 31,667,000
Mortgage Principal	$ 32,730,000	$ 33,167,000
Interest Rate	3.28%	3.28%
Utah
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 6,996,000	$ 7,077,000
Mortgage Principal	$ 7,014,000	$ 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	$ 13,090,000	$ 13,243,000
Mortgage Principal	$ 13,124,000	$ 13,276,000
Interest Rate	3.69%	3.69%
Wisconsin
Debt Instrument [Line Items]
Mortgage Carrying Value	$ 7,688,000	$ 7,777,000
Mortgage Principal	$ 7,708,000	$ 7,797,000
Interest Rate	3.69%	3.69%

SECURED FINANCING - Future Mort

SECURED FINANCING - Future Mortgage Loan Principal Payments (Details) $ in Thousands	Sep. 30, 2020USD ($)
Debt Disclosure [Abstract]
2020 (remaining)	$ 833
2021	13,197
2022	20,034
2023	28,844
2024	107,929
Later years	342,345
Total	$ 513,182

CAPITAL STOCK - Schedule of Com

CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares	Sep. 30, 2020	Dec. 31, 2019
Equity [Abstract]
Shares authorized (in shares)	2,914,850,000	2,914,850,000
Shares issued (in shares)	1,402,928,317	1,430,106,199
Shares outstanding (in shares)	1,402,928,317	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		9 Months Ended
	Jan. 31, 2018	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 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)		4,800,000	18,300,000	27,700,000	18,300,000
Aggregate stock offering price		$ 31,300,000	$ 155,000,000	$ 174,700,000	$ 155,000,000
Preferred Stock, Par or Stated Value Per Share		$ 0.01		$ 0.01		$ 0.01
Preferred stock, redemption price (in dollars per share)		$ 25		$ 25
Preferred Stock, Shares Issued		81,900,000		81,900,000		81,900,000
Series C
Class of Stock [Line Items]
Preferred stock, redemption price (in dollars per share)			$ 25		$ 25
Preferred stock redeemed (in shares)			7,000,000		7,000,000
Preferred stock dividend rate, percentage			7.625%		7.625%
Preferred stock redeemed			$ 175,000,000		$ 175,000,000
Series H
Class of Stock [Line Items]
Preferred stock, redemption price (in dollars per share)			$ 25		$ 25
Preferred stock redeemed (in shares)					2,200,000
Preferred stock dividend rate, percentage					8.125%
Preferred stock redeemed					$ 55,000,000
Series I
Class of Stock [Line Items]
Preferred stock redeemed (in shares)					17,700,000
Preferred stock dividend rate, percentage				6.75%	6.75%
Preferred stock redeemed					$ 442,500,000
Preferred Stock, Shares Issued		17,700,000		17,700,000		17,700,000
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
At-the-market Sale Program
Class of Stock [Line Items]
Sale of stock, shares issued (in shares)				0	56,000,000
Proceeds from sale of stock					$ 569,100,000
Aggregate stock offering price	$ 1,500,000,000
Preferred Stock
Class of Stock [Line Items]
Preferred stock redeemed		$ 0	$ 169,466,000	$ 0	$ 224,466,000

CAPITAL STOCK - Summary of Divi

CAPITAL STOCK - Summary of Dividend Reinvestment Plan (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019
Equity [Abstract]
Shares issued through direct purchase and dividend reinvestment program (in shares)	154,000	180,000
Amount raised from direct purchase and dividend reinvestment program	$ 1,075	$ 1,795

CAPITAL STOCK - Schedule of Pre

CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2020	Sep. 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		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 ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Dividends Payable [Line Items]
Dividends and dividend equivalents declared on common stock and share-based awards	$ 309,175	$ 359,736	$ 976,966	$ 1,158,629
Distributions declared per common share (in dollars per share)	$ 0.22	$ 0.25	$ 0.69	$ 0.80
Distributions paid to common stockholders after period end	$ 308,644	$ 359,491	$ 308,644	$ 359,491
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	$ 742	$ 0	$ 7,414
Preferred series dividends declared (in dollars per share)	$ 0	$ 0.106	$ 0	$ 1.060
Series D
Dividends Payable [Line Items]
Preferred dividends declared	$ 8,625	$ 8,625	$ 25,875	$ 25,875
Preferred series dividends declared (in dollars per share)	$ 0.469	$ 0.469	$ 1.406	$ 1.407
Series F
Dividends Payable [Line Items]
Preferred dividends declared	$ 12,510	$ 12,510	$ 37,530	$ 37,530
Preferred series dividends declared (in dollars per share)	$ 0.434	$ 0.434	$ 1.303	$ 1.303
Series G
Dividends Payable [Line Items]
Preferred dividends declared	$ 6,906	$ 6,906	$ 20,718	$ 20,718
Preferred series dividends declared (in dollars per share)	$ 0.406	$ 0.406	$ 1.219	$ 1.219
Series H
Dividends Payable [Line Items]
Preferred dividends declared	$ 0	$ 0	$ 0	$ 1,862
Preferred series dividends declared (in dollars per share)	$ 0	$ 0	$ 0	$ 0.846
Series I
Dividends Payable [Line Items]
Preferred dividends declared	$ 7,468	$ 7,668	$ 22,404	$ 7,668
Preferred series dividends declared (in dollars per share)	$ 0.422	$ 0.436	$ 1.266	$ 0.436

INTEREST INCOME AND INTEREST _3

INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Interest income
Residential securities	$ 439,502	$ 784,228	$ 1,307,566	$ 2,271,893
Residential mortgage loans	42,508	37,673	132,936	102,689
Commercial investment portfolio	80,324	87,946	260,208	281,029
Reverse repurchase agreements	109	9,452	1,571	57,472
Total interest income	562,443	919,299	1,702,281	2,713,083
Interest expense
Repurchase agreements	75,386	699,838	646,369	1,962,999
Debt issued by securitization vehicles	32,491	34,524	113,367	102,882
Other	7,249	32,543	44,895	98,936
Total interest expense	115,126	766,905	804,631	2,164,817
Net interest income	$ 447,317	$ 152,394	$ 897,650	$ 548,266

NET INCOME (LOSS) PER COMMON _3

NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($) $ / shares in Units, $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Earnings Per Share [Abstract]
Net income (loss)		$ 1,015,548	$ (747,169)	$ (1,768,407)	$ (3,372,833)
Net income (loss) attributable to noncontrolling interests		(126)	(110)	(28)	(294)
Net income (loss) attributable to Annaly		1,015,674	(747,059)	(1,768,379)	(3,372,539)
Dividends on preferred stock (1)	[1]	35,509	36,151	106,527	101,067
Net income (loss) available (related) to common stockholders		$ 980,165	$ (783,210)	$ (1,874,906)	$ (3,473,606)
Weighted average shares of common stock outstanding-basic (in shares)		1,404,202,695	1,453,359,211	1,419,645,475	1,436,204,582
Add: Effect of stock awards, if dilutive (in shares)		165,605	0	0	0
Weighted average shares of common stock outstanding-diluted (in shares)		1,404,368,300	1,453,359,211	1,419,645,475	1,436,204,582
Net income (loss) per share available (related) to common share
Basic (in dollars per share)		$ 0.70	$ (0.54)	$ (1.32)	$ (2.42)
Diluted (in dollars per share)		$ 0.70	$ (0.54)	$ (1.32)	$ (2.42)
Dividends, preferred stock			$ 300
[1]	The three months ended September 30, 2019 exclude cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019.

NET INCOME (LOSS) PER COMMON _4

NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares shares in Millions	3 Months Ended	9 Months Ended
	Sep. 30, 2020	Sep. 30, 2020
Earnings Per Share [Abstract]
Options to purchase common stock (in shares)	0.5	0.8

INCOME TAXES - Additional Infor

INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Income Taxes:
REIT Taxable income distributed			100.00%
Income tax expense (benefit)	$ 9,719	$ (6,907)	$ (14,928)	$ (10,241)
Taxable REIT Subsidiary
Income Taxes:
Income tax expense (benefit)	$ 9,700	$ (6,900)	$ (14,900)	$ (10,200)

RELATED PARTY TRANSACTIONS - Ad

RELATED PARTY TRANSACTIONS - Additional Information (Details) $ / shares in Units, $ in Thousands	Mar. 27, 2019USD ($)	Sep. 30, 2020USD ($)	Sep. 30, 2019USD ($)	Jun. 30, 2020USD ($)	Sep. 30, 2020USD ($)	Sep. 30, 2019USD ($)	Feb. 12, 2020$ / shares	Dec. 31, 2019USD ($)
Related Party Transaction [Line Items]
Equity interests (in usd per share) | $ / shares							$ 1
Ratio of percentage of stockholders' equity paid up to predetermined amount	0.000875
Predetermined amount of stockholders equity used in calculating monthly management fee	$ 17,280,000
Ratio of percentage of stockholders' equity paid over a predetermined amount	0.0075
Compensation and management fee		$ 29,196	$ 41,161	$ 77,900	$ 107,057	$ 130,225
Management Agreement
Related Party Transaction [Line Items]
Reimbursement payments					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	9 Months Ended
	Sep. 30, 2020	Sep. 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	$ 900	$ 2,400
Material contingencies	$ 0	$ 0	$ 0

LEASE COMMITMENTS AND CONTING_4

LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2020USD ($)
Leases [Abstract]
Operating lease right-of-use assets	$ 13,831
Operating lease liabilities	$ 18,059
Weighted average remaining lease term	4 years 10 months 24 days
Weighted average discount rate	2.90%
Operating cash flows from operating leases	$ 2,797

LEASE COMMITMENTS AND CONTING_5

LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands	Sep. 30, 2020USD ($)
Commitments and Contingencies Disclosure [Abstract]
2020 (remaining)	$ 1,002
2021	3,918
2022	3,862
2023	3,862
2024	3,862
Later years	2,895
Total lease payments	19,401
Less imputed interest	1,342
Present value of lease liabilities	$ 18,059

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - RCap $ in Millions	Sep. 30, 2020USD ($)
Minimum net capital requirement	$ 0.3
Regulatory net capital	422.5
Regulatory net capital, excess net capital	$ 422.2

SUBSEQUENT EVENTS (Details)

SUBSEQUENT EVENTS (Details) - Subsequent Event shares in Millions, $ in Millions	1 Months Ended
	Oct. 30, 2020USD ($)shares
Subsequent Event [Line Items]
Stock repurchased (in shares) | shares	4.7
Stock repurchased, value | $	$ 34.3