v3.24.2
COVER PAGE - shares
 6 Months Ended
Jun. 30, 2024
Jul. 23, 2024
Document Information [Line Items]    
Document Type 10-Q  
Document Quarterly Report true  
Document Period End Date Jun. 30, 2024  
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   501,018,415
Amendment Flag false  
Document Fiscal Year Focus 2024  
Document Fiscal Period Focus Q2  
Entity Central Index Key 0001043219  
Current Fiscal Year End Date --12-31  
Common Stock, par value $0.01 per share    
Document Information [Line Items]    
Title of Each Class Common Stock, par value $0.01 per share  
Trading Symbol NLY  
Name of Each Exchange on Which Registered NYSE  
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock    
Document Information [Line Items]    
Title of Each Class 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock  
Trading Symbol NLY.F  
Name of Each Exchange on Which Registered NYSE  
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock    
Document Information [Line Items]    
Title of Each Class 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock  
Trading Symbol NLY.G  
Name of Each Exchange on Which Registered NYSE  
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock    
Document Information [Line Items]    
Title of Each Class 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock  
Trading Symbol NLY.I  
Name of Each Exchange on Which Registered NYSE  
v3.24.2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Assets    
Cash and cash equivalents (includes pledged assets of $1,266,528 and $1,136,298, respectively) [1] $ 1,587,108 $ 1,412,148 [2]
Securities (includes pledged assets of $62,801,367 and $65,400,248, respectively) [3] 67,044,753 69,613,565 [2]
Loans, net (includes pledged assets of $2,326,386 and $2,082,419, respectively) [4] 2,548,228 2,353,084 [2]
Mortgage servicing rights (includes pledged assets of $1,865,890 and $1,781,279, respectively) 2,785,614 2,122,196 [2]
Assets transferred or pledged to securitization vehicles 17,946,812 13,307,622 [2]
Derivative assets 187,868 162,557 [2]
Receivable for unsettled trades 320,659 2,710,224 [2]
Principal and interest receivable 917,130 1,222,705 [2]
Intangible assets, net 10,761 12,106 [2]
Other assets 319,644 311,029 [2]
Total assets 93,668,577 93,227,236 [2]
Liabilities    
Repurchase agreements 60,787,994 62,201,543 [2]
Other secured financing 600,000 500,000 [2]
Debt issued by securitization vehicles 15,831,915 11,600,338 [2]
Participations issued 1,144,821 1,103,835 [2]
U.S. Treasury securities sold, not yet purchased 1,974,602 2,132,751
Derivative liabilities 100,829 302,295 [2]
Payable for unsettled trades 1,096,271 3,249,389 [2]
Interest payable 369,106 287,937 [2]
Dividends payable 325,662 325,052 [2]
Other liabilities 174,473 179,005 [2]
Total liabilities 82,405,673 81,882,145 [2]
Stockholders’ equity    
Preferred stock, par value $0.01 per share, 63,500,000 authorized, issued and outstanding 1,536,569 1,536,569 [2]
Common stock, par value $0.01 per share, 1,468,250,000 authorized, 501,018,415 and 500,080,287 issued and outstanding, respectively 5,010 5,001 [2]
Additional paid-in capital 23,694,663 23,672,391 [2]
Accumulated other comprehensive income (loss) (1,156,927) (1,335,400) [2]
Accumulated deficit (12,898,191) (12,622,768) [2]
Total stockholders’ equity 11,181,124 11,255,793 [2]
Noncontrolling interests 81,780 89,298 [2]
Total equity 11,262,904 11,345,091 [2]
Total liabilities and equity $ 93,668,577 $ 93,227,236 [2]
[1]
(2)Includes cash of consolidated Variable Interest Entities (“VIEs”) of $2.3 million and $2.0 million at June 30, 2024 and December 31, 2023, respectively.
[2]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
[3]
(3)Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
[4]
(4)Includes $3.9 million and $1.2 million of residential mortgage loans held for sale at June 30, 2024 and December 31, 2023, respectively.
v3.24.2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Pledged assets included in cash and cash equivalents $ 1,266,528 $ 1,136,298
Pledged assets in securities [1] 67,044,753 69,613,565 [2]
Pledged assets in loans, net [3] 2,548,228 2,353,084 [2]
Pledged assets included in mortgage servicing rights $ 2,785,614 $ 2,122,196 [2]
Preferred stock, par value (USD per share) $ 0.01 $ 0.01
Preferred stock authorized (shares) 63,500,000 63,500,000
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) 1,468,250,000 1,468,250,000
Common stock issued (shares) 501,018,415 500,080,287
Common stock outstanding (shares) 501,018,415 500,080,287
Residential Mortgage Loans    
Loans held-for-sale $ 3,900 $ 1,200
Consolidated VIEs    
Cash and Cash Equivalents, at Carrying Value 2,300 2,000
Consolidated VIEs | Non-Agency Mortgage-Backed Securities    
Mortgage-backed securities 1,800,000 1,500,000
Asset Pledged as Collateral    
Pledged assets in securities 62,801,367 65,400,248
Pledged assets in loans, net 2,326,386 2,082,419
Pledged assets included in mortgage servicing rights $ 1,865,890 $ 1,781,279
[1]
(3)Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
[2]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
[3]
(4)Includes $3.9 million and $1.2 million of residential mortgage loans held for sale at June 30, 2024 and December 31, 2023, respectively.
v3.24.2
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Net interest income        
Interest income $ 1,177,325 $ 921,494 $ 2,271,813 $ 1,739,744
Interest expense 1,123,767 953,457 2,224,706 1,752,244
Net interest income 53,558 (31,963) 47,107 (12,500)
Net servicing income        
Servicing and related income 120,515 83,790 235,599 168,063
Servicing and related expense 12,617 8,930 24,833 16,810
Net servicing income 107,898 74,860 210,766 151,253
Other income (loss)        
Net gains (losses) on investments and other (568,745) (1,308,948) (1,562,872) (1,307,236)
Net gains (losses) on derivatives 430,487 1,475,325 1,807,631 574,573
Loan loss (provision) reversal 0 0 0 219
Other, net 24,791 9,105 48,158 24,603
Total other income (loss) (113,467) 175,482 292,917 (707,841)
General and administrative expenses        
Compensation expense 33,274 30,635 61,995 60,026
Other general and administrative expenses 11,617 12,280 21,466 23,717
Total general and administrative expenses 44,891 42,915 83,461 83,743
Income (loss) before income taxes 3,098 175,464 467,329 (652,831)
Income taxes 11,931 14,277 10,988 25,310
Net income (loss) (8,833) 161,187 456,341 (678,141)
Net income (loss) attributable to noncontrolling interests 650 (5,846) 2,932 (918)
Net income (loss) attributable to Annaly (9,483) 167,033 453,409 (677,223)
Dividends on preferred stock 37,158 35,766 74,219 67,641
Net income (loss) available (related) to common stockholders $ (46,641) $ 131,267 $ 379,190 $ (744,864)
Net income (loss) per share available (related) to common stockholders        
Basic (in dollars per share) $ (0.09) $ 0.27 $ 0.76 $ (1.51)
Diluted (in dollars per share) $ (0.09) $ 0.27 $ 0.76 $ (1.51)
Weighted average number of common shares outstanding        
Basic (in shares) 500,950,563 494,165,256 500,781,701 491,939,177
Diluted (in shares) 500,950,563 494,358,982 501,415,515 491,939,177
Other comprehensive income (loss)        
Net income (loss) $ (8,833) $ 161,187 $ 456,341 $ (678,141)
Unrealized gains (losses) on available-for-sale securities (54,243) (294,045) (336,112) 381,329
Reclassification adjustment for net (gains) losses included in net income (loss) 179,234 462,128 514,585 945,036
Other comprehensive income (loss) 124,991 168,083 178,473 1,326,365
Comprehensive income (loss) 116,158 329,270 634,814 648,224
Comprehensive income (loss) attributable to noncontrolling interests 650 (5,846) 2,932 (918)
Comprehensive income (loss) attributable to Annaly 115,508 335,116 631,882 649,142
Dividends on preferred stock 37,158 35,766 74,219 67,641
Comprehensive income (loss) attributable to common stockholders $ 78,350 $ 299,350 $ 557,663 $ 581,501
v3.24.2
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($)
$ in Thousands
Total
Total stockholder’s equity
Preferred stock
Common stock
Additional paid-in capital
Accumulated other comprehensive income (loss)
Accumulated deficit
Noncontrolling interests
Beginning of period at Dec. 31, 2022     $ 1,536,569 $ 4,683 $ 22,981,320 $ (3,708,896) $ (9,543,233) $ 98,983
Increase (Decrease) in Stockholders' Equity [Roll Forward]                
Issuance       253 562,338      
Stock-based award activity       3 6,688      
Unrealized gains (losses) on available-for-sale securities $ 381,329         381,329    
Reclassification adjustment for net (gains) losses included in net income (loss) 945,036         945,036    
Net income (loss) attributable to Annaly (677,223)           (677,223)  
Dividends declared on preferred stock [1]             (67,641)  
Dividends and dividend equivalents declared on common stock and stock-based awards (644,947)           (644,947) [1]  
Net income (loss) attributable to noncontrolling interests 918             (918)
Equity contributions from (distributions to) noncontrolling interests               13,001
End of period at Jun. 30, 2023 11,887,345 $ 11,776,279 1,536,569 4,939 23,550,346 (2,382,531) (10,933,044) 111,066
Beginning of period at Mar. 31, 2023     1,536,569 4,939 23,543,091 (2,550,614) (10,741,863) 116,911
Increase (Decrease) in Stockholders' Equity [Roll Forward]                
Issuance       0 (118)      
Stock-based award activity       0 7,373      
Unrealized gains (losses) on available-for-sale securities (294,045)         (294,045)    
Reclassification adjustment for net (gains) losses included in net income (loss) 462,128         462,128    
Net income (loss) attributable to Annaly 167,033           167,033  
Dividends declared on preferred stock [1]             (35,766)  
Dividends and dividend equivalents declared on common stock and stock-based awards (322,448)           (322,448) [1]  
Net income (loss) attributable to noncontrolling interests 5,846             (5,846)
Equity contributions from (distributions to) noncontrolling interests               1
End of period at Jun. 30, 2023 11,887,345 11,776,279 1,536,569 4,939 23,550,346 (2,382,531) (10,933,044) 111,066
Beginning of period at Dec. 31, 2023 11,345,091 [2]   1,536,569 5,001 23,672,391 (1,335,400) (12,622,768) 89,298
Increase (Decrease) in Stockholders' Equity [Roll Forward]                
Issuance       6 10,893      
Stock-based award activity       3 11,379      
Unrealized gains (losses) on available-for-sale securities (336,112)         (336,112)    
Reclassification adjustment for net (gains) losses included in net income (loss) 514,585         514,585    
Net income (loss) attributable to Annaly 453,409           453,409  
Dividends declared on preferred stock [1]             (74,219)  
Dividends and dividend equivalents declared on common stock and stock-based awards (654,613)           (654,613) [1]  
Net income (loss) attributable to noncontrolling interests (2,932)             2,932
Equity contributions from (distributions to) noncontrolling interests               (10,450)
End of period at Jun. 30, 2024 11,262,904 11,181,124 1,536,569 5,010 23,694,663 (1,156,927) (12,898,191) 81,780
Beginning of period at Mar. 31, 2024     1,536,569 5,004 23,673,687 (1,281,918) (12,523,809) 86,580
Increase (Decrease) in Stockholders' Equity [Roll Forward]                
Issuance       6 10,941      
Stock-based award activity       0 10,035      
Unrealized gains (losses) on available-for-sale securities (54,243)         (54,243)    
Reclassification adjustment for net (gains) losses included in net income (loss) 179,234         179,234    
Net income (loss) attributable to Annaly (9,483)           (9,483)  
Dividends declared on preferred stock [1]             (37,158)  
Dividends and dividend equivalents declared on common stock and stock-based awards (327,741)           (327,741) [1]  
Net income (loss) attributable to noncontrolling interests (650)             650
Equity contributions from (distributions to) noncontrolling interests               (5,450)
End of period at Jun. 30, 2024 $ 11,262,904 $ 11,181,124 $ 1,536,569 $ 5,010 $ 23,694,663 $ (1,156,927) $ (12,898,191) $ 81,780
[1]
(1) Refer to the “Capital Stock” Note for dividends per share for each class of shares.
[2]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($)
$ in Thousands
 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Cash flows from operating activities    
Net income (loss) $ 456,341 $ (678,141)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities    
Amortization of premiums and discounts of investments, net 40,216 105,438
Amortization of securitized debt premiums and discounts and deferred financing costs 5,238 6,435
Depreciation, amortization and other noncash expenses 16,134 12,032
Net (gains) losses on investments and derivatives 383,762 1,543,662
Income (loss) from unconsolidated joint ventures (2,617) (289)
Loan loss provision (reversal) 0 (219)
Payments on purchases of loans held for sale (20,225) 0
Proceeds from sales and repayments of loans held for sale 17,368 747
Proceeds from U.S. Treasury securities 4,039,385 0
Payments on U.S. Treasury securities (4,118,083) 0
Net receipts (payments) on derivatives 963,260 (332,685)
Net change in    
Other assets (7,208) (12,979)
Interest receivable 305,552 (306,771)
Interest payable 81,169 (184,660)
Other liabilities 14,670 (34,903)
Net cash provided by (used in) operating activities 2,174,962 117,667
Cash flows from investing activities    
Payments on purchases of securities (16,710,894) (18,067,651)
Proceeds from sales of securities 14,936,642 12,501,702
Principal payments on securities 3,050,093 3,012,034
Payments on purchases and origination of loans (5,978,114) (1,946,157)
Proceeds from sales of loans 92,637 0
Principal payments on loans 928,297 466,538
Payments on purchases of MSR (636,658) (213,346)
Proceeds from sales of MSR 1,068 0
Proceeds from reverse repurchase agreements 295,838,237 32,900,024
Payments on reverse repurchase agreements (295,838,237) (32,900,024)
Distributions in excess of cumulative earnings from unconsolidated joint ventures 11,189 0
Net cash provided by (used in) investing activities (4,305,740) (4,246,880)
Cash flows from financing activities    
Proceeds from repurchase agreements and other secured financing 2,731,104,468 2,519,472,348
Payments on repurchase agreements and other secured financing (2,732,418,011) (2,517,093,741)
Proceeds from issuances of securitized debt 5,158,091 2,355,559
Principal payments on securitized debt (844,020) (397,043)
Payments on purchases of securitized debt 0 (2,504)
Payment of deferred financing cost (1,331) 0
Proceeds from participations issued 2,279,391 532,445
Payments on repurchases of participations issued (2,214,696) (825,613)
Principal payments on participations issued (27,729) (20,954)
Net contributions (distributions) from (to) noncontrolling interests (10,450) 13,001
Net proceeds from stock offerings, direct purchases and dividend reinvestments 10,899 562,591
Settlement of stock-based awards in satisfaction of withholding tax requirements (6,157) (5,810)
Dividends paid (724,717) (800,908)
Net cash provided by (used in) financing activities 2,305,738 3,789,371
Net (decrease) increase in cash and cash equivalents 174,960 (339,842)
Cash and cash equivalents including cash pledged as collateral, beginning of period 1,412,148 [1],[2] 1,576,714
Cash and cash equivalents including cash pledged as collateral, end of period 1,587,108 [2] 1,236,872
Supplemental disclosure of cash flow information    
Interest received 1,823,472 1,550,061
Interest paid (excluding interest paid on interest rate swaps) 1,805,416 1,780,252
Net interest received (paid) on interest rate swaps 1,087,460 618,036
Taxes received (paid) (657) (654)
Noncash investing and financing activities    
Receivable for unsettled trades 320,659 787,442
Payable for unsettled trades 1,096,271 4,331,315
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 178,473 1,326,365
Dividends declared, not yet paid $ 325,662 $ 321,031
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
[2]
(2)Includes cash of consolidated Variable Interest Entities (“VIEs”) of $2.3 million and $2.0 million at June 30, 2024 and December 31, 2023, respectively.
v3.24.2
DESCRIPTION OF BUSINESS
 6 Months Ended
Jun. 30, 2024
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 with investment strategies across mortgage finance. 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 and mortgage servicing rights (“MSR”). 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.
Annaly 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”).
The Company’s three investment groups are primarily comprised of the following:
Investment GroupsDescription
Annaly Agency GroupInvests 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 Agency commercial MBS.
Annaly Residential Credit GroupInvests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets.
Annaly Mortgage Servicing Rights GroupInvests in mortgage servicing rights (“MSR”), which provide the right to service residential mortgage loans in exchange for a portion of the interest payments made on the loans.
v3.24.2
BASIS OF PRESENTATION
 6 Months Ended
Jun. 30, 2024
Organization, Consolidation and Presentation of Financial Statements [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, 2023 (the “2023 Form 10-K”). The consolidated financial information as of December 31, 2023 has been derived from audited consolidated financial statements included in the Company’s 2023 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.
v3.24.2
SIGNIFICANT ACCOUNTING POLICIES
 6 Months Ended
Jun. 30, 2024
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 Other assets with income or loss included in Other, net.
