Annaly Capital Management (NLY) 10-Q 7 May 21 2021 Q1 Quarterly report Financial data

COVER PAGE

COVER PAGE - shares	3 Months Ended
	Mar. 31, 2021	Apr. 23, 2021
Document Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2021
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		1,398,504,343
Amendment Flag	false
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	Q1
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
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		Mar. 31, 2021	Dec. 31, 2020
Assets
Cash and cash equivalents (includes pledged assets of $957,266 and $1,137,809, respectively)	[1]	$ 1,122,793	$ 1,243,703	[2]
Securities (includes pledged assets of $63,798,582 and $67,471,074, respectively)	[3]	71,849,437	75,652,396	[2]
Loans, net (includes pledged assets of $1,851,227 and $2,231,035, respectively)	[4]	2,603,343	3,083,821	[2]
Mortgage servicing rights (includes pledged assets of $0 and $5,541, respectively)		113,080	100,895	[2]
Assets transferred or pledged to securitization vehicles		3,768,922	6,910,020	[2]
Real estate, net		0	656,314	[2]
Assets of disposal group held for sale (includes pledged assets of $3,499,151 and $0, respectively)	[5]	4,400,723	0	[2]
Derivative assets		891,474	171,134	[2]
Receivable for unsettled trades		144,918	15,912	[2]
Principal and interest receivable		259,655	268,073	[2]
Goodwill and intangible assets, net		37,337	127,341	[2]
Other assets		177,907	225,494	[2]
Total assets		85,369,589	88,455,103	[2]
Liabilities
Repurchase agreements		61,202,477	64,825,239	[2]
Other secured financing		922,605	917,876	[2]
Debt issued by securitization vehicles		3,044,725	5,652,982	[2]
Participations issued		180,527	39,198	[2]
Mortgages payable		0	426,256	[2]
Liabilities of disposal group held for sale		3,319,414	0	[2]
Derivative liabilities		939,622	1,033,345	[2]
Payable for unsettled trades		1,070,080	884,069	[2]
Interest payable		100,949	191,116	[2]
Dividends payable		307,671	307,613	[2]
Other liabilities		213,924	155,613	[2]
Total liabilities		71,301,994	74,433,307	[2]
Stockholders’ equity
Preferred stock, par value $0.01 per share, 63,500,000 and 85,150,000 authorized, respectively, 63,500,000 issued and outstanding		1,536,569	1,536,569	[2]
Common stock, par value $0.01 per share, 2,936,500,000 and 2,914,850,000 authorized, respectively, 1,398,502,906 and 1,398,240,618 issued and outstanding, respectively		13,985	13,982	[2]
Additional paid-in capital		19,754,826	19,750,818	[2]
Accumulated other comprehensive income (loss)		2,002,231	3,374,335	[2]
Accumulated deficit		(9,251,804)	(10,667,388)	[2]
Total stockholders’ equity		14,055,807	14,008,316	[2]
Noncontrolling interests		11,788	13,480	[2]
Total equity		14,067,595	14,021,796	[2]
Total liabilities and equity		85,369,589	88,455,103	[2]
Residential Mortgage Loans
Assets
Total assets		528,900	345,800
Liabilities
Repurchase agreements		239,985	184,723
Consolidated VIEs
Assets
Cash and cash equivalents (includes pledged assets of $957,266 and $1,137,809, respectively)		30,500	22,200
Consolidated VIEs | Agency Mortgage-Backed Securities
Assets
Securities (includes pledged assets of $63,798,582 and $67,471,074, respectively)		78,300	81,500
Consolidated VIEs | Non-Agency Mortgage-Backed Securities
Assets
Securities (includes pledged assets of $63,798,582 and $67,471,074, respectively)		357,600	576,600
Consolidation, Eliminations | Consolidated VIEs | Commercial Mortgage Loans
Assets
Securities (includes pledged assets of $63,798,582 and $67,471,074, respectively)		$ 0	$ 391,000
[1]	Includes cash of consolidated Variable Interest Entities (“VIEs”) of $30.5 million and $22.2 million at March 31, 2021 and December 31, 2020, respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2020.
[3]	Excludes $78.3 million and $81.5 million at March 31, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $357.6 million and $576.6 million at March 31, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at March 31, 2021 and December 31, 2020, 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 $46.0 million and $47.0 million of residential mortgage loans held for sale at March 31, 2021 and December 31, 2020, respectively.
[5]	Excludes $401.1 million at March 31, 2021 of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Cash Collateral for Borrowed Securities	$ 957,266	$ 1,137,809
Pledged Financial Instruments, Not Separately Reported, Securities	1,851,227	2,231,035
Disposal group, pledged assets	$ 3,499,151	$ 0
Preferred stock, par value (USD per share)	$ 0.01	$ 0.01
Preferred stock authorized (shares)	63,500,000	85,150,000
Preferred stock issued (shares)	63,500,000	63,500,000
Preferred stock outstanding (shares)	63,500,000	63,500,000
Common stock, par value (USD per share)	$ 0.01	$ 0.01
Common stock authorized (shares)	2,936,500,000	2,914,850,000
Common stock issued (shares)	1,398,502,906	1,398,240,618
Common stock outstanding (shares)	1,398,502,906	1,398,240,618
Non-Agency Mortgage-Backed Securities
Pledged assets	$ 0	$ 5,541
Residential Mortgage Loans
Loans	46,000	47,000
Commercial Mortgage Loans | Consolidated VIEs
Commercial mortgage-backed securities	401,100
Agency Mortgage-Backed Securities
Pledged assets	$ 63,798,582	$ 67,471,074

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Net interest income
Interest income	$ 763,378	$ 555,026
Interest expense	75,973	503,473
Net interest income	687,405	51,553
Realized and unrealized gains (losses)
Net interest component of interest rate swaps	(79,747)	(13,980)
Realized gains (losses) on termination or maturity of interest rate swaps	0	(397,561)
Unrealized gains (losses) on interest rate swaps	772,262	(2,827,723)
Subtotal	692,515	(3,239,264)
Net gains (losses) on disposal of investments and other	(65,786)	206,583
Net gains (losses) on other derivatives and financial instruments	476,868	206,426
Net unrealized gains (losses) on instruments measured at fair value through earnings	104,191	(730,160)
Loan loss (provision) reversal	139,620	(99,326)
Business divestiture-related gains (losses)	(249,563)	0
Subtotal	405,330	(416,477)
Total realized and unrealized gains (losses)	1,097,845	(3,655,741)
Other income (loss)	15,258	14,926
General and administrative expenses
Compensation and management fee	31,518	40,825
Other general and administrative expenses	18,177	36,804
Total general and administrative expenses	49,695	77,629
Income (loss) before income taxes	1,750,813	(3,666,891)
Income taxes	(321)	(26,702)
Net income (loss)	1,751,134	(3,640,189)
Net income (loss) attributable to noncontrolling interests	321	66
Net income (loss) attributable to Annaly	1,750,813	(3,640,255)
Dividends on preferred stock	26,883	35,509
Net income (loss) available (related) to common stockholders	$ 1,723,930	$ (3,675,764)
Net income (loss) per share available (related) to common stockholders
Basic (in dollars per share)	$ 1.23	$ (2.57)
Diluted (in dollars per share)	$ 1.23	$ (2.57)
Weighted average number of common shares outstanding
Basic (in shares)	1,399,210,925	1,430,994,319
Diluted (in shares)	1,400,000,727	1,430,994,319
Other comprehensive income (loss)
Net income (loss)	$ 1,751,134	$ (3,640,189)
Unrealized gains (losses) on available-for-sale securities	(1,428,927)	1,374,796
Reclassification adjustment for net (gains) losses included in net income (loss)	56,823	(391,616)
Other comprehensive income (loss)	(1,372,104)	983,180
Comprehensive income (loss)	379,030	(2,657,009)
Comprehensive income (loss) attributable to noncontrolling interests	321	66
Comprehensive income (loss) attributable to Annaly	378,709	(2,657,075)
Comprehensive income (loss) attributable to common stockholders	$ 351,826	$ (2,692,584)

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 deficitCumulative Effect, Period of Adoption, Adjustment	Accumulated deficitCumulative Effect, Period of Adoption, Adjusted Balance	Total stockholder’s equity	Noncontrolling interests
Beginning of period at Dec. 31, 2019				$ 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]
Stock-based award activity					3	1,449
Unrealized gains (losses) on available-for-sale securities		$ 1,374,796					1,374,796
Reclassification adjustment for net gains (losses) included in net income (loss)		(391,616)					(391,616)
Net income (loss) attributable to Annaly		(3,640,255)						(3,640,255)
Dividends declared on preferred stock	[1]							(35,509)
Dividends and dividend equivalents declared on common stock and share-based awards		(357,819)						(357,819)	[1]
Net income (loss) attributable to noncontrolling interests		(66)											66
Equity contributions from (distributions to) noncontrolling interests													(288)
End of period at Mar. 31, 2020		12,707,530		1,982,026	14,304	19,968,372	3,121,371	(12,382,648)				$ 12,703,425	4,105
Beginning of period at Dec. 31, 2020		14,021,796	[2]	1,536,569	13,982	19,750,818	3,374,335	(10,667,388)		$ 0	$ (10,667,388)		13,480
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock-based award activity					3	4,008
Unrealized gains (losses) on available-for-sale securities		(1,428,927)					(1,428,927)
Reclassification adjustment for net gains (losses) included in net income (loss)		56,823					56,823
Net income (loss) attributable to Annaly		1,750,813						1,750,813
Dividends declared on preferred stock	[1]							(26,883)
Dividends and dividend equivalents declared on common stock and share-based awards		(308,346)						(308,346)	[1]
Net income (loss) attributable to noncontrolling interests		(321)											321
Equity contributions from (distributions to) noncontrolling interests													(2,013)
End of period at Mar. 31, 2021		$ 14,067,595		$ 1,536,569	$ 13,985	$ 19,754,826	$ 2,002,231	$ (9,251,804)				$ 14,055,807	$ 11,788
[1]	Refer to the “Capital Stock” Note for dividends per share for each class of shares.
[2]	Derived from the audited consolidated financial statements at December 31, 2020.

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Cash flows from operating activities
Net income (loss)	$ 1,751,134	$ (3,640,189)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Amortization of premiums and discounts of investments, net	(9,960)	618,800
Amortization of securitized debt premiums and discounts and deferred financing costs	(3,588)	(2,881)
Depreciation, amortization and other noncash expenses	8,408	7,684
Net (gains) losses on disposal of investments and other	65,786	(206,583)
Net (gains) losses on investments and derivatives	(1,353,321)	3,749,018
Net (gains) losses on business divestitures	249,563	0
Income from unconsolidated joint ventures	(1,025)	(370)
Loan loss provision (reversal)	(139,620)	99,326
Payments on purchases of loans held for sale	(969)	(54,820)
Proceeds from sales and repayments of loans held for sale	3,067	61,664
Net receipts (payments) on derivatives	435,107	(2,680,933)
Net change in
Other assets	(31,236)	105,636
Interest receivable	9,386	115,341
Interest payable	(89,000)	(215,030)
Other liabilities	170,818	20,075
Net cash provided by (used in) operating activities	1,064,550	(2,023,262)
Cash flows from investing activities
Payments on purchases of securities	(5,478,414)	(11,526,904)
Proceeds from sales of securities	2,852,764	41,132,114
Principal payments on securities	4,986,008	4,900,580
Payments on purchases and origination of loans	(651,397)	(1,148,574)
Proceeds from sales of loans	46,171	271,007
Principal payments on loans	683,451	471,384
Investments in real estate	(746)	(1,159)
Proceeds from sales of real estate	4,265	0
Proceeds from reverse repurchase agreements	8,634,313	27,150,000
Payments on reverse repurchase agreements	(8,634,313)	(27,150,000)
Distributions in excess of cumulative earnings from unconsolidated joint ventures	290	6,017
Net cash provided by (used in) investing activities	2,442,392	34,104,465
Cash flows from financing activities
Proceeds from repurchase agreements and other secured financing	534,607,127	1,126,771,986
Payments on repurchase agreements and other secured financing	(537,932,992)	(1,158,603,746)
Proceeds from issuances of securitized debt	251,379	1,394,065
Principal payments on securitized debt	(357,224)	(276,551)
Proceeds from partcipations issued	183,067	0
Payments on repurchases of participations issued	(40,434)	0
Principal payments on participations issued	(1,293)	0
Net principal receipts (payments) on mortgages payable	(330)	(811)
Net contributions (distributions) from (to) noncontrolling interests	(2,013)	(288)
Settlement of stock-based awards in satisfaction of withholding tax requirements	(596)	0
Dividends paid	(334,543)	(393,066)
Net cash provided by (used in) financing activities	(3,627,852)	(31,108,411)
Net (decrease) increase in cash and cash equivalents	(120,910)	972,792
Cash and cash equivalents including cash pledged as collateral, beginning of period	1,243,703	1,850,729
Cash and cash equivalents including cash pledged as collateral, end of period	1,122,793	2,823,521
Supplemental disclosure of cash flow information
Interest received	783,900	1,260,159
Dividends received	33	2,116
Interest paid (excluding interest paid on interest rate swaps)	116,028	575,973
Net interest paid on interest rate swaps	133,628	171,965
Taxes received (paid)	0	52
Noncash investing and financing activities
Receivable for unsettled trades	144,918	1,006,853
Payable for unsettled trades	1,070,080	923,552
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment	(1,372,104)	983,180
Dividends declared, not yet paid	$ 307,671	$ 357,606

DESCRIPTION OF BUSINESS

DESCRIPTION OF BUSINESS	3 Months Ended
	Mar. 31, 2021
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”) and corporate debt. The Company’s principal business objective is to generate net income for distribution to its stockholders and optimize its returns through prudent management of its diversified investment strategies. The Company is 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”). The Company’s 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 and complementary investments within the Agency market, including MSRs and Agency commercial mortgage-backed securities. Annaly Residential Credit Group Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets. Annaly Middle Market Lending Group Provides financing to private equity backed middle market businesses, focusing primarily on senior debt within select industries. In March 2021, the Company announced that it had entered into a definitive agreement to sell and exit its Commercial Real Estate (“CRE”) business. Subject to customary closing conditions, including applicable regulatory approvals, the sale of the CRE business is expected to be completed by the third quarter of 2021. Refer to the“Sale of Commercial Real Estate Business” Note for additional information.

BASIS OF PRESENTATION

BASIS OF PRESENTATION	3 Months Ended
	Mar. 31, 2021
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, 2020 (the “2020 Form 10-K”). The consolidated financial information as of December 31, 2020 has been derived from audited consolidated financial statements included in the Company’s 2020 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	3 Months Ended
	Mar. 31, 2021
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 $1.1 billion at March 31, 2021 and December 31, 2020, 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 and financial instruments 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. Stock-based awards that contain market-based conditions are valued using a model. 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. Compensation expense for awards with market conditions is recognized irrespective of the probability of the market condition being achieved and is not reversed if the market condition is not met. 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. Refer to the “Interest Income and Interest Expense” Note 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 have been adopted 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. ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform. January 1, 2020 The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date.

FINANCIAL INSTRUMENTS

FINANCIAL INSTRUMENTS	3 Months Ended
	Mar. 31, 2021
Investments, All Other Investments [Abstract]
FINANCIAL INSTRUMENTS	4. FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at March 31, 2021 and December 31, 2020. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis March 31, 2021 December 31, 2020 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 69,148,257 $ 73,562,972 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 488,972 504,087 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 930,983 532,403 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,277,104 972,192 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through other comprehensive income — 31,603 Securities Commercial real estate debt investments - CMBS (4)(5) Fair value, with unrealized gains (losses) through earnings — 45,254 Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 4,121 3,885 Total securities 71,849,437 75,652,396 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 528,868 345,810 Loans, net Commercial real estate debt and preferred equity, held for investment (4) Amortized cost — 498,081 Loans, net Corporate debt held for investment, net Amortized cost 2,074,475 2,239,930 Total loans, net 2,603,343 3,083,821 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 598,118 620,347 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,170,804 3,249,251 Assets transferred or pledged to securitization vehicles Commercial mortgage loans (4) Fair value, with unrealized gains (losses) through earnings — 2,166,073 Assets transferred or pledged to securitization vehicles Commercial mortgage loans (4) Amortized cost — 874,349 Total assets transferred or pledged to securitization vehicles 3,768,922 6,910,020 Liabilities Repurchase agreements Repurchase agreements Amortized cost 61,202,477 64,825,239 Other secured financing Loans Amortized cost 922,605 917,876 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,044,725 5,652,982 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 180,527 39,198 Mortgages payable Loans (6) Amortized cost — 426,256 (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) Included in Assets of disposal group held for sale at March 31, 2021. (5) Includes single-asset / single-borrower CMBS. (6) Included in Liabilities of disposal group held for sale at March 31, 2021.

SECURITIES

SECURITIES	3 Months Ended
	Mar. 31, 2021
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 regular-way 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). For the three months ended March 31, 2021, the Company recognized a $0.4 million impairment on a commercial mortgage-backed security that it intends to sell. There was no impairment recognized for the three months ended March 31, 2020. 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 residential 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 (“CMBS”) 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 CMBS, to simplify the accounting where the unrealized gains and losses on these financial instruments are recorded through earnings. As of March 31, 2021 and December 31, 2020, CMBS other than commercial CRTs are reported in Assets of disposal group held for sale and Securities, respectively, in the Consolidated Statements of Financial Condition. Refer to the “Sale of Commercial Real Estate Business” Note for additional information on the announced transaction. The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the three months ended March 31, 2021: Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2021 $ 75,571,654 $ 80,742 $ 75,652,396 Purchases 5,607,648 — 5,607,648 Sales and transfers (1) (3,025,550) (78,770) (3,104,320) Principal paydowns (4,986,747) — (4,986,747) (Amortization) / accretion 12,006 284 12,290 Fair value adjustment (1,333,695) 1,865 (1,331,830) Ending balance March 31, 2021 $ 71,845,316 $ 4,121 $ 71,849,437 (1) Includes transfers to assets of disposal group held for sale. 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 March 31, 2021 and December 31, 2020: March 31, 2021 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 62,221,818 $ 3,509,679 $ (22,954) $ 65,708,543 $ 2,323,973 $ (418,896) $ 67,613,620 Adjustable-rate pass-through 416,963 2,425 (3,550) 415,838 23,035 (1) 438,872 CMO 133,977 2,140 — 136,117 6,755 — 142,872 Interest-only 2,564,531 534,913 — 534,913 2,058 (126,807) 410,164 Multifamily (1) 1,294,527 41,353 (1,031) 980,458 21,820 (20,163) 982,115 Reverse mortgages 46,004 4,070 — 50,074 — (488) 49,586 Total agency securities $ 66,677,820 $ 4,094,580 $ (27,535) $ 67,825,943 $ 2,377,641 $ (566,355) $ 69,637,229 Residential credit CRT (2) $ 940,130 $ 7,087 $ (2,299) $ 934,425 $ 3,455 $ (6,897) $ 930,983 Alt-A 72,234 50 (17,179) 55,105 3,398 (5) 58,498 Prime 174,335 4,932 (15,778) 163,489 12,026 (285) 175,230 Prime interest-only 146,141 1,513 — 1,513 — (554) 959 Subprime 199,639 531 (17,986) 182,184 7,479 (1,165) 188,498 NPL/RPL 804,824 1,307 (2,374) 803,757 6,297 (650) 809,404 Prime jumbo (>=2010 vintage) 44,309 196 (5,234) 39,271 4,126 (48) 43,349 Prime jumbo (>=2010 vintage) Interest-only 228,483 5,770 — 5,770 — (4,604) 1,166 Total residential credit securities $ 2,610,095 $ 21,386 $ (60,850) $ 2,185,514 $ 36,781 $ (14,208) $ 2,208,087 Total Residential Securities $ 69,287,915 $ 4,115,966 $ (88,385) $ 70,011,457 $ 2,414,422 $ (580,563) $ 71,845,316 Commercial Commercial Securities $ 4,000 $ — $ (111) $ 3,889 $ 232 $ — $ 4,121 Total securities $ 69,291,915 $ 4,115,966 $ (88,496) $ 70,015,346 $ 2,414,654 $ (580,563) $ 71,849,437 December 31, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 64,800,235 $ 3,325,020 $ (22,143) $ 68,103,112 $ 3,200,542 $ (1,076) $ 71,302,578 Adjustable-rate pass-through 455,675 2,869 (3,369) 455,175 22,341 — 477,516 CMO 139,664 2,177 — 141,841 7,926 — 149,767 Interest-only 2,790,537 564,297 — 564,297 3,513 (145,901) 421,909 Multifamily 1,910,384 50,148 (1,057) 1,604,913 59,548 (954) 1,663,507 Reverse mortgages 47,585 4,183 — 51,768 252 (238) 51,782 Total agency investments $ 70,144,080 $ 3,948,694 $ (26,569) $ 70,921,106 $ 3,294,122 $ (148,169) $ 74,067,059 Residential credit CRT (1) $ 544,780 $ 7,324 $ (2,430) $ 538,941 $ 3,062 $ (9,600) $ 532,403 Alt-A 93,001 51 (17,368) 75,684 4,644 — 80,328 Prime 177,852 5,126 (15,999) 166,979 14,607 (77) 181,509 Prime interest-only 194,687 1,882 — 1,882 — (642) 1,240 Subprime 197,779 584 (18,181) 180,182 8,312 (61) 188,433 NPL/RPL 475,108 821 (2,416) 473,513 3,782 (1,448) 475,847 Prime jumbo (>=2010 vintage) 44,696 207 (5,300) 39,603 3,680 — 43,283 Prime jumbo (>=2010 vintage) Interest-only 291,624 6,803 — 6,803 — (5,251) 1,552 Total residential credit securities $ 2,019,527 $ 22,798 $ (61,694) $ 1,483,587 $ 38,087 $ (17,079) $ 1,504,595 Total Residential Securities $ 72,163,607 $ 3,971,492 $ (88,263) $ 72,404,693 $ 3,332,209 $ (165,248) $ 75,571,654 Commercial Commercial Securities $ 89,858 $ — $ (7,471) $ 82,387 $ 54 $ (1,699) $ 80,742 Total securities $ 72,253,465 $ 3,971,492 $ (95,734) $ 72,487,080 $ 3,332,263 $ (166,947) $ 75,652,396 (1) Principal/Notional amount includes $354.4 million and $354.6 million of an Agency CMBS interest-only security as of March 31, 2021 and December 31, 2020, respectively. (2) Principal/Notional amount includes $10.5 million and $14.9 million of a CRT interest-only security as of March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 Investment Type (dollars in thousands) Fannie Mae $ 53,587,022 $ 56,218,033 Freddie Mac 15,945,374 17,735,041 Ginnie Mae 104,833 113,985 Total $ 69,637,229 $ 74,067,059 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 March 31, 2021 and December 31, 2020, according to their estimated weighted average life classifications: March 31, 2021 December 31, 2020 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 93,493 $ 92,760 $ 110,203 $ 109,540 Greater than one year through five years 11,078,004 10,643,081 45,643,138 43,404,877 Greater than five years through ten years 59,414,165 57,992,294 28,509,058 27,610,923 Greater than ten years 1,259,654 1,283,322 1,309,255 1,279,353 Total $ 71,845,316 $ 70,011,457 $ 75,571,654 $ 72,404,693 The estimated weighted average lives of the Residential Securities at March 31, 2021 and December 31, 2020 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 March 31, 2021 and December 31, 2020. March 31, 2021 December 31, 2020 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 $ 18,862,476 $ (439,060) 381 $ 777,586 $ (2,030) 30 12 Months or more — — — — — — Total $ 18,862,476 $ (439,060) 381 $ 777,586 $ (2,030) 30 (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 months ended March 31, 2021 and 2020, the Company disposed of $3.0 billion and $41.9 billion of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three months ended March 31, 2021 and 2020. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) March 31, 2021 $ 4,646 $ (65,340) $ (60,694) March 31, 2020 $ 539,255 $ (271,998) $ 267,257

LOANS

LOANS	3 Months Ended
	Mar. 31, 2021
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]
LOANS	6. LOANS The Company invests in residential 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 March 31, 2021 and December 31, 2020, the Company rep orted $528.9 million and $345.8 million, 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) reversal 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 net loan loss (provisions) reversals of $139.6 million and ($99.3) million for the three months ended March 31, 2021 and 2020, respectively. As of March 31, 2021 and December 31, 2020, the Company’s loan loss allowance was $33.4 million and $169.5 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 three months ended March 31, 2021: Residential Commercial Corporate Debt Total (dollars in thousands) Beginning balance January 1, 2021 $ 345,810 $ 498,081 $ 2,239,930 $ 3,083,821 Purchases / originations 467,307 114,467 71,493 653,267 Sales and transfers (1) (267,551) (536,829) (45,776) (850,156) Principal payments (10,281) (63,959) (201,247) (275,487) Gains / (losses) (2) (5,164) (12,199) 6,186 (11,177) (Amortization) / accretion (1,253) 439 3,889 3,075 Ending balance March 31, 2021 $ 528,868 $ — $ 2,074,475 $ 2,603,343 (1) Includes securitizations, syndications, transfers to securitization vehicles and commercial loan transfers to assets of disposal group held for sale. Includes transfer of residential loans to securitization vehicles with a carrying value of $257.1 million during the three months ended March 31, 2021. (2) Includes loan loss allowances. The carrying value of the Company’s residential loans held for sale was $46.0 million and $47.0 million at March 31, 2021 and December 31, 2020, respectively. 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 Consolidated Statements of Comprehensive Income (Loss). 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 March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 (dollars in thousands) Fair value $ 3,699,672 $ 3,595,061 Unpaid principal balance $ 3,557,855 $ 3,482,865 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three months ended March 31, 2021 and 2020 for these investments: For the Three Months Ended March 31, 2021 March 31, 2020 (dollars in thousands) Interest income $ 37,109 $ 47,557 Net gains (losses) on disposal of investments and other (5,220) (12,000) Net unrealized gains (losses) on instruments measured at fair value through earnings 22,455 (192,763) Total included in net income (loss) $ 54,344 $ (157,206) The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2021 and December 31, 2020 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans March 31, 2021 December 31, 2020 Property location % of Balance Property location % of Balance California 51.0% California 48.9% New York 14.0% New York 14.0% Florida 6.0% Florida 6.0% All other (none individually greater than 5%) 29.0% All other (none individually greater than 5%) 31.1% 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 March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $485 $1 - $3,448 $473 Interest rate 0.50% - 9.24% 4.85% 0.50% - 9.24% 4.89% Maturity 7/1/2029 - 4/1/2061 12/11/2048 7/1/2029 - 1/1/2061 4/17/2046 FICO score at loan origination 505 - 829 754 505 - 829 755 Loan-to-value ratio at loan origination 8% - 104% 67% 8% - 104% 67% At March 31, 2021 and December 31, 2020, approximately 38% and 37%, respectively, of the carrying value of the Company’s residential mortgage loans, including transferred or pledged to securitization vehicles, were adjustable-rate. Commercial As of March 31, 2021, commercial real estate loans are reported in Assets of disposal group held for sale in the Consolidated Statements of Financial Condition and classified as held for sale. As of December 31, 2020, commercial real estate loans are reported in Loans, net in the Consolidated Statements of Financial Condition and classified as held for investment. Refer to the “Sale of Commercial Real Estate Business” Note for additional information on the announced transaction. 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 were designated as held for investment and were originated or purchased by the Company were 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 and metrics derived therefrom 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 commercial loans are collateral-dependent and, as such, for loans experiencing credit deterioration, the Company was required to record an allowance for loans held for investment 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 March 31, 2021, the Company reversed the loan loss allowance resulting in a loan loss reversal on impaired commercial loans of ($67.4) million as the loans are classified as held for sale and are carried at lower of cost or fair value. For the three months ended March 31, 2020, the Company recorded a loan loss provision on impaired commercial loans of $52.1 million 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 3 of the fair value measurement hierarchy as there are unobservable inputs, which are significant to the overall fair value. For the three months ended March 31, 2021, the Company reversed the loan loss allowance based upon its Loss Given Default methodology resulting in a loan loss reversal on commercial loans of ($62.5) million as the loans are classified as held for sale and are carried at lower of cost or fair value. For the three months ended March 31, 2020, the Company recorded a net loan loss provision of $23.2 million based upon its Loss Given Default methodology. 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. During the year ended December 31, 2020, the Company modified five commercial loans with a carrying value of $243.8 million at December 31, 2020. The maturity dates on four commercial loans were extended and one commercial loan was granted a 120 day forebearance. Additionally, as part of the restructuring two loans had partial paydowns totaling $4.5 million. The loan loss allowance recorded for these commercial loans was $23.6 million at December 31, 2020. Future funding commitments on the restructured loans totaled $4.1 million at December 31, 2020. At December 31, 2020, the amortized cost basis of commercial loans on nonaccrual status was $46.8 million. For the year ended December 31, 2020, the Company recognized interest income on commercial loans on nonaccrual status of $2.1 million. At December 31, 2020, the Company had unfunded commercial real estate loan commitments of $99.3 million. At December 31, 2020, the liability related to the expected credit losses on the unfunded commercial loan commitments was $5.1 million. At December 31, 2020, approximately 94% 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, were adjustable-rate. The sector attributes of the Company’s commercial real estate investments held for sale at March 31, 2021 and held for investment at December 31, 2020 were as follows: Sector Dispersion March 31, 2021 December 31, 2020 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 577,893 41.8 % $ 650,034 47.4 % Retail 249,917 18.1 % 256,493 18.7 % Multifamily 217,131 15.7 % 250,095 18.2 % Hotel 130,578 9.4 % 115,536 8.4 % Industrial 114,152 8.2 % 60,097 4.4 % Other 75,306 5.4 % 20,302 1.5 % Healthcare 19,145 1.4 % 19,873 1.4 % Total $ 1,384,122 100.0 % $ 1,372,430 100.0 % Commercial real estate investments held for sale at March 31, 2021 and held for investment at December 31, 2020 were comprised of the following: March 31, 2021 December 31, 2020 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 432,736 $ 409,166 28.6 % $ 387,124 $ 373,925 25.7 % Senior securitized mortgages (3) 906,440 861,996 60.0 % 938,859 874,349 62.3 % Mezzanine loans 171,639 112,960 11.4 % 181,261 124,156 12.0 % Total $ 1,510,815 $ 1,384,122 100.0 % $ 1,507,244 $ 1,372,430 100.0 % (1) Carrying value includes unamortized origination fees of $5.4 million and $4.9 million at March 31, 2021 and December 31, 2020, 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 sale at March 31, 2021 and held for investment at December 31, 2020: March 31, 2021 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2021) (2) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 Originations & advances (principal) 115,569 69 301 115,939 Principal payments (54,037) (48,409) (9,922) (112,368) Transfers (3) (36,195) (26,639) (58,491) (121,325) Net (increase) decrease in origination fees (1,403) — — (1,403) Amortization of net origination fees 396 477 43 916 Allowance for loan losses Beginning allowance (10,911) (62,149) (56,873) (129,933) Current period (allowance) reversal 10,911 62,149 56,873 129,933 Ending allowance — — — — Net carrying value (March 31, 2021) $ 409,166 $ 861,996 $ 112,960 $ 1,384,122 December 31, 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) 206,090 — 12,374 218,464 Principal payments (77,344) (144,308) (78) (221,730) Principal write off — — (7,000) (7,000) Transfers (3) (245,120) 142,621 (7,100) (109,599) Net (increase) decrease in origination fees (1,055) (653) (80) (1,788) Realized gain 204 — — 204 Amortization of net origination fees 2,371 2,460 187 5,018 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703) (12,703) Impact of adopting CECL (2,263) (4,166) (1,336) (7,765) Current period (allowance) reversal (8,648) (57,983) (66,521) (133,152) Write offs — — 23,687 23,687 Ending allowance (10,911) (62,149) (56,873) (129,933) Net carrying value (December 31, 2020) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances. (3) Includes transfers to securitization vehicles. 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. There was no provision for loan loss recorded on corporate loans using a discounted cash flow methodology for the three months ended March 31, 2021. For the three months ended March 31, 2020, the Company recorded a loan loss provision of $10.0 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 three months ended March 31, 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. For the three months ended March 31, 2021 and 2020 the Company recorded a net loan loss provision (reversal) on corporate loans of ($6.2) million and $14.1 million, respectively, based upon its Loss Given Default methodology. 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. At March 31, 2021 and December 31, 2020, the Company had unfunded corporate loan commitments of $93.0 million and $87.3 million, respectively. At March 31, 2021 and December 31, 2020, the liability related to the expected credit losses on the unfunded corporate loan commitments was $0.6 million and $0.7 million, respectively. The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at March 31, 2021 and December 31, 2020 are as follows: Industry Dispersion March 31, 2021 December 31, 2020 Total (1) Total (1) (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services $ 375,103 $ 483,142 Management & Public Relations Services 291,581 300,869 Industrial Inorganic Chemicals 156,782 156,391 Public Warehousing & Storage 120,473 132,397 Metal Cans & Shipping Containers 115,907 115,670 Surgical, Medical & Dental Instruments & Supplies 82,831 83,161 Electronic Components & Accessories 78,257 78,129 Engineering, Architectural, and Surveying 77,156 77,308 Offices & Clinics of Doctors of Medicine 74,481 104,781 Miscellaneous Health & Allied Services, not elsewhere classified 70,295 77,163 Insurance Agents, Brokers and Service 65,624 67,193 Research, Development & Testing Services 62,218 62,008 Miscellaneous Food Preparations 59,009 58,857 Telephone Communications 58,694 58,450 Miscellaneous Equipment Rental & Leasing 49,641 49,587 Electric Work 40,390 41,128 Petroleum and Petroleum Products 33,836 33,890 Medical & Dental Laboratories 30,763 30,711 Schools & Educational Services, not elsewhere classified 29,183 29,040 Home Health Care Services 28,669 28,587 Metal Forgings & Stampings 27,689 27,523 Legal Services 26,358 26,399 Grocery Stores 22,906 22,895 Coating, Engraving and Allied Services 19,500 19,484 Miscellaneous Business Services 14,996 12,980 Chemicals & Allied Products 14,667 14,686 Mailing, Reproduction, Commercial Art and Photography and Stenographic 12,917 12,733 Drugs 12,622 12,942 Machinery, Equipment & Supplies 11,839 12,096 Offices and Clinics of Other Health Practitioners 10,088 9,730 Total $ 2,074,475 $ 2,239,930 (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 March 31, 2021 and December 31, 2020. March 31, 2021 December 31, 2020 (dollars in thousands) First lien loans $ 1,431,882 $ 1,489,125 Second lien loans 642,593 750,805 Total $ 2,074,475 $ 2,239,930 The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at March 31, 2021 and December 31, 2020: March 31, 2021 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2021) (1) $ 1,489,125 $ 750,805 $ 2,239,930 Originations & advances 56,939 14,554 71,493 Sales (2) (21,328) (24,448) (45,776) Principal payments (96,247) (105,000) (201,247) Amortization & accretion of (premium) discounts 1,708 2,181 3,889 Allowance for loan losses Beginning allowance (18,767) (20,785) (39,552) Current period (allowance) reversal 1,685 4,501 6,186 Ending allowance (17,082) (16,284) (33,366) Net carrying value (March 31, 2021) $ 1,431,882 $ 642,593 $ 2,074,475 (1) Excludes loan loss allowances. (2) Includes syndications. December 31, 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 834,211 227,433 1,061,644 Sales (2) (273,887) (79,203) (353,090) Principal payments (444,759) (132,000) (576,759) Amortization & accretion of (premium) discounts 8,374 3,832 12,206 Loan restructuring (19,550) 2,818 (16,732) 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) reversal (12,510) (1,919) (14,429) Write offs 11,893 — 11,893 Ending allowance (18,767) (20,785) (39,552) Net carrying value (December 31, 2020) $ 1,489,125 $ 750,805 $ 2,239,930 The following table provides the amortized cost basis of corporate debt held for investment as of March 31, 2021 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2021 2020 2019 2018 2017 2016 2015 (dollars in thousands) 1-5 / Performing $ 1,618,878 $ 44,236 $ 478,783 $ 309,602 $ 415,939 $ 289,450 $ 46,394 $ 34,474 6 / Performing - Closely Monitored 374,004 2,931 26,358 21,567 259,057 64,091 — — 7 / Substandard 81,593 — 11,839 26,173 43,581 — — — 8 / Doubtful — — — — — — — — 9 / Loss — — — — — — — — Total $ 2,074,475 $ 47,167 $ 516,980 $ 357,342 $ 718,577 $ 353,541 $ 46,394 $ 34,474 (1) The amortized cost basis excludes accrued interest and includes deferred fees on unfunded loans. As of March 31, 2021, the Company had $8.8 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition and $1.1 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition.

MORTGAGE SERVICING RIGHTS

MORTGAGE SERVICING RIGHTS	3 Months Ended
	Mar. 31, 2021
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 months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 March 31, 2020 (dollars in thousands) Fair value, beginning of period $ 100,895 $ 378,078 Change in fair value due to: Changes in valuation inputs or assumptions (1) 27,673 (79,224) Other changes, including realization of expected cash flows (15,488) (18,296) Fair value, end of period $ 113,080 $ 280,558 (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 months ended March 31, 2021 and 2020, the Company recognized $6.9 million and $22.8 million, respectively, of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).

VARIABLE INTEREST ENTITIES

VARIABLE INTEREST ENTITIES	3 Months Ended
	Mar. 31, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]
VARIABLE INTEREST ENTITIES	8. VARIABLE INTEREST ENTITIES At March 31, 2021, commercial trusts, commercial securitizations and the collateralized loan obligation are reported in Assets of disposal group held for sale in the Consolidated Statements of Financial Condition. Refer to the “Sale of Commercial Real Estate Business” Note for additional information. 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. In 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. The Company incurred $1.1 million of costs in connection with the 2020 multifamily securitization that were expensed as incurred during the three months ended March 31, 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 $20.0 million and $23.0 million at March 31, 2021 and December 31, 2020, 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 OBX 2021-NQM1 March 2021 $ 257,135 As of March 31, 2021, a total of $2.5 billion of bonds were held by third parties and the Company retained $660.4 million of mortgage-backed securities, which were eliminated in consolidation. The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs. The Company has elected the fair value option for the financial assets and liabilities of these VIEs, but has not elected the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trusts are available from third-party pricing services. The Company incurred $0.7 million and $3.7 million of costs during the three months ended March 31, 2021 and 2020, 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 $2.4 billion at March 31, 2021. 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 March 31, 2021, 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 $766.1 million at March 31, 2021. The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At March 31, 2021, the subsidiary had an intercompany receivable of $461.4 million, which eliminates upon consolidation and a secured financing of $461.4 million to the third party financial institution. In July 2017, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of March 31, 2021, 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 $397.5 million at March 31, 2021, which continue to be reflected in the Company’s Consolidated Statements of Financial Condition under Loans, net. At March 31, 2021, the subsidiary had a secured financing of $206.8 million to the third party financial institution. In January 2019, a consolidated subsidiary of the Company (the “Borrower”) entered into a $300.0 million credit facility with a third party financial institution. As of March 31, 2021, the borrowing limit on this facility was $400.0 million. The Company has pledged as collateral for this facility corporate loans with a carrying amount of $400.5 million at March 31, 2021. As of March 31, 2021, the Borrower had a secured financing of $254.4 million to the third party financial institution. MSR Silo The Company also owns variable interests in an entity that invests in MSRs and has structured its operations, funding and capitalization into pools of assets and liabilities, each referred to as a “silo.” Owners of variable interests in a given silo are entitled to all of the returns and subjected to the risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo. While the Company previously held 100% of the voting interests in this entity, in August 2017, the Company sold 100% of such interests, and entered into an agreement with the entity’s affiliated portfolio manager giving the Company the power over the silo in which it owns all of the beneficial interests. As a result, the Company is considered to be the primary beneficiary and consolidates this silo. The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $2.5 billion at March 31, 2021. 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 multifamily securitization, 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 March 31, 2021 and December 31, 2020 are as follows: March 31, 2021 Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ 30,529 Loans — 45,982 Assets transferred or pledged to securitization vehicles 36,786 — Mortgage servicing rights — 113,080 Principal and interest receivable 214 — Other assets — 24,150 Total assets $ 37,000 $ 213,741 Liabilities Debt issued by securitization vehicles (non-recourse) $ 20,254 $ — Payable for unsettled trades — 587 Interest payable 48 — Other liabilities 408 13,106 Total liabilities $ 20,710 $ 13,693 December 31, 2020 Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ 22,241 Loans — 47,048 Assets transferred or pledged to securitization vehicles 40,035 — Mortgage servicing rights — 100,895 Principal and interest receivable 226 — Total assets $ 40,261 $ 170,184 Liabilities Debt issued by securitization vehicles (non-recourse) $ 23,351 $ — Other secured financing — 30,420 Payable for unsettled trades — 3,076 Interest payable 55 — Other liabilities 246 13,345 Total liabilities $ 23,652 $ 46,841 The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the multifamily securitization, OBX Trusts and credit facility VIEs, at March 31, 2021 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Residential Trusts Property Location Principal Balance % of Balance California $ 16,549 45.9 % Illinois 4,799 13.3 % Texas 4,365 12.1 % Massachusetts 2,247 6.2 % Other (1) 8,074 22.5 % Total $ 36,034 100.0 % (1) No individual state greater than 5%. Corporate Debt Transfers The Company manages parallel funds investing in senior secured first and second lien corporate loans (the “Fund Entities”). The Fund Entities are considered VIEs because the investors do not have substantive liquidation, kick-out or participating rights. The fees that the Company earns are not considered variable interests of the VIE. The Company is not the primary beneficiary of the Fund Entities and therefore does not consolidate the Fund Entities. During the three months ended March 31, 2021, the Company transferred $15.1 million of loans for cash. The loan transfers were accounted for as sales. Residential Credit Fund The Company manages a fund investing in participations in residential mortgage loans. The residential credit fund is deemed to be a VIE because the entity does not have sufficient equity at risk to permit the legal entity to finance its activities without additional subordinated financial support provided by any parties, including equity holders, as capital commitments are not considered equity at risk. The Company is not the primary beneficiary and does not consolidate the residential credit fund as its only interest in the fund is the management and performance fees that it earns, which are not considered variable interests in the entity. During the three months ended March 31, 2021, the Company issued participating interests in residential mortgage loans of $141.3 million to the residential credit fund. During the year ended December 31, 2020 the Company issued participating interests in residential mortgage loans of $39.2 million to the residential credit fund. These transfers do not meet the criteria for sale accounting and are accounted for as secured borrowings, thus the residential loans are reported as Loans, net and the associated liability is reported as Participations issued in the Consolidated Statements of Financial Condition. The Company elected to fair value the participations issued through earnings to more accurately reflect the economics of the transfers as the underlying loans are carried at fair value through earnings.

SALE OF COMMERCIAL REAL ESTATE

SALE OF COMMERCIAL REAL ESTATE BUSINESS	3 Months Ended
	Mar. 31, 2021
Discontinued Operations and Disposal Groups [Abstract]
SALE OF COMMERCIAL REAL ESTATE BUSINESS	9. SALE OF COMMERCIAL REAL ESTATE BUSINESS On March 25, 2021, the Company entered into a definitive agreement to sell substantially all of the assets that comprise its CRE business to Slate Asset Management L.P. and Slate Grocery REIT (together, “Slate”) for $2.33 billion. The transaction includes equity interests, loan assets and associated liabilities, and CMBS (other than commercial CRTs). The Company also intends to sell nearly all of the remaining CRE business assets that are not included in the transaction with Slate. As of March 31, 2021, the Company met the conditions for held-for-sale accounting which requires that assets and liabilities be carried at the lower of cost or fair value less costs to sell on the Consolidated Statements of Financial Condition. In connection with the execution of the definitive agreement to sell the CRE business, the Company performed an assessment of goodwill, which was related to the Company’s 2013 acquisition of CreXus Investment Corp., and recognized an impairment of $71.8 million. During the three months ended March 31, 2021, the Company reported Business divestiture-related gains (losses) of ($249.6) million, in its Consolidated Statements of Comprehensive Income (Loss) which includes the aforementioned goodwill impairment as well as valuation adjustments resulting from classifying the assets as held for sale and estimated transaction costs. In addition, as a result of classifying the loans as held for sale, the previously recognized allowance for loan losses of $135.0 million, which includes $5.1 million on unfunded loan commitments, was reversed during the three months ended March 31, 2021. Since assets held for sale are recorded at lower of cost or fair value, any gains on sale will not be recorded until such sale closes. The pretax loss of the CRE business was ($72.7) million and ($95.4) million for the three months ended March 31, 2021 and 2020, respectively. Certain employees who primarily support the CRE business are expected to join Slate at completion of the sale. Subject to customary closing conditions, including applicable regulatory approvals, the transfer of the CRE business is expected to be completed by the third quarter of 2021. The carrying values of the major classes of assets and liabilities of the disposal group held for sale as of March 31, 2021 are presented in the table below: March 31, 2021 (dollars in thousands) Cash and cash equivalents $ 8,944 Securities 78,341 Loans, net 522,126 Assets transferred or pledged to securitization vehicles 3,123,451 Real estate, net 617,216 Intangible assets, net 16,503 Other assets 34,142 Total assets of disposal group held for sale $ 4,400,723 Repurchase agreements $ 292,168 Debt issued by securitization vehicles 2,542,556 Mortgages payable 426,064 Interest payable 1,167 Other liabilities 57,459 Total liabilities of disposal group held for sale $ 3,319,414 Certain assets and liabilities of the disposal group held for sale are in VIEs that are consolidated by the Company because it is the primary beneficiary. The securities in the disposal group held for sale are carried at fair value and are categorized in Level 2 of the fair value measurement hierarchy as the valuation is based upon quoted prices in active markets for similar assets. The loans and assets pledged to securitization vehicles held for sale are carried at lower of cost or fair value and as such those loans that required a valuation allowance had a nonrecurring fair value measurement at March 31, 2021. These fair value measurements are categorized as Level 2 if they are based upon quoted prices in active markets for similar assets. If quotes were unavailable, a discounted cash flow or market based valuation technique based upon the underlying property to project property cash flows was used. 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 categorized as Level 3 of the fair value measurement hierarchy as there are unobservable inputs, which are significant to the overall fair value. The real estate held for sale is carried at lower of cost or fair value and was based upon the sale price and allocated to individual properties to determine if a valuation allowance was necessary. These fair value measurements are considered Level 3 of the fair value measurement hierarchy as there are unobservable inputs, which are significant to the overall fair value. The repurchase agreements and debt issued by securitization vehicles are categorized in Level 2 of the fair value measurement hierarchy as the valuation is based upon quoted market prices for similar liabilities. The mortgage loans payable fair value measurement are valued using Level 3 inputs. At March 31, 2021, the repurchase agreements included in the liabilities of disposal group held for sale had remaining maturities of over 119 days with commercial loans pledged as collateral.

DERIVATIVE INSTRUMENTS

DERIVATIVE INSTRUMENTS	3 Months Ended
	Mar. 31, 2021
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 and financial instruments 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 March 31, 2021 and December 31, 2020, $1.1 billion and $1.5 billion of variation margin was reported as an adjustment to interest rate swaps, at fair value. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. The Company may enter into interest rate swap agreements where the floating leg is linked to the London Interbank Offered Rate (“LIBOR”), the overnight index swap rate or another index. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps, including MAC interest rate swaps, are generally fair valued using the DCO’s market values. If an interest rate swap is terminated, the realized gain (loss) on the interest rate swap would be equal to the difference between the cash received or paid and fair value. Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain (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 March 31, 2021 and December 31, 2020: Derivatives Instruments March 31, 2021 December 31, 2020 Assets (dollars in thousands) Interest rate swaptions $ 372,701 $ 74,470 TBA derivatives 17,404 96,109 Futures contracts 498,226 506 Purchase commitments 1,170 49 Credit derivatives (1) 1,973 — Total derivative assets $ 891,474 $ 171,134 Liabilities Interest rate swaps $ 672,637 $ 1,006,492 TBA derivatives 263,523 — Futures contracts — 19,413 Purchase commitments 3,028 — Credit derivatives (1) 434 7,440 Total derivative liabilities $ 939,622 $ 1,033,345 (1) 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 $504.0 million at March 31, 2021 and December 31, 2020, respectively, plus any coupon shortfalls on the underlying tranche. As of March 31, 2021 and December 31, 2020 the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and A. The following table summarizes certain characteristics of the Company’s interest rate swaps at March 31, 2021 and December 31, 2020: March 31, 2021 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 $ 31,167,000 0.24 % 0.06 % 1.80 3 - 6 years 3,100,000 0.13 % 0.06 % 4.13 6 - 10 years 4,065,500 1.27 % 0.65 % 7.77 Greater than 10 years 1,484,000 3.06 % 0.33 % 20.27 Total / Weighted average $ 39,816,500 0.80 % 0.34 % 3.28 December 31, 2020 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 23,680,150 0.27 % 0.11 % 1.96 3 - 6 years 3,600,000 0.18 % 0.09 % 4.21 6 - 10 years 5,565,500 1.40 % 0.62 % 7.76 Greater than 10 years 1,484,000 3.06 % 0.36 % 20.52 Total / Weighted average $ 34,329,650 0.92 % 0.37 % 3.94 (1) As of March 31, 2021, 8%, 62% and 30% 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, 2020, 17%, 72% and 11% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. (2) There were no forward starting swaps at March 31, 2021 and December 31, 2020. (3) At March 31, 2021 and December 31, 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 March 31, 2021 and December 31, 2020. March 31, 2021 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 $6,050,000 1.27% 3M LIBOR 10.27 4.04 Long receive $1,000,000 1.45% 3M LIBOR 10.95 11.43 December 31, 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 $8,050,000 1.27% 3M LIBOR 10.40 5.42 Long receive $250,000 1.66% 3M LIBOR 10.02 0.13 The following table summarizes certain characteristics of the Company’s TBA derivatives at March 31, 2021 and December 31, 2020: March 31, 2021 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 22,496,000 $ 23,040,011 $ 22,793,892 $ (246,119) December 31, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 19,635,000 $ 20,277,088 $ 20,373,197 $ 96,109 The following table summarizes certain characteristics of the Company’s futures derivatives at March 31, 2021 and December 31, 2020: March 31, 2021 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (3,425,000) 4.42 U.S. Treasury futures - 10 year and greater $ — $ (15,213,500) 7.48 Total $ — $ (18,638,500) 6.92 December 31, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (1,240,000) 4.40 U.S. Treasury futures - 10 year and greater — (9,183,800) 6.90 Total $ — $ (10,423,800) 6.60 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 March 31, 2021 and December 31, 2020, respectively. March 31, 2021 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 372,701 $ — $ — $ 372,701 TBA derivatives, at fair value 17,404 (17,404) — — Futures contracts, at fair value 498,226 — — 498,226 Purchase commitments 1,170 — — 1,170 Credit derivatives 1,973 (366) — 1,607 Liabilities Interest rate swaps, at fair value $ 672,637 $ — $ (78,967) $ 593,670 TBA derivatives, at fair value 263,523 (17,404) — 246,119 Purchase commitments 3,028 — — 3,028 Credit derivatives 434 (366) (68) — December 31, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 74,470 $ — $ — $ 74,470 TBA derivatives, at fair value 96,109 — — 96,109 Futures contracts, at fair value 506 (506) — — Purchase commitments 49 — — 49 Liabilities Interest rate swaps, at fair value $ 1,006,492 $ — $ (108,757) $ 897,735 Futures contracts, at fair value 19,413 (506) (18,907) — Credit derivatives 7,440 — (7,440) — 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) March 31, 2021 $ (79,747) $ — $ 772,262 March 31, 2020 $ (13,980) $ (397,561) $ (2,827,723) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended March 31, 2021 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ (287,889) $ (342,228) $ (630,117) Net interest rate swaptions (22,210) 305,990 283,780 Futures 296,164 517,133 813,297 Purchase commitments — (1,907) (1,907) Credit derivatives 1,631 9,023 10,654 Total $ 475,707 Three Months Ended March 31, 2020 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ 271,085 $ 160,695 $ 431,780 Net interest rate swaptions 51,445 70,133 121,578 Futures (279,476) 6,892 (272,584) Purchase commitments — (10,809) (10,809) Credit derivatives 1,925 (65,464) (63,539) Total $ 206,426 Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at March 31, 2021 was approximately $70.8 million, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized.

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS	3 Months Ended
	Mar. 31, 2021
Fair Value Disclosures [Abstract]
FAIR VALUE MEASUREMENTS	11. FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSRs that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Refer to the Note titled “Sale of Commercial Real Estate Business” for fair value measurements related to the assets and liabilities of the disposal group held for sale as of March 31, 2021. 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 “Variable Interest Entities” Note 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. March 31, 2021 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 69,637,229 $ — $ 69,637,229 Credit risk transfer securities — 930,983 — 930,983 Non-Agency mortgage-backed securities — 1,277,104 — 1,277,104 Commercial mortgage-backed securities — 4,121 — 4,121 Loans Residential mortgage loans — 528,868 — 528,868 Mortgage servicing rights — — 113,080 113,080 Assets transferred or pledged to securitization vehicles — 3,768,922 — 3,768,922 Derivative assets Other derivatives 498,226 393,248 — 891,474 Total assets $ 498,226 $ 76,540,475 $ 113,080 $ 77,151,781 Liabilities Debt issued by securitization vehicles — 3,044,725 — 3,044,725 Participations issued — 180,527 — 180,527 Derivative liabilities Interest rate swaps — 672,637 — 672,637 Other derivatives — 266,985 — 266,985 Total liabilities $ — $ 4,164,874 $ — $ 4,164,874 December 31, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 74,067,059 $ — $ 74,067,059 Credit risk transfer securities — 532,403 — 532,403 Non-Agency mortgage-backed securities — 972,192 — 972,192 Commercial mortgage-backed securities — 80,742 — 80,742 Loans Residential mortgage loans — 345,810 — 345,810 Mortgage servicing rights — — 100,895 100,895 Assets transferred or pledged to securitization vehicles — 6,035,671 — 6,035,671 Derivative assets Other derivatives 506 170,628 — 171,134 Total assets $ 506 $ 82,204,505 $ 100,895 $ 82,305,906 Liabilities Debt issued by securitization vehicles $ — $ 5,652,982 $ — $ 5,652,982 Participations issued — 39,198 — 39,198 Derivative liabilities Interest rate swaps — 1,006,492 — 1,006,492 Other derivatives 19,413 7,440 — 26,853 Total liabilities $ 19,413 $ 6,706,112 $ — $ 6,725,525 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 “Mortgage Servicing Rights” Note 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. March 31, 2021 December 31, 2020 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% (9.0%) Discount rate 9.0% -12.0% (9.4%) Prepayment rate 11.0% - 39.2% (26.9%) Prepayment rate 19.3% - 55.5% (42.0%) Delinquency rate 0.0% - 6.0% (2.5%) Delinquency rate 0.0% - 6.0% (2.5%) Cost to service $81 - $107 ($97) Cost to service $83 - $108 ($98) (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 March 31, 2021 and December 31, 2020. March 31, 2021 December 31, 2020 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $— $— $1,372,430 $1,442,071 Corporate debt, held for investment 2,074,475 2,074,790 2,239,930 2,226,045 Assets transferred or pledged to securitization vehicles — — 874,349 928,732 Financial liabilities Repurchase agreements $61,202,477 $61,202,477 $64,825,239 $64,825,239 Other secured financing 922,605 922,605 917,876 917,876 Mortgages payable — — 426,256 474,779 (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	3 Months Ended
	Mar. 31, 2021
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 compares the fair value of a reporting unit with its carrying value, including goodwill. If the carrying value of a reporting unit exceeds its fair value, an impairment loss is recognized in amount equal to that excess, limited to the total amount of goodwill allocated to that reporting unit. At March 31, 2021 and December 31, 2020, goodwill totaled $0 and $71.8 million, respectively. The change reflects the goodwill impairment in connection with the sale of the CRE business. Refer to the “Sale of Commercial Real Estate Business” Note for additional information. 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. The following table presents the activity of finite lived intangible assets for the three months ended March 31, 2021. Intangible Assets, net (dollars in thousands) Balance at December 31, 2020 $ 55,526 Intangible assets included in disposal group held for sale (16,503) Less: amortization expense (1,686) Balance at March 31, 2021 $ 37,337

SECURED FINANCING

SECURED FINANCING	3 Months Ended
	Mar. 31, 2021
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 should be treated as a securing financing. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company receives collateral for reverse repurchase agreements and is required to post collateral for repurchase agreements. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing. 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 $61.2 billion and $64.8 billion of repurchase agreements with weighted average borrowing rates of 0.72% and 0.82%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 88 days and 64 days at March 31, 2021 and December 31, 2020, respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.6 billion with remaining capacity of $1.4 billion at March 31, 2021. At March 31, 2021 and December 31, 2020, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: March 31, 2021 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities (1) Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 7,222,420 $ — $ — $ — $ — $ 7,222,420 0.06 % 2 to 29 days 15,992,325 280,544 421,388 — 298,047 16,992,304 0.19 % 30 to 59 days 7,127,492 59,558 158,556 — 14,929 7,360,535 0.20 % 60 to 89 days 9,066,985 — 179,935 239,985 — 9,486,905 0.31 % 90 to 119 days 3,781,467 — — — — 3,781,467 0.24 % Over 119 days (1) 16,210,783 — 133,604 — 14,459 16,358,846 0.21 % Total $ 59,401,472 $ 340,102 $ 893,483 $ 239,985 $ 327,435 $ 61,202,477 0.20 % December 31, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,151,875 129,993 354,904 $ 76,799 — 128,267 30,841,838 0.29 % 30 to 59 days 10,247,972 16,073 161,274 $ — — 142,336 10,567,655 0.42 % 60 to 89 days 8,181,410 99,620 259,401 $ — — 28,406 8,568,837 0.30 % 90 to 119 days 2,154,733 — — $ — — — 2,154,733 0.23 % Over 119 days (1) 12,008,920 — 274,860 $ 107,924 271,801 28,671 12,692,176 0.36 % Total $ 62,744,910 $ 245,686 $ 1,050,439 $ 184,723 $ 271,801 $ 327,680 $ 64,825,239 0.32 % (1) Includes commercial mortgage-backed securities held for sale. (2) No repurchase agreements had a remaining maturity over 1 year at March 31, 2021. Less than 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2020. 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 March 31, 2021 and December 31, 2020. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. March 31, 2021 December 31, 2020 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 300,000 $ 61,502,477 $ 250,000 $ 65,075,239 Amounts offset (300,000) (300,000) (250,000) (250,000) Netted amounts $ — $ 61,202,477 $ — $ 64,825,239 The fair value of mortgage-backed securities received as collateral in connection with reverse repurchase agreements was approximately $300.0 million and $250.0 million, which the Company fully repledged, at March 31, 2021 and December 31, 2020, respectively. Other Secured Financing - Refer to the “Variable Interest Entities” Note for additional information on the Company’s other secured financing arrangements. 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 $66.9 billion and $183.9 million, respectively, at March 31, 2021 and $70.6 billion and $196.9 million, respectively, at December 31, 2020.

CAPITAL STOCK

CAPITAL STOCK	3 Months Ended
	Mar. 31, 2021
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 March 31, 2021 and December 31, 2020. Shares authorized Shares issued and outstanding March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Par Value Common stock 2,936,500,000 2,914,850,000 1,398,502,906 1,398,240,618 $0.01 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, which expired on December 31, 2020 (the “Prior Share Repurchase Program”). In December 2020, the Company announced that its Board authorized the repurchase of up to $1.5 billion of its outstanding common shares through December 31, 2021 (the “Current Share Repurchase Program”). The Current Share Repurchase Program replaced the Prior Share Repurchase Program. During the three months ended March 31, 2021 and 2020, no shares were purchased pursuant to these authorizations. 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 three months ended March 31, 2021 and 2020. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at March 31, 2021 and December 31, 2020. 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 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Fixed-rate (dollars in thousands) Series D — 18,400,000 — — — — 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 17,000,000 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 17,700,000 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 63,500,000 85,150,000 63,500,000 63,500,000 $ 1,536,569 $ 1,536,569 (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 March 31, 2021, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. The 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 March 31, 2021 March 31, 2020 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 308,346 $ 357,819 Distributions declared per common share $ 0.22 $ 0.25 Distributions paid to common stockholders after period end $ 307,671 $ 357,606 Distributions paid per common share after period end $ 0.22 $ 0.25 Date of distributions paid to common stockholders after period end April 30, 2021 April 30, 2020 Dividends declared to series D preferred stockholders $ — $ 8,625 Dividends declared per share of series D preferred stock $ — $ 0.469 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 Dividends declared to series I preferred stockholders $ 7,467 $ 7,468 Dividends declared per share of series I preferred stock $ 0.422 $ 0.422

INTEREST INCOME AND INTEREST EX

INTEREST INCOME AND INTEREST EXPENSE	3 Months Ended
	Mar. 31, 2021
Banking and Thrift, Interest [Abstract]
INTEREST INCOME AND INTEREST EXPENSE	15. INTEREST INCOME AND INTEREST EXPENSE Refer to the“Significant Accounting Policies” Note 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 months ended March 31, 2021 and March 31, 2020. For the Three Months Ended March 31, 2021 2020 Interest income (dollars in thousands) Residential Securities (1) $ 644,634 $ 410,380 Residential mortgage loans (1) 37,109 47,557 Commercial investment portfolio (1) (2) 81,601 95,676 Reverse repurchase agreements 34 1,413 Total interest income $ 763,378 $ 555,026 Interest expense Repurchase agreements 42,585 434,021 Debt issued by securitization vehicles 26,276 42,119 Participations issued 597 — Other 6,515 27,333 Total interest expense 75,973 503,473 Net interest income $ 687,405 $ 51,553 (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	3 Months Ended
	Mar. 31, 2021
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 March 31, 2021 and March 31, 2020. For the Three Months Ended March 31, 2021 March 31, 2020 (dollars in thousands, except per share data) Net income (loss) $ 1,751,134 $ (3,640,189) Net income (loss) attributable to noncontrolling interests 321 66 Net income (loss) attributable to Annaly 1,750,813 (3,640,255) Dividends on preferred stock 26,883 35,509 Net income (loss) available (related) to common stockholders $ 1,723,930 $ (3,675,764) Weighted average shares of common stock outstanding-basic 1,399,210,925 1,430,994,319 Add: Effect of stock awards, if dilutive 789,802 — Weighted average shares of common stock outstanding-diluted 1,400,000,727 1,430,994,319 Net income (loss) per share available (related) to common share Basic $ 1.23 $ (2.57) Diluted $ 1.23 $ (2.57) The computations of diluted net income (loss) per share available (related) to common share for the three months ended March 31, 2020 excludes 0.1 million of potentially dilutive restricted stock units because their effect would have been anti-dilutive.

INCOME TAXES

INCOME TAXES	3 Months Ended
	Mar. 31, 2021
Income Tax Disclosure [Abstract]
INCOME TAXES	17. INCOME TAXES For the three months ended March 31, 2021 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 March 31, 2021 and December 31, 2020. 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 months ended March 31, 2021 and 2020, the Company recorded ($0.3) million and ($26.7) 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	3 Months Ended
	Mar. 31, 2021
Risk Management [Abstract]
RISK MANAGEMENT	18. RISK MANAGEMENT The primary risks to the Company are capital, liquidity and funding risk, investment/market risk and credit risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral or liquidating some of the existing collateral to reduce borrowing levels. The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges. Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the volatility of future interest rates may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies. The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, which exclude CRT securities issued by Freddie Mac and Fannie Mae, is guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities is backed by the full faith and credit of the U.S. government. Substantially all of the Company’s Agency mortgage-backed securities have an actual or implied “AAA” rating. The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, real estate investments, commercial mortgage-backed securities, residential mortgage loans, CRT securities, other non-Agency mortgage-backed securities and corporate debt. MSR values may also be adversely impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. The Company is exposed to risk of loss if an issuer, borrower, tenant or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers, tenants and counterparties.

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS	3 Months Ended
	Mar. 31, 2021
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 three months ended March 31, 2020, the compensation and management fee computed in accordance with the Management Agreement was $40.8 million and reimbursement payments to the Former Manager were $7.1 million.

LEASE COMMITMENTS AND CONTINGEN

LEASE COMMITMENTS AND CONTINGENCIES	3 Months Ended
	Mar. 31, 2021
Leases [Abstract]
LEASE COMMITMENTS AND CONTINGENCIES	20. LEASE COMMITMENTS AND CONTINGENCIES The Company’s operating leases are primarily comprised of a corporate office lease with a remaining lease term of approximately 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 months ended March 31, 2021 was $0.9 million. Supplemental information related to leases as of and for the three months ended March 31, 2021 was as follows: Operating Leases Classification March 31, 2021 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 12,503 Liabilities Operating lease liabilities (1) Other liabilities $ 16,308 Lease term and discount rate Weighted average remaining lease term 4.5 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 $ 997 (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) 2021 (remaining) $ 2,921 2022 $ 3,862 2023 3,862 2024 3,862 2025 2,895 Total lease payments $ 17,402 Less imputed interest 1,094 Present value of lease liabilities $ 16,308 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 March 31, 2021 and December 31, 2020.

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS	3 Months Ended
	Mar. 31, 2021
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 March 31, 2021 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 March 31, 2021 was $515.0 million with excess net capital of $514.7 million.

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS	3 Months Ended
	Mar. 31, 2021
Subsequent Events [Abstract]
Subsequent Events	22. SUBSEQUENT EVENTS In April 2021, the Company completed and closed the securitization of residential mortgage loans, OBX 2021-J1 Trust, with a face value of $353.8 million. The securitization represented a financing transaction which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.

SIGNIFICANT ACCOUNTING POLICI_2

SIGNIFICANT ACCOUNTING POLICIES (Policies)	3 Months Ended
	Mar. 31, 2021
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 between market participants at the measurement date. Refer to the Note titled “Sale of Commercial Real Estate Business” for fair value measurements related to the assets and liabilities of the disposal group held for sale as of March 31, 2021. 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 and financial instruments 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. Stock-based awards that contain market-based conditions are valued using a model.
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. Refer to the “Interest Income and Interest Expense” Note 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 have been adopted 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. ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform. January 1, 2020 The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date.
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) reversal 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.
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 Consolidated Statements of Comprehensive Income (Loss). Additionally, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts. Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts.
Fair Value of Financial Instruments	The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets, TBA derivatives and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, refer to the “Variable Interest Entities” Note for additional information.
Goodwill and Intangible Assets	The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a
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 should be treated as a securing financing. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company receives collateral for reverse repurchase agreements and is required to post collateral for repurchase agreements. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing. 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)	3 Months Ended
	Mar. 31, 2021
Accounting Policies [Abstract]
Schedule of Investment Groups	The Company’s 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 and complementary investments within the Agency market, including MSRs and Agency commercial mortgage-backed securities. Annaly Residential Credit Group Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets. 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)	3 Months Ended
	Mar. 31, 2021
Accounting Policies [Abstract]
Recent Accounting Pronouncements	Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that have been adopted 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. ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform. January 1, 2020 The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date.

FINANCIAL INSTRUMENTS (Tables)

FINANCIAL INSTRUMENTS (Tables)	3 Months Ended
	Mar. 31, 2021
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 March 31, 2021 and December 31, 2020. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis March 31, 2021 December 31, 2020 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 69,148,257 $ 73,562,972 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 488,972 504,087 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 930,983 532,403 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 1,277,104 972,192 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through other comprehensive income — 31,603 Securities Commercial real estate debt investments - CMBS (4)(5) Fair value, with unrealized gains (losses) through earnings — 45,254 Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 4,121 3,885 Total securities 71,849,437 75,652,396 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 528,868 345,810 Loans, net Commercial real estate debt and preferred equity, held for investment (4) Amortized cost — 498,081 Loans, net Corporate debt held for investment, net Amortized cost 2,074,475 2,239,930 Total loans, net 2,603,343 3,083,821 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 598,118 620,347 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,170,804 3,249,251 Assets transferred or pledged to securitization vehicles Commercial mortgage loans (4) Fair value, with unrealized gains (losses) through earnings — 2,166,073 Assets transferred or pledged to securitization vehicles Commercial mortgage loans (4) Amortized cost — 874,349 Total assets transferred or pledged to securitization vehicles 3,768,922 6,910,020 Liabilities Repurchase agreements Repurchase agreements Amortized cost 61,202,477 64,825,239 Other secured financing Loans Amortized cost 922,605 917,876 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 3,044,725 5,652,982 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 180,527 39,198 Mortgages payable Loans (6) Amortized cost — 426,256 (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) Included in Assets of disposal group held for sale at March 31, 2021. (5) Includes single-asset / single-borrower CMBS. (6) Included in Liabilities of disposal group held for sale at March 31, 2021.

SECURITIES (Tables)

SECURITIES (Tables)	3 Months Ended
	Mar. 31, 2021
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 three months ended March 31, 2021: Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2021 $ 75,571,654 $ 80,742 $ 75,652,396 Purchases 5,607,648 — 5,607,648 Sales and transfers (1) (3,025,550) (78,770) (3,104,320) Principal paydowns (4,986,747) — (4,986,747) (Amortization) / accretion 12,006 284 12,290 Fair value adjustment (1,333,695) 1,865 (1,331,830) Ending balance March 31, 2021 $ 71,845,316 $ 4,121 $ 71,849,437 (1) Includes transfers to assets of disposal group held for sale.
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 March 31, 2021 and December 31, 2020: March 31, 2021 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 62,221,818 $ 3,509,679 $ (22,954) $ 65,708,543 $ 2,323,973 $ (418,896) $ 67,613,620 Adjustable-rate pass-through 416,963 2,425 (3,550) 415,838 23,035 (1) 438,872 CMO 133,977 2,140 — 136,117 6,755 — 142,872 Interest-only 2,564,531 534,913 — 534,913 2,058 (126,807) 410,164 Multifamily (1) 1,294,527 41,353 (1,031) 980,458 21,820 (20,163) 982,115 Reverse mortgages 46,004 4,070 — 50,074 — (488) 49,586 Total agency securities $ 66,677,820 $ 4,094,580 $ (27,535) $ 67,825,943 $ 2,377,641 $ (566,355) $ 69,637,229 Residential credit CRT (2) $ 940,130 $ 7,087 $ (2,299) $ 934,425 $ 3,455 $ (6,897) $ 930,983 Alt-A 72,234 50 (17,179) 55,105 3,398 (5) 58,498 Prime 174,335 4,932 (15,778) 163,489 12,026 (285) 175,230 Prime interest-only 146,141 1,513 — 1,513 — (554) 959 Subprime 199,639 531 (17,986) 182,184 7,479 (1,165) 188,498 NPL/RPL 804,824 1,307 (2,374) 803,757 6,297 (650) 809,404 Prime jumbo (>=2010 vintage) 44,309 196 (5,234) 39,271 4,126 (48) 43,349 Prime jumbo (>=2010 vintage) Interest-only 228,483 5,770 — 5,770 — (4,604) 1,166 Total residential credit securities $ 2,610,095 $ 21,386 $ (60,850) $ 2,185,514 $ 36,781 $ (14,208) $ 2,208,087 Total Residential Securities $ 69,287,915 $ 4,115,966 $ (88,385) $ 70,011,457 $ 2,414,422 $ (580,563) $ 71,845,316 Commercial Commercial Securities $ 4,000 $ — $ (111) $ 3,889 $ 232 $ — $ 4,121 Total securities $ 69,291,915 $ 4,115,966 $ (88,496) $ 70,015,346 $ 2,414,654 $ (580,563) $ 71,849,437 December 31, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 64,800,235 $ 3,325,020 $ (22,143) $ 68,103,112 $ 3,200,542 $ (1,076) $ 71,302,578 Adjustable-rate pass-through 455,675 2,869 (3,369) 455,175 22,341 — 477,516 CMO 139,664 2,177 — 141,841 7,926 — 149,767 Interest-only 2,790,537 564,297 — 564,297 3,513 (145,901) 421,909 Multifamily 1,910,384 50,148 (1,057) 1,604,913 59,548 (954) 1,663,507 Reverse mortgages 47,585 4,183 — 51,768 252 (238) 51,782 Total agency investments $ 70,144,080 $ 3,948,694 $ (26,569) $ 70,921,106 $ 3,294,122 $ (148,169) $ 74,067,059 Residential credit CRT (1) $ 544,780 $ 7,324 $ (2,430) $ 538,941 $ 3,062 $ (9,600) $ 532,403 Alt-A 93,001 51 (17,368) 75,684 4,644 — 80,328 Prime 177,852 5,126 (15,999) 166,979 14,607 (77) 181,509 Prime interest-only 194,687 1,882 — 1,882 — (642) 1,240 Subprime 197,779 584 (18,181) 180,182 8,312 (61) 188,433 NPL/RPL 475,108 821 (2,416) 473,513 3,782 (1,448) 475,847 Prime jumbo (>=2010 vintage) 44,696 207 (5,300) 39,603 3,680 — 43,283 Prime jumbo (>=2010 vintage) Interest-only 291,624 6,803 — 6,803 — (5,251) 1,552 Total residential credit securities $ 2,019,527 $ 22,798 $ (61,694) $ 1,483,587 $ 38,087 $ (17,079) $ 1,504,595 Total Residential Securities $ 72,163,607 $ 3,971,492 $ (88,263) $ 72,404,693 $ 3,332,209 $ (165,248) $ 75,571,654 Commercial Commercial Securities $ 89,858 $ — $ (7,471) $ 82,387 $ 54 $ (1,699) $ 80,742 Total securities $ 72,253,465 $ 3,971,492 $ (95,734) $ 72,487,080 $ 3,332,263 $ (166,947) $ 75,652,396 (1) Principal/Notional amount includes $354.4 million and $354.6 million of an Agency CMBS interest-only security as of March 31, 2021 and December 31, 2020, respectively. (2) Principal/Notional amount includes $10.5 million and $14.9 million of a CRT interest-only security as of March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 Investment Type (dollars in thousands) Fannie Mae $ 53,587,022 $ 56,218,033 Freddie Mac 15,945,374 17,735,041 Ginnie Mae 104,833 113,985 Total $ 69,637,229 $ 74,067,059
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 March 31, 2021 and December 31, 2020, according to their estimated weighted average life classifications: March 31, 2021 December 31, 2020 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 93,493 $ 92,760 $ 110,203 $ 109,540 Greater than one year through five years 11,078,004 10,643,081 45,643,138 43,404,877 Greater than five years through ten years 59,414,165 57,992,294 28,509,058 27,610,923 Greater than ten years 1,259,654 1,283,322 1,309,255 1,279,353 Total $ 71,845,316 $ 70,011,457 $ 75,571,654 $ 72,404,693
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 March 31, 2021 and December 31, 2020. March 31, 2021 December 31, 2020 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 $ 18,862,476 $ (439,060) 381 $ 777,586 $ (2,030) 30 12 Months or more — — — — — — Total $ 18,862,476 $ (439,060) 381 $ 777,586 $ (2,030) 30 (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 months ended March 31, 2021 and 2020. Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the three months ended (dollars in thousands) March 31, 2021 $ 4,646 $ (65,340) $ (60,694) March 31, 2020 $ 539,255 $ (271,998) $ 267,257

LOANS (Tables)

LOANS (Tables)	3 Months Ended
	Mar. 31, 2021
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 three months ended March 31, 2021: Residential Commercial Corporate Debt Total (dollars in thousands) Beginning balance January 1, 2021 $ 345,810 $ 498,081 $ 2,239,930 $ 3,083,821 Purchases / originations 467,307 114,467 71,493 653,267 Sales and transfers (1) (267,551) (536,829) (45,776) (850,156) Principal payments (10,281) (63,959) (201,247) (275,487) Gains / (losses) (2) (5,164) (12,199) 6,186 (11,177) (Amortization) / accretion (1,253) 439 3,889 3,075 Ending balance March 31, 2021 $ 528,868 $ — $ 2,074,475 $ 2,603,343 (1) Includes securitizations, syndications, transfers to securitization vehicles and commercial loan transfers to assets of disposal group held for sale. Includes transfer of residential loans to securitization vehicles with a carrying value of $257.1 million during the three months ended March 31, 2021. (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 March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 (dollars in thousands) Fair value $ 3,699,672 $ 3,595,061 Unpaid principal balance $ 3,557,855 $ 3,482,865
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 months ended March 31, 2021 and 2020 for these investments: For the Three Months Ended March 31, 2021 March 31, 2020 (dollars in thousands) Interest income $ 37,109 $ 47,557 Net gains (losses) on disposal of investments and other (5,220) (12,000) Net unrealized gains (losses) on instruments measured at fair value through earnings 22,455 (192,763) Total included in net income (loss) $ 54,344 $ (157,206)
Geographic Concentrations Based on Unpaid Principal Balances	The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2021 and December 31, 2020 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans March 31, 2021 December 31, 2020 Property location % of Balance Property location % of Balance California 51.0% California 48.9% New York 14.0% New York 14.0% Florida 6.0% Florida 6.0% All other (none individually greater than 5%) 29.0% All other (none individually greater than 5%) 31.1% Total 100.0% 100.0% Securitized Loans at Fair Value Geographic Concentration of Credit Risk Residential Trusts Property Location Principal Balance % of Balance California $ 16,549 45.9 % Illinois 4,799 13.3 % Texas 4,365 12.1 % Massachusetts 2,247 6.2 % Other (1) 8,074 22.5 % Total $ 36,034 100.0 % (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 March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $3,448 $485 $1 - $3,448 $473 Interest rate 0.50% - 9.24% 4.85% 0.50% - 9.24% 4.89% Maturity 7/1/2029 - 4/1/2061 12/11/2048 7/1/2029 - 1/1/2061 4/17/2046 FICO score at loan origination 505 - 829 754 505 - 829 755 Loan-to-value ratio at loan origination 8% - 104% 67% 8% - 104% 67%
Schedule of Commercial Mortgage Loans Held for Sale and Investment	The sector attributes of the Company’s commercial real estate investments held for sale at March 31, 2021 and held for investment at December 31, 2020 were as follows: Sector Dispersion March 31, 2021 December 31, 2020 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 577,893 41.8 % $ 650,034 47.4 % Retail 249,917 18.1 % 256,493 18.7 % Multifamily 217,131 15.7 % 250,095 18.2 % Hotel 130,578 9.4 % 115,536 8.4 % Industrial 114,152 8.2 % 60,097 4.4 % Other 75,306 5.4 % 20,302 1.5 % Healthcare 19,145 1.4 % 19,873 1.4 % Total $ 1,384,122 100.0 % $ 1,372,430 100.0 % Commercial real estate investments held for sale at March 31, 2021 and held for investment at December 31, 2020 were comprised of the following: March 31, 2021 December 31, 2020 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 432,736 $ 409,166 28.6 % $ 387,124 $ 373,925 25.7 % Senior securitized mortgages (3) 906,440 861,996 60.0 % 938,859 874,349 62.3 % Mezzanine loans 171,639 112,960 11.4 % 181,261 124,156 12.0 % Total $ 1,510,815 $ 1,384,122 100.0 % $ 1,507,244 $ 1,372,430 100.0 % (1) Carrying value includes unamortized origination fees of $5.4 million and $4.9 million at March 31, 2021 and December 31, 2020, 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 sale at March 31, 2021 and held for investment at December 31, 2020: March 31, 2021 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2021) (2) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 Originations & advances (principal) 115,569 69 301 115,939 Principal payments (54,037) (48,409) (9,922) (112,368) Transfers (3) (36,195) (26,639) (58,491) (121,325) Net (increase) decrease in origination fees (1,403) — — (1,403) Amortization of net origination fees 396 477 43 916 Allowance for loan losses Beginning allowance (10,911) (62,149) (56,873) (129,933) Current period (allowance) reversal 10,911 62,149 56,873 129,933 Ending allowance — — — — Net carrying value (March 31, 2021) $ 409,166 $ 861,996 $ 112,960 $ 1,384,122 December 31, 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) 206,090 — 12,374 218,464 Principal payments (77,344) (144,308) (78) (221,730) Principal write off — — (7,000) (7,000) Transfers (3) (245,120) 142,621 (7,100) (109,599) Net (increase) decrease in origination fees (1,055) (653) (80) (1,788) Realized gain 204 — — 204 Amortization of net origination fees 2,371 2,460 187 5,018 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703) (12,703) Impact of adopting CECL (2,263) (4,166) (1,336) (7,765) Current period (allowance) reversal (8,648) (57,983) (66,521) (133,152) Write offs — — 23,687 23,687 Ending allowance (10,911) (62,149) (56,873) (129,933) Net carrying value (December 31, 2020) $ 373,925 $ 874,349 $ 124,156 $ 1,372,430 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances. (3) Includes transfers to securitization vehicles.
Summary of Internal Risk Rating for Corporate Debt	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 Industry and Rate Attributes of The Portfolio	The industry and rate attributes of the portfolio at March 31, 2021 and December 31, 2020 are as follows: Industry Dispersion March 31, 2021 December 31, 2020 Total (1) Total (1) (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services $ 375,103 $ 483,142 Management & Public Relations Services 291,581 300,869 Industrial Inorganic Chemicals 156,782 156,391 Public Warehousing & Storage 120,473 132,397 Metal Cans & Shipping Containers 115,907 115,670 Surgical, Medical & Dental Instruments & Supplies 82,831 83,161 Electronic Components & Accessories 78,257 78,129 Engineering, Architectural, and Surveying 77,156 77,308 Offices & Clinics of Doctors of Medicine 74,481 104,781 Miscellaneous Health & Allied Services, not elsewhere classified 70,295 77,163 Insurance Agents, Brokers and Service 65,624 67,193 Research, Development & Testing Services 62,218 62,008 Miscellaneous Food Preparations 59,009 58,857 Telephone Communications 58,694 58,450 Miscellaneous Equipment Rental & Leasing 49,641 49,587 Electric Work 40,390 41,128 Petroleum and Petroleum Products 33,836 33,890 Medical & Dental Laboratories 30,763 30,711 Schools & Educational Services, not elsewhere classified 29,183 29,040 Home Health Care Services 28,669 28,587 Metal Forgings & Stampings 27,689 27,523 Legal Services 26,358 26,399 Grocery Stores 22,906 22,895 Coating, Engraving and Allied Services 19,500 19,484 Miscellaneous Business Services 14,996 12,980 Chemicals & Allied Products 14,667 14,686 Mailing, Reproduction, Commercial Art and Photography and Stenographic 12,917 12,733 Drugs 12,622 12,942 Machinery, Equipment & Supplies 11,839 12,096 Offices and Clinics of Other Health Practitioners 10,088 9,730 Total $ 2,074,475 $ 2,239,930 (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 March 31, 2021 and December 31, 2020. March 31, 2021 December 31, 2020 (dollars in thousands) First lien loans $ 1,431,882 $ 1,489,125 Second lien loans 642,593 750,805 Total $ 2,074,475 $ 2,239,930
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 March 31, 2021 and December 31, 2020: March 31, 2021 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2021) (1) $ 1,489,125 $ 750,805 $ 2,239,930 Originations & advances 56,939 14,554 71,493 Sales (2) (21,328) (24,448) (45,776) Principal payments (96,247) (105,000) (201,247) Amortization & accretion of (premium) discounts 1,708 2,181 3,889 Allowance for loan losses Beginning allowance (18,767) (20,785) (39,552) Current period (allowance) reversal 1,685 4,501 6,186 Ending allowance (17,082) (16,284) (33,366) Net carrying value (March 31, 2021) $ 1,431,882 $ 642,593 $ 2,074,475 (1) Excludes loan loss allowances. (2) Includes syndications. December 31, 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 834,211 227,433 1,061,644 Sales (2) (273,887) (79,203) (353,090) Principal payments (444,759) (132,000) (576,759) Amortization & accretion of (premium) discounts 8,374 3,832 12,206 Loan restructuring (19,550) 2,818 (16,732) 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) reversal (12,510) (1,919) (14,429) Write offs 11,893 — 11,893 Ending allowance (18,767) (20,785) (39,552) Net carrying value (December 31, 2020) $ 1,489,125 $ 750,805 $ 2,239,930
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 March 31, 2021 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2021 2020 2019 2018 2017 2016 2015 (dollars in thousands) 1-5 / Performing $ 1,618,878 $ 44,236 $ 478,783 $ 309,602 $ 415,939 $ 289,450 $ 46,394 $ 34,474 6 / Performing - Closely Monitored 374,004 2,931 26,358 21,567 259,057 64,091 — — 7 / Substandard 81,593 — 11,839 26,173 43,581 — — — 8 / Doubtful — — — — — — — — 9 / Loss — — — — — — — — Total $ 2,074,475 $ 47,167 $ 516,980 $ 357,342 $ 718,577 $ 353,541 $ 46,394 $ 34,474 (1) The amortized cost basis excludes accrued interest and includes deferred fees on unfunded loans. As of March 31, 2021, the Company had $8.8 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition and $1.1 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition.

MORTGAGE SERVICING RIGHTS (Tabl

MORTGAGE SERVICING RIGHTS (Tables)	3 Months Ended
	Mar. 31, 2021
Transfers and Servicing [Abstract]
Presentation of Activity Related to MSR	The following table presents activity related to MSRs for the three months ended March 31, 2021 and 2020: Three Months Ended March 31, 2021 March 31, 2020 (dollars in thousands) Fair value, beginning of period $ 100,895 $ 378,078 Change in fair value due to: Changes in valuation inputs or assumptions (1) 27,673 (79,224) Other changes, including realization of expected cash flows (15,488) (18,296) Fair value, end of period $ 113,080 $ 280,558 (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)	3 Months Ended
	Mar. 31, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Fair Value of OBX Trusts	The entities in the table below are referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2018-1 March 2018 $ 327,162 OBX 2018-EXP1 August 2018 $ 383,451 OBX 2018-EXP2 October 2018 $ 384,027 OBX 2019-INV1 January 2019 $ 393,961 OBX 2019-EXP1 April 2019 $ 388,156 OBX 2019-INV2 June 2019 $ 383,760 OBX 2019-EXP2 July 2019 $ 463,405 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 OBX 2021-NQM1 March 2021 $ 257,135
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 multifamily securitization, 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 March 31, 2021 and December 31, 2020 are as follows: March 31, 2021 Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ 30,529 Loans — 45,982 Assets transferred or pledged to securitization vehicles 36,786 — Mortgage servicing rights — 113,080 Principal and interest receivable 214 — Other assets — 24,150 Total assets $ 37,000 $ 213,741 Liabilities Debt issued by securitization vehicles (non-recourse) $ 20,254 $ — Payable for unsettled trades — 587 Interest payable 48 — Other liabilities 408 13,106 Total liabilities $ 20,710 $ 13,693 December 31, 2020 Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ 22,241 Loans — 47,048 Assets transferred or pledged to securitization vehicles 40,035 — Mortgage servicing rights — 100,895 Principal and interest receivable 226 — Total assets $ 40,261 $ 170,184 Liabilities Debt issued by securitization vehicles (non-recourse) $ 23,351 $ — Other secured financing — 30,420 Payable for unsettled trades — 3,076 Interest payable 55 — Other liabilities 246 13,345 Total liabilities $ 23,652 $ 46,841
Geographic Concentrations Based on Unpaid Principal Balances	The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2021 and December 31, 2020 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans March 31, 2021 December 31, 2020 Property location % of Balance Property location % of Balance California 51.0% California 48.9% New York 14.0% New York 14.0% Florida 6.0% Florida 6.0% All other (none individually greater than 5%) 29.0% All other (none individually greater than 5%) 31.1% Total 100.0% 100.0% Securitized Loans at Fair Value Geographic Concentration of Credit Risk Residential Trusts Property Location Principal Balance % of Balance California $ 16,549 45.9 % Illinois 4,799 13.3 % Texas 4,365 12.1 % Massachusetts 2,247 6.2 % Other (1) 8,074 22.5 % Total $ 36,034 100.0 % (1) No individual state greater than 5%.

SALE OF COMMERCIAL REAL ESTAT_2

SALE OF COMMERCIAL REAL ESTATE BUSINESS (Tables)	3 Months Ended
	Mar. 31, 2021
Discontinued Operations and Disposal Groups [Abstract]
Disposal Groups, Including Discontinued Operations	The carrying values of the major classes of assets and liabilities of the disposal group held for sale as of March 31, 2021 are presented in the table below: March 31, 2021 (dollars in thousands) Cash and cash equivalents $ 8,944 Securities 78,341 Loans, net 522,126 Assets transferred or pledged to securitization vehicles 3,123,451 Real estate, net 617,216 Intangible assets, net 16,503 Other assets 34,142 Total assets of disposal group held for sale $ 4,400,723 Repurchase agreements $ 292,168 Debt issued by securitization vehicles 2,542,556 Mortgages payable 426,064 Interest payable 1,167 Other liabilities 57,459 Total liabilities of disposal group held for sale $ 3,319,414

DERIVATIVE INSTRUMENTS (Tables)

DERIVATIVE INSTRUMENTS (Tables)	3 Months Ended
	Mar. 31, 2021
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 March 31, 2021 and December 31, 2020: Derivatives Instruments March 31, 2021 December 31, 2020 Assets (dollars in thousands) Interest rate swaptions $ 372,701 $ 74,470 TBA derivatives 17,404 96,109 Futures contracts 498,226 506 Purchase commitments 1,170 49 Credit derivatives (1) 1,973 — Total derivative assets $ 891,474 $ 171,134 Liabilities Interest rate swaps $ 672,637 $ 1,006,492 TBA derivatives 263,523 — Futures contracts — 19,413 Purchase commitments 3,028 — Credit derivatives (1) 434 7,440 Total derivative liabilities $ 939,622 $ 1,033,345 (1)
Summary of Certain Characteristics of Derivatives	The following table summarizes certain characteristics of the Company’s interest rate swaps at March 31, 2021 and December 31, 2020: March 31, 2021 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 $ 31,167,000 0.24 % 0.06 % 1.80 3 - 6 years 3,100,000 0.13 % 0.06 % 4.13 6 - 10 years 4,065,500 1.27 % 0.65 % 7.77 Greater than 10 years 1,484,000 3.06 % 0.33 % 20.27 Total / Weighted average $ 39,816,500 0.80 % 0.34 % 3.28 December 31, 2020 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 23,680,150 0.27 % 0.11 % 1.96 3 - 6 years 3,600,000 0.18 % 0.09 % 4.21 6 - 10 years 5,565,500 1.40 % 0.62 % 7.76 Greater than 10 years 1,484,000 3.06 % 0.36 % 20.52 Total / Weighted average $ 34,329,650 0.92 % 0.37 % 3.94 (1) As of March 31, 2021, 8%, 62% and 30% 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, 2020, 17%, 72% and 11% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. (2) There were no forward starting swaps at March 31, 2021 and December 31, 2020. (3) At March 31, 2021 and December 31, 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 March 31, 2021 and December 31, 2020. March 31, 2021 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 $6,050,000 1.27% 3M LIBOR 10.27 4.04 Long receive $1,000,000 1.45% 3M LIBOR 10.95 11.43 December 31, 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 $8,050,000 1.27% 3M LIBOR 10.40 5.42 Long receive $250,000 1.66% 3M LIBOR 10.02 0.13 The following table summarizes certain characteristics of the Company’s TBA derivatives at March 31, 2021 and December 31, 2020: March 31, 2021 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 22,496,000 $ 23,040,011 $ 22,793,892 $ (246,119) December 31, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 19,635,000 $ 20,277,088 $ 20,373,197 $ 96,109 The following table summarizes certain characteristics of the Company’s futures derivatives at March 31, 2021 and December 31, 2020: March 31, 2021 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (3,425,000) 4.42 U.S. Treasury futures - 10 year and greater $ — $ (15,213,500) 7.48 Total $ — $ (18,638,500) 6.92 December 31, 2020 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 5 year — (1,240,000) 4.40 U.S. Treasury futures - 10 year and greater — (9,183,800) 6.90 Total $ — $ (10,423,800) 6.60
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 March 31, 2021 and December 31, 2020, respectively. March 31, 2021 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 372,701 $ — $ — $ 372,701 TBA derivatives, at fair value 17,404 (17,404) — — Futures contracts, at fair value 498,226 — — 498,226 Purchase commitments 1,170 — — 1,170 Credit derivatives 1,973 (366) — 1,607 Liabilities Interest rate swaps, at fair value $ 672,637 $ — $ (78,967) $ 593,670 TBA derivatives, at fair value 263,523 (17,404) — 246,119 Purchase commitments 3,028 — — 3,028 Credit derivatives 434 (366) (68) — December 31, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 74,470 $ — $ — $ 74,470 TBA derivatives, at fair value 96,109 — — 96,109 Futures contracts, at fair value 506 (506) — — Purchase commitments 49 — — 49 Liabilities Interest rate swaps, at fair value $ 1,006,492 $ — $ (108,757) $ 897,735 Futures contracts, at fair value 19,413 (506) (18,907) — Credit derivatives 7,440 — (7,440) —
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) March 31, 2021 $ (79,747) $ — $ 772,262 March 31, 2020 $ (13,980) $ (397,561) $ (2,827,723) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended March 31, 2021 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ (287,889) $ (342,228) $ (630,117) Net interest rate swaptions (22,210) 305,990 283,780 Futures 296,164 517,133 813,297 Purchase commitments — (1,907) (1,907) Credit derivatives 1,631 9,023 10,654 Total $ 475,707 Three Months Ended March 31, 2020 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments (dollars in thousands) Net TBA derivatives $ 271,085 $ 160,695 $ 431,780 Net interest rate swaptions 51,445 70,133 121,578 Futures (279,476) 6,892 (272,584) Purchase commitments — (10,809) (10,809) Credit derivatives 1,925 (65,464) (63,539) Total $ 206,426

FAIR VALUE MEASUREMENTS (Tables

FAIR VALUE MEASUREMENTS (Tables)	3 Months Ended
	Mar. 31, 2021
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. March 31, 2021 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 69,637,229 $ — $ 69,637,229 Credit risk transfer securities — 930,983 — 930,983 Non-Agency mortgage-backed securities — 1,277,104 — 1,277,104 Commercial mortgage-backed securities — 4,121 — 4,121 Loans Residential mortgage loans — 528,868 — 528,868 Mortgage servicing rights — — 113,080 113,080 Assets transferred or pledged to securitization vehicles — 3,768,922 — 3,768,922 Derivative assets Other derivatives 498,226 393,248 — 891,474 Total assets $ 498,226 $ 76,540,475 $ 113,080 $ 77,151,781 Liabilities Debt issued by securitization vehicles — 3,044,725 — 3,044,725 Participations issued — 180,527 — 180,527 Derivative liabilities Interest rate swaps — 672,637 — 672,637 Other derivatives — 266,985 — 266,985 Total liabilities $ — $ 4,164,874 $ — $ 4,164,874 December 31, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 74,067,059 $ — $ 74,067,059 Credit risk transfer securities — 532,403 — 532,403 Non-Agency mortgage-backed securities — 972,192 — 972,192 Commercial mortgage-backed securities — 80,742 — 80,742 Loans Residential mortgage loans — 345,810 — 345,810 Mortgage servicing rights — — 100,895 100,895 Assets transferred or pledged to securitization vehicles — 6,035,671 — 6,035,671 Derivative assets Other derivatives 506 170,628 — 171,134 Total assets $ 506 $ 82,204,505 $ 100,895 $ 82,305,906 Liabilities Debt issued by securitization vehicles $ — $ 5,652,982 $ — $ 5,652,982 Participations issued — 39,198 — 39,198 Derivative liabilities Interest rate swaps — 1,006,492 — 1,006,492 Other derivatives 19,413 7,440 — 26,853 Total liabilities $ 19,413 $ 6,706,112 $ — $ 6,725,525
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. March 31, 2021 December 31, 2020 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% (9.0%) Discount rate 9.0% -12.0% (9.4%) Prepayment rate 11.0% - 39.2% (26.9%) Prepayment rate 19.3% - 55.5% (42.0%) Delinquency rate 0.0% - 6.0% (2.5%) Delinquency rate 0.0% - 6.0% (2.5%) Cost to service $81 - $107 ($97) Cost to service $83 - $108 ($98) (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 March 31, 2021 and December 31, 2020. March 31, 2021 December 31, 2020 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $— $— $1,372,430 $1,442,071 Corporate debt, held for investment 2,074,475 2,074,790 2,239,930 2,226,045 Assets transferred or pledged to securitization vehicles — — 874,349 928,732 Financial liabilities Repurchase agreements $61,202,477 $61,202,477 $64,825,239 $64,825,239 Other secured financing 922,605 922,605 917,876 917,876 Mortgages payable — — 426,256 474,779 (1) Includes assets of consolidated VIEs.

GOODWILL AND INTANGIBLE ASSETS

GOODWILL AND INTANGIBLE ASSETS (Tables)	3 Months Ended
	Mar. 31, 2021
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 three months ended March 31, 2021. Intangible Assets, net (dollars in thousands) Balance at December 31, 2020 $ 55,526 Intangible assets included in disposal group held for sale (16,503) Less: amortization expense (1,686) Balance at March 31, 2021 $ 37,337

SECURED FINANCING (Tables)

SECURED FINANCING (Tables)	3 Months Ended
	Mar. 31, 2021
Debt Disclosure [Abstract]
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates	At March 31, 2021 and December 31, 2020, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: March 31, 2021 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities (1) Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 7,222,420 $ — $ — $ — $ — $ 7,222,420 0.06 % 2 to 29 days 15,992,325 280,544 421,388 — 298,047 16,992,304 0.19 % 30 to 59 days 7,127,492 59,558 158,556 — 14,929 7,360,535 0.20 % 60 to 89 days 9,066,985 — 179,935 239,985 — 9,486,905 0.31 % 90 to 119 days 3,781,467 — — — — 3,781,467 0.24 % Over 119 days (1) 16,210,783 — 133,604 — 14,459 16,358,846 0.21 % Total $ 59,401,472 $ 340,102 $ 893,483 $ 239,985 $ 327,435 $ 61,202,477 0.20 % December 31, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — $ — — % 2 to 29 days 30,151,875 129,993 354,904 $ 76,799 — 128,267 30,841,838 0.29 % 30 to 59 days 10,247,972 16,073 161,274 $ — — 142,336 10,567,655 0.42 % 60 to 89 days 8,181,410 99,620 259,401 $ — — 28,406 8,568,837 0.30 % 90 to 119 days 2,154,733 — — $ — — — 2,154,733 0.23 % Over 119 days (1) 12,008,920 — 274,860 $ 107,924 271,801 28,671 12,692,176 0.36 % Total $ 62,744,910 $ 245,686 $ 1,050,439 $ 184,723 $ 271,801 $ 327,680 $ 64,825,239 0.32 % (1) Includes commercial mortgage-backed securities held for sale. (2) No repurchase agreements had a remaining maturity over 1 year at March 31, 2021. Less than 1% of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2020.
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 March 31, 2021 and December 31, 2020. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. March 31, 2021 December 31, 2020 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 300,000 $ 61,502,477 $ 250,000 $ 65,075,239 Amounts offset (300,000) (300,000) (250,000) (250,000) Netted amounts $ — $ 61,202,477 $ — $ 64,825,239

CAPITAL STOCK (Tables)

CAPITAL STOCK (Tables)	3 Months Ended
	Mar. 31, 2021
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 March 31, 2021 and December 31, 2020. Shares authorized Shares issued and outstanding March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Par Value Common stock 2,936,500,000 2,914,850,000 1,398,502,906 1,398,240,618 $0.01 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at March 31, 2021 and December 31, 2020. 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 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Fixed-rate (dollars in thousands) Series D — 18,400,000 — — — — 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 17,000,000 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 17,700,000 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 63,500,000 85,150,000 63,500,000 63,500,000 $ 1,536,569 $ 1,536,569 (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 Distribution Activity	The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended March 31, 2021 March 31, 2020 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 308,346 $ 357,819 Distributions declared per common share $ 0.22 $ 0.25 Distributions paid to common stockholders after period end $ 307,671 $ 357,606 Distributions paid per common share after period end $ 0.22 $ 0.25 Date of distributions paid to common stockholders after period end April 30, 2021 April 30, 2020 Dividends declared to series D preferred stockholders $ — $ 8,625 Dividends declared per share of series D preferred stock $ — $ 0.469 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 Dividends declared to series I preferred stockholders $ 7,467 $ 7,468 Dividends declared per share of series I preferred stock $ 0.422 $ 0.422

INTEREST INCOME AND INTEREST _2

INTEREST INCOME AND INTEREST EXPENSE (Tables)	3 Months Ended
	Mar. 31, 2021
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 months ended March 31, 2021 and March 31, 2020. For the Three Months Ended March 31, 2021 2020 Interest income (dollars in thousands) Residential Securities (1) $ 644,634 $ 410,380 Residential mortgage loans (1) 37,109 47,557 Commercial investment portfolio (1) (2) 81,601 95,676 Reverse repurchase agreements 34 1,413 Total interest income $ 763,378 $ 555,026 Interest expense Repurchase agreements 42,585 434,021 Debt issued by securitization vehicles 26,276 42,119 Participations issued 597 — Other 6,515 27,333 Total interest expense 75,973 503,473 Net interest income $ 687,405 $ 51,553 (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)	3 Months Ended
	Mar. 31, 2021
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 March 31, 2021 and March 31, 2020. For the Three Months Ended March 31, 2021 March 31, 2020 (dollars in thousands, except per share data) Net income (loss) $ 1,751,134 $ (3,640,189) Net income (loss) attributable to noncontrolling interests 321 66 Net income (loss) attributable to Annaly 1,750,813 (3,640,255) Dividends on preferred stock 26,883 35,509 Net income (loss) available (related) to common stockholders $ 1,723,930 $ (3,675,764) Weighted average shares of common stock outstanding-basic 1,399,210,925 1,430,994,319 Add: Effect of stock awards, if dilutive 789,802 — Weighted average shares of common stock outstanding-diluted 1,400,000,727 1,430,994,319 Net income (loss) per share available (related) to common share Basic $ 1.23 $ (2.57) Diluted $ 1.23 $ (2.57)

LEASE COMMITMENTS AND CONTING_2

LEASE COMMITMENTS AND CONTINGENCIES (Tables)	3 Months Ended
	Mar. 31, 2021
Leases [Abstract]
Supplemental Information Regarding Leases	Supplemental information related to leases as of and for the three months ended March 31, 2021 was as follows: Operating Leases Classification March 31, 2021 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 12,503 Liabilities Operating lease liabilities (1) Other liabilities $ 16,308 Lease term and discount rate Weighted average remaining lease term 4.5 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 $ 997 (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) 2021 (remaining) $ 2,921 2022 $ 3,862 2023 3,862 2024 3,862 2025 2,895 Total lease payments $ 17,402 Less imputed interest 1,094 Present value of lease liabilities $ 16,308

SIGNIFICANT ACCOUNTING POLICI_4

SIGNIFICANT ACCOUNTING POLICIES - Narrative (Details) - USD ($) $ in Billions	Mar. 31, 2021	Dec. 31, 2020
Interest rate swaps, at fair value
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Margin deposit assets	$ 1	$ 1.1

SIGNIFICANT ACCOUNTING POLICI_5

SIGNIFICANT ACCOUNTING POLICIES - Recent Accounting Pronouncements (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Mar. 31, 2021	Dec. 31, 2020
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Allowance for loan loss		$ 33,400	$ 169,500
Accumulated deficit		$ 9,251,804	10,667,388	[1]
Accounting Standards Update [Extensible List]	us-gaap:AccountingStandardsUpdate201613Member
Cumulative Effect, Period of Adoption, Adjustment
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Allowance for loan loss			37,400
Off-balance sheet credit loss, liability			2,200
Accumulated deficit			$ 39,600
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

FINANCIAL INSTRUMENTS - Summary

FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	$ 85,369,589	$ 88,455,103	[1]
Liabilities	71,301,994	74,433,307	[1]
Total securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	71,849,437	75,652,396
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	69,148,257	73,562,972
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	488,972	504,087
Residential credit risk transfer securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	930,983	532,403
Non-agency mortgage-backed securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	1,277,104	972,192
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	0	31,603
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	0	45,254
Commercial real estate debt investment, credit risk transfer securities
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	4,121	3,885
Total loans, net
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	2,603,343	3,083,821
Residential mortgage loans
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	528,868	345,810
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	0	498,081
Corporate debt held for investment, net
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	2,074,475	2,239,930
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	3,768,922	6,910,020
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	598,118	620,347
Residential mortgage loans, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	3,170,804	3,249,251
Commercial mortgage loans, recognized through earnings
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	0	2,166,073
Commercial mortgage loans, amortized cost
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Assets	0	874,349
Repurchase agreements
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	61,202,477	64,825,239
Other secured financing
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	922,605	917,876
Debt issued by securitization vehicles
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	3,044,725	5,652,982
Participations issued
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	180,527	39,198
Mortgages payable
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]
Liabilities	$ 0	$ 426,256
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

SECURITIES - Narrative (Details

SECURITIES - Narrative (Details) - USD ($)	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Residential Investment securities sold, carrying value	$ 3,000,000,000	$ 41,900,000,000
Commercial Mortgage Backed Securities
Debt Securities, Available-for-sale [Line Items]
Impairment, available-for-sale debt security	$ 400,000	$ 0

SECURITIES - Summary of Residen

SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)
Debt Securities, Available-For-Sale [Roll Forward]
Beginning balance January 1, 2021	$ 75,652,396
Purchases	5,607,648
Sales and transfers	(3,104,320)
Principal paydowns	(4,986,747)
(Amortization) / accretion	12,290
Fair value adjustment	(1,331,830)
Ending balance March 31, 2021	71,849,437
Residential Securities
Debt Securities, Available-For-Sale [Roll Forward]
Beginning balance January 1, 2021	75,571,654
Purchases	5,607,648
Sales and transfers	(3,025,550)
Principal paydowns	(4,986,747)
(Amortization) / accretion	12,006
Fair value adjustment	(1,333,695)
Ending balance March 31, 2021	71,845,316
Commercial Securities
Debt Securities, Available-For-Sale [Roll Forward]
Beginning balance January 1, 2021	80,742
Purchases	0
Sales and transfers	(78,770)
Principal paydowns	0
(Amortization) / accretion	284
Fair value adjustment	1,865
Ending balance March 31, 2021	$ 4,121

SECURITIES - Portfolio (Details

SECURITIES - Portfolio (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	$ 69,291,915	$ 72,253,465
Remaining Premium	4,115,966	3,971,492
Remaining Discount	(88,496)	(95,734)
Total	70,015,346	72,487,080
Unrealized Gains	2,414,654	3,332,263
Unrealized Losses	(580,563)	(166,947)
Estimated Fair Value	71,849,437	75,652,396
Agency
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	66,677,820	70,144,080
Remaining Premium	4,094,580	3,948,694
Remaining Discount	(27,535)	(26,569)
Total	67,825,943	70,921,106
Unrealized Gains	2,377,641	3,294,122
Unrealized Losses	(566,355)	(148,169)
Estimated Fair Value	69,637,229	74,067,059
Agency | Fixed-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	62,221,818	64,800,235
Remaining Premium	3,509,679	3,325,020
Remaining Discount	(22,954)	(22,143)
Total	65,708,543	68,103,112
Unrealized Gains	2,323,973	3,200,542
Unrealized Losses	(418,896)	(1,076)
Estimated Fair Value	67,613,620	71,302,578
Agency | Adjustable-rate pass-through
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	416,963	455,675
Remaining Premium	2,425	2,869
Remaining Discount	(3,550)	(3,369)
Total	415,838	455,175
Unrealized Gains	23,035	22,341
Unrealized Losses	(1)	0
Estimated Fair Value	438,872	477,516
Agency | CMO
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	133,977	139,664
Remaining Premium	2,140	2,177
Remaining Discount	0	0
Total	136,117	141,841
Unrealized Gains	6,755	7,926
Unrealized Losses	0	0
Estimated Fair Value	142,872	149,767
Agency | Interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	2,564,531	2,790,537
Remaining Premium	534,913	564,297
Remaining Discount	0	0
Total	534,913	564,297
Unrealized Gains	2,058	3,513
Unrealized Losses	(126,807)	(145,901)
Estimated Fair Value	410,164	421,909
Agency | Multifamily
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	1,294,527	1,910,384
Remaining Premium	41,353	50,148
Remaining Discount	(1,031)	(1,057)
Total	980,458	1,604,913
Unrealized Gains	21,820	59,548
Unrealized Losses	(20,163)	(954)
Estimated Fair Value	982,115	1,663,507
Agency | Reverse mortgages
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	46,004	47,585
Remaining Premium	4,070	4,183
Remaining Discount	0	0
Total	50,074	51,768
Unrealized Gains	0	252
Unrealized Losses	(488)	(238)
Estimated Fair Value	49,586	51,782
Residential credit
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	2,610,095	2,019,527
Remaining Premium	21,386	22,798
Remaining Discount	(60,850)	(61,694)
Total	2,185,514	1,483,587
Unrealized Gains	36,781	38,087
Unrealized Losses	(14,208)	(17,079)
Estimated Fair Value	2,208,087	1,504,595
Residential credit | Multifamily Interest-Only Security
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	354,400	354,600
Residential credit | CRT
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	940,130	544,780
Remaining Premium	7,087	7,324
Remaining Discount	(2,299)	(2,430)
Total	934,425	538,941
Unrealized Gains	3,455	3,062
Unrealized Losses	(6,897)	(9,600)
Estimated Fair Value	930,983	532,403
Residential credit | CRT interest-only security
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	10,500	14,900
Residential credit | Alt-A
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	72,234	93,001
Remaining Premium	50	51
Remaining Discount	(17,179)	(17,368)
Total	55,105	75,684
Unrealized Gains	3,398	4,644
Unrealized Losses	(5)	0
Estimated Fair Value	58,498	80,328
Residential credit | Prime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	174,335	177,852
Remaining Premium	4,932	5,126
Remaining Discount	(15,778)	(15,999)
Total	163,489	166,979
Unrealized Gains	12,026	14,607
Unrealized Losses	(285)	(77)
Estimated Fair Value	175,230	181,509
Residential credit | Prime interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	146,141	194,687
Remaining Premium	1,513	1,882
Remaining Discount	0	0
Total	1,513	1,882
Unrealized Gains	0	0
Unrealized Losses	(554)	(642)
Estimated Fair Value	959	1,240
Residential credit | Subprime
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	199,639	197,779
Remaining Premium	531	584
Remaining Discount	(17,986)	(18,181)
Total	182,184	180,182
Unrealized Gains	7,479	8,312
Unrealized Losses	(1,165)	(61)
Estimated Fair Value	188,498	188,433
Residential credit | NPL/RPL
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	804,824	475,108
Remaining Premium	1,307	821
Remaining Discount	(2,374)	(2,416)
Total	803,757	473,513
Unrealized Gains	6,297	3,782
Unrealized Losses	(650)	(1,448)
Estimated Fair Value	809,404	475,847
Residential credit | Prime jumbo (>=2010 vintage)
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	44,309	44,696
Remaining Premium	196	207
Remaining Discount	(5,234)	(5,300)
Total	39,271	39,603
Unrealized Gains	4,126	3,680
Unrealized Losses	(48)	0
Estimated Fair Value	43,349	43,283
Residential credit | Prime jumbo (>=2010 vintage) Interest-only
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	228,483	291,624
Remaining Premium	5,770	6,803
Remaining Discount	0	0
Total	5,770	6,803
Unrealized Gains	0	0
Unrealized Losses	(4,604)	(5,251)
Estimated Fair Value	1,166	1,552
Total Residential Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	69,287,915	72,163,607
Remaining Premium	4,115,966	3,971,492
Remaining Discount	(88,385)	(88,263)
Total	70,011,457	72,404,693
Unrealized Gains	2,414,422	3,332,209
Unrealized Losses	(580,563)	(165,248)
Estimated Fair Value	71,845,316	75,571,654
Commercial Securities
Mortgage-Backed Securities Portfolio [Line Items]
Principal / Notional	4,000	89,858
Remaining Premium	0	0
Remaining Discount	(111)	(7,471)
Total	3,889	82,387
Unrealized Gains	232	54
Unrealized Losses	0	(1,699)
Estimated Fair Value	$ 4,121	$ 80,742

SECURITIES - Component of Agenc

SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands		Mar. 31, 2021	Dec. 31, 2020
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities	[1]	$ 71,849,437	$ 75,652,396	[2]
Agency Mortgage-Backed Securities
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		69,637,229	74,067,059
Agency Mortgage-Backed Securities | Fannie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		53,587,022	56,218,033
Agency Mortgage-Backed Securities | Freddie Mac
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		15,945,374	17,735,041
Agency Mortgage-Backed Securities | Ginnie Mae
Mortgage-Backed Securities Portfolio [Line Items]
Mortgage-backed securities		$ 104,833	$ 113,985
[1]	Excludes $78.3 million and $81.5 million at March 31, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $357.6 million and $576.6 million at March 31, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at March 31, 2021 and December 31, 2020, 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, 2020.

SECURITIES - Weighted Average L

SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands		Mar. 31, 2021	Dec. 31, 2020
Estimated Fair Value
Total	[1]	$ 71,849,437	$ 75,652,396	[2]
Amortized Cost
Total		70,015,346	72,487,080
Total Residential Securities
Estimated Fair Value
Less than one year		93,493	110,203
Greater than one year through five years		11,078,004	45,643,138
Greater than five years through ten years		59,414,165	28,509,058
Greater than ten years		1,259,654	1,309,255
Total		71,845,316	75,571,654
Amortized Cost
Less than one year		92,760	109,540
Greater than one year through five years		10,643,081	43,404,877
Greater than five years through ten years		57,992,294	27,610,923
Greater than ten years		1,283,322	1,279,353
Total		$ 70,011,457	$ 72,404,693
[1]	Excludes $78.3 million and $81.5 million at March 31, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $357.6 million and $576.6 million at March 31, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at March 31, 2021 and December 31, 2020, 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, 2020.

SECURITIES - Unrealized Loss Po

SECURITIES - Unrealized Loss Position (Details) $ in Thousands	Mar. 31, 2021USD ($)security	Dec. 31, 2020USD ($)security
Unrealized Loss Position For:
Estimated Fair Value	$ 71,849,437	$ 75,652,396
Gross Unrealized Losses	(580,563)	(166,947)
Agency Mortgage-Backed Securities
Unrealized Loss Position For:
Estimated Fair Value	18,862,476	777,586
Gross Unrealized Losses	$ (439,060)	$ (2,030)
Number of Securities | security	381	30
Agency Mortgage-Backed Securities | Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	$ 18,862,476	$ 777,586
Gross Unrealized Losses	$ (439,060)	$ (2,030)
Number of Securities | security	381	30
Agency Mortgage-Backed Securities | Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months
Unrealized Loss Position For:
Estimated Fair Value	$ 0	$ 0
Gross Unrealized Losses	$ 0	$ 0
Number of Securities | security	0	0

SECURITIES - Realized Gain (Los

SECURITIES - Realized Gain (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Gross Realized Gains	$ 4,646	$ 539,255
Gross Realized Losses	(65,340)	(271,998)
Net Realized Gains (Losses)	$ (60,694)	$ 267,257

LOANS - Narrative (Details)

LOANS - Narrative (Details)	3 Months Ended
	Mar. 31, 2021USD ($)loan	Mar. 31, 2020USD ($)	Dec. 31, 2020USD ($)		Jan. 01, 2020USD ($)
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Assets	$ 85,369,589,000		$ 88,455,103,000	[1]
Loan loss provision recorded during period	(139,620,000)	$ 99,326,000
Allowance for loan loss	$ 33,400,000		169,500,000
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
Cumulative Effect, Period of Adoption, Adjustment
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Allowance for loan loss			37,400,000
Residential Mortgage Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Assets	$ 528,900,000		345,800,000
Loans	$ 46,000,000		$ 47,000,000
Percent of adjustable-rate loans	38.00%		37.00%
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	$ 52,100,000
Current period (allowance) reversal	(67,400,000)
Restructuring, carrying value	$ 243,800,000
Number of loans restructured | loan	5
Number of contracts modified, partial paydowns | loan	2
Restructuring, partial paydowns	$ 4,500,000
Future funding commitments			$ 4,100,000
Loans on nonaccrual status	46,800,000
Interest income, nonaccrual	2,100,000
Unfunded commitments			$ 99,300,000
Unfunded commitments, expected credit loss	(5,100,000)
Loans receivable with variable interest rates			94.00%
Commercial Mortgage Loans | Cumulative Effect, Period of Adoption, Adjustment
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 | Cumulative Effect, Period of Adoption, Adjusted Balance
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loan loss provision recorded during period	23,200,000
Current period (allowance) reversal	(62,500,000)
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	$ 23,600,000
Number of loans restructured | loan	4
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
Corporate Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loan loss provision recorded during period	$ 10,000,000
Loans	2,074,475,000		$ 2,239,930,000
Principal balance	29,300,000
Carrying value	21,900,000
Unfunded commitments	93,000,000		87,300,000
Unfunded commitments, expected credit loss	600,000		700,000
Debt	4,800,000
Allowance for loan losses, writeoffs	11,900,000
Corporate Loans | First lien loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	1,431,882,000		1,489,125,000
Allowance for loan losses, writeoffs	19,600,000
Corporate Loans | Second lien loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	642,593,000		$ 750,805,000
Debt	2,800,000
Corporate Loans | Cumulative Effect, Period of Adoption, Adjustment
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 | Cumulative Effect, Period of Adoption, Adjusted Balance
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loan loss provision recorded during period	$ (6,200,000)	$ 14,100,000
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

LOANS - Investment Loan Activit

LOANS - Investment Loan Activity (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance January 1, 2021	$ 3,083,821	[1],[2]
Purchases / originations	653,267
Sales and transfers	(850,156)
Principal payments	(275,487)
Gains / (losses)	(11,177)
(Amortization) / accretion	3,075
Ending balance	2,603,343	[2]
Transfer of residential loans to securitization vehicles, carrying value, noncash	257,100
Residential
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance January 1, 2021	345,810
Purchases / originations	467,307
Sales and transfers	(267,551)
Principal payments	(10,281)
Gains / (losses)	(5,164)
(Amortization) / accretion	(1,253)
Ending balance	528,868
Commercial
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance January 1, 2021	498,081
Purchases / originations	114,467
Sales and transfers	(536,829)
Principal payments	(63,959)
Gains / (losses)	(12,199)
(Amortization) / accretion	439
Ending balance	0
Corporate Debt
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance January 1, 2021	2,239,930
Purchases / originations	71,493
Sales and transfers	(45,776)
Principal payments	(201,247)
Gains / (losses)	6,186
(Amortization) / accretion	3,889
Ending balance	$ 2,074,475
[1]	Derived from the audited consolidated financial statements at December 31, 2020.
[2]	Includes $46.0 million and $47.0 million of residential mortgage loans held for sale at March 31, 2021 and December 31, 2020, 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	Mar. 31, 2021	Dec. 31, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Fair value	$ 3,699,672	$ 3,595,061
Unpaid principal balance	$ 3,557,855	$ 3,482,865

LOANS - Summary of Comprehensiv

LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Interest income	$ 687,405	$ 51,553
Net gains (losses) on disposal of investments and other	(65,786)	206,583
Net income (loss) attributable to Annaly	1,750,813	(3,640,255)
Residential Mortgage Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Interest income	37,109	47,557
Net gains (losses) on disposal of investments and other	(5,220)	(12,000)
Net unrealized gains (losses) on instruments measured at fair value through earnings	22,455	(192,763)
Net income (loss) attributable to Annaly	$ 54,344	$ (157,206)

LOANS - Geographic Concentratio

LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	100.00%	100.00%
California
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	51.00%	48.90%
New York
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	14.00%	14.00%
Florida
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	6.00%	6.00%
All other (none individually greater than 5%)
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Geographic Concentrations of Residential Mortgage Loans	29.00%	31.10%

LOANS - Additional Data On Resi

LOANS - Additional Data On Residential Mortgage Loans (Details) - Residential Mortgage Loans $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021USD ($)point	Dec. 31, 2020USD ($)point
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 3,557,855	$ 3,482,865
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%	0.50%
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%	9.24%
FICO score at loan origination | point	829	829
Loan-to-value ratio at loan origination	104.00%	104.00%
Weighted Average
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Unpaid principal balance	$ 485	$ 473
Interest rate	4.85%	4.89%
FICO score at loan origination | point	754	755
Loan-to-value ratio at loan origination	67.00%	67.00%

LOANS - Summary of Sector Attri

LOANS - Summary of Sector Attributes of Commercial Real Estate Investments (Details) - Commercial Mortgage - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 1,384,122	$ 1,372,430	$ 1,618,794
Percentage of Loan Portfolio	100.00%	100.00%
Office
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 577,893	$ 650,034
Percentage of Loan Portfolio	41.80%	47.40%
Retail
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 249,917	$ 256,493
Percentage of Loan Portfolio	18.10%	18.70%
Multifamily
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 217,131	$ 250,095
Percentage of Loan Portfolio	15.70%	18.20%
Hotel
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 130,578	$ 115,536
Percentage of Loan Portfolio	9.40%	8.40%
Industrial
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 114,152	$ 60,097
Percentage of Loan Portfolio	8.20%	4.40%
Other
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 75,306	$ 20,302
Percentage of Loan Portfolio	5.40%	1.50%
Healthcare
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Loans	$ 19,145	$ 19,873
Percentage of Loan Portfolio	1.40%	1.40%

LOANS - Schedule of Commercial

LOANS - Schedule of Commercial Real Estate Investments (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 69,291,915	$ 72,253,465
Commercial Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	1,510,815	1,507,244
Loans	$ 1,384,122	$ 1,372,430	$ 1,618,794
Percentage of Loan Portfolio	100.00%	100.00%
Unamortized Loan Commitment and Origination Fees and Unamortized Discounts or Premiums	$ 5,400	$ 4,900
Commercial Mortgage | Mezzanine loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	171,639	181,261
Loans	$ 112,960	$ 124,156	182,726
Percentage of Loan Portfolio	11.40%	12.00%
Commercial Mortgage | Senior mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 432,736	$ 387,124
Loans	$ 409,166	$ 373,925	499,690
Percentage of Loan Portfolio	28.60%	25.70%
Commercial Mortgage | Senior Securitized Mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 906,440	$ 938,859
Loans	$ 861,996	$ 874,349	$ 936,378
Percentage of Loan Portfolio	60.00%	62.30%

LOANS - Summary of Commercial R

LOANS - Summary of Commercial Real Estate Investments Held for Investment (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 69,291,915	$ 72,253,465
Commercial Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	1,510,815	1,507,244
Carrying Value	$ 1,384,122	$ 1,372,430	$ 1,618,794
Percentage of Loan Portfolio	100.00%	100.00%
Carrying value, unamortized origination fees	$ 5,400	$ 4,900
Commercial Mortgage | Office
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Carrying Value	$ 577,893	$ 650,034
Percentage of Loan Portfolio	41.80%	47.40%
Commercial Mortgage | Retail
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Carrying Value	$ 249,917	$ 256,493
Percentage of Loan Portfolio	18.10%	18.70%
Commercial Mortgage | Multifamily
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Carrying Value	$ 217,131	$ 250,095
Percentage of Loan Portfolio	15.70%	18.20%
Commercial Mortgage | Hotel
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Carrying Value	$ 130,578	$ 115,536
Percentage of Loan Portfolio	9.40%	8.40%
Commercial Mortgage | Industrial
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Carrying Value	$ 114,152	$ 60,097
Percentage of Loan Portfolio	8.20%	4.40%
Commercial Mortgage | Other
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Carrying Value	$ 75,306	$ 20,302
Percentage of Loan Portfolio	5.40%	1.50%
Commercial Mortgage | Healthcare
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Carrying Value	$ 19,145	$ 19,873
Percentage of Loan Portfolio	1.40%	1.40%
Commercial Mortgage | Mezzanine loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 171,639	$ 181,261
Carrying Value	$ 112,960	$ 124,156	182,726
Percentage of Loan Portfolio	11.40%	12.00%
Commercial Mortgage | Senior mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 432,736	$ 387,124
Carrying Value	$ 409,166	$ 373,925	499,690
Percentage of Loan Portfolio	28.60%	25.70%
Commercial Mortgage | Senior Securitized Mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]
Outstanding Principal	$ 906,440	$ 938,859
Carrying Value	$ 861,996	$ 874,349	$ 936,378
Percentage of Loan Portfolio	60.00%	62.30%

LOANS - Rollforward of the Acti

LOANS - Rollforward of the Activity of Commercial Real Estate Investments (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Principal payments	$ (275,487)
Gains / (losses)	(11,177)
Allowance for loan losses
Beginning allowance	(169,500)
Ending allowance	(33,400)	$ (169,500)
Cumulative Effect, Period of Adoption, Adjustment
Allowance for loan losses
Beginning allowance	(37,400)
Ending allowance		(37,400)
Commercial Mortgage
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	1,372,430	1,618,794
Originations & advances	115,939	218,464
Principal payments	(112,368)	(221,730)
Principal write off		(7,000)
Transfers	(121,325)	(109,599)
Net (increase) decrease in origination fees	(1,403)	(1,788)
Gains / (losses)		204
Amortization of net origination fees	916	5,018
Allowance for loan losses
Beginning allowance	(129,933)	(12,703)
Current period (allowance) reversal	(129,933)	133,152
Write offs		23,687
Ending allowance	0	(129,933)
Ending balance	1,384,122	1,372,430
Commercial Mortgage | Cumulative Effect, Period of Adoption, Adjusted Balance
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	1,372,430
Allowance for loan losses
Ending balance		1,372,430
Commercial Mortgage | Cumulative Effect, Period of Adoption, Adjustment
Allowance for loan losses
Beginning allowance		(7,765)
Commercial Mortgage | Mezzanine Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	124,156	182,726
Originations & advances	301	12,374
Principal payments	(9,922)	(78)
Principal write off		(7,000)
Transfers	(58,491)	(7,100)
Net (increase) decrease in origination fees	0	(80)
Gains / (losses)		0
Amortization of net origination fees	43	187
Allowance for loan losses
Beginning allowance	(56,873)	(12,703)
Current period (allowance) reversal	(56,873)	66,521
Write offs		23,687
Ending allowance	0	(56,873)
Ending balance	112,960	124,156
Commercial Mortgage | Mezzanine Loans | Cumulative Effect, Period of Adoption, Adjusted Balance
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	124,156
Allowance for loan losses
Ending balance		124,156
Commercial Mortgage | Mezzanine Loans | Cumulative Effect, Period of Adoption, Adjustment
Allowance for loan losses
Beginning allowance		(1,336)
Commercial Mortgage | Senior Mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	373,925	499,690
Originations & advances	115,569	206,090
Principal payments	(54,037)	(77,344)
Principal write off		0
Transfers	(36,195)	(245,120)
Net (increase) decrease in origination fees	(1,403)	(1,055)
Gains / (losses)		204
Amortization of net origination fees	396	2,371
Allowance for loan losses
Beginning allowance	(10,911)	0
Current period (allowance) reversal	(10,911)	8,648
Write offs		0
Ending allowance	0	(10,911)
Ending balance	409,166	373,925
Commercial Mortgage | Senior Mortgages | Cumulative Effect, Period of Adoption, Adjusted Balance
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	373,925
Allowance for loan losses
Ending balance		373,925
Commercial Mortgage | Senior Mortgages | Cumulative Effect, Period of Adoption, Adjustment
Allowance for loan losses
Beginning allowance		(2,263)
Commercial Mortgage | Senior Securitized Mortgages
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	874,349	936,378
Originations & advances	69	0
Principal payments	(48,409)	(144,308)
Principal write off		0
Transfers	(26,639)	142,621
Net (increase) decrease in origination fees	0	(653)
Gains / (losses)		0
Amortization of net origination fees	477	2,460
Allowance for loan losses
Beginning allowance	(62,149)	0
Current period (allowance) reversal	(62,149)	57,983
Write offs		0
Ending allowance	0	(62,149)
Ending balance	861,996	874,349
Commercial Mortgage | Senior Securitized Mortgages | Cumulative Effect, Period of Adoption, Adjusted Balance
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	$ 874,349
Allowance for loan losses
Ending balance		874,349
Commercial Mortgage | Senior Securitized Mortgages | Cumulative Effect, Period of Adoption, Adjustment
Allowance for loan losses
Beginning allowance		$ (4,166)

LOANS - Schedule of Industry an

LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 2,074,475	$ 2,239,930
Computer Programming, Data Processing & Other Computer Related Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	375,103	483,142
Management & Public Relations Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	291,581	300,869
Industrial Inorganic Chemicals
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	156,782	156,391
Public Warehousing & Storage
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	120,473	132,397
Metal Cans & Shipping Containers
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	115,907	115,670
Surgical, Medical & Dental Instruments & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	82,831	83,161
Electronic Components & Accessories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	78,257	78,129
Engineering, Architectural, and Surveying
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	77,156	77,308
Offices & Clinics of Doctors of Medicine
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	74,481	104,781
Miscellaneous Health & Allied Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	70,295	77,163
Insurance Agents, Brokers and Service
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	65,624	67,193
Research, Development & Testing Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	62,218	62,008
Miscellaneous Food Preparations
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	59,009	58,857
Telephone Communications
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	58,694	58,450
Miscellaneous Equipment Rental & Leasing
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	49,641	49,587
Electric Work
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	40,390	41,128
Petroleum and Petroleum Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	33,836	33,890
Medical & Dental Laboratories
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	30,763	30,711
Schools & Educational Services, not elsewhere classified
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	29,183	29,040
Home Health Care Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	28,669	28,587
Metal Forgings & Stampings
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	27,689	27,523
Legal Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	26,358	26,399
Grocery Stores
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	22,906	22,895
Coating, Engraving and Allied Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	19,500	19,484
Miscellaneous Business Services
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,996	12,980
Chemicals & Allied Products
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	14,667	14,686
Mailing, Reproduction, Commercial Art and Photography and Stenographic
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,917	12,733
Drugs
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	12,622	12,942
Machinery, Equipment & Supplies
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	11,839	12,096
Offices and Clinics of Other Health Practitioners
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 10,088	$ 9,730

LOANS - Aggregate Positions in

LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 2,074,475	$ 2,239,930
First lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	1,431,882	1,489,125
Second lien loans
Schedule of Held-to-maturity Securities [Line Items]
Corporate debt	$ 642,593	$ 750,805

LOANS - Corporate Debt Held for

LOANS - Corporate Debt Held for Investment (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Sales	$ (850,156)
Principal payments	(275,487)
Corporate Loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	2,239,930	$ 2,152,213
Originations & advances	71,493	1,061,644
Sales	(45,776)	(353,090)
Principal payments	(201,247)	(576,759)
Amortization & accretion of (premium) discounts	3,889	12,206
Loan restructuring		(16,732)
Allowance for loan losses
Beginning allowance	(39,552)
Current period (allowance) reversal	6,186	(14,429)
Write offs		11,893
Ending allowance	(33,366)	(39,552)
Carrying Value	2,074,475	2,239,930
Corporate Loans | Cumulative Effect, Period of Adoption, Adjustment
Allowance for loan losses
Beginning allowance		(29,653)
Corporate Loans | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for loan losses
Beginning allowance	(39,552)	(7,363)
Ending allowance		(39,552)
Corporate Loans | First lien loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	1,489,125	1,403,503
Originations & advances	56,939	834,211
Sales	(21,328)	(273,887)
Principal payments	(96,247)	(444,759)
Amortization & accretion of (premium) discounts	1,708	8,374
Loan restructuring		(19,550)
Allowance for loan losses
Beginning allowance	(18,767)
Current period (allowance) reversal	1,685	(12,510)
Write offs		11,893
Ending allowance	(17,082)	(18,767)
Carrying Value	1,431,882	1,489,125
Corporate Loans | First lien loans | Cumulative Effect, Period of Adoption, Adjustment
Allowance for loan losses
Beginning allowance		(10,787)
Corporate Loans | First lien loans | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for loan losses
Beginning allowance	(18,767)	(7,363)
Ending allowance		(18,767)
Corporate Loans | Second lien loans
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Beginning balance	750,805	748,710
Originations & advances	14,554	227,433
Sales	(24,448)	(79,203)
Principal payments	(105,000)	(132,000)
Amortization & accretion of (premium) discounts	2,181	3,832
Loan restructuring		2,818
Allowance for loan losses
Beginning allowance	(20,785)
Current period (allowance) reversal	4,501	(1,919)
Write offs		0
Ending allowance	(16,284)	(20,785)
Carrying Value	642,593	750,805
Corporate Loans | Second lien loans | Cumulative Effect, Period of Adoption, Adjustment
Allowance for loan losses
Beginning allowance		(18,866)
Corporate Loans | Second lien loans | Cumulative Effect, Period of Adoption, Adjusted Balance
Allowance for loan losses
Beginning allowance	$ (20,785)	0
Ending allowance		$ (20,785)

LOANS - Corporate Debt Amortize

LOANS - Corporate Debt Amortized Costs Basis by Risk Rating and Vintage Year (Details) - Corporate Loans $ in Thousands	Mar. 31, 2021USD ($)
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	$ 2,074,475
2021	47,167
2020	516,980
2019	357,342
2018	718,577
2017	353,541
2016	46,394
2015	34,474
Accrued interest receivable	8,800
Deferred loan fees on unfunded loans	1,100
Performing
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	1,618,878
2021	44,236
2020	478,783
2019	309,602
2018	415,939
2017	289,450
2016	46,394
2015	34,474
Closely Monitored
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	374,004
2021	2,931
2020	26,358
2019	21,567
2018	259,057
2017	64,091
2016	0
2015	0
Substandard
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	81,593
2021	0
2020	11,839
2019	26,173
2018	43,581
2017	0
2016	0
2015	0
Doubtful
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	0
2021	0
2020	0
2019	0
2018	0
2017	0
2016	0
2015	0
Loss
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items]
Total	0
2021	0
2020	0
2019	0
2018	0
2017	0
2016	0
2015	$ 0

MORTGAGE SERVICING RIGHTS - Pre

MORTGAGE SERVICING RIGHTS - Presentation of Activity Related to MSR (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Servicing Asset at Fair Value, Amount [Roll Forward]
Fair value, beginning of period	$ 100,895	$ 378,078
Changes in valuation inputs or assumptions	27,673	(79,224)
Other changes, including realization of expected cash flows	(15,488)	(18,296)
Fair value, end of period	$ 113,080	$ 280,558

MORTGAGE SERVICING RIGHTS - Nar

MORTGAGE SERVICING RIGHTS - Narrative (Details) - USD ($) $ in Millions	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Bank Servicing
Servicing Assets at Fair Value [Line Items]
Service income fee	$ 6.9	$ 22.8

VARIABLE INTEREST ENTITIES - Na

VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($)		1 Months Ended	3 Months Ended
		Aug. 31, 2017	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020		Nov. 30, 2019	Jan. 31, 2019
Variable Interest Entity [Line Items]
Principal receivable	[1]		$ 2,603,343,000		$ 3,083,821,000	[2]
Securitized debt of consolidated VIEs			3,044,725,000		5,652,982,000	[2]
Mortgage-backed securities	[3]		71,849,437,000		75,652,396,000	[2]
Costs incurred in connection with securitization			49,695,000	$ 77,629,000
Other secured financing			922,605,000		917,876,000	[2]
Participations issued			180,527,000		39,198,000	[2]
MSR Silo
Variable Interest Entity [Line Items]
Variable interest entity, ownership percentage		100.00%
Consolidated VIEs
Variable Interest Entity [Line Items]
Exposure to obligations of VIEs			2,500,000,000
Consolidated VIEs | OBX Trust
Variable Interest Entity [Line Items]
Contractual principal amount of debt held by third parties			2,400,000,000
Securitized debt of consolidated VIEs			2,500,000,000
Costs incurred in connection with securitization			700,000	3,700,000
Consolidated VIEs | Consolidation, Eliminations | OBX Trust
Variable Interest Entity [Line Items]
Mortgage-backed securities			660,400,000
Consolidated VIEs | Residential Trusts
Variable Interest Entity [Line Items]
Contractual principal amount of debt held by third parties			20,000,000		23,000,000
Other secured financing					0
Consolidated VIEs | Borrower
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity			625,000,000
Other secured financing			461,400,000
Consolidated VIEs | Borrower | Corporate Loans
Variable Interest Entity [Line Items]
Transferred loans pledged as collateral for credit facility			766,100,000
Consolidated VIEs | Borrower | July 2017 Credit Facility
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity			320,000,000
Consolidated VIEs | Borrower | July 2017 Credit Facility | Corporate Loans
Variable Interest Entity [Line Items]
Transferred loans pledged as collateral for credit facility			397,500,000
Other secured financing			206,800,000
Consolidated VIEs | Borrower | January 2019 Credit Facility
Variable Interest Entity [Line Items]
Credit facility, maximum borrowing capacity			400,000,000					$ 300,000,000
Consolidated VIEs | Borrower | January 2019 Credit Facility | Corporate Loans
Variable Interest Entity [Line Items]
Transferred loans pledged as collateral for credit facility			400,500,000
Other secured financing			254,400,000
Consolidated VIEs | Borrower | Consolidation, Eliminations
Variable Interest Entity [Line Items]
Principal receivable			461,400,000
VIE, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Loans transferred for cash			15,100,000
VIE, Not Primary Beneficiary | Residential mortgage loans
Variable Interest Entity [Line Items]
Participations issued			141,300,000		$ 39,200,000
Multifamily | Consolidated VIEs
Variable Interest Entity [Line Items]
Cut-off date principal balance				500,000,000			$ 1,000,000,000
Costs incurred			$ 1,100,000
Multifamily | Retained Interest | Consolidated VIEs
Variable Interest Entity [Line Items]
Retained interest notional balance				$ 500,000,000			1,000,000,000
Multifamily | Senior Loans | Consolidated VIEs
Variable Interest Entity [Line Items]
Principal receivable							$ 28,500,000
[1]	Includes $46.0 million and $47.0 million of residential mortgage loans held for sale at March 31, 2021 and December 31, 2020, respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2020.
[3]	Excludes $78.3 million and $81.5 million at March 31, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $357.6 million and $576.6 million at March 31, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at March 31, 2021 and December 31, 2020, 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 the Fair Value of OBX Trusts Closed (Details) - USD ($) $ in Thousands	Mar. 31, 2021	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	$ 257,135	$ 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		Mar. 31, 2021	Dec. 31, 2020
Assets
Cash and cash equivalents	[1]	$ 1,122,793	$ 1,243,703	[2]
Assets transferred or pledged to securitization vehicles		3,768,922	6,910,020	[2]
Mortgage servicing rights		113,080	100,895	[2]
Principal and interest receivable		259,655	268,073	[2]
Other assets		177,907	225,494	[2]
Total assets		85,369,589	88,455,103	[2]
Liabilities
Other secured financing		922,605	917,876	[2]
Interest payable		100,949	191,116	[2]
Other liabilities		213,924	155,613	[2]
Total liabilities		71,301,994	74,433,307	[2]
Consolidated VIEs
Assets
Cash and cash equivalents		30,500	22,200
Consolidated VIEs | Residential Trusts
Assets
Cash and cash equivalents		0	0
Loans		0	0
Assets transferred or pledged to securitization vehicles		36,786	40,035
Mortgage servicing rights		0	0
Principal and interest receivable		214	226
Other assets		0
Total assets		37,000	40,261
Liabilities
Debt issued by securitization vehicles (non-recourse)		20,254	23,351
Other secured financing			0
Payable for unsettled trades		0	0
Interest payable		48	55
Other liabilities		408	246
Total liabilities		20,710	23,652
Consolidated VIEs | MSR Silo
Assets
Cash and cash equivalents		30,529	22,241
Loans		45,982	47,048
Assets transferred or pledged to securitization vehicles		0	0
Mortgage servicing rights		113,080	100,895
Principal and interest receivable		0	0
Other assets		24,150
Total assets		213,741	170,184
Liabilities
Debt issued by securitization vehicles (non-recourse)		0	0
Other secured financing			30,420
Payable for unsettled trades		587	3,076
Interest payable		0	0
Other liabilities		13,106	13,345
Total liabilities		$ 13,693	$ 46,841
[1]	Includes cash of consolidated Variable Interest Entities (“VIEs”) of $30.5 million and $22.2 million at March 31, 2021 and December 31, 2020, respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2020.

VARIABLE INTEREST ENTITIES - Ge

VARIABLE INTEREST ENTITIES - Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Unpaid Principal Balances (Details) - Consolidated VIEs - Residential Trusts $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)
Concentration Risk [Line Items]
Principal Balance	$ 36,034
Securitized Loans | Geographic Concentration Risk
Concentration Risk [Line Items]
% of Balance	100.00%
California
Concentration Risk [Line Items]
Principal Balance	$ 16,549
California | Securitized Loans | Geographic Concentration Risk
Concentration Risk [Line Items]
% of Balance	45.90%
Illinois
Concentration Risk [Line Items]
Principal Balance	$ 4,799
Illinois | Securitized Loans | Geographic Concentration Risk
Concentration Risk [Line Items]
% of Balance	13.30%
Texas
Concentration Risk [Line Items]
Principal Balance	$ 4,365
Texas | Securitized Loans | Geographic Concentration Risk
Concentration Risk [Line Items]
% of Balance	12.10%
Massachusetts
Concentration Risk [Line Items]
Principal Balance	$ 2,247
Massachusetts | Securitized Loans | Geographic Concentration Risk
Concentration Risk [Line Items]
% of Balance	6.20%
Other
Concentration Risk [Line Items]
Principal Balance	$ 8,074
Other | Securitized Loans | Geographic Concentration Risk
Concentration Risk [Line Items]
% of Balance	22.50%

SALE OF COMMERCIAL REAL ESTAT_3

SALE OF COMMERCIAL REAL ESTATE BUSINESS - Narrative (Details) - USD ($) $ in Thousands	Mar. 25, 2021	Mar. 31, 2021	Mar. 31, 2020
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items]
Business divestiture-related gains (losses)		$ (249,563)	$ 0
CRE Business | Discontinued Operations, Disposed of by Sale
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items]
Sale of business	$ 2,330,000
Goodwill, Impairment Loss	71,800
Business divestiture-related gains (losses)		(249,600)
Reversal of loan loss provision		135,000
Unfunded commitments	$ 5,100
Pretax loss		$ (72,700)	$ (95,400)

SALE OF COMMERCIAL REAL ESTAT_4

SALE OF COMMERCIAL REAL ESTATE BUSINESS - Carrying Value of Assets and Liabilities of CRE Business (Details) - USD ($) $ in Thousands		Mar. 31, 2021	Dec. 31, 2020	[2]
Disposal Group, Including Discontinued Operations, Assets [Abstract]
Total assets of disposal group held for sale	[1]	$ 4,400,723	$ 0
Disposal Group, Including Discontinued Operation, Liabilities [Abstract]
Total liabilities of disposal group held for sale		3,319,414	$ 0
CRE Business | Discontinued Operations, Disposed of by Sale
Disposal Group, Including Discontinued Operations, Assets [Abstract]
Cash and cash equivalents		8,944
Securities		78,341
Loans, net		522,126
Assets transferred or pledged to securitization vehicles		3,123,451
Real estate, net		617,216
Intangible assets, net		16,503
Other assets		34,142
Total assets of disposal group held for sale		4,400,723
Disposal Group, Including Discontinued Operation, Liabilities [Abstract]
Repurchase agreements		292,168
Debt issued by securitization vehicles		2,542,556
Mortgages payable		426,064
Interest payable		1,167
Other liabilities		57,459
Total liabilities of disposal group held for sale		$ 3,319,414
[1]	Excludes $401.1 million at March 31, 2021 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, 2020.

DERIVATIVE INSTRUMENTS - Narrat

DERIVATIVE INSTRUMENTS - Narrative (Details) - USD ($) $ in Millions	Mar. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Aggregate fair value of derivative instruments in a net liability position	$ 70.8
Interest rate swaps, at fair value
Derivative [Line Items]
Variation margin	$ 1,100	$ 1,500

DERIVATIVE INSTRUMENTS - Summar

DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Assets
Total derivative assets	$ 891,474	$ 171,134	[1]
Liabilities
Interest rate swaps	672,637	1,006,492
Total derivative liabilities	939,622	1,033,345	[1]
Futures contracts
Assets
Other derivative assets	498,226	506
Total derivative assets	498,226	506
Liabilities
Other derivative liabilities	0	19,413
Total derivative liabilities		19,413
Purchase commitments
Assets
Other derivative assets	1,170	49
Total derivative assets	1,170	49
Liabilities
Other derivative liabilities	3,028	0
Total derivative liabilities	3,028
Interest rate swaptions
Assets
Other derivative assets	372,701	74,470
Total derivative assets	372,701	74,470
TBA derivatives
Assets
Other derivative assets	17,404	96,109
Total derivative assets	17,404	96,109
Liabilities
Other derivative liabilities	263,523	0
Total derivative liabilities	263,523
Credit derivatives
Assets
Other derivative assets	1,973	0
Liabilities
Other derivative liabilities	434	7,440
Total derivative liabilities	434	7,440
Credit derivatives | Maximum
Liabilities
Notional Amount	$ 499,000	$ 504,000
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

DERIVATIVE INSTRUMENTS - Summ_2

DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Interest rate swaps, at fair value
Derivative [Line Items]
Current Underlying Notional	$ 39,816,500,000	$ 34,329,650,000
Weighted Average Pay Rate	0.80%	0.92%
Weighted Average Receive Rate	0.34%	0.37%
Weighted Average Underlying Years to Maturity	3 years 3 months 10 days	3 years 11 months 8 days
Interest rate swaps, at fair value | LIBOR
Derivative [Line Items]
Notional Amount, Percentage	0.08	0.17
Interest rate swaps, at fair value | Federal funds index swap
Derivative [Line Items]
Notional Amount, Percentage	0.62	0.72
Interest rate swaps, at fair value | Secured Overnight Financing Rate (SOFR)
Derivative [Line Items]
Notional Amount, Percentage	0.30	0.11
Interest rate swaps, at fair value | 0 - 3 years
Derivative [Line Items]
Minimum Maturity Period	0 years	0 years
Maximum Maturity Period	3 years	3 years
Current Underlying Notional	$ 31,167,000,000	$ 23,680,150,000
Weighted Average Pay Rate	0.24%	0.27%
Weighted Average Receive Rate	0.06%	0.11%
Weighted Average Underlying Years to Maturity	1 year 9 months 18 days	1 year 11 months 15 days
Interest rate swaps, at fair value | 3 - 6 years
Derivative [Line Items]
Minimum Maturity Period	3 years	3 years
Maximum Maturity Period	6 years	6 years
Current Underlying Notional	$ 3,100,000,000	$ 3,600,000,000
Weighted Average Pay Rate	0.13%	0.18%
Weighted Average Receive Rate	0.06%	0.09%
Weighted Average Underlying Years to Maturity	4 years 1 month 17 days	4 years 2 months 15 days
Interest rate swaps, at fair value | 6 - 10 years
Derivative [Line Items]
Minimum Maturity Period	6 years	6 years
Maximum Maturity Period	10 years	10 years
Current Underlying Notional	$ 4,065,500,000	$ 5,565,500,000
Weighted Average Pay Rate	1.27%	1.40%
Weighted Average Receive Rate	0.65%	0.62%
Weighted Average Underlying Years to Maturity	7 years 9 months 7 days	7 years 9 months 3 days
Interest rate swaps, at fair value | Greater than 10 years
Derivative [Line Items]
Minimum Maturity Period	10 years	10 years
Current Underlying Notional	$ 1,484,000,000	$ 1,484,000,000
Weighted Average Pay Rate	3.06%	3.06%
Weighted Average Receive Rate	0.33%	0.36%
Weighted Average Underlying Years to Maturity	20 years 3 months 7 days	20 years 6 months 7 days
Forward starting pay fixed swaps
Derivative [Line Items]
Current Underlying Notional	$ 0	$ 0

DERIVATIVE INSTRUMENTS - Summ_3

DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands	3 Months Ended	6 Months Ended
	Mar. 31, 2021	Jun. 30, 2020	Dec. 31, 2020
Long pay
Derivative [Line Items]
Current Underlying Notional	$ 6,050,000		$ 8,050,000
Weighted Average Underlying Fixed Rate	1.27%		1.27%
Weighted Average Underlying Years to Maturity	10 years 3 months 7 days	10 years 4 months 24 days
Weighted Average Months to Expiration	4 years 14 days	5 years 5 months 1 day
Long receive
Derivative [Line Items]
Current Underlying Notional	$ 1,000,000		$ 250,000
Weighted Average Underlying Fixed Rate	1.45%		1.66%
Weighted Average Underlying Years to Maturity	10 years 11 months 12 days	10 years 7 days
Weighted Average Months to Expiration	11 years 5 months 4 days	1 month 17 days

DERIVATIVE INSTRUMENTS - Summ_4

DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - Purchase contracts - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Notional	$ 22,496,000	$ 19,635,000
Implied Cost Basis	23,040,011	20,277,088
Implied Market Value	22,793,892	20,373,197
Net Carrying Value	$ (246,119)	$ 96,109

DERIVATIVE INSTRUMENTS - Summ_5

DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
U.S. Treasury futures | 5 Year
Derivative [Line Items]
Maturity period	5 years	5 years
Weighted Average Underlying Years to Maturity	4 years 5 months 1 day	4 years 4 months 24 days
U.S. Treasury futures | 5 Year | Notional - Long Positions
Derivative [Line Items]
Notional Amount Long (Short)	$ 0	$ 0
U.S. Treasury futures | 5 Year | Notional - Short Positions
Derivative [Line Items]
Notional Amount Long (Short)	$ 3,425,000	$ 1,240,000
U.S. Treasury futures | 10 Year and Greater
Derivative [Line Items]
Minimum Maturity Period	10 years	10 years
Weighted Average Underlying Years to Maturity	7 years 5 months 23 days	6 years 10 months 24 days
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions
Derivative [Line Items]
Notional Amount Long (Short)	$ 0	$ 0
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions
Derivative [Line Items]
Notional Amount Long (Short)	$ 15,213,500	$ 9,183,800
Futures contracts
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	6 years 11 months 1 day	6 years 7 months 6 days
Futures contracts | Notional - Long Positions
Derivative [Line Items]
Notional Amount Long (Short)	$ 0	$ 0
Futures contracts | Notional - Short Positions
Derivative [Line Items]
Notional Amount Long (Short)	$ 18,638,500	$ 10,423,800

DERIVATIVE INSTRUMENTS - Offset

DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Assets
Gross Amounts	$ 891,474	$ 171,134	[1]
Liabilities
Gross Amounts	939,622	1,033,345	[1]
Futures contracts, at fair value
Assets
Gross Amounts	498,226	506
Financial Instruments	0	(506)
Cash Collateral	0	0
Net Amounts	498,226	0
Liabilities
Gross Amounts		19,413
Financial Instruments		(506)
Cash Collateral		(18,907)
Net Amounts		0
Purchase commitments
Assets
Gross Amounts	1,170	49
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	1,170	49
Liabilities
Gross Amounts	3,028
Financial Instruments	0
Cash Collateral	0
Net Amounts	3,028
Credit derivatives
Assets
Gross Amounts	1,973
Financial Instruments	(366)
Cash Collateral	0
Net Amounts	1,607
Interest rate swaptions, at fair value
Assets
Gross Amounts	372,701	74,470
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	372,701	74,470
TBA derivatives, at fair value
Assets
Gross Amounts	17,404	96,109
Financial Instruments	(17,404)	0
Cash Collateral	0	0
Net Amounts	0	96,109
Liabilities
Gross Amounts	263,523
Financial Instruments	(17,404)
Cash Collateral	0
Net Amounts	246,119
Credit derivatives
Liabilities
Gross Amounts	434	7,440
Financial Instruments	(366)	0
Cash Collateral	(68)	(7,440)
Net Amounts	0	0
Interest rate swaps, at fair value
Liabilities
Gross Amounts	672,637	1,006,492
Financial Instruments	0	0
Cash Collateral	(78,967)	(108,757)
Net Amounts	$ 593,670	$ 897,735
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

DERIVATIVE INSTRUMENTS - Effect

DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Net Interest Component of Interest Rate Swaps	$ (79,747)	$ (13,980)
Realized Gains (Losses) on Termination of Interest Rate Swaps	0	(397,561)
Unrealized Gains (Losses) on Interest Rate Swaps	$ 772,262	$ (2,827,723)

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
	Mar. 31, 2021	Mar. 31, 2020
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ 772,262	$ (2,827,723)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	475,707	206,426
Futures
Derivative [Line Items]
Realized Gain (Loss)	296,164	(279,476)
Unrealized Gains (Losses) on Interest Rate Swaps	517,133	6,892
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	813,297	(272,584)
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	(1,907)	(10,809)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	(1,907)	(10,809)
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	(287,889)	271,085
Unrealized Gains (Losses) on Interest Rate Swaps	(342,228)	160,695
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	(630,117)	431,780
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(22,210)	51,445
Unrealized Gains (Losses) on Interest Rate Swaps	305,990	70,133
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	283,780	121,578
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,631	1,925
Unrealized Gains (Losses) on Interest Rate Swaps	9,023	(65,464)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	$ 10,654	$ (63,539)

FAIR VALUE MEASUREMENTS - Estim

FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands		Mar. 31, 2021	Dec. 31, 2020		Mar. 31, 2020	Dec. 31, 2019
Assets
Mortgage-backed securities	[1]	$ 71,849,437	$ 75,652,396	[2]
Loans
Mortgage servicing rights		113,080	100,895		$ 280,558	$ 378,078
Assets transferred or pledged to securitization vehicles		3,768,922	6,910,020	[2]
Liabilities
Participations issued		180,527	39,198	[2]
Derivative liabilities
Interest rate swaps		672,637	1,006,492
Residential Mortgage Loans
Loans
Residential mortgage loans		3,699,672	3,595,061
Fair Value, Measurements, Recurring
Assets
Agency mortgage-backed securities		69,637,229	74,067,059
Credit risk transfer securities		930,983	532,403
Loans
Mortgage servicing rights		113,080	100,895
Assets transferred or pledged to securitization vehicles		3,768,922	6,035,671
Derivative assets
Other derivatives		891,474	171,134
Total assets		77,151,781	82,305,906
Liabilities
Debt issued by securitization vehicles		3,044,725	5,652,982
Participations issued		180,527	39,198
Derivative liabilities
Interest rate swaps		672,637	1,006,492
Other derivatives		266,985	26,853
Total liabilities		4,164,874	6,725,525
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities
Assets
Mortgage-backed securities		1,277,104	972,192
Fair Value, Measurements, Recurring | Commercial Mortgage Backed Securities
Assets
Mortgage-backed securities		4,121	80,742
Fair Value, Measurements, Recurring | Residential Mortgage Loans
Loans
Residential mortgage loans		528,868	345,810
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
Derivative assets
Other derivatives		498,226	506
Total assets		498,226	506
Liabilities
Debt issued by securitization vehicles		0	0
Participations issued		0	0
Derivative liabilities
Interest rate swaps		0	0
Other derivatives		0	19,413
Total liabilities		0	19,413
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		69,637,229	74,067,059
Credit risk transfer securities		930,983	532,403
Loans
Mortgage servicing rights		0	0
Assets transferred or pledged to securitization vehicles		3,768,922	6,035,671
Derivative assets
Other derivatives		393,248	170,628
Total assets		76,540,475	82,204,505
Liabilities
Debt issued by securitization vehicles		3,044,725	5,652,982
Participations issued		180,527	39,198
Derivative liabilities
Interest rate swaps		672,637	1,006,492
Other derivatives		266,985	7,440
Total liabilities		4,164,874	6,706,112
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities
Assets
Mortgage-backed securities		1,277,104	972,192
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage Backed Securities
Assets
Mortgage-backed securities		4,121	80,742
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans
Loans
Residential mortgage loans		528,868	345,810
Fair Value, Measurements, Recurring | Level 3
Assets
Agency mortgage-backed securities		0	0
Credit risk transfer securities		0	0
Loans
Mortgage servicing rights		113,080	100,895
Assets transferred or pledged to securitization vehicles		0	0
Derivative assets
Other derivatives		0	0
Total assets		113,080	100,895
Liabilities
Debt issued by securitization vehicles		0	0
Participations issued		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 $78.3 million and $81.5 million at March 31, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $357.6 million and $576.6 million at March 31, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at March 31, 2021 and December 31, 2020, 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, 2020.

FAIR VALUE MEASUREMENTS - Infor

FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights	3 Months Ended	12 Months Ended
	Mar. 31, 2021USD ($)	Dec. 31, 2020USD ($)
Minimum
Fair Value, Option, Quantitative Disclosures [Line Items]
Unobservable input, cost to service	$ 81	$ 83
Maximum
Fair Value, Option, Quantitative Disclosures [Line Items]
Unobservable input, cost to service	107	108
Weighted Average
Fair Value, Option, Quantitative Disclosures [Line Items]
Unobservable input, cost to service	$ 97	$ 98
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	0.090	0.094
Prepayment rate  | Minimum
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.110	0.193
Prepayment rate  | Maximum
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.392	0.555
Prepayment rate  | Weighted Average
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.269	0.420
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	0.060	0.060
Delinquency rate | Weighted Average
Fair Value, Option, Quantitative Disclosures [Line Items]
MSR measurement inputs	0.025	0.025

FAIR VALUE MEASUREMENTS - Est_2

FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Financial assets
Assets transferred or pledged to securitization vehicles	$ 3,768,922	$ 6,910,020	[1]
Financial liabilities
Other secured financing	922,605	917,876	[1]
Carrying Value | Level 2
Financial assets
Assets transferred or pledged to securitization vehicles	0	874,349
Financial liabilities
Repurchase agreements	61,202,477	64,825,239
Other secured financing	922,605	917,876
Carrying Value | Level 3
Financial assets
Commercial real estate debt and preferred equity, held for investment	0	1,372,430
Corporate debt, held for investment	2,074,475	2,239,930
Financial liabilities
Mortgages payable	0	426,256
Fair Value | Level 2
Financial assets
Assets transferred or pledged to securitization vehicles	0	928,732
Financial liabilities
Repurchase agreements	61,202,477	64,825,239
Other secured financing	922,605	917,876
Fair Value | Level 3
Financial assets
Commercial real estate debt and preferred equity, held for investment	0	1,442,071
Corporate debt, held for investment	2,074,790	2,226,045
Financial liabilities
Mortgages payable	$ 0	$ 474,779
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

GOODWILL AND INTANGIBLE ASSET_2

GOODWILL AND INTANGIBLE ASSETS - Narrative (Details) - USD ($) $ in Millions	Jun. 30, 2020	Mar. 31, 2021	Dec. 31, 2020
Finite-Lived Intangible Assets [Line Items]
Goodwill		$ 0	$ 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	3 Months Ended
	Mar. 31, 2021USD ($)
Intangible Assets, net
Balance at December 31, 2020	$ 55,526
Intangible assets included in disposal group held for sale	16,503
Less: amortization expense	(1,686)
Balance at March 31, 2021	$ 37,337

SECURED FINANCING - Narrative (

SECURED FINANCING - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Debt Disclosure [Abstract]
Netted amounts	$ 61,202,477	$ 64,825,239	[1]
Repurchase agreements - weighted average effective borrowing rates	0.72%	0.82%
Repurchase agreements - weighted average remaining maturities	88 days	64 days
Repurchase agreement amount	$ 1,600,000
Remaining capacity of repurchase agreement	1,400,000
Secured financings and interest rate swaps - collateral held, estimated fair value	66,900,000	$ 70,600,000
Secured financings and interest rate swaps - collateral held, accrued interest	183,900	196,900
Fair value of collateral received for reverse repurchase agreements	$ 300,000	$ 250,000
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

SECURED FINANCING - Repurchase

SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020		Mar. 31, 2021
Repurchase Agreements:
Netted amounts	$ 64,825,239	[1]	$ 61,202,477
Weighted Average Rate	0.32%		0.20%
Repurchase agreements, remaining maturities, percentage	0.00%
Percent Of Total Repurchase Agreements With Remaining Maturity Over 1 Year	1.00%
CRTs
Repurchase Agreements:
Netted amounts	$ 245,686		$ 340,102
Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	1,050,439		893,483
Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	184,723		239,985
Commercial Loans
Repurchase Agreements:
Netted amounts	271,801
Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	62,744,910		59,401,472
Commercial Mortgage Backed Securities
Repurchase Agreements:
Netted amounts	327,680		327,435
1 day
Repurchase Agreements:
Netted amounts	$ 0		$ 7,222,420
Weighted Average Rate	0.00%		0.06%
1 day | CRTs
Repurchase Agreements:
Netted amounts	$ 0		$ 0
1 day | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0		0
1 day | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	0		0
1 day | Commercial Loans
Repurchase Agreements:
Netted amounts	0
1 day | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0		7,222,420
1 day | Commercial Mortgage Backed Securities
Repurchase Agreements:
Netted amounts	0		0
2 to 29 days
Repurchase Agreements:
Netted amounts	$ 30,841,838		$ 16,992,304
Weighted Average Rate	0.29%		0.19%
2 to 29 days | CRTs
Repurchase Agreements:
Netted amounts	$ 129,993		$ 280,544
2 to 29 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	354,904		421,388
2 to 29 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	76,799		0
2 to 29 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0
2 to 29 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	30,151,875		15,992,325
2 to 29 days | Commercial Mortgage Backed Securities
Repurchase Agreements:
Netted amounts	128,267		298,047
30 to 59 days
Repurchase Agreements:
Netted amounts	$ 10,567,655		$ 7,360,535
Weighted Average Rate	0.42%		0.20%
30 to 59 days | CRTs
Repurchase Agreements:
Netted amounts	$ 16,073		$ 59,558
30 to 59 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	161,274		158,556
30 to 59 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	0		0
30 to 59 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0
30 to 59 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	10,247,972		7,127,492
30 to 59 days | Commercial Mortgage Backed Securities
Repurchase Agreements:
Netted amounts	142,336		14,929
60 to 89 days
Repurchase Agreements:
Netted amounts	$ 8,568,837		$ 9,486,905
Weighted Average Rate	0.30%		0.31%
60 to 89 days | CRTs
Repurchase Agreements:
Netted amounts	$ 99,620		$ 0
60 to 89 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	259,401		179,935
60 to 89 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	0		239,985
60 to 89 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0
60 to 89 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	8,181,410		9,066,985
60 to 89 days | Commercial Mortgage Backed Securities
Repurchase Agreements:
Netted amounts	28,406		0
90 to 119 days
Repurchase Agreements:
Netted amounts	$ 2,154,733		$ 3,781,467
Weighted Average Rate	0.23%		0.24%
90 to 119 days | CRTs
Repurchase Agreements:
Netted amounts	$ 0		$ 0
90 to 119 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	0		0
90 to 119 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	0		0
90 to 119 days | Commercial Loans
Repurchase Agreements:
Netted amounts	0
90 to 119 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	2,154,733		3,781,467
90 to 119 days | Commercial Mortgage Backed Securities
Repurchase Agreements:
Netted amounts	0		0
Over 119 days
Repurchase Agreements:
Netted amounts	$ 12,692,176		$ 16,358,846
Weighted Average Rate	0.36%		0.21%
Over 119 days | CRTs
Repurchase Agreements:
Netted amounts	$ 0		$ 0
Over 119 days | Non-Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	274,860		133,604
Over 119 days | Residential Mortgage Loans
Repurchase Agreements:
Netted amounts	107,924		0
Over 119 days | Commercial Loans
Repurchase Agreements:
Netted amounts	271,801
Over 119 days | Agency Mortgage-Backed Securities
Repurchase Agreements:
Netted amounts	12,008,920		16,210,783
Over 119 days | Commercial Mortgage Backed Securities
Repurchase Agreements:
Netted amounts	$ 28,671		$ 14,459
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

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	Mar. 31, 2021	Dec. 31, 2020
Reverse Repurchase Agreements
Gross amounts	$ 300,000	$ 250,000
Amounts offset	(300,000)	(250,000)
Netted amounts	0	0
Repurchase Agreements
Gross amounts	61,502,477	65,075,239
Amounts offset	(300,000)	(250,000)
Netted amounts	$ 61,202,477	$ 64,825,239	[1]
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

CAPITAL STOCK - Schedule of Com

CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares	Mar. 31, 2021	Dec. 31, 2020
Equity [Abstract]
Shares authorized (in shares)	2,936,500,000	2,914,850,000
Shares issued (in shares)	1,398,502,906	1,398,240,618
Shares outstanding (in shares)	1,398,502,906	1,398,240,618
Par Value (in dollars per share)	$ 0.01	$ 0.01

CAPITAL STOCK - Narrative (Deta

CAPITAL STOCK - Narrative (Details) - USD ($)	1 Months Ended	3 Months Ended
	Jan. 31, 2018	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020	Jun. 30, 2019
Class of Stock [Line Items]
Authorized amount of stock available for repurchase				$ 1,500,000,000	$ 1,500,000,000
Preferred stock, par value (USD per share)		$ 0.01		$ 0.01
Preferred stock, redemption price (in dollars per share)		$ 25
At-the-market Sale Program
Class of Stock [Line Items]
Aggregate stock offering price	$ 1,500,000,000
Sale of stock, shares issued (in shares)		0	0

CAPITAL STOCK - Schedule of Pre

CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Class of Stock [Line Items]
Shares Authorized (in shares)	63,500,000	85,150,000
Shares Issued (in shares)	63,500,000	63,500,000
Shares Outstanding (in shares)	63,500,000	63,500,000
Carrying Value	$ 1,536,569	$ 1,536,569	[1]
Series D
Class of Stock [Line Items]
Shares Authorized (in shares)	0	18,400,000
Shares Issued (in shares)	0	0
Shares Outstanding (in shares)	0	0
Carrying Value	$ 0	$ 0
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)	17,000,000	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)	17,700,000	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%
Floating Annual Rate	4.989%
[1]	Derived from the audited consolidated financial statements at December 31, 2020.

CAPITAL STOCK - Summary of Divi

CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Dividends Payable [Line Items]
Dividends and dividend equivalents declared on common stock and share-based awards	$ 308,346	$ 357,819
Distributions declared per common share (in dollars per share)	$ 0.22	$ 0.25
Distributions paid to common stockholders after period end	$ 307,671	$ 357,606
Distributions paid per common share after period end (in dollars per share)	$ 0.22	$ 0.25
Series D
Dividends Payable [Line Items]
Preferred dividends declared	$ 0	$ 8,625
Preferred series dividends declared (in dollars per share)	$ 0	$ 0.469
Series F
Dividends Payable [Line Items]
Preferred dividends declared	$ 12,510	$ 12,510
Preferred series dividends declared (in dollars per share)	$ 0.434	$ 0.434
Series G
Dividends Payable [Line Items]
Preferred dividends declared	$ 6,906	$ 6,906
Preferred series dividends declared (in dollars per share)	$ 0.406	$ 0.406
Series I
Dividends Payable [Line Items]
Preferred dividends declared	$ 7,467	$ 7,468
Preferred series dividends declared (in dollars per share)	$ 0.422	$ 0.422

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
	Mar. 31, 2021	Mar. 31, 2020
Interest income
Residential securities	$ 644,634	$ 410,380
Residential mortgage loans	37,109	47,557
Commercial investment portfolio	81,601	95,676
Reverse repurchase agreements	34	1,413
Total interest income	763,378	555,026
Interest expense
Repurchase agreements	42,585	434,021
Debt issued by securitization vehicles	26,276	42,119
Participations issued	597	0
Other	6,515	27,333
Total interest expense	75,973	503,473
Net interest income	$ 687,405	$ 51,553

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
	Mar. 31, 2021	Mar. 31, 2020
Earnings Per Share [Abstract]
Net income (loss)	$ 1,751,134	$ (3,640,189)
Net income (loss) attributable to noncontrolling interests	321	66
Net income (loss) attributable to Annaly	1,750,813	(3,640,255)
Dividends on preferred stock	26,883	35,509
Net income (loss) available (related) to common stockholders	$ 1,723,930	$ (3,675,764)
Weighted average shares of common stock outstanding-basic (in shares)	1,399,210,925	1,430,994,319
Add: Effect of stock awards, if dilutive (in shares)	789,802	0
Weighted average shares of common stock outstanding-diluted (in shares)	1,400,000,727	1,430,994,319
Net income (loss) per share available (related) to common share
Basic (in dollars per share)	$ 1.23	$ (2.57)
Diluted (in dollars per share)	$ 1.23	$ (2.57)

NET INCOME (LOSS) PER COMMON _4

NET INCOME (LOSS) PER COMMON SHARE - Narrative (Details) shares in Millions	3 Months Ended
	Mar. 31, 2021shares
Earnings Per Share [Abstract]
Options to purchase common stock (in shares)	0.1

INCOME TAXES - Additional Infor

INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Income Taxes:
REIT Taxable income distributed	100.00%
Income tax expense (benefit)	$ (321)	$ (26,702)
Taxable REIT Subsidiary
Income Taxes:
Income tax expense (benefit)	$ (300)	$ (26,700)

RELATED PARTY TRANSACTIONS - Na

RELATED PARTY TRANSACTIONS - Narrative (Details) $ / shares in Units, $ in Thousands	Feb. 11, 2020USD ($)	Mar. 31, 2021USD ($)	Mar. 31, 2020USD ($)	Jun. 30, 2020USD ($)	Feb. 12, 2020$ / shares
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		$ 31,518	$ 40,825	$ 40,800
Management Agreement
Related Party Transaction [Line Items]
Reimbursement payments		$ 7,100

LEASE COMMITMENTS AND CONTING_3

LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Leases [Abstract]
Remaining lease term, in years	5 years
Option to extend, in years	5 years
Lease cost	$ 900
Material contingencies	$ 0	$ 0

LEASE COMMITMENTS AND CONTING_4

LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)
Leases [Abstract]
Operating lease right-of-use assets	$ 12,503
Operating lease liabilities	$ 16,308
Weighted average remaining lease term	4 years 6 months
Weighted average discount rate	2.90%
Operating cash flows from operating leases	$ 997

LEASE COMMITMENTS AND CONTING_5

LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands	Mar. 31, 2021USD ($)
Leases [Abstract]
2021 (remaining)	$ 2,921
2022	3,862
2023	3,862
2024	3,862
2025	2,895
Total lease payments	17,402
Less imputed interest	1,094
Present value of lease liabilities	$ 16,308

ARCOLA REGULATORY REQUIREMENTS

ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - RCap $ in Millions	Mar. 31, 2021USD ($)
Minimum net capital requirement	$ 0.3
Regulatory net capital	515
Regulatory net capital, excess net capital	$ 514.7

SUBSEQUENT EVENTS (Details)

SUBSEQUENT EVENTS (Details) - USD ($) $ in Thousands		Apr. 30, 2021	Mar. 31, 2021	Dec. 31, 2020	[2]
Subsequent Event [Line Items]
Face value of financing receivable	[1]		$ 2,603,343	$ 3,083,821
Subsequent Event | OBX 2021--J1 Trust | Consolidated VIEs
Subsequent Event [Line Items]
Face value of financing receivable		$ 353,800
[1]	Includes $46.0 million and $47.0 million of residential mortgage loans held for sale at March 31, 2021 and December 31, 2020, respectively.
[2]	Derived from the audited consolidated financial statements at December 31, 2020.