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 $1.3 billion and $1.1 billion at June 30, 2024 and December 31, 2023, respectively.
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 FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO 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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the FVO refer to 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 meet the offsetting criteria. Refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements.
Derivative Instruments – Derivatives are recognized 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 derivatives. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion.
Stock-Based Compensation – The Company measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Stock-based awards that contain market-based conditions are valued using a model.
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 (as defined in the “Securities” Note), residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not received is recognized as Interest receivable in the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item in the Consolidated Statements of Comprehensive Income (Loss).
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 or discounts associated with the purchase of multifamily securities are amortized or accreted into interest income based upon their contractual payment terms. If a prepayment occurs, an adjustment is made to the unpaid principal balance and unamortized premium or discount in the current period and the original effective yield continues to be applied.
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.
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 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”). The Company has early adopted ASU 2023-07, Improvements to Segment Reporting, as its Residential Credit and MSR operating segments have become a more significant component of consolidated results. Refer to the “Segments” Note for more information.

The Company reviewed other recently issued ASUs and determined that they were 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.
v3.24.2
FINANCIAL INSTRUMENTS
 6 Months Ended
Jun. 30, 2024
Investments, All Other Investments [Abstract]  
FINANCIAL INSTRUMENTS
4. FINANCIAL INSTRUMENTS
The following table presents characteristics for certain of the Company’s financial instruments at June 30, 2024 and December 31, 2023.
Financial Instruments (1)
Balance Sheet Line ItemType / FormMeasurement BasisJune 30, 2024December 31, 2023
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities (2)
Fair value, with unrealized gains (losses) through other comprehensive income$9,669,178 $15,665,352 
Securities
Agency mortgage-backed securities (3)
Fair value, with unrealized gains (losses) through earnings54,721,727 50,643,436 
SecuritiesResidential credit risk transfer securitiesFair value, with unrealized gains (losses) through earnings838,437 974,059 
SecuritiesNon-agency mortgage-backed securitiesFair value, with unrealized gains (losses) through earnings1,702,859 2,108,274 
SecuritiesCommercial real estate debt investments - CMBSFair value, with unrealized gains (losses) through earnings112,552 222,444 
Total securities67,044,753 69,613,565 
Loans, netResidential mortgage loansFair value, with unrealized gains (losses) through earnings2,548,228 2,353,084 
Assets transferred or pledged to securitization vehiclesResidential mortgage loansFair value, with unrealized gains (losses) through earnings17,946,812 13,307,622 
Liabilities
Repurchase agreementsRepurchase agreementsAmortized cost$60,787,994 $62,201,543 
Other secured financingLoansAmortized cost600,000 500,000 
Debt issued by securitization vehiclesSecuritiesFair value, with unrealized gains (losses) through earnings15,831,915 11,600,338 
Participations issuedParticipations issuedFair value, with unrealized gains (losses) through earnings1,144,821 1,103,835 
U.S. Treasury securities sold, not yet purchasedSecuritiesFair value, with unrealized gains (losses) through earnings1,974,602 2,132,751 
(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 purchased prior to July 1, 2022.
(3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.
v3.24.2
SECURITIES
 6 Months Ended
Jun. 30, 2024
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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Effective July 1, 2022, the Company elected the fair value option for any newly purchased Agency mortgage-backed securities in order to simplify the accounting for these securities. During the three and six months ended June 30, 2024 and 2023, ($274.9) million and ($948.9) million, and ($744.7) million and ($358.0) million, respectively, of unrealized gains (losses) on the Agency mortgage-backed securities, for which the fair value option was elected effective July 1, 2022, were reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). Agency mortgage-backed securities purchased prior to July 1, 2022, are still classified as available-for-sale with changes in fair value recognized in other comprehensive income. The Company has also elected the fair value option for CRT securities, interest only securities, Non-Agency and commercial mortgage-backed securities in order to simplify the accounting. Transactions for regular-way securities are recorded on trade date, including to-be-announced (“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 where the fair value option has not been elected 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 in 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). When the fair value of a held-to-maturity security is less than the cost, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security.
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 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, prime jumbo 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”) - The Company invests in Commercial Securities such as conduit, credit CMBS, single-asset single borrower and collateralized loan obligations.
The following table represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 2024:
Agency
Securities		Residential Credit SecuritiesCommercial
Securities		Total
(dollars in thousands)
Beginning balance January 1, 2024
$66,308,788 $3,082,333 $222,444 $69,613,565 
Purchases14,195,878 353,033 — 14,548,911 
Sales
(12,543,493)(731,027)(107,464)(13,381,984)
Principal paydowns(2,781,021)(264,073)(4,438)(3,049,532)
(Amortization) / accretion(39,917)2,747 468 (36,702)
Fair value adjustment(749,330)98,283 1,542 (649,505)
Ending balance June 30, 2024
$64,390,905 $2,541,296 $112,552 $67,044,753 
The following tables present the Company’s securities portfolio that were carried at their fair value at June 30, 2024 and December 31, 2023:
 June 30, 2024
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$62,483,207 $1,273,211 $(1,194,156)$62,562,262 $142,638 $(2,230,420)$60,474,480 
Adjustable-rate pass-through173,655 14,982 (49)188,588 2,118 (12,945)177,761 
CMO90,987 1,539 — 92,526 — (15,607)76,919 
Interest-only2,281,909 408,515 — 408,515 8,991 (143,950)273,556 
Multifamily(1)
20,155,207 433,555 (9,197)3,425,145 17,494 (81,456)3,361,183 
Reverse mortgages25,823 2,902 — 28,725 — (1,719)27,006 
Total agency securities$85,210,788 $2,134,704 $(1,203,402)$66,705,761 $171,241 $(2,486,097)$64,390,905 
Residential credit       
Credit risk transfer$780,293 $1,863 $(3,843)$778,313 $60,272 $(148)$838,437 
Alt-A165,585 37 (1,889)163,733 2,934 (9,739)156,928 
Prime (2)
1,372,222 14,026 (10,409)30,527 2,844 (559)32,812 
Subprime295,067 13 (30,949)264,131 6,963 (11,728)259,366 
NPL/RPL1,114,675 8,087 (9,181)1,113,581 3,247 (20,660)1,096,168 
Prime jumbo (>=2010 vintage) (3)
10,046,140 80,970 (30,794)143,697 18,670 (4,782)157,585 
Total residential credit securities$13,773,982 $104,996 $(87,065)$2,493,982 $94,930 $(47,616)$2,541,296 
Total residential securities$98,984,770 $2,239,700 $(1,290,467)$69,199,743 $266,171 $(2,533,713)$66,932,201 
Commercial
Commercial securities$112,288 $116 $(47)$112,357 $199 $(4)$112,552 
Total securities$99,097,058 $2,239,816 $(1,290,514)$69,312,100 $266,370 $(2,533,717)$67,044,753 
 December 31, 2023
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$63,444,987 $1,448,886 $(1,318,948)$63,574,925 $477,242 $(1,853,226)$62,198,941 
Adjustable-rate pass-through188,996 15,834 (51)204,779 1,663 (14,953)191,489 
CMO94,448 1,612 — 96,060 — (13,088)82,972 
Interest-only2,010,697 416,955 — 416,955 4,729 (157,679)264,005 
Multifamily (1)
17,130,045 400,781 (9,752)3,552,217 52,055 (59,744)3,544,528 
Reverse mortgages26,183 3,193 — 29,376 — (2,523)26,853 
Total agency investments$82,895,356 $2,287,261 $(1,328,751)$67,874,312 $535,689 $(2,101,213)$66,308,788 
Residential credit       
Credit risk transfer$924,729 $2,240 $(4,358)$922,611 $51,984 $(536)$974,059 
Alt-A164,384 9 (3,922)160,471 2,135 (12,371)150,235 
Prime (2)
1,076,497 8,590 (21,163)207,077 1,704 (28,134)180,647 
Subprime272,955 — (31,751)241,204 5,622 (11,221)235,605 
NPL/RPL1,237,531 8,336 (9,224)1,236,643 4,578 (43,666)1,197,555 
Prime jumbo (>=2010 vintage) (3)
9,425,280 71,960 (49,859)365,676 10,696 (32,140)344,232 
Total residential credit securities$13,101,376 $91,135 $(120,277)$3,133,682 $76,719 $(128,068)$3,082,333 
Total residential securities$95,996,732 $2,378,396 $(1,449,028)$71,007,994 $612,408 $(2,229,281)$69,391,121 
Commercial
Commercial securities$224,597 $15 $(822)$223,790 $19 $(1,365)$222,444 
Total securities$96,221,329 $2,378,411 $(1,449,850)$71,231,784 $612,427 $(2,230,646)$69,613,565 
(1) Principal/Notional amount includes $17.2 billion and $14.0 billion of Agency Multifamily interest-only securities as of June 30, 2024 and December 31, 2023, respectively.
(2) Principal/Notional amount includes $1.3 billion and $0.9 billion of Prime interest-only securities as of June 30, 2024 and December 31, 2023, respectively.
(3) Principal/Notional amount includes $10.0 billion and $9.1 billion of Prime Jumbo interest-only securities as of June 30, 2024 and December 31, 2023, respectively.
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at June 30, 2024 and December 31, 2023: 
June 30, 2024December 31, 2023
Investment Type(dollars in thousands)
Fannie Mae$59,746,320 $60,477,303 
Freddie Mac4,576,036 5,778,809 
Ginnie Mae68,549 52,676 
Total$64,390,905 $66,308,788 
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 at June 30, 2024 and December 31, 2023, according to their estimated weighted average life classifications:
 June 30, 2024December 31, 2023
Estimated Fair ValueAmortized
Cost		Estimated Fair ValueAmortized
Cost
Estimated weighted average life(dollars in thousands)
Less than one year$158,772 $160,077 $254,753 $257,170 
Greater than one year through five years1,758,528 1,783,897 5,159,969 5,213,575 
Greater than five years through ten years63,127,997 65,303,899 62,158,711 63,662,144 
Greater than ten years1,886,904 1,951,870 1,817,688 1,875,105 
Total$66,932,201 $69,199,743 $69,391,121 $71,007,994 
The estimated weighted average lives of the Residential Securities at June 30, 2024 and December 31, 2023 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected.
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at June 30, 2024 and December 31, 2023.
 June 30, 2024December 31, 2023
 
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$31,026 $(986)35 $35,453 $(418)16 
12 Months or more9,501,393 (1,159,761)1,441 15,455,118 (1,340,032)1,747 
Total$9,532,419 $(1,160,747)1,476 $15,490,571 $(1,340,450)1,763 
(1) Excludes interest-only mortgage-backed securities and reverse mortgages and effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.
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 have an actual or implied credit rating that is the same as that of the U.S. government. An impairment has not been recognized in earnings related to these investments because the decline in value is not related to credit quality, the Company currently has not made a decision to sell the securities nor is it more likely than not that the securities will be required to be sold before recovery.
During the three and six months ended June 30, 2024, the Company disposed of $5.2 billion and $13.3 billion amortized cost basis of Residential Securities, respectively. During the three and six months ended June 30, 2023, the Company disposed of $8.4 billion and $13.6 billion amortized cost basis of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and six months ended June 30, 2024 and 2023, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).
 Gross Realized GainsGross Realized LossesNet Realized Gains (Losses)
For the three months ended(dollars in thousands)
June 30, 2024$7,302 $(382,254)$(374,952)
June 30, 2023$9,496 $(608,732)$(599,236)
For the six months ended
June 30, 2024$40,226 $(853,425)$(813,199)
June 30, 2023$13,765 $(1,134,849)$(1,121,084)
v3.24.2
LOANS
 6 Months Ended
Jun. 30, 2024
Receivables [Abstract]  
LOANS
6. LOANS
The Company invests in residential loans. Loans are classified as either held for investment or held for sale. Loans are eligible to be accounted for under the fair value option. If loans are elected under the fair value option, they are carried at fair value with changes in fair value recognized in earnings. Otherwise, loans held for investment are carried at cost less impairment and loans held for sale are accounted for at the lower of cost or fair value.
Excluding loans transferred or pledged to securitization vehicles, as of June 30, 2024 and December 31, 2023, the Company reported $2.5 billion and $2.4 billion, respectively, of loans for which the fair value option was elected. 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. 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. The carrying value of the Company’s residential loans held for sale was $3.9 million and $1.2 million at June 30, 2024 and December 31, 2023, respectively.
The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles, for the six months ended June 30, 2024:
Residential Loans
(dollars in thousands)
Beginning balance January 1, 2024
$2,353,084 
Purchases / originations5,987,132 
Sales and transfers (1)
(5,729,881)
Principal payments(64,526)
Gains / (losses)10,431 
(Amortization) / accretion(8,012)
Ending balance June 30, 2024
$2,548,228 
(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $5.6 billion during the six months ended June 30, 2024.

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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). The Company also consolidates securitization trusts in which it retained 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 mortgage loans are secured by first liens on primarily one-to-four family residential properties. A subsidiary of the Company has engaged a third party to act as its custodian, agent and bailee for the purposes of receiving and holding certain documents, instruments and papers related to the residential mortgage loans it purchases. Pursuant to the Company’s custodial agreement, the custodian segregates and maintains continuous custody of all documents constituting the mortgage file with respect to each mortgage loan owned by the subsidiary in secure and fire resistant facilities and in a manner consistent with the standard of care employed by prudent mortgage loan document custodians. At or prior to the funding of any residential mortgage loan, the related seller, pursuant to the terms of our mortgage loan purchase agreement, must deliver to the custodian, the mortgage loan documents including the mortgage note, the mortgage and other related loan documents. In addition, a complete credit file for the related mortgage and borrower must be delivered to the subsidiary prior to the date of purchase.
The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at June 30, 2024 and December 31, 2023:
June 30, 2024December 31, 2023
 (dollars in thousands)
Fair value$20,495,040 $15,660,706 
Unpaid principal balance$21,482,560 $16,611,204 
The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2024 and 2023 for these investments:
For the Three Months EndedFor the Six Months Ended
June 30, 2024June 30, 2023June 30, 2024June 30, 2023
 (dollars in thousands)
Interest income$301,820 $162,202 $553,836 $309,432 
Net gains (losses) on disposal of investments (1)
(1,228)(1,495)(3,344)(2,272)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)
(3,913)(167,759)(88,698)92,680 
Total included in net income (loss)$296,679 $(7,052)$461,794 $399,840 
(1) These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss).
The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2024 and December 31, 2023 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:
Geographic Concentrations of Residential Mortgage Loans
June 30, 2024December 31, 2023
Property location% of BalanceProperty location% of Balance
California38.0%California40.1%
Florida10.8%Florida10.6%
New York10.6%New York10.5%
Texas5.6%Texas5.6%
All other (none individually greater than 5%)35.0%All other (none individually greater than 5%)33.2%
Total100.0%100.0%
The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at June 30, 2024 and December 31, 2023:
 June 30, 2024December 31, 2023
 
Portfolio
Range
Portfolio Weighted
Average
Portfolio
Range
Portfolio Weighted Average
 (dollars in thousands)
Unpaid principal balance
$1 - $4,396
$476
$1 - $4,396
$477
Interest rate
2.00% - 14.13%
6.12%
2.00% - 13.25%
5.63%
Maturity7/1/2029 - 7/1/20648/14/20527/1/2029 - 12/1/20634/22/2052
FICO score at loan origination
549 - 850
757
549 - 850
758
Loan-to-value ratio at loan origination
3% - 100%
69%
3% - 100%
68%
At June 30, 2024 and December 31, 2023, approximately 15% and 11%, respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate.
v3.24.2
MORTGAGE SERVICING RIGHTS
 6 Months Ended
Jun. 30, 2024
Transfers and Servicing [Abstract]  
MORTGAGE SERVICING RIGHTS
7. MORTGAGE SERVICING RIGHTS
MSR represent the rights and obligations 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 MSR. The Company generally intends to hold the MSR as investments and elected to account for all of its investments in MSR at fair value. As such, they are recognized at fair value in the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).
The following table presents activity related to MSR for the three and six months ended June 30, 2024 and 2023:  
 Mortgage Servicing RightsThree Months EndedSix Months Ended
June 30, 2024June 30, 2023June 30, 2024June 30, 2023
 (dollars in thousands)
Fair value, beginning of period$2,651,279 $1,790,980 $2,122,196 $1,748,209 
Purchases (1)
120,896 177,521 636,627 214,151 
Sales(1,068)— (1,068)— 
Change in fair value due to:
Changes in valuation inputs or assumptions (2)
59,902 80,323 106,038 110,530 
Other changes, including realization of expected cash flows(45,395)(29,928)(78,179)(53,994)
Fair value, end of period$2,785,614 $2,018,896 $2,785,614 $2,018,896 
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.
(2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.
v3.24.2
VARIABLE INTEREST ENTITIES
 6 Months Ended
Jun. 30, 2024
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
VARIABLE INTEREST ENTITIES
8. VARIABLE INTEREST ENTITIES
The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $1.9 billion at June 30, 2024. 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.
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. 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. Refer to the “Securities” Note for further information on Residential Securities.
OBX Trusts
Residential securitizations are issued by entities generally referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions that provide non-recourse financing to the Company and are collateralized by residential mortgage loans purchased by the Company. Residential securitizations closed as of June 30, 2024 are included in the following table:
SecuritizationDate of ClosingFace Value at Closing
(dollars in thousands)
OBX 2024-NQM1January 2024$413,581 
OBX 2024-NQM2January 2024$495,980 
OBX 2024-HYB1February 2024$412,084 
OBX 2024-NQM3February 2024$439,904 
OBX 2024-NQM4March 2024$592,448 
OBX 2024-HYB2March 2024$397,787 
OBX 2024-NQM5April 2024$574,553 
OBX 2024-NQM6April 2024$441,421 
OBX 2024-NQM7May 2024$551,759 
OBX 2024-NQM8May 2024$723,086 
OBX 2024-NQM9June 2024$532,126 
As of June 30, 2024 and December 31, 2023, a total carrying value of $15.8 billion and $11.6 billion, respectively, of bonds were held by third parties and the Company retained $1.9 billion and $1.4 billion, respectively, of MBS, 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. Effective August 1, 2022, upon initial consolidation of new securitization entities, the Company elected to apply the measurement alternative for consolidated collateralized financing entities in order to simplify the
accounting and valuation processes. The liabilities of these securitization entities are deemed to be more observable and are used to measure the fair value of the assets. The Company incurred $5.3 million and $2.7 million of costs during the three months ended June 30, 2024 and 2023, respectively, and $9.1 million and $4.0 million of costs during the six months ended June 30, 2024 and 2023, 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 $16.9 billion and $12.6 billion at June 30, 2024 and December 31, 2023, respectively. During the three months ended June 30, 2024 and 2023, the Company recorded $4.8 million and $130.5 million, respectively, and $90.8 million and ($81.4) million during the six months ended June 30, 2024 and 2023, respectively, of unrealized gains (losses) on debt held by third parties issued by OBX Trusts, which is reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss).
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.
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. As of June 30, 2024 and December 31, 2023, the Company had outstanding participating interests in residential mortgage loans of $1.1 billion and $1.1 billion, respectively. 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.
v3.24.2
DERIVATIVE INSTRUMENTS
 6 Months Ended
Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE INSTRUMENTS
9. DERIVATIVE INSTRUMENTS
Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, U.S. Treasury and Secured Overnight Financing Rate (“SOFR”) 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, U.S. Treasury 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 Net gains (losses) on derivatives 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 recognized 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 derivatives. 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 or received under such transactions. At June 30, 2024 and December 31,
2023, ($3.3) billion and ($2.4) billion, respectively, of variation margin was reported as an adjustment to interest rate swaps, at fair value. Initial margin is reported in Cash and cash equivalents in the Consolidated Statements of Financial Condition.
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 have outstanding interest rate swap agreements where the floating leg is linked to the SOFR, 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.
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 following table summarizes fair value information about the Company’s derivative assets and liabilities at June 30, 2024 and December 31, 2023:
Derivatives InstrumentsJune 30, 2024December 31, 2023
Assets(dollars in thousands)
Interest rate swaps$16,824 $26,344 
Interest rate swaptions148,040 105,883 
TBA derivatives14,641 20,689 
Futures contracts1,723 — 
Purchase commitments6,640 9,641 
Total derivative assets$187,868 $162,557 
Liabilities 
Interest rate swaps$15,314 $83,051 
TBA derivatives2,193 39,070 
Futures contracts81,730 179,835 
Purchase commitments1,592 339 
Total derivative liabilities$100,829 $302,295 
    
The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2024 and December 31, 2023:
June 30, 2024
Maturity
Current Notional (1)
Weighted Average Pay RateWeighted Average Receive Rate
Weighted Average Years to Maturity (2)
(dollars in thousands)
0 - 3 years
$19,861,229 3.35 %5.33 %1.29
3 - 6 years
14,533,021 3.36 %5.30 %4.82
6 - 10 years
20,501,637 2.80 %5.28 %8.06
Greater than 10 years
1,559,384 3.47 %5.18 %23.75
Total / Weighted average$56,455,271 3.13 %5.30 %5.28
December 31, 2023
Maturity
Current Notional (1)
Weighted Average
Pay Rate		Weighted Average Receive Rate
Weighted Average Years to Maturity (2)
(dollars in thousands)
0 - 3 years
$21,397,358 3.17 %5.26 %1.23
3 - 6 years
12,461,799 3.09 %5.37 %4.75
6 - 10 years
22,949,150 2.85 %5.34 %8.02
Greater than 10 years
2,021,247 3.53 %5.27 %22.71
Total / Weighted average$58,829,554 3.04 %5.31 %5.36
(1) As of June 30, 2024, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. As of December 31, 2023, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively.
(2) 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 tables summarize certain characteristics of the Company’s swaptions at June 30, 2024 and December 31, 2023:
June 30, 2024
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$1,250,0002.21%SOFR7.192.15
December 31, 2023
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$1,250,0002.21%SOFR7.698.21
Long receive$500,0001.65%SOFR10.303.53
The following tables summarize certain characteristics of the Company’s TBA derivatives at June 30, 2024 and December 31, 2023:
June 30, 2024
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$2,395,000 $2,313,203 $2,324,113 $10,910 
Sale contracts(733,000)(673,262)(671,724)1,538 
Net TBA derivatives$1,662,000 $1,639,941 $1,652,389 $12,448 
December 31, 2023
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$988,000 $920,626 $915,790 $(4,836)
Sale contracts(1,491,000)(1,475,847)(1,489,392)(13,545)
Net TBA derivatives$(503,000)$(555,221)$(573,602)$(18,381)
The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2024 and December 31, 2023: 
June 30, 2024
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
2-year swap equivalent SOFR contracts$2,790,000 $— 1.97
U.S. Treasury futures - 2 year
— (1,306,400)1.97
U.S. Treasury futures - 10 year and greater
— (6,025,500)10.72
Total$2,790,000 $(7,331,900)7.18
December 31, 2023
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(5,001,400)1.97
U.S. Treasury futures - 10 year and greater
— (1,733,600)14.26
Total$— $(6,735,000)5.13
The Company presents derivative contracts on a gross basis in 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 in the Company’s Consolidated Statements of Financial Condition at June 30, 2024 and December 31, 2023, respectively.
June 30, 2024
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$16,824 $(9,263)$— $7,561 
Interest rate swaptions, at fair value148,040 (62,215)(82,110)3,715 
TBA derivatives, at fair value14,641 (4,285)(6,595)3,761 
Futures contracts, at fair value1,723 (1,723)— — 
Purchase commitments6,640 — — 6,640 
Liabilities 
Interest rate swaps, at fair value$15,314 $(13,899)$— $1,415 
TBA derivatives, at fair value2,193 (2,193)— — 
Futures contracts, at fair value81,730 (1,723)(80,007)— 
Purchase commitments1,592 — — 1,592 
December 31, 2023
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$26,344 $(21,505)$— $4,839 
Interest rate swaptions, at fair value105,883 (45,930)(57,320)2,633 
TBA derivatives, at fair value20,689 (13,282)— 7,407 
Purchase commitments9,641 — — 9,641 
Liabilities 
Interest rate swaps, at fair value$83,051 $(72,844)$— $10,207 
TBA derivatives, at fair value39,070 (34,525)— 4,545 
Futures contracts, at fair value179,835 — (179,835)— 
Purchase commitments339 — — 339 
The effect of interest rate swaps in 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 (1)
Realized Gains (Losses) on Termination of Interest Rate Swaps (1)
Unrealized Gains (Losses) on Interest Rate Swaps (1)
For the three months ended(dollars in thousands)
June 30, 2024$298,372 $18,721 $97,484 
June 30, 2023$425,293 $48,148 $841,702 
For the six months ended
June 30, 2024$628,521 $(2,516)$998,386 
June 30, 2023$810,999 $(97,671)$(114,570)
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Three Months Ended June 30, 2024
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$(16,252)$15,931 $(321)
Net interest rate swaptions(12,331)23,857 11,526 
Futures (1)
48,227 (45,882)2,345 
Purchase commitments— 2,360 2,360 
Total
$15,910 
(1) For the three months ended June 30, 2024, includes ($1.2) million of unrealized loss and ($6.8) million of realized loss related to SOFR futures options.
Three Months Ended June 30, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$99,361 $(160,873)$(61,512)
Net interest rate swaptions— 53,413 53,413 
Futures (1)
(242,013)413,240 171,227 
Purchase commitments— (3,444)(3,444)
Credit derivatives(17,970)18,468 498 
Total$160,182 
(1) For the three months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options.
Six Months Ended June 30, 2024
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(24,868)$30,829 $5,961 
Net interest rate swaptions(12,331)54,488 42,157 
Futures (1)
39,547 99,827 139,374 
Purchase commitments— (4,252)(4,252)
Total$183,240 
(1) For the six months ended June 30, 2024, includes ($6.8) million of realized loss related to SOFR futures options.
Six Months Ended June 30, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(54,488)$54,487 $(1)
Net interest rate swaptions2,323 7,415 9,738 
Futures (1)
(123,681)98,362 (25,319)
Purchase commitments— (2,581)(2,581)
Credit derivatives(19,282)13,260 (6,022)
Total$(24,185)
(1) For the six months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options.
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 were in a net asset position at June 30, 2024.
v3.24.2
FAIR VALUE MEASUREMENTS
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS
10. FAIR VALUE MEASUREMENTS
The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSR that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
GAAP requires classification of financial instruments and MSR 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 instrument and MSR 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 in 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 and U.S. Treasury securities 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 and TBA derivatives 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 and TBA derivatives 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 and TBA derivatives 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 MSR 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 discount rates, prepayment rates, delinquency levels and costs to service. 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 MSR 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 MSR measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023. There were no transfers between levels of the fair value hierarchy during the periods presented.
June 30, 2024
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $64,390,905 $— $64,390,905 
Credit risk transfer securities— 838,437 — 838,437 
Non-Agency mortgage-backed securities— 1,702,859 — 1,702,859 
   Commercial mortgage-backed securities— 112,552 — 112,552 
Loans
Residential mortgage loans— 2,548,228 — 2,548,228 
Mortgage servicing rights— — 2,785,614 2,785,614 
Assets transferred or pledged to securitization vehicles— 17,946,812 — 17,946,812 
Derivative assets
Interest rate swaps— 16,824 — 16,824 
Other derivatives1,723 169,321 — 171,044 
Total assets$1,723 $87,725,938 $2,785,614 $90,513,275 
Liabilities
Debt issued by securitization vehicles$— $15,831,915 $— $15,831,915 
Participations issued— 1,144,821 — 1,144,821 
U.S. Treasury securities sold, not yet purchased1,974,602 — — 1,974,602 
Derivative liabilities
Interest rate swaps— 15,314 — 15,314 
Other derivatives81,730 3,785 — 85,515 
Total liabilities$2,056,332 $16,995,835 $— $19,052,167 
December 31, 2023
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $66,308,788 $— $66,308,788 
Credit risk transfer securities— 974,059 — 974,059 
Non-Agency mortgage-backed securities— 2,108,274 — 2,108,274 
   Commercial mortgage-backed securities— 222,444 — 222,444 
Loans
Residential mortgage loans— 2,353,084 — 2,353,084 
Mortgage servicing rights— — 2,122,196 2,122,196 
Assets transferred or pledged to securitization vehicles— 13,307,622 — 13,307,622 
Derivative assets
Interest rate swaps— 26,344 — 26,344 
Other derivatives— 136,213 — 136,213 
Total assets$— $85,436,828 $2,122,196 $87,559,024 
Liabilities
Debt issued by securitization vehicles$— $11,600,338 $— $11,600,338 
Participations issued— 1,103,835 — 1,103,835 
U.S. Treasury securities sold, not yet purchased2,132,751 — — 2,132,751 
Derivative liabilities
Interest rate swaps— 83,051 — 83,051 
Other derivatives179,835 39,409 — 219,244 
Total liabilities$2,312,586 $12,826,633 $— $15,139,219 
Qualitative and 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 MSR, 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 MSR, which in turn could result in a decline in the estimated fair value of MSR. Refer to the “Mortgage Servicing Rights” Note for additional information, including rollforwards.
The following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.
Unobservable Input (1)
Range (Weighted Average) (2)
June 30, 2024December 31, 2023
Discount rate
5.3% - 12.4% (8.4%)
7.0% - 12.0% (8.6%)
Prepayment rate
4.7% - 17.3% (5.5%)
4.8% - 11.0% (5.6%)
Delinquency rate
0.2% - 3.8% (1.1%)
0.2% - 4.2% (1.3%)
Cost to service
$83 - $109 ($91)
$84 - $111 ($94)
(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 MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR.
The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at June 30, 2024 and December 31, 2023.
 June 30, 2024December 31, 2023
 Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial liabilities
Repurchase agreements$60,787,994$60,787,994$62,201,543$62,201,543
Other secured financing600,000600,000500,000500,000
 
The carrying values of repurchase agreements and short term other secured financing approximate fair value and are considered Level 2 fair value measurements. Long term other secured financing is valued using Level 2 inputs.
v3.24.2
INTANGIBLE ASSETS
 6 Months Ended
Jun. 30, 2024
Goodwill and Intangible Assets Disclosure [Abstract]  
INTANGIBLE ASSETS
11.  INTANGIBLE ASSETS
Intangible assets, net
Finite life intangible assets are amortized over their expected useful lives. As part of the Company’s management internalization transaction, which closed on June 30, 2020, the Company recognized an intangible asset for the acquired assembled workforce of approximately $41.2 million based on the replacement cost of the employee base acquired by the Company.
The following table presents the activity of finite lived intangible assets for the six months ended June 30, 2024.
Intangible Assets, net
(dollars in thousands)
Beginning balance January 1, 2024
$12,106 
Less: amortization expense(1,345)
Ending balance June 30, 2024
$10,761 
v3.24.2
SECURED FINANCING
 6 Months Ended
Jun. 30, 2024
Debt Disclosure [Abstract]  
SECURED FINANCING
12. 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 secured financing.
The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. 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 $60.8 billion and $62.2 billion of repurchase agreements with weighted average remaining maturities of 36 days and 44 days and weighted average rates of 5.59% and 5.70% at June 30, 2024 and December 31, 2023, respectively. In connection with its residential mortgage loans, the Company has select arrangements with counterparties to enter into repurchase agreements for $2.9 billion with remaining capacity of $1.9 billion at June 30, 2024.
At June 30, 2024 and December 31, 2023, the repurchase agreements had the following remaining maturities and collateral types: 
June 30, 2024
 Agency Mortgage-Backed SecuritiesCRTsNon-Agency Mortgage-Backed SecuritiesResidential Mortgage LoansCommercial Mortgage-Backed SecuritiesTotal Repurchase Agreements
 (dollars in thousands)
1 day$20,898,019 $47,794 $88,066 $— $— $21,033,879 
2 to 29 days14,107,044 315,802 644,301 — 100,617 15,167,764 
30 to 59 days17,110,329 — 711,446 — — 17,821,775 
60 to 89 days3,329,272 273,174 542,254 — — 4,144,700 
90 to 119 days460,761 — 66,755 330,994 — 858,510 
Over 119 days (1)
2,750,361 — 320,691 701,685 — 3,772,737 
Total$58,655,786 $636,770 $2,373,513 $1,032,679 $100,617 $62,799,365 
Amounts offset in accordance with netting arrangements.$(2,011,371)
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition.$60,787,994 
December 31, 2023
 Agency Mortgage-Backed SecuritiesCRTsNon-Agency Mortgage-Backed SecuritiesResidential Mortgage LoansCommercial Mortgage-Backed SecuritiesTotal Repurchase Agreements
 (dollars in thousands)
1 day$— $— $— $— $— $— 
2 to 29 days33,492,952 555,568 840,400 — 191,276 35,080,196 
30 to 59 days18,090,265 — 528,341 — — 18,618,606 
60 to 89 days6,479,206 139,952 579,611 — — 7,198,769 
90 to 119 days— — 39,714 207,592 — 247,306 
Over 119 days (1)
2,511,003 — 169,697 644,259 — 3,324,959 
Total$60,573,426 $695,520 $2,157,763 $851,851 $191,276 $64,469,836 
Amounts offset in accordance with netting arrangements.$(2,268,293)
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition.$62,201,543 
(1) Less than 1% of repurchase agreements had a remaining maturity over 1 year at June 30, 2024. No repurchase agreements had a remaining maturity over 1 year at December 31, 2023.
The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at June 30, 2024 and December 31, 2023. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.
 June 30, 2024December 31, 2023
 Reverse Repurchase AgreementsRepurchase AgreementsReverse Repurchase AgreementsRepurchase Agreements
 (dollars in thousands)
Gross amounts$2,011,371 $62,799,365 $2,268,293 $64,469,836 
Amounts offset(2,011,371)(2,011,371)(2,268,293)(2,268,293)
Netted amounts$— $60,787,994 $— $62,201,543 
The fair value of collateral received in connection with reverse repurchase agreements as of June 30, 2024 was $2.0 billion, of which the Company sold $2.0 billion. The fair value of collateral received in connection with reverse repurchase agreements as of December 31, 2023 was $2.3 billion, of which the Company sold $2.1 billion. The amount of collateral sold is reported at fair value in the Company’s Consolidated Statements of Financial Condition as U.S. Treasury securities sold, not yet purchased.
Other Secured Financing - As of June 30, 2024, the Company had $1.3 billion in total committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under this facility as of June 30, 2024 totaled $600.0 million with maturities ranging between seven months to one year. The weighted average interest rate of the borrowings was 8.07% as of
June 30, 2024. Borrowings are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition.
Refer to the “Variable Interest Entities” Note for additional information on the Company’s other secured financing arrangements at December 31, 2023.
Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $65.8 billion and $293.3 million, respectively, at June 30, 2024 and $68.2 billion and $279.5 million, respectively, at December 31, 2023.
v3.24.2
CAPITAL STOCK
 6 Months Ended
Jun. 30, 2024
Equity [Abstract]  
CAPITAL STOCK
13. CAPITAL STOCK
(A)    Common Stock
The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at June 30, 2024 and December 31, 2023.
Shares authorizedShares issued and outstanding
June 30, 2024December 31, 2023June 30, 2024December 31, 2023Par Value
Common stock
1,468,250,000 1,468,250,000 501,018,415 500,080,287 $0.01
In December 2020, the Company announced that its Board of Directors (“Board”) authorized the repurchase of up to $1.5 billion of its outstanding common shares through December 31, 2021 (the “Prior Share Repurchase Program”). In January 2022, the Company announced that its Board authorized the repurchase of up to $1.5 billion of its outstanding shares of common stock through December 31, 2024 (the “Current Share Repurchase Program”). The Current Share Repurchase Program replaced the Prior Share Repurchase Program. During the three and six months ended June 30, 2024 and 2023, no shares were repurchased under the Current Share Repurchase Program or Prior Share Repurchase Program.
On August 6, 2020, the Company entered into separate Amended and Restated Distribution Agency Agreements (as amended by Amendment No. 1 to the Amended and Restated Distribution Agency Agreements on August 6, 2021 and Amendment No. 2 to the Amended and Restated Distribution Agency Agreements on November 3, 2022, collectively, the “Sales Agreements”) with each of Barclays Capital Inc., BofA Securities, Inc., Citigroup Global Markets Inc., Goldman Sachs & Co. LLC, Keefe, Bruyette & Woods, Inc., J.P. Morgan Securities LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Sales Agents”). Pursuant to the Sales Agreements, 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 (the “at-the-market sales program”).
During the three and six months ended June 30, 2024, under the at-the-market sales program, the Company issued 0.6 million shares for proceeds of $11.3 million, net of commissions and fees. During the six months ended June 30, 2023, under the at-the-market sales program, the Company issued 25.3 million shares for proceeds of $562.7 million, net of commissions and fees.

(B)    Preferred Stock
The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at June 30, 2024 and December 31, 2023. 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 AuthorizedShares Issued And OutstandingCarrying ValueContractual Rate
Earliest Redemption Date (1)
Effective Date of Floating Rate Dividend Period
Floating Annual Rate (2)
June 30, 2024December 31, 2023June 30, 2024December 31, 2023June 30, 2024December 31, 2023
Fixed-to-floating rate
Series F28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95%9/30/20229/30/2022
3M Term SOFR + 4.993%
Series G17,000,000 17,000,000 17,000,000 17,000,000 411,335 411,335 6.50%3/31/20233/31/2023
3M Term SOFR + 4.172%
Series I17,700,000 17,700,000 17,700,000 17,700,000 428,324 428,324 6.75%6/30/20246/30/2024
3M Term SOFR + 4.989%
Total63,500,000 63,500,000 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.
(2) For each series of fixed-to-floating rate cumulative redeemable preferred stock, the floating rate is calculated as 3-month CME Term SOFR (plus a spread adjustment of 0.26161%) plus the spread specified in the prospectus.
Each series of preferred stock has a par value of $0.01 per share and a liquidation and redemption price of $25.00, plus accrued and unpaid dividends through their redemption date. Through June 30, 2024, 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 Fixed-to-Floating Rate Cumulative Preferred Stock and Series I Fixed-to-Floating Rate Cumulative Preferred Stock rank senior to the common stock of the Company.
On November 3, 2022, the Company’s Board of Directors approved a repurchase plan for all of its existing outstanding Preferred Stock (as defined below, the “Preferred Stock Repurchase Program”). Under the terms of the plan, the Company is authorized to repurchase up to an aggregate of 63,500,000 shares of Preferred Stock, comprised of up to (i) 28,800,000 shares of its 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series F Preferred Stock”), (ii) 17,000,000 shares of its 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series G Preferred Stock”), and (iii) 17,700,000 shares of its 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series I Preferred Stock”, and together with Series F Preferred Stock and Series G Preferred Stock, the “Preferred Stock”). The aggregate liquidation value of the Preferred Stock that may be repurchased by the Company pursuant to the Preferred Stock Repurchase Program, as of November 3, 2022, was approximately $1.6 billion. The Preferred Stock Repurchase Program became effective on November 3, 2022, and shall expire on December 31, 2024. No shares were repurchased with respect to the Preferred Stock Repurchase Program during the three and six months ended June 30, 2024.
(C)    Distributions to Stockholders
The following table provides a summary of the Company’s dividend distribution activity for the periods presented:
 For the Three Months Ended
For the Six Months Ended
 June 30, 2024June 30, 2023June 30, 2024June 30, 2023
 (dollars in thousands, except per share data)
Dividends and dividend equivalents declared on common stock and share-based awards$327,741 $322,448 $654,613 $644,947 
Distributions declared per common share$0.65 $0.65 $1.30 $1.30 
Distributions paid to common stockholders after period end$325,662 $321,031 $325,662 $321,031 
Distributions paid per common share after period end$0.65 $0.65 $0.65 $0.65 
Date of distributions paid to common stockholders after period endJuly 31, 2024July 28, 2023July 31, 2024July 28, 2023
Dividends declared to series F preferred stockholders$19,002 $18,274 $38,087 $35,776 
Dividends declared per share of series F preferred stock$0.660 $0.635 $1.322 $1.242 
Dividends declared to series G preferred stockholders$10,689 $10,025 $21,198 $16,931 
Dividends declared per share of series G preferred stock$0.629 $0.590 $1.247 $0.996 
Dividends declared to series I preferred stockholders$7,467 $7,467 $14,934 $14,934 
Dividends declared per share of series I preferred stock$0.422 $0.422 $0.844 $0.844 
v3.24.2
INTEREST INCOME AND INTEREST EXPENSE
 6 Months Ended
Jun. 30, 2024
Banking and Thrift, Interest [Abstract]  
INTEREST INCOME AND INTEREST EXPENSE
14.  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
(1) Changes in fair value are recognized in Other comprehensive income (loss) in the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022. Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities.
(2) Changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss).
(3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.

The following table presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2024 and 2023.
 For the Three Months Ended June 30,
For the Six Months Ended June 30,
 2024202320242023
Interest income(dollars in thousands)
Agency securities$790,779 $686,912 $1,542,295 $1,290,014 
Residential credit securities50,895 56,477 106,891 110,222 
Residential mortgage loans (1)
301,820 162,202 553,836 309,433 
Commercial investment portfolio (1) (2)
2,441 8,310 5,995 18,197 
Reverse repurchase agreements31,390 7,593 62,796 11,878 
Total interest income$1,177,325 $921,494 $2,271,813 $1,739,744 
Interest expense  
Repurchase agreements$881,926 $841,257 $1,779,524 $1,539,999 
Debt issued by securitization vehicles200,812 101,819 361,829 190,753 
Participations issued19,756 10,381 40,007 21,492 
U.S. Treasury securities sold, not yet purchased21,273 — 43,346 — 
Total interest expense1,123,767 953,457 2,224,706 1,752,244 
Net interest income$53,558 $(31,963)$47,107 $(12,500)
(1) Includes assets transferred or pledged to securitization vehicles.
(2) Includes commercial real estate debt and preferred equity.
v3.24.2
NET INCOME (LOSS) PER COMMON SHARE
 6 Months Ended
Jun. 30, 2024
Earnings Per Share [Abstract]  
NET INCOME (LOSS) PER COMMON SHARE
15.  NET INCOME (LOSS) PER COMMON SHARE
The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and six months ended June 30, 2024 and 2023.
 For the Three Months Ended
For the Six Months Ended
 June 30, 2024June 30, 2023June 30, 2024June 30, 2023
 (dollars in thousands, except per share data)
Net income (loss)$(8,833)$161,187 $456,341 $(678,141)
Net income (loss) attributable to noncontrolling interests650 (5,846)2,932 (918)
Net income (loss) attributable to Annaly (9,483)167,033 453,409 (677,223)
Dividends on preferred stock37,158 35,766 74,219 67,641 
Net income (loss) available (related) to common stockholders$(46,641)$131,267 $379,190 $(744,864)
Weighted average shares of common stock outstanding-basic500,950,563 494,165,256 500,781,701 491,939,177 
Add: Effect of stock awards, if dilutive— 193,726 633,814 — 
Weighted average shares of common  stock outstanding-diluted500,950,563 494,358,982 501,415,515 491,939,177 
Net income (loss) per share available (related) to common share
Basic$(0.09)$0.27 $0.76 $(1.51)
Diluted$(0.09)$0.27 $0.76 $(1.51)
The computations of diluted net income (loss) per share available (related) to common share for the three and six months ended June 30, 2024 excludes 2.7 million and 0, respectively, and for the three and six months ended June 30, 2023 excludes 1.3 million and 1.8 million, respectively, of potentially dilutive restricted and performance stock units because their effect would have been anti-dilutive.
v3.24.2
INCOME TAXES
 6 Months Ended
Jun. 30, 2024
Income Tax Disclosure [Abstract]  
INCOME TAXES
16.  INCOME TAXES
For the three months ended June 30, 2024, 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 joint ventures, have made separate joint elections to treat these subsidiaries as TRSs. As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income.
The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at June 30, 2024 and December 31, 2023.
The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT and, therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes.
During the three and six months ended June 30, 2024, the Company recorded $11.9 million and $11.0 million, respectively, of income tax expense attributable to its TRSs. During the three and six months ended June 30, 2023, the Company recorded $14.3 million and $25.3 million, respectively, of income tax expense attributable to its TRSs. The Company’s federal, state and local tax returns from 2020 and forward remain open for examination.
v3.24.2
SEGMENTS
 6 Months Ended
Jun. 30, 2024
Segment Reporting [Abstract]  
SEGMENTS
17.  SEGMENTS
The Company operates in three reportable segments further described in the Description of Business Note. The accounting policies applied to the segments are the same as those described in the summary of significant accounting policies, with the exception of allocations between segments related to net interest income and other comprehensive income (loss), which are reflected in Other income (loss), and allocations between segments related to investment balances, which are presented net of associated financings in Total Assets. These allocations are made to reflect the economic hedging relationship between investments within different operating segments. Activities that are not directly attributable or not allocated to any of the three current operating segments (such as investments in commercial mortgage-backed securities, preferred stock dividends and corporate existence costs) are reported under Corporate and Other as reconciling items to the Company’s consolidated financial statements. The tables below summarize the result of operations and total assets by segment that are provided to the Chief Operating Decision Maker (CODM), which is the Company’s Operating Committee. Comprehensive income is the measure of segment profit or loss that is determined in accordance with the measurement principles used in measuring the corresponding amounts in the consolidated financial statements and is a key determinant of the Company’s economic return (computed as the change in stockholders’ equity attributable to common shareholders plus common stock dividends declared divided by the prior period’s stockholders’ equity attributable to common shareholders), a measure which is used by the CODM to evaluate segment results and is one of the factors considered in determining capital allocation among the segments.
The following tables present the reportable operating segments related to the Company’s results of operations for the three and six months ended June 30, 2024 and 2023:
Three Months Ended June 30, 2024
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$821,339 $353,545 $— $2,441 $1,177,325 
Interest expense830,324 291,816 — 1,627 1,123,767 
Net interest income(8,985)61,729 — 814 53,558 
Servicing and related income— — 120,515 — 120,515 
Servicing and related expense— — 12,617 — 12,617 
Net servicing income— — 107,898 — 107,898 
Other income (loss)(184,910)48,457 22,324 662 (113,467)
Less: Total general and administrative expenses15,862 13,148 8,507 7,374 44,891 
Income (loss) before income taxes(209,757)97,038 121,715 (5,898)3,098 
Income taxes118 (24)11,920 (83)11,931 
Net income (loss)(209,875)97,062 109,795 (5,815)(8,833)
Less: Net income (loss) attributable to noncontrolling interest— 650 — — 650 
Net income (loss) attributable to Annaly(209,875)96,412 109,795 (5,815)(9,483)
Dividends on preferred stock— — — 37,158 37,158 
Net income (loss) available (related) to common stockholders(209,875)96,412 109,795 (42,973)(46,641)
Unrealized gains (losses) on available-for-sale securities(54,243)— — — (54,243)
Reclassification adjustment for net (gains) losses included in net income (loss)179,234 — — — 179,234 
Other comprehensive income (loss)124,991 — — — 124,991 
Comprehensive income (loss)(84,884)97,062 109,795 (5,815)116,158 
Comprehensive income (loss) attributable to noncontrolling interests— 650 — — 650 
Comprehensive income (loss) attributable to Annaly$(84,884)$96,412 $109,795 $(5,815)$115,508 
Noncash investing and financing activities:
Receivable for unsettled trades311,349 — 9,310 — 320,659 
Payable for unsettled trades1,041,278 — 54,993 — 1,096,271 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment124,991 — — — 124,991 
Dividends declared, not yet paid— — — 325,662 325,662 
Total assets
Total assets$66,660,065 $23,462,284 $3,326,780 $219,448 $93,668,577 
Three Months Ended June 30, 2023
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$694,505 $218,679 $— $8,310 $921,494 
Interest expense778,480 169,239 — 5,738 953,457 
Net interest income(83,975)49,440 — 2,572 (31,963)
Servicing and related income— — 83,790 — 83,790 
Servicing and related expense— — 8,930 — 8,930 
Net servicing income— — 74,860 — 74,860 
Other income (loss)58,225 66,637 54,950 (4,330)175,482 
Less: Total general and administrative expenses15,685 11,884 7,183 8,163 42,915 
Income (loss) before income taxes(41,435)104,193 122,627 (9,921)175,464 
Income taxes705 673 13,089 (190)14,277 
Net income (loss)(42,140)103,520 109,538 (9,731)161,187 
Less: Net income (loss) attributable to noncontrolling interest— (5,846)— — (5,846)
Net income (loss) attributable to Annaly(42,140)109,366 109,538 (9,731)167,033 
Dividends on preferred stock— — — 35,766 35,766 
Net income (loss) available (related) to common stockholders(42,140)109,366 109,538 (45,497)131,267 
Unrealized gains (losses) on available-for-sale securities(294,045)— — — (294,045)
Reclassification adjustment for net (gains) losses included in net income (loss)462,128 — — — 462,128 
Other comprehensive income (loss)168,083 — — — 168,083 
Comprehensive income (loss)125,943 103,520 109,538 (9,731)329,270 
Comprehensive income (loss) attributable to noncontrolling interests— (5,846)— — (5,846)
Comprehensive income (loss) attributable to Annaly$125,943 $109,366 $109,538 $(9,731)$335,116 
Noncash investing and financing activities:
Receivable for unsettled trades780,458 4,857 1,994 133 787,442 
Payable for unsettled trades4,295,056 10 36,249 — 4,331,315 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment168,083 — — — 168,083 
Dividends declared, not yet paid— — — 321,031 321,031 
Total assets
Total assets$70,775,689 $15,822,726 $2,252,578 $479,484 $89,330,477 
Six Months Ended June 30, 2024
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$1,603,265 $662,553 $— $5,995 $2,271,813 
Interest expense1,677,095 543,678 — 3,933 2,224,706 
Net interest income(73,830)118,875 — 2,062 47,107 
Servicing and related income— — 235,599 — 235,599 
Servicing and related expense— — 24,833 — 24,833 
Net servicing income— — 210,766 — 210,766 
Other income (loss)116,042 153,823 21,454 1,598 292,917 
Less: Total general and administrative expenses31,450 25,822 17,101 9,088 83,461 
Income (loss) before income taxes10,762 246,876 215,119 (5,428)467,329 
Income taxes725 (1,703)12,069 (103)10,988 
Net income (loss)10,037 248,579 203,050 (5,325)456,341 
Less: Net income (loss) attributable to noncontrolling interest— 2,932 — — 2,932 
Net income (loss) attributable to Annaly10,037 245,647 203,050 (5,325)453,409 
Dividends on preferred stock— — — 74,219 74,219 
Net income (loss) available (related) to common stockholders10,037 245,647 203,050 (79,544)379,190 
Unrealized gains (losses) on available-for-sale securities(336,112)— — — (336,112)
Reclassification adjustment for net (gains) losses included in net income (loss)514,585 — — — 514,585 
Other comprehensive income (loss)178,473 — — — 178,473 
Comprehensive income (loss)188,510 248,579 203,050 (5,325)634,814 
Comprehensive income (loss) attributable to noncontrolling interests— 2,932 — — 2,932 
Comprehensive income (loss) attributable to Annaly$188,510 $245,647 $203,050 $(5,325)$631,882 
Noncash investing and financing activities:
Receivable for unsettled trades311,349 — 9,310 — 320,659 
Payable for unsettled trades1,041,278 — 54,993 — 1,096,271 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment178,473 — — — 178,473 
Dividends declared, not yet paid— — — 325,662 325,662 
Total assets
Total assets$66,660,065 $23,462,284 $3,326,780 $219,448 $93,668,577 
Six Months Ended June 30, 2023
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$1,301,892 $419,655 $— $18,197 $1,739,744 
Interest expense1,430,164 310,740 — 11,340 1,752,244 
Net interest income(128,272)108,915 — 6,857 (12,500)
Servicing and related income— — 168,063 — 168,063 
Servicing and related expense— — 16,810 — 16,810 
Net servicing income— — 151,253 — 151,253 
Other income (loss)(886,798)104,413 83,184 (8,640)(707,841)
Less: Total general and administrative expenses29,825 24,562 14,553 14,803 83,743 
Income (loss) before income taxes(1,044,895)188,766 219,884 (16,586)(652,831)
Income taxes486 8,049 16,848 (73)25,310 
Net income (loss)(1,045,381)180,717 203,036 (16,513)(678,141)
Less: Net income (loss) attributable to noncontrolling interest— (918)— — (918)
Net income (loss) attributable to Annaly(1,045,381)181,635 203,036 (16,513)(677,223)
Dividends on preferred stock— — — 67,641 67,641 
Net income (loss) available (related) to common stockholders(1,045,381)181,635 203,036 (84,154)(744,864)
Unrealized gains (losses) on available-for-sale securities381,329 — — — 381,329 
Reclassification adjustment for net (gains) losses included in net income (loss)945,036 — — — 945,036 
Other comprehensive income (loss)1,326,365 — — — 1,326,365 
Comprehensive income (loss)280,984 180,717 203,036 (16,513)648,224 
Comprehensive income (loss) attributable to noncontrolling interests— (918)— — (918)
Comprehensive income (loss) attributable to Annaly$280,984 $181,635 $203,036 $(16,513)$649,142 
Noncash investing and financing activities:
Receivable for unsettled trades780,458 4,857 1,994 133 787,442 
Payable for unsettled trades4,295,056 10 36,249 — 4,331,315 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment1,326,365 — — — 1,326,365 
Dividends declared, not yet paid— — — 321,031 321,031 
Total assets
Total assets$70,775,689 $15,822,726 $2,252,578 $479,484 $89,330,477 
v3.24.2
RISK MANAGEMENT
 6 Months Ended
Jun. 30, 2024
Risk Management [Abstract]  
RISK MANAGEMENT
18.  RISK MANAGEMENT
The primary risks to the Company are liquidity and funding risk, investment/market risk, credit risk and operational 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, changes in the expectations for the volatility of future interest rates and deterioration of financial conditions in general 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.
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 commercial mortgage-backed securities, residential mortgage loans, CRT securities and other non-Agency mortgage-backed securities. MSR values may also be adversely impacted by rising borrower delinquencies which would reduce servicing income and increase overall costs to service the underlying mortgage loans. The Company is exposed to risk of loss if an issuer, borrower 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, pre-purchase due diligence, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers and counterparties, credit rating monitoring and active servicer oversight.
The Company depends on third party service providers to perform various business processes related to its operations, including mortgage loan servicers and sub-servicers. The Company’s vendor management policy establishes procedures for engaging, onboarding and monitoring the performance of third party vendors. For mortgage loan servicers and sub-servicers, these procedures include assessing a vendor’s financial health as well as oversight of its compliance with applicable laws and regulations, cybersecurity and business continuity programs and security of personally identifiable information.
v3.24.2
LEASE COMMITMENTS AND CONTINGENCIES
 6 Months Ended
Jun. 30, 2024
Leases [Abstract]  
LEASE COMMITMENTS AND CONTINGENCIES
19.  LEASE COMMITMENTS AND CONTINGENCIES
The Company’s operating leases are primarily comprised of corporate office leases with remaining lease terms of approximately one year and four years. The corporate office leases include options to extend for up to five years, however the extension terms were 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 Company recognizes lease expense for these leases on a straight-line basis over the lease term. The lease cost for the three and six months ended June 30, 2024 and 2023 was $0.8 million and $1.6 million, and $0.8 million and $1.6 million, respectively.
Supplemental information related to leases as of and for the six months ended June 30, 2024 was as follows:
Operating LeasesClassificationJune 30, 2024
Assets(dollars in thousands)
Operating lease right-of-use assetsOther assets$4,429 
Liabilities
Operating lease liabilities (1)
Other liabilities$5,568 
Lease term and discount rate
Weighted average remaining lease term1.6 years
Weighted average discount rate (1)
3.4%
Cash paid for amounts included in the measurement of lease liabilities
   Operating cash flows from operating leases$2,053 
(1) For the Company’s leases that 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)
2024 (remaining)$2,054 
20253,149 
2026261 
2027269 
202822 
Later years— 
Total lease payments$5,755 
Less imputed interest187 
Present value of lease liabilities$5,568 
Contingencies
From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at June 30, 2024 and December 31, 2023.
v3.24.2
SUBSEQUENT EVENTS
 6 Months Ended
Jun. 30, 2024
Subsequent Events [Abstract]  
Subsequent Events
20.  SUBSEQUENT EVENTS
In July 2024, the Company completed and closed two securitizations of residential mortgage loans: OBX 2024-NQM10, with a face value of $482.5 million, and OBX 2024-NQM11, with a face value of $603.0 million. These securitizations represent financing transactions which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.
v3.24.2
Pay vs Performance Disclosure - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Pay vs Performance Disclosure        
Net Income (Loss) $ (9,483) $ 167,033 $ 453,409 $ (677,223)
v3.24.2
Insider Trading Arrangements
 3 Months Ended 6 Months Ended
Jun. 30, 2024
shares
Jun. 30, 2024
shares
Trading Arrangements, by Individual    
Material Terms of Trading Arrangement  
During the quarter ended June 30, 2024, no director or officer of the Company adopted, modified or terminated any Rule 10b5-1 trading arrangement or non-Rule 10b5-1 trading arrangement, each as defined in Item 408 of Regulation S-K, except as set forth below:
Name and TitleDate of Adoption of Rule 10b5-1 Trading PlanDuration of 10b5-1 Trading ArrangementsAggregate Number of Securities to be Purchased or Sold
David L. Finkelstein, Chief Executive Officer and Chief Investment Officer
May 16, 2024The plan’s maximum duration is until December 5, 2025 and the first trades will not occur until August 16, 2024 at the earliest
Up to 300,000 shares of common stock in multiple transactions
Anthony Green,
Chief Corporate Officer and Chief Legal Officer
May 16, 2024The plan’s maximum duration is until March 7, 2025 and the first trades will not occur until August 16, 2024 at the earliest
Up to 50,000 shares of common stock in multiple transactions
Non-Rule 10b5-1 Arrangement Adopted false  
Rule 10b5-1 Arrangement Terminated false  
Non-Rule 10b5-1 Arrangement Terminated false  
David L. Finkelstein [Member]    
Trading Arrangements, by Individual    
Name David L. Finkelstein  
Title Chief Executive Officer and Chief Investment Officer  
Rule 10b5-1 Arrangement Adopted true  
Adoption Date May 16, 2024  
Arrangement Duration 568 days  
Aggregate Available 300,000 300,000
Anthony Green [Member]    
Trading Arrangements, by Individual    
Name Anthony Green  
Title Chief Corporate Officer and Chief Legal Officer  
Rule 10b5-1 Arrangement Adopted true  
Adoption Date May 16, 2024  
Arrangement Duration 325 days  
Aggregate Available 50,000 50,000
v3.24.2
SIGNIFICANT ACCOUNTING POLICIES (Policies)
 6 Months Ended
Jun. 30, 2024
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 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 Other assets with income or loss included in Other, net.
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.
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 FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO 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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the FVO refer to 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 MSR that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
GAAP requires classification of financial instruments and MSR 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 instrument and MSR 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 in 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 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 meet the offsetting criteria. Refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements.
Derivative Instruments Derivatives are recognized 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 derivatives. 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.Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, U.S. Treasury and Secured Overnight Financing Rate (“SOFR”) 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, U.S. Treasury 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 Net gains (losses) on derivatives 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 recognized 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 derivatives. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. 
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 have outstanding interest rate swap agreements where the floating leg is linked to the SOFR, 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.
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.
Stock-Based Compensation The Company measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Stock-based awards that contain market-based conditions are valued using a model.
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 (as defined in the “Securities” Note), residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not received is recognized as Interest receivable in the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item in the Consolidated Statements of Comprehensive Income (Loss).
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 or discounts associated with the purchase of multifamily securities are amortized or accreted into interest income based upon their contractual payment terms. If a prepayment occurs, an adjustment is made to the unpaid principal balance and unamortized premium or discount in the current period and the original effective yield continues to be applied.
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.
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 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”). The Company has early adopted ASU 2023-07, Improvements to Segment Reporting, as its Residential Credit and MSR operating segments have become a more significant component of consolidated results. Refer to the “Segments” Note for more information.

The Company reviewed other recently issued ASUs and determined that they were 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.
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 gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). The Company also consolidates securitization trusts in which it retained 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 mortgage loans are secured by first liens on primarily one-to-four family residential properties. A subsidiary of the Company has engaged a third party to act as its custodian, agent and bailee for the purposes of receiving and holding certain documents, instruments and papers related to the residential mortgage loans it purchases. Pursuant to the Company’s custodial agreement, the custodian segregates and maintains continuous custody of all documents constituting the mortgage file with respect to each mortgage loan owned by the subsidiary in secure and fire resistant facilities and in a manner consistent with the standard of care employed by prudent mortgage loan document custodians. At or prior to the funding of any residential mortgage loan, the related seller, pursuant to the terms of our mortgage loan purchase agreement, must deliver to the custodian, the mortgage loan documents including the mortgage note, the mortgage and other related loan documents. In addition, a complete credit file for the related mortgage and borrower must be delivered to the subsidiary prior to the date of purchase.
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 and U.S. Treasury securities 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 and TBA derivatives 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 and TBA derivatives 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 and TBA derivatives 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 MSR 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 discount rates, prepayment rates, delinquency levels and costs to service. 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 MSR requires significant judgment by management and the third party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements.
Reverse Repurchase and Repurchase Agreements 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 secured financing.
The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. 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 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.
v3.24.2
DESCRIPTION OF BUSINESS (Tables)
 6 Months Ended
Jun. 30, 2024
Accounting Policies [Abstract]  
Schedule of Investment Groups
The Company’s three investment groups are primarily comprised of the following:
Investment GroupsDescription
Annaly Agency GroupInvests 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 Agency commercial MBS.
Annaly Residential Credit GroupInvests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets.
Annaly Mortgage Servicing Rights GroupInvests in mortgage servicing rights (“MSR”), which provide the right to service residential mortgage loans in exchange for a portion of the interest payments made on the loans.
v3.24.2
FINANCIAL INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2024
Investments, All Other Investments [Abstract]  
Schedule of Characteristics of Financial Instruments The following table presents characteristics for certain of the Company’s financial instruments at June 30, 2024 and December 31, 2023.
Financial Instruments (1)
Balance Sheet Line ItemType / FormMeasurement BasisJune 30, 2024December 31, 2023
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities (2)
Fair value, with unrealized gains (losses) through other comprehensive income$9,669,178 $15,665,352 
Securities
Agency mortgage-backed securities (3)
Fair value, with unrealized gains (losses) through earnings54,721,727 50,643,436 
SecuritiesResidential credit risk transfer securitiesFair value, with unrealized gains (losses) through earnings838,437 974,059 
SecuritiesNon-agency mortgage-backed securitiesFair value, with unrealized gains (losses) through earnings1,702,859 2,108,274 
SecuritiesCommercial real estate debt investments - CMBSFair value, with unrealized gains (losses) through earnings112,552 222,444 
Total securities67,044,753 69,613,565 
Loans, netResidential mortgage loansFair value, with unrealized gains (losses) through earnings2,548,228 2,353,084 
Assets transferred or pledged to securitization vehiclesResidential mortgage loansFair value, with unrealized gains (losses) through earnings17,946,812 13,307,622 
Liabilities
Repurchase agreementsRepurchase agreementsAmortized cost$60,787,994 $62,201,543 
Other secured financingLoansAmortized cost600,000 500,000 
Debt issued by securitization vehiclesSecuritiesFair value, with unrealized gains (losses) through earnings15,831,915 11,600,338 
Participations issuedParticipations issuedFair value, with unrealized gains (losses) through earnings1,144,821 1,103,835 
U.S. Treasury securities sold, not yet purchasedSecuritiesFair value, with unrealized gains (losses) through earnings1,974,602 2,132,751 
(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 purchased prior to July 1, 2022.
(3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.
v3.24.2
SECURITIES (Tables)
 6 Months Ended
Jun. 30, 2024
Investments, Debt and Equity Securities [Abstract]  
Rollforward of Company's Securities
The following table represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 2024:
Agency
Securities		Residential Credit SecuritiesCommercial
Securities		Total
(dollars in thousands)
Beginning balance January 1, 2024
$66,308,788 $3,082,333 $222,444 $69,613,565 
Purchases14,195,878 353,033 — 14,548,911 
Sales
(12,543,493)(731,027)(107,464)(13,381,984)
Principal paydowns(2,781,021)(264,073)(4,438)(3,049,532)
(Amortization) / accretion(39,917)2,747 468 (36,702)
Fair value adjustment(749,330)98,283 1,542 (649,505)
Ending balance June 30, 2024
$64,390,905 $2,541,296 $112,552 $67,044,753 
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s securities portfolio that were carried at their fair value at June 30, 2024 and December 31, 2023:
 June 30, 2024
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$62,483,207 $1,273,211 $(1,194,156)$62,562,262 $142,638 $(2,230,420)$60,474,480 
Adjustable-rate pass-through173,655 14,982 (49)188,588 2,118 (12,945)177,761 
CMO90,987 1,539 — 92,526 — (15,607)76,919 
Interest-only2,281,909 408,515 — 408,515 8,991 (143,950)273,556 
Multifamily(1)
20,155,207 433,555 (9,197)3,425,145 17,494 (81,456)3,361,183 
Reverse mortgages25,823 2,902 — 28,725 — (1,719)27,006 
Total agency securities$85,210,788 $2,134,704 $(1,203,402)$66,705,761 $171,241 $(2,486,097)$64,390,905 
Residential credit       
Credit risk transfer$780,293 $1,863 $(3,843)$778,313 $60,272 $(148)$838,437 
Alt-A165,585 37 (1,889)163,733 2,934 (9,739)156,928 
Prime (2)
1,372,222 14,026 (10,409)30,527 2,844 (559)32,812 
Subprime295,067 13 (30,949)264,131 6,963 (11,728)259,366 
NPL/RPL1,114,675 8,087 (9,181)1,113,581 3,247 (20,660)1,096,168 
Prime jumbo (>=2010 vintage) (3)
10,046,140 80,970 (30,794)143,697 18,670 (4,782)157,585 
Total residential credit securities$13,773,982 $104,996 $(87,065)$2,493,982 $94,930 $(47,616)$2,541,296 
Total residential securities$98,984,770 $2,239,700 $(1,290,467)$69,199,743 $266,171 $(2,533,713)$66,932,201 
Commercial
Commercial securities$112,288 $116 $(47)$112,357 $199 $(4)$112,552 
Total securities$99,097,058 $2,239,816 $(1,290,514)$69,312,100 $266,370 $(2,533,717)$67,044,753 
 December 31, 2023
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$63,444,987 $1,448,886 $(1,318,948)$63,574,925 $477,242 $(1,853,226)$62,198,941 
Adjustable-rate pass-through188,996 15,834 (51)204,779 1,663 (14,953)191,489 
CMO94,448 1,612 — 96,060 — (13,088)82,972 
Interest-only2,010,697 416,955 — 416,955 4,729 (157,679)264,005 
Multifamily (1)
17,130,045 400,781 (9,752)3,552,217 52,055 (59,744)3,544,528 
Reverse mortgages26,183 3,193 — 29,376 — (2,523)26,853 
Total agency investments$82,895,356 $2,287,261 $(1,328,751)$67,874,312 $535,689 $(2,101,213)$66,308,788 
Residential credit       
Credit risk transfer$924,729 $2,240 $(4,358)$922,611 $51,984 $(536)$974,059 
Alt-A164,384 9 (3,922)160,471 2,135 (12,371)150,235 
Prime (2)
1,076,497 8,590 (21,163)207,077 1,704 (28,134)180,647 
Subprime272,955 — (31,751)241,204 5,622 (11,221)235,605 
NPL/RPL1,237,531 8,336 (9,224)1,236,643 4,578 (43,666)1,197,555 
Prime jumbo (>=2010 vintage) (3)
9,425,280 71,960 (49,859)365,676 10,696 (32,140)344,232 
Total residential credit securities$13,101,376 $91,135 $(120,277)$3,133,682 $76,719 $(128,068)$3,082,333 
Total residential securities$95,996,732 $2,378,396 $(1,449,028)$71,007,994 $612,408 $(2,229,281)$69,391,121 
Commercial
Commercial securities$224,597 $15 $(822)$223,790 $19 $(1,365)$222,444 
Total securities$96,221,329 $2,378,411 $(1,449,850)$71,231,784 $612,427 $(2,230,646)$69,613,565 
(1) Principal/Notional amount includes $17.2 billion and $14.0 billion of Agency Multifamily interest-only securities as of June 30, 2024 and December 31, 2023, respectively.
(2) Principal/Notional amount includes $1.3 billion and $0.9 billion of Prime interest-only securities as of June 30, 2024 and December 31, 2023, respectively.
(3) Principal/Notional amount includes $10.0 billion and $9.1 billion of Prime Jumbo interest-only securities as of June 30, 2024 and December 31, 2023, respectively.
Types of Agency Mortgage Backed Securities
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at June 30, 2024 and December 31, 2023: 
June 30, 2024December 31, 2023
Investment Type(dollars in thousands)
Fannie Mae$59,746,320 $60,477,303 
Freddie Mac4,576,036 5,778,809 
Ginnie Mae68,549 52,676 
Total$64,390,905 $66,308,788 
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s Residential Securities at June 30, 2024 and December 31, 2023, according to their estimated weighted average life classifications:
 June 30, 2024December 31, 2023
Estimated Fair ValueAmortized
Cost		Estimated Fair ValueAmortized
Cost
Estimated weighted average life(dollars in thousands)
Less than one year$158,772 $160,077 $254,753 $257,170 
Greater than one year through five years1,758,528 1,783,897 5,159,969 5,213,575 
Greater than five years through ten years63,127,997 65,303,899 62,158,711 63,662,144 
Greater than ten years1,886,904 1,951,870 1,817,688 1,875,105 
Total$66,932,201 $69,199,743 $69,391,121 $71,007,994 
Schedule of Unrealized Losses on Investments
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at June 30, 2024 and December 31, 2023.
 June 30, 2024December 31, 2023
 
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$31,026 $(986)35 $35,453 $(418)16 
12 Months or more9,501,393 (1,159,761)1,441 15,455,118 (1,340,032)1,747 
Total$9,532,419 $(1,160,747)1,476 $15,490,571 $(1,340,450)1,763 
(1) Excludes interest-only mortgage-backed securities and reverse mortgages and effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.
Schedule of Realized Gain (Loss) The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and six months ended June 30, 2024 and 2023, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).
 Gross Realized GainsGross Realized LossesNet Realized Gains (Losses)
For the three months ended(dollars in thousands)
June 30, 2024$7,302 $(382,254)$(374,952)
June 30, 2023$9,496 $(608,732)$(599,236)
For the six months ended
June 30, 2024$40,226 $(853,425)$(813,199)
June 30, 2023$13,765 $(1,134,849)$(1,121,084)
v3.24.2
LOANS (Tables)
 6 Months Ended
Jun. 30, 2024
Receivables [Abstract]  
Loan Investment Activity
The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles, for the six months ended June 30, 2024:
Residential Loans
(dollars in thousands)
Beginning balance January 1, 2024
$2,353,084 
Purchases / originations5,987,132 
Sales and transfers (1)
(5,729,881)
Principal payments(64,526)
Gains / (losses)10,431 
(Amortization) / accretion(8,012)
Ending balance June 30, 2024
$2,548,228 
(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $5.6 billion during the six months ended June 30, 2024.
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio
The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at June 30, 2024 and December 31, 2023:
June 30, 2024December 31, 2023
 (dollars in thousands)
Fair value$20,495,040 $15,660,706 
Unpaid principal balance$21,482,560 $16,611,204 
Summary of Comprehensive Income (Loss)
The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and six months ended June 30, 2024 and 2023 for these investments:
For the Three Months EndedFor the Six Months Ended
June 30, 2024June 30, 2023June 30, 2024June 30, 2023
 (dollars in thousands)
Interest income$301,820 $162,202 $553,836 $309,432 
Net gains (losses) on disposal of investments (1)
(1,228)(1,495)(3,344)(2,272)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)
(3,913)(167,759)(88,698)92,680 
Total included in net income (loss)$296,679 $(7,052)$461,794 $399,840 
(1) These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss).
Geographic Concentrations Based on Unpaid Principal Balances
The following table provides the geographic concentrations based on the unpaid principal balances at June 30, 2024 and December 31, 2023 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:
Geographic Concentrations of Residential Mortgage Loans
June 30, 2024December 31, 2023
Property location% of BalanceProperty location% of Balance
California38.0%California40.1%
Florida10.8%Florida10.6%
New York10.6%New York10.5%
Texas5.6%Texas5.6%
All other (none individually greater than 5%)35.0%All other (none individually greater than 5%)33.2%
Total100.0%100.0%
Residential Mortgage Loans
The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at June 30, 2024 and December 31, 2023:
 June 30, 2024December 31, 2023
 
Portfolio
Range
Portfolio Weighted
Average
Portfolio
Range
Portfolio Weighted Average
 (dollars in thousands)
Unpaid principal balance
$1 - $4,396
$476
$1 - $4,396
$477
Interest rate
2.00% - 14.13%
6.12%
2.00% - 13.25%
5.63%
Maturity7/1/2029 - 7/1/20648/14/20527/1/2029 - 12/1/20634/22/2052
FICO score at loan origination
549 - 850
757
549 - 850
758
Loan-to-value ratio at loan origination
3% - 100%
69%
3% - 100%
68%
v3.24.2
MORTGAGE SERVICING RIGHTS (Tables)
 6 Months Ended
Jun. 30, 2024
Transfers and Servicing [Abstract]  
Presentation of Activity Related to MSR
The following table presents activity related to MSR for the three and six months ended June 30, 2024 and 2023:  
 Mortgage Servicing RightsThree Months EndedSix Months Ended
June 30, 2024June 30, 2023June 30, 2024June 30, 2023
 (dollars in thousands)
Fair value, beginning of period$2,651,279 $1,790,980 $2,122,196 $1,748,209 
Purchases (1)
120,896 177,521 636,627 214,151 
Sales(1,068)— (1,068)— 
Change in fair value due to:
Changes in valuation inputs or assumptions (2)
59,902 80,323 106,038 110,530 
Other changes, including realization of expected cash flows(45,395)(29,928)(78,179)(53,994)
Fair value, end of period$2,785,614 $2,018,896 $2,785,614 $2,018,896 
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.
(2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.
v3.24.2
VARIABLE INTEREST ENTITIES (Tables)
 6 Months Ended
Jun. 30, 2024
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
Fair Value of OBX Trusts
Residential securitizations are issued by entities generally referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions that provide non-recourse financing to the Company and are collateralized by residential mortgage loans purchased by the Company. Residential securitizations closed as of June 30, 2024 are included in the following table:
SecuritizationDate of ClosingFace Value at Closing
(dollars in thousands)
OBX 2024-NQM1January 2024$413,581 
OBX 2024-NQM2January 2024$495,980 
OBX 2024-HYB1February 2024$412,084 
OBX 2024-NQM3February 2024$439,904 
OBX 2024-NQM4March 2024$592,448 
OBX 2024-HYB2March 2024$397,787 
OBX 2024-NQM5April 2024$574,553 
OBX 2024-NQM6April 2024$441,421 
OBX 2024-NQM7May 2024$551,759 
OBX 2024-NQM8May 2024$723,086 
OBX 2024-NQM9June 2024$532,126 
v3.24.2
DERIVATIVE INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summarizes Fair Value Information about Derivative Assets Liabilities
The following table summarizes fair value information about the Company’s derivative assets and liabilities at June 30, 2024 and December 31, 2023:
Derivatives InstrumentsJune 30, 2024December 31, 2023
Assets(dollars in thousands)
Interest rate swaps$16,824 $26,344 
Interest rate swaptions148,040 105,883 
TBA derivatives14,641 20,689 
Futures contracts1,723 — 
Purchase commitments6,640 9,641 
Total derivative assets$187,868 $162,557 
Liabilities 
Interest rate swaps$15,314 $83,051 
TBA derivatives2,193 39,070 
Futures contracts81,730 179,835 
Purchase commitments1,592 339 
Total derivative liabilities$100,829 $302,295 
Summary of Certain Characteristics of Derivatives
The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2024 and December 31, 2023:
June 30, 2024
Maturity
Current Notional (1)
Weighted Average Pay RateWeighted Average Receive Rate
Weighted Average Years to Maturity (2)
(dollars in thousands)
0 - 3 years
$19,861,229 3.35 %5.33 %1.29
3 - 6 years
14,533,021 3.36 %5.30 %4.82
6 - 10 years
20,501,637 2.80 %5.28 %8.06
Greater than 10 years
1,559,384 3.47 %5.18 %23.75
Total / Weighted average$56,455,271 3.13 %5.30 %5.28
December 31, 2023
Maturity
Current Notional (1)
Weighted Average
Pay Rate		Weighted Average Receive Rate
Weighted Average Years to Maturity (2)
(dollars in thousands)
0 - 3 years
$21,397,358 3.17 %5.26 %1.23
3 - 6 years
12,461,799 3.09 %5.37 %4.75
6 - 10 years
22,949,150 2.85 %5.34 %8.02
Greater than 10 years
2,021,247 3.53 %5.27 %22.71
Total / Weighted average$58,829,554 3.04 %5.31 %5.36
(1) As of June 30, 2024, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively. As of December 31, 2023, 6% and 94% of the Company’s interest rate swaps were linked to the Federal funds rate and the SOFR, respectively.
(2) 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 tables summarize certain characteristics of the Company’s swaptions at June 30, 2024 and December 31, 2023:
June 30, 2024
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$1,250,0002.21%SOFR7.192.15
December 31, 2023
Current Underlying NotionalWeighted Average Underlying Fixed RateWeighted Average Underlying Floating RateWeighted Average Underlying Years to MaturityWeighted Average Months to Expiration
(dollars in thousands)
Long pay$1,250,0002.21%SOFR7.698.21
Long receive$500,0001.65%SOFR10.303.53
The following tables summarize certain characteristics of the Company’s TBA derivatives at June 30, 2024 and December 31, 2023:
June 30, 2024
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$2,395,000 $2,313,203 $2,324,113 $10,910 
Sale contracts(733,000)(673,262)(671,724)1,538 
Net TBA derivatives$1,662,000 $1,639,941 $1,652,389 $12,448 
December 31, 2023
Purchase and sale contracts for derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$988,000 $920,626 $915,790 $(4,836)
Sale contracts(1,491,000)(1,475,847)(1,489,392)(13,545)
Net TBA derivatives$(503,000)$(555,221)$(573,602)$(18,381)
The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2024 and December 31, 2023: 
June 30, 2024
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
2-year swap equivalent SOFR contracts$2,790,000 $— 1.97
U.S. Treasury futures - 2 year
— (1,306,400)1.97
U.S. Treasury futures - 10 year and greater
— (6,025,500)10.72
Total$2,790,000 $(7,331,900)7.18
December 31, 2023
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(5,001,400)1.97
U.S. Treasury futures - 10 year and greater
— (1,733,600)14.26
Total$— $(6,735,000)5.13
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 in the Company’s Consolidated Statements of Financial Condition at June 30, 2024 and December 31, 2023, respectively.
June 30, 2024
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$16,824 $(9,263)$— $7,561 
Interest rate swaptions, at fair value148,040 (62,215)(82,110)3,715 
TBA derivatives, at fair value14,641 (4,285)(6,595)3,761 
Futures contracts, at fair value1,723 (1,723)— — 
Purchase commitments6,640 — — 6,640 
Liabilities 
Interest rate swaps, at fair value$15,314 $(13,899)$— $1,415 
TBA derivatives, at fair value2,193 (2,193)— — 
Futures contracts, at fair value81,730 (1,723)(80,007)— 
Purchase commitments1,592 — — 1,592 
December 31, 2023
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$26,344 $(21,505)$— $4,839 
Interest rate swaptions, at fair value105,883 (45,930)(57,320)2,633 
TBA derivatives, at fair value20,689 (13,282)— 7,407 
Purchase commitments9,641 — — 9,641 
Liabilities 
Interest rate swaps, at fair value$83,051 $(72,844)$— $10,207 
TBA derivatives, at fair value39,070 (34,525)— 4,545 
Futures contracts, at fair value179,835 — (179,835)— 
Purchase commitments339 — — 339 
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss
The effect of interest rate swaps in 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 (1)
Realized Gains (Losses) on Termination of Interest Rate Swaps (1)
Unrealized Gains (Losses) on Interest Rate Swaps (1)
For the three months ended(dollars in thousands)
June 30, 2024$298,372 $18,721 $97,484 
June 30, 2023$425,293 $48,148 $841,702 
For the six months ended
June 30, 2024$628,521 $(2,516)$998,386 
June 30, 2023$810,999 $(97,671)$(114,570)
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Three Months Ended June 30, 2024
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$(16,252)$15,931 $(321)
Net interest rate swaptions(12,331)23,857 11,526 
Futures (1)
48,227 (45,882)2,345 
Purchase commitments— 2,360 2,360 
Total
$15,910 
(1) For the three months ended June 30, 2024, includes ($1.2) million of unrealized loss and ($6.8) million of realized loss related to SOFR futures options.
Three Months Ended June 30, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives$99,361 $(160,873)$(61,512)
Net interest rate swaptions— 53,413 53,413 
Futures (1)
(242,013)413,240 171,227 
Purchase commitments— (3,444)(3,444)
Credit derivatives(17,970)18,468 498 
Total$160,182 
(1) For the three months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options.
Six Months Ended June 30, 2024
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(24,868)$30,829 $5,961 
Net interest rate swaptions(12,331)54,488 42,157 
Futures (1)
39,547 99,827 139,374 
Purchase commitments— (4,252)(4,252)
Total$183,240 
(1) For the six months ended June 30, 2024, includes ($6.8) million of realized loss related to SOFR futures options.
Six Months Ended June 30, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(54,488)$54,487 $(1)
Net interest rate swaptions2,323 7,415 9,738 
Futures (1)
(123,681)98,362 (25,319)
Purchase commitments— (2,581)(2,581)
Credit derivatives(19,282)13,260 (6,022)
Total$(24,185)
(1) For the six months ended June 30, 2023, includes ($18.8) million of unrealized loss related to SOFR futures options.
v3.24.2
FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis
The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023. There were no transfers between levels of the fair value hierarchy during the periods presented.
June 30, 2024
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $64,390,905 $— $64,390,905 
Credit risk transfer securities— 838,437 — 838,437 
Non-Agency mortgage-backed securities— 1,702,859 — 1,702,859 
   Commercial mortgage-backed securities— 112,552 — 112,552 
Loans
Residential mortgage loans— 2,548,228 — 2,548,228 
Mortgage servicing rights— — 2,785,614 2,785,614 
Assets transferred or pledged to securitization vehicles— 17,946,812 — 17,946,812 
Derivative assets
Interest rate swaps— 16,824 — 16,824 
Other derivatives1,723 169,321 — 171,044 
Total assets$1,723 $87,725,938 $2,785,614 $90,513,275 
Liabilities
Debt issued by securitization vehicles$— $15,831,915 $— $15,831,915 
Participations issued— 1,144,821 — 1,144,821 
U.S. Treasury securities sold, not yet purchased1,974,602 — — 1,974,602 
Derivative liabilities
Interest rate swaps— 15,314 — 15,314 
Other derivatives81,730 3,785 — 85,515 
Total liabilities$2,056,332 $16,995,835 $— $19,052,167 
December 31, 2023
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $66,308,788 $— $66,308,788 
Credit risk transfer securities— 974,059 — 974,059 
Non-Agency mortgage-backed securities— 2,108,274 — 2,108,274 
   Commercial mortgage-backed securities— 222,444 — 222,444 
Loans
Residential mortgage loans— 2,353,084 — 2,353,084 
Mortgage servicing rights— — 2,122,196 2,122,196 
Assets transferred or pledged to securitization vehicles— 13,307,622 — 13,307,622 
Derivative assets
Interest rate swaps— 26,344 — 26,344 
Other derivatives— 136,213 — 136,213 
Total assets$— $85,436,828 $2,122,196 $87,559,024 
Liabilities
Debt issued by securitization vehicles$— $11,600,338 $— $11,600,338 
Participations issued— 1,103,835 — 1,103,835 
U.S. Treasury securities sold, not yet purchased2,132,751 — — 2,132,751 
Derivative liabilities
Interest rate swaps— 83,051 — 83,051 
Other derivatives179,835 39,409 — 219,244 
Total liabilities$2,312,586 $12,826,633 $— $15,139,219 
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs
The following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.
Unobservable Input (1)
Range (Weighted Average) (2)
June 30, 2024December 31, 2023
Discount rate
5.3% - 12.4% (8.4%)
7.0% - 12.0% (8.6%)
Prepayment rate
4.7% - 17.3% (5.5%)
4.8% - 11.0% (5.6%)
Delinquency rate
0.2% - 3.8% (1.1%)
0.2% - 4.2% (1.3%)
Cost to service
$83 - $109 ($91)
$84 - $111 ($94)
(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 MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR.
Schedule of Estimated Fair Value for All Financial Assets and Liabilities
The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at June 30, 2024 and December 31, 2023.
 June 30, 2024December 31, 2023
 Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial liabilities
Repurchase agreements$60,787,994$60,787,994$62,201,543$62,201,543
Other secured financing600,000600,000500,000500,000
v3.24.2
INTANGIBLE ASSETS (Tables)
 6 Months Ended
Jun. 30, 2024
Goodwill and Intangible Assets Disclosure [Abstract]  
Schedule of Finite-Lived Intangible Assets
The following table presents the activity of finite lived intangible assets for the six months ended June 30, 2024.
Intangible Assets, net
(dollars in thousands)
Beginning balance January 1, 2024
$12,106 
Less: amortization expense(1,345)
Ending balance June 30, 2024
$10,761 
v3.24.2
SECURED FINANCING (Tables)
 6 Months Ended
Jun. 30, 2024
Debt Disclosure [Abstract]  
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates
At June 30, 2024 and December 31, 2023, the repurchase agreements had the following remaining maturities and collateral types: 
June 30, 2024
 Agency Mortgage-Backed SecuritiesCRTsNon-Agency Mortgage-Backed SecuritiesResidential Mortgage LoansCommercial Mortgage-Backed SecuritiesTotal Repurchase Agreements
 (dollars in thousands)
1 day$20,898,019 $47,794 $88,066 $— $— $21,033,879 
2 to 29 days14,107,044 315,802 644,301 — 100,617 15,167,764 
30 to 59 days17,110,329 — 711,446 — — 17,821,775 
60 to 89 days3,329,272 273,174 542,254 — — 4,144,700 
90 to 119 days460,761 — 66,755 330,994 — 858,510 
Over 119 days (1)
2,750,361 — 320,691 701,685 — 3,772,737 
Total$58,655,786 $636,770 $2,373,513 $1,032,679 $100,617 $62,799,365 
Amounts offset in accordance with netting arrangements.$(2,011,371)
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition.$60,787,994 
December 31, 2023
 Agency Mortgage-Backed SecuritiesCRTsNon-Agency Mortgage-Backed SecuritiesResidential Mortgage LoansCommercial Mortgage-Backed SecuritiesTotal Repurchase Agreements
 (dollars in thousands)
1 day$— $— $— $— $— $— 
2 to 29 days33,492,952 555,568 840,400 — 191,276 35,080,196 
30 to 59 days18,090,265 — 528,341 — — 18,618,606 
60 to 89 days6,479,206 139,952 579,611 — — 7,198,769 
90 to 119 days— — 39,714 207,592 — 247,306 
Over 119 days (1)
2,511,003 — 169,697 644,259 — 3,324,959 
Total$60,573,426 $695,520 $2,157,763 $851,851 $191,276 $64,469,836 
Amounts offset in accordance with netting arrangements.$(2,268,293)
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition.$62,201,543 
(1) Less than 1% of repurchase agreements had a remaining maturity over 1 year at June 30, 2024. No repurchase agreements had a remaining maturity over 1 year at December 31, 2023.
Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement
The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at June 30, 2024 and December 31, 2023. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.
 June 30, 2024December 31, 2023
 Reverse Repurchase AgreementsRepurchase AgreementsReverse Repurchase AgreementsRepurchase Agreements
 (dollars in thousands)
Gross amounts$2,011,371 $62,799,365 $2,268,293 $64,469,836 
Amounts offset(2,011,371)(2,011,371)(2,268,293)(2,268,293)
Netted amounts$— $60,787,994 $— $62,201,543 
v3.24.2
CAPITAL STOCK (Tables)
 6 Months Ended
Jun. 30, 2024
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 June 30, 2024 and December 31, 2023.
Shares authorizedShares issued and outstanding
June 30, 2024December 31, 2023June 30, 2024December 31, 2023Par Value
Common stock
1,468,250,000 1,468,250,000 501,018,415 500,080,287 $0.01
The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at June 30, 2024 and December 31, 2023. 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 AuthorizedShares Issued And OutstandingCarrying ValueContractual Rate
Earliest Redemption Date (1)
Effective Date of Floating Rate Dividend Period
Floating Annual Rate (2)
June 30, 2024December 31, 2023June 30, 2024December 31, 2023June 30, 2024December 31, 2023
Fixed-to-floating rate
Series F28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95%9/30/20229/30/2022
3M Term SOFR + 4.993%
Series G17,000,000 17,000,000 17,000,000 17,000,000 411,335 411,335 6.50%3/31/20233/31/2023
3M Term SOFR + 4.172%
Series I17,700,000 17,700,000 17,700,000 17,700,000 428,324 428,324 6.75%6/30/20246/30/2024
3M Term SOFR + 4.989%
Total63,500,000 63,500,000 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.
(2) For each series of fixed-to-floating rate cumulative redeemable preferred stock, the floating rate is calculated as 3-month CME Term SOFR (plus a spread adjustment of 0.26161%) plus the spread specified in the prospectus.
Summary of Dividend Distribution Activity
The following table provides a summary of the Company’s dividend distribution activity for the periods presented:
 For the Three Months Ended
For the Six Months Ended
 June 30, 2024June 30, 2023June 30, 2024June 30, 2023
 (dollars in thousands, except per share data)
Dividends and dividend equivalents declared on common stock and share-based awards$327,741 $322,448 $654,613 $644,947 
Distributions declared per common share$0.65 $0.65 $1.30 $1.30 
Distributions paid to common stockholders after period end$325,662 $321,031 $325,662 $321,031 
Distributions paid per common share after period end$0.65 $0.65 $0.65 $0.65 
Date of distributions paid to common stockholders after period endJuly 31, 2024July 28, 2023July 31, 2024July 28, 2023
Dividends declared to series F preferred stockholders$19,002 $18,274 $38,087 $35,776 
Dividends declared per share of series F preferred stock$0.660 $0.635 $1.322 $1.242 
Dividends declared to series G preferred stockholders$10,689 $10,025 $21,198 $16,931 
Dividends declared per share of series G preferred stock$0.629 $0.590 $1.247 $0.996 
Dividends declared to series I preferred stockholders$7,467 $7,467 $14,934 $14,934 
Dividends declared per share of series I preferred stock$0.422 $0.422 $0.844 $0.844 
v3.24.2
INTEREST INCOME AND INTEREST EXPENSE (Tables)
 6 Months Ended
Jun. 30, 2024
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
(1) Changes in fair value are recognized in Other comprehensive income (loss) in the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022. Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities.
(2) Changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss).
(3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
Components of Company's Interest Income and Interest Expense
The following table presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2024 and 2023.
 For the Three Months Ended June 30,
For the Six Months Ended June 30,
 2024202320242023
Interest income(dollars in thousands)
Agency securities$790,779 $686,912 $1,542,295 $1,290,014 
Residential credit securities50,895 56,477 106,891 110,222 
Residential mortgage loans (1)
301,820 162,202 553,836 309,433 
Commercial investment portfolio (1) (2)
2,441 8,310 5,995 18,197 
Reverse repurchase agreements31,390 7,593 62,796 11,878 
Total interest income$1,177,325 $921,494 $2,271,813 $1,739,744 
Interest expense  
Repurchase agreements$881,926 $841,257 $1,779,524 $1,539,999 
Debt issued by securitization vehicles200,812 101,819 361,829 190,753 
Participations issued19,756 10,381 40,007 21,492 
U.S. Treasury securities sold, not yet purchased21,273 — 43,346 — 
Total interest expense1,123,767 953,457 2,224,706 1,752,244 
Net interest income$53,558 $(31,963)$47,107 $(12,500)
(1) Includes assets transferred or pledged to securitization vehicles.
(2) Includes commercial real estate debt and preferred equity.
v3.24.2
NET INCOME (LOSS) PER COMMON SHARE (Tables)
 6 Months Ended
Jun. 30, 2024
Earnings Per Share [Abstract]  
Schedule of Net Income (Loss) Per Share Reconciliation The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and six months ended June 30, 2024 and 2023.
 For the Three Months Ended
For the Six Months Ended
 June 30, 2024June 30, 2023June 30, 2024June 30, 2023
 (dollars in thousands, except per share data)
Net income (loss)$(8,833)$161,187 $456,341 $(678,141)
Net income (loss) attributable to noncontrolling interests650 (5,846)2,932 (918)
Net income (loss) attributable to Annaly (9,483)167,033 453,409 (677,223)
Dividends on preferred stock37,158 35,766 74,219 67,641 
Net income (loss) available (related) to common stockholders$(46,641)$131,267 $379,190 $(744,864)
Weighted average shares of common stock outstanding-basic500,950,563 494,165,256 500,781,701 491,939,177 
Add: Effect of stock awards, if dilutive— 193,726 633,814 — 
Weighted average shares of common  stock outstanding-diluted500,950,563 494,358,982 501,415,515 491,939,177 
Net income (loss) per share available (related) to common share
Basic$(0.09)$0.27 $0.76 $(1.51)
Diluted$(0.09)$0.27 $0.76 $(1.51)
v3.24.2
SEGMENTS (Tables)
 6 Months Ended
Jun. 30, 2024
Segment Reporting [Abstract]  
Schedule of Segment Reporting Information, by Segment
The following tables present the reportable operating segments related to the Company’s results of operations for the three and six months ended June 30, 2024 and 2023:
Three Months Ended June 30, 2024
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$821,339 $353,545 $— $2,441 $1,177,325 
Interest expense830,324 291,816 — 1,627 1,123,767 
Net interest income(8,985)61,729 — 814 53,558 
Servicing and related income— — 120,515 — 120,515 
Servicing and related expense— — 12,617 — 12,617 
Net servicing income— — 107,898 — 107,898 
Other income (loss)(184,910)48,457 22,324 662 (113,467)
Less: Total general and administrative expenses15,862 13,148 8,507 7,374 44,891 
Income (loss) before income taxes(209,757)97,038 121,715 (5,898)3,098 
Income taxes118 (24)11,920 (83)11,931 
Net income (loss)(209,875)97,062 109,795 (5,815)(8,833)
Less: Net income (loss) attributable to noncontrolling interest— 650 — — 650 
Net income (loss) attributable to Annaly(209,875)96,412 109,795 (5,815)(9,483)
Dividends on preferred stock— — — 37,158 37,158 
Net income (loss) available (related) to common stockholders(209,875)96,412 109,795 (42,973)(46,641)
Unrealized gains (losses) on available-for-sale securities(54,243)— — — (54,243)
Reclassification adjustment for net (gains) losses included in net income (loss)179,234 — — — 179,234 
Other comprehensive income (loss)124,991 — — — 124,991 
Comprehensive income (loss)(84,884)97,062 109,795 (5,815)116,158 
Comprehensive income (loss) attributable to noncontrolling interests— 650 — — 650 
Comprehensive income (loss) attributable to Annaly$(84,884)$96,412 $109,795 $(5,815)$115,508 
Noncash investing and financing activities:
Receivable for unsettled trades311,349 — 9,310 — 320,659 
Payable for unsettled trades1,041,278 — 54,993 — 1,096,271 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment124,991 — — — 124,991 
Dividends declared, not yet paid— — — 325,662 325,662 
Total assets
Total assets$66,660,065 $23,462,284 $3,326,780 $219,448 $93,668,577 
Three Months Ended June 30, 2023
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$694,505 $218,679 $— $8,310 $921,494 
Interest expense778,480 169,239 — 5,738 953,457 
Net interest income(83,975)49,440 — 2,572 (31,963)
Servicing and related income— — 83,790 — 83,790 
Servicing and related expense— — 8,930 — 8,930 
Net servicing income— — 74,860 — 74,860 
Other income (loss)58,225 66,637 54,950 (4,330)175,482 
Less: Total general and administrative expenses15,685 11,884 7,183 8,163 42,915 
Income (loss) before income taxes(41,435)104,193 122,627 (9,921)175,464 
Income taxes705 673 13,089 (190)14,277 
Net income (loss)(42,140)103,520 109,538 (9,731)161,187 
Less: Net income (loss) attributable to noncontrolling interest— (5,846)— — (5,846)
Net income (loss) attributable to Annaly(42,140)109,366 109,538 (9,731)167,033 
Dividends on preferred stock— — — 35,766 35,766 
Net income (loss) available (related) to common stockholders(42,140)109,366 109,538 (45,497)131,267 
Unrealized gains (losses) on available-for-sale securities(294,045)— — — (294,045)
Reclassification adjustment for net (gains) losses included in net income (loss)462,128 — — — 462,128 
Other comprehensive income (loss)168,083 — — — 168,083 
Comprehensive income (loss)125,943 103,520 109,538 (9,731)329,270 
Comprehensive income (loss) attributable to noncontrolling interests— (5,846)— — (5,846)
Comprehensive income (loss) attributable to Annaly$125,943 $109,366 $109,538 $(9,731)$335,116 
Noncash investing and financing activities:
Receivable for unsettled trades780,458 4,857 1,994 133 787,442 
Payable for unsettled trades4,295,056 10 36,249 — 4,331,315 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment168,083 — — — 168,083 
Dividends declared, not yet paid— — — 321,031 321,031 
Total assets
Total assets$70,775,689 $15,822,726 $2,252,578 $479,484 $89,330,477 
v3.24.2
LEASE COMMITMENTS AND CONTINGENCIES (Tables)
 6 Months Ended
Jun. 30, 2024
Leases [Abstract]  
Supplemental Information Regarding Leases
Supplemental information related to leases as of and for the six months ended June 30, 2024 was as follows:
Operating LeasesClassificationJune 30, 2024
Assets(dollars in thousands)
Operating lease right-of-use assetsOther assets$4,429 
Liabilities
Operating lease liabilities (1)
Other liabilities$5,568 
Lease term and discount rate
Weighted average remaining lease term1.6 years
Weighted average discount rate (1)
3.4%
Cash paid for amounts included in the measurement of lease liabilities
   Operating cash flows from operating leases$2,053 
(1) For the Company’s leases that 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)
2024 (remaining)$2,054 
20253,149 
2026261 
2027269 
202822 
Later years— 
Total lease payments$5,755 
Less imputed interest187 
Present value of lease liabilities$5,568 
v3.24.2
DESCRIPTION OF BUSINESS (Details)
Jun. 30, 2024
investmentGroup
Accounting Policies [Abstract]  
Number of investment groups 3
v3.24.2
SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($)
$ in Billions
Jun. 30, 2024
Dec. 31, 2023
Interest rate swaps, at fair value    
Derivative Instruments and Hedging Activities Disclosures [Line Items]    
Margin deposit assets $ 1.3 $ 1.1
v3.24.2
FINANCIAL INSTRUMENTS (Details) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Jun. 30, 2023
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets $ 93,668,577 $ 93,227,236 [1] $ 89,330,477
Liabilities 82,405,673 81,882,145 [1]  
Total securities      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 67,044,753 69,613,565  
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 9,669,178 15,665,352  
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 54,721,727 50,643,436  
Residential credit risk transfer securities      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 838,437 974,059  
Non-agency mortgage-backed securities      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 1,702,859 2,108,274  
Commercial real estate debt investments - CMBS      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 112,552 222,444  
Residential mortgage loans      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 2,548,228 2,353,084  
Residential mortgage loans      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 17,946,812 13,307,622  
Repurchase agreements      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Liabilities 60,787,994 62,201,543  
Other secured financing      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Liabilities 600,000 500,000  
Debt issued by securitization vehicles      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Liabilities 15,831,915 11,600,338  
Participations issued      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Liabilities 1,144,821 1,103,835  
U.S. Treasury securities sold, not yet purchased      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Liabilities $ 1,974,602 $ 2,132,751  
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
SECURITIES - Narrative (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Debt Securities, Available-for-sale [Line Items]        
Unrealized gains (losses) on agency mortgage-backed securities $ (568,745) $ (1,308,948) $ (1,562,872) $ (1,307,236)
Residential Investment securities sold, carrying value 5,200,000 8,400,000 13,300,000 13,600,000
Agency        
Debt Securities, Available-for-sale [Line Items]        
Unrealized gains (losses) on agency mortgage-backed securities $ (274,900) $ (744,700) $ (948,900) $ (358,000)
v3.24.2
SECURITIES - Summary of Residential Securities and CMBS (Details)
$ in Thousands
 6 Months Ended
Jun. 30, 2024
USD ($)
Debt Securities, Available-For-Sale [Roll Forward]  
Beginning balance January 1, 2024 $ 69,613,565 [1],[2]
Purchases 14,548,911
Sales (13,381,984)
Principal paydowns (3,049,532)
(Amortization) / accretion (36,702)
Fair value adjustment (649,505)
Ending balance June 30, 2024 67,044,753 [2]
Agency Securities  
Debt Securities, Available-For-Sale [Roll Forward]  
Beginning balance January 1, 2024 66,308,788
Purchases 14,195,878
Sales (12,543,493)
Principal paydowns (2,781,021)
(Amortization) / accretion (39,917)
Fair value adjustment (749,330)
Ending balance June 30, 2024 64,390,905
Residential Credit Securities  
Debt Securities, Available-For-Sale [Roll Forward]  
Beginning balance January 1, 2024 3,082,333
Purchases 353,033
Sales (731,027)
Principal paydowns (264,073)
(Amortization) / accretion 2,747
Fair value adjustment 98,283
Ending balance June 30, 2024 2,541,296
Commercial Securities  
Debt Securities, Available-For-Sale [Roll Forward]  
Beginning balance January 1, 2024 222,444
Purchases 0
Sales (107,464)
Principal paydowns (4,438)
(Amortization) / accretion 468
Fair value adjustment 1,542
Ending balance June 30, 2024 $ 112,552
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
[2]
(3)Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
v3.24.2
SECURITIES - Portfolio (Details) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional $ 99,097,058 $ 96,221,329
Remaining Premium 2,239,816 2,378,411
Remaining Discount (1,290,514) (1,449,850)
Amortized Cost 69,312,100 71,231,784
Unrealized Gains 266,370 612,427
Unrealized Losses (2,533,717) (2,230,646)
Estimated Fair Value [1] 67,044,753 69,613,565 [2]
Total residential securities    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 98,984,770 95,996,732
Remaining Premium 2,239,700 2,378,396
Remaining Discount (1,290,467) (1,449,028)
Amortized Cost 69,199,743 71,007,994
Unrealized Gains 266,171 612,408
Unrealized Losses (2,533,713) (2,229,281)
Estimated Fair Value 66,932,201 69,391,121
Agency    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 85,210,788 82,895,356
Remaining Premium 2,134,704 2,287,261
Remaining Discount (1,203,402) (1,328,751)
Amortized Cost 66,705,761 67,874,312
Unrealized Gains 171,241 535,689
Unrealized Losses (2,486,097) (2,101,213)
Estimated Fair Value 64,390,905 66,308,788
Agency | Fixed-rate pass-through    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 62,483,207 63,444,987
Remaining Premium 1,273,211 1,448,886
Remaining Discount (1,194,156) (1,318,948)
Amortized Cost 62,562,262 63,574,925
Unrealized Gains 142,638 477,242
Unrealized Losses (2,230,420) (1,853,226)
Estimated Fair Value 60,474,480 62,198,941
Agency | Adjustable-rate pass-through    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 173,655 188,996
Remaining Premium 14,982 15,834
Remaining Discount (49) (51)
Amortized Cost 188,588 204,779
Unrealized Gains 2,118 1,663
Unrealized Losses (12,945) (14,953)
Estimated Fair Value 177,761 191,489
Agency | CMO    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 90,987 94,448
Remaining Premium 1,539 1,612
Remaining Discount 0 0
Amortized Cost 92,526 96,060
Unrealized Gains 0 0
Unrealized Losses (15,607) (13,088)
Estimated Fair Value 76,919 82,972
Agency | Interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 2,281,909 2,010,697
Remaining Premium 408,515 416,955
Remaining Discount 0 0
Amortized Cost 408,515 416,955
Unrealized Gains 8,991 4,729
Unrealized Losses (143,950) (157,679)
Estimated Fair Value 273,556 264,005
Agency | Multifamily    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 20,155,207 17,130,045
Remaining Premium 433,555 400,781
Remaining Discount (9,197) (9,752)
Amortized Cost 3,425,145 3,552,217
Unrealized Gains 17,494 52,055
Unrealized Losses (81,456) (59,744)
Estimated Fair Value 3,361,183 3,544,528
Agency | Reverse mortgages    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 25,823 26,183
Remaining Premium 2,902 3,193
Remaining Discount 0 0
Amortized Cost 28,725 29,376
Unrealized Gains 0 0
Unrealized Losses (1,719) (2,523)
Estimated Fair Value 27,006 26,853
Agency | Multifamily interest-only security    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 17,200,000 14,000,000
Residential credit    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 13,773,982 13,101,376
Remaining Premium 104,996 91,135
Remaining Discount (87,065) (120,277)
Amortized Cost 2,493,982 3,133,682
Unrealized Gains 94,930 76,719
Unrealized Losses (47,616) (128,068)
Estimated Fair Value 2,541,296 3,082,333
Residential credit | Credit risk transfer    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 780,293 924,729
Remaining Premium 1,863 2,240
Remaining Discount (3,843) (4,358)
Amortized Cost 778,313 922,611
Unrealized Gains 60,272 51,984
Unrealized Losses (148) (536)
Estimated Fair Value 838,437 974,059
Residential credit | Alt-A    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 165,585 164,384
Remaining Premium 37 9
Remaining Discount (1,889) (3,922)
Amortized Cost 163,733 160,471
Unrealized Gains 2,934 2,135
Unrealized Losses (9,739) (12,371)
Estimated Fair Value 156,928 150,235
Residential credit | Prime    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 1,372,222 1,076,497
Remaining Premium 14,026 8,590
Remaining Discount (10,409) (21,163)
Amortized Cost 30,527 207,077
Unrealized Gains 2,844 1,704
Unrealized Losses (559) (28,134)
Estimated Fair Value 32,812 180,647
Residential credit | Subprime    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 295,067 272,955
Remaining Premium 13 0
Remaining Discount (30,949) (31,751)
Amortized Cost 264,131 241,204
Unrealized Gains 6,963 5,622
Unrealized Losses (11,728) (11,221)
Estimated Fair Value 259,366 235,605
Residential credit | NPL/RPL    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 1,114,675 1,237,531
Remaining Premium 8,087 8,336
Remaining Discount (9,181) (9,224)
Amortized Cost 1,113,581 1,236,643
Unrealized Gains 3,247 4,578
Unrealized Losses (20,660) (43,666)
Estimated Fair Value 1,096,168 1,197,555
Residential credit | Prime jumbo (>=2010 vintage)    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 10,046,140 9,425,280
Remaining Premium 80,970 71,960
Remaining Discount (30,794) (49,859)
Amortized Cost 143,697 365,676
Unrealized Gains 18,670 10,696
Unrealized Losses (4,782) (32,140)
Estimated Fair Value 157,585 344,232
Residential credit | Prime interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 1,300,000 900,000
Residential credit | Prime jumbo interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 10,000,000 9,100,000
Commercial Securities    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 112,288 224,597
Remaining Premium 116 15
Remaining Discount (47) (822)
Amortized Cost 112,357 223,790
Unrealized Gains 199 19
Unrealized Losses (4) (1,365)
Estimated Fair Value $ 112,552 $ 222,444
[1]
(3)Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
[2]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - Agency Mortgage-Backed Securities - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Mortgage-Backed Securities Portfolio [Line Items]    
Total $ 64,390,905 $ 66,308,788
Fannie Mae    
Mortgage-Backed Securities Portfolio [Line Items]    
Total 59,746,320 60,477,303
Freddie Mac    
Mortgage-Backed Securities Portfolio [Line Items]    
Total 4,576,036 5,778,809
Ginnie Mae    
Mortgage-Backed Securities Portfolio [Line Items]    
Total $ 68,549 $ 52,676
v3.24.2
SECURITIES - Weighted Average Life (Details) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Amortized Cost    
Amortized Cost $ 69,312,100 $ 71,231,784
Total residential securities    
Estimated Fair Value    
Less than one year 158,772 254,753
Greater than one year through five years 1,758,528 5,159,969
Greater than five years through ten years 63,127,997 62,158,711
Greater than ten years 1,886,904 1,817,688
Estimated Fair Value 66,932,201 69,391,121
Amortized Cost    
Less than one year 160,077 257,170
Greater than one year through five years 1,783,897 5,213,575
Greater than five years through ten years 65,303,899 63,662,144
Greater than ten years 1,951,870 1,875,105
Amortized Cost $ 69,199,743 $ 71,007,994
v3.24.2
SECURITIES - Unrealized Loss Position (Details)
$ in Thousands
Jun. 30, 2024
USD ($)
security
Dec. 31, 2023
USD ($)
security
Unrealized Loss Position For:    
Estimated Fair Value [1] $ 67,044,753 $ 69,613,565 [2]
Gross Unrealized Losses (2,533,717) (2,230,646)
Agency Mortgage-Backed Securities    
Unrealized Loss Position For:    
Estimated Fair Value 9,532,419 15,490,571
Gross Unrealized Losses $ (1,160,747) $ (1,340,450)
Number of Securities | security 1,476 1,763
Agency Mortgage-Backed Securities | Less than 12 months    
Unrealized Loss Position For:    
Estimated Fair Value $ 31,026 $ 35,453
Gross Unrealized Losses $ (986) $ (418)
Number of Securities | security 35 16
Agency Mortgage-Backed Securities | 12 Months or more    
Unrealized Loss Position For:    
Estimated Fair Value $ 9,501,393 $ 15,455,118
Gross Unrealized Losses $ (1,159,761) $ (1,340,032)
Number of Securities | security 1,441 1,747
[1]
(3)Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
[2]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
SECURITIES - Realized Gain (Loss) (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Investments, Debt and Equity Securities [Abstract]        
Gross Realized Gains $ 7,302 $ 9,496 $ 40,226 $ 13,765
Gross Realized Losses (382,254) (608,732) (853,425) (1,134,849)
Net Realized Gains (Losses) $ (374,952) $ (599,236) $ (813,199) $ (1,121,084)
v3.24.2
LOANS - Narrative (Details) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Jun. 30, 2023
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]      
Assets $ 93,668,577 $ 93,227,236 [1] $ 89,330,477
Residential Mortgage Loans      
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]      
Assets 2,500,000 2,400,000  
Loans held-for-sale $ 3,900 $ 1,200  
Percent of adjustable-rate loans 15.00% 11.00%  
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
LOANS - Investment Loan Activity (Details)
$ in Thousands
 6 Months Ended
Jun. 30, 2024
USD ($)
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]  
Beginning balance January 1, 2024 $ 2,353,084 [1],[2]
Purchases / originations 5,987,132
Sales and transfers (5,729,881)
Principal payments (64,526)
Gains / (losses) 10,431
(Amortization) / accretion (8,012)
Ending balance June 30, 2024 2,548,228 [2]
Transfer of residential loans to securitization vehicles, carrying value $ 5,600,000
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
[2]
(4)Includes $3.9 million and $1.2 million of residential mortgage loans held for sale at June 30, 2024 and December 31, 2023, respectively.
v3.24.2
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage Loans - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Fair value $ 20,495,040 $ 15,660,706
Unpaid principal balance $ 21,482,560 $ 16,611,204
v3.24.2
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]        
Interest income $ 53,558 $ (31,963) $ 47,107 $ (12,500)
Net income (loss) attributable to Annaly (9,483) 167,033 453,409 (677,223)
Residential Mortgage Loans        
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]        
Interest income 301,820 162,202 553,836 309,432
Net gains (losses) on disposal of investments (1,228) (1,495) (3,344) (2,272)
Net unrealized gains (losses) on instruments measured at fair value through earnings (3,913) (167,759) (88,698) 92,680
Net income (loss) attributable to Annaly $ 296,679 $ (7,052) $ 461,794 $ 399,840
v3.24.2
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk
 6 Months Ended 12 Months Ended
Jun. 30, 2024
Dec. 31, 2023
All Locations    
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 38.00% 40.10%
Florida    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Geographic Concentrations of Residential Mortgage Loans 10.80% 10.60%
New York    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Geographic Concentrations of Residential Mortgage Loans 10.60% 10.50%
Texas    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Geographic Concentrations of Residential Mortgage Loans 5.60% 5.60%
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 35.00% 33.20%
v3.24.2
LOANS - Additional Data On Residential Mortgage Loans (Details) - Residential Mortgage Loans
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2024
USD ($)
point
Dec. 31, 2023
USD ($)
point
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Unpaid principal balance $ 21,482,560 $ 16,611,204
Minimum    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Unpaid principal balance $ 1 $ 1
Interest rate 2.00% 2.00%
FICO score at loan origination | point 549 549
Loan-to-value ratio at loan origination 3.00% 3.00%
Maximum    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Unpaid principal balance $ 4,396 $ 4,396
Interest rate 14.13% 13.25%
FICO score at loan origination | point 850 850
Loan-to-value ratio at loan origination 100.00% 100.00%
Weighted Average    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Unpaid principal balance $ 476 $ 477
Interest rate 6.12% 5.63%
FICO score at loan origination | point 757 758
Loan-to-value ratio at loan origination 69.00% 68.00%
v3.24.2
MORTGAGE SERVICING RIGHTS (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Servicing Asset at Fair Value, Amount [Roll Forward]        
Fair value, beginning of period $ 2,651,279 $ 1,790,980 $ 2,122,196 $ 1,748,209
Purchases 120,896 177,521 636,627 214,151
Sales (1,068) 0 (1,068) 0
Changes in valuation inputs or assumptions 59,902 80,323 106,038 110,530
Other changes, including realization of expected cash flows (45,395) (29,928) (78,179) (53,994)
Fair value, end of period $ 2,785,614 $ 2,018,896 $ 2,785,614 $ 2,018,896
v3.24.2
VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Dec. 31, 2023
Variable Interest Entity [Line Items]          
Securitized debt of consolidated VIEs $ 15,831,915   $ 15,831,915   $ 11,600,338 [1]
Costs incurred in connection with securitization 44,891 $ 42,915 83,461 $ 83,743  
Securitized debt of consolidated VIE, unrealized gain (loss) 4,800 90,800 130,500 (81,400)  
Participations issued 1,144,821   1,144,821   1,103,835 [1]
Consolidated VIEs          
Variable Interest Entity [Line Items]          
Exposure to obligations of VIEs 1,900,000   1,900,000    
Securitized debt of consolidated VIEs 15,800,000   15,800,000   11,600,000
Costs incurred in connection with securitization 5,300 $ 2,700      
Contractual principal amount of debt held by third parties 16,900,000   16,900,000   12,600,000
Consolidated VIEs | OBX Trust          
Variable Interest Entity [Line Items]          
Costs incurred in connection with securitization     9,100 $ 4,000  
Consolidated VIEs | Consolidation, Eliminations          
Variable Interest Entity [Line Items]          
Mortgage-backed securities 1,900,000   1,900,000   1,400,000
VIE, Not Primary Beneficiary          
Variable Interest Entity [Line Items]          
Participations issued $ 1,100,000   $ 1,100,000   $ 1,100,000
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
VARIABLE INTEREST ENTITIES - Schedule of the Fair Value of OBX Trusts Closed (Details) - Consolidated VIEs - USD ($)
$ in Thousands
Jun. 30, 2024
May 30, 2024
Apr. 30, 2024
Mar. 31, 2024
Feb. 29, 2024
Jan. 31, 2024
OBX 2024-NQM1            
Variable Interest Entity [Line Items]            
Face Value at Closing           $ 413,581
OBX 2024-NQM2            
Variable Interest Entity [Line Items]            
Face Value at Closing           $ 495,980
OBX 2024-HYB1            
Variable Interest Entity [Line Items]            
Face Value at Closing         $ 412,084  
OBX 2024-NQM3            
Variable Interest Entity [Line Items]            
Face Value at Closing         $ 439,904  
OBX 2024-NQM4            
Variable Interest Entity [Line Items]            
Face Value at Closing       $ 592,448    
OBX 2024-HYB2            
Variable Interest Entity [Line Items]            
Face Value at Closing       $ 397,787    
OBX 2024-NQM5            
Variable Interest Entity [Line Items]            
Face Value at Closing     $ 574,553      
OBX 2024-NQM6            
Variable Interest Entity [Line Items]            
Face Value at Closing     $ 441,421      
OBX 2024-NQM7            
Variable Interest Entity [Line Items]            
Face Value at Closing   $ 551,759        
OBX 2024-NQM8            
Variable Interest Entity [Line Items]            
Face Value at Closing   $ 723,086        
OBX 2024-NQM9            
Variable Interest Entity [Line Items]            
Face Value at Closing $ 532,126          
v3.24.2
DERIVATIVE INSTRUMENTS - Narrative (Details) - USD ($)
$ in Billions
Jun. 30, 2024
Dec. 31, 2023
Interest rate swaps, at fair value    
Derivative [Line Items]    
Variation margin $ (3.3) $ (2.4)
v3.24.2
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Assets    
Total derivative assets $ 187,868 $ 162,557 [1]
Liabilities    
Interest rate swaps 15,314 83,051
Total derivative liabilities 100,829 302,295 [1]
Futures contracts    
Assets    
Other derivative assets 1,723 0
Total derivative assets 1,723  
Liabilities    
Other derivative liabilities 81,730 179,835
Total derivative liabilities 81,730 179,835
Purchase commitments    
Assets    
Other derivative assets 6,640 9,641
Total derivative assets 6,640 9,641
Liabilities    
Other derivative liabilities 1,592 339
Total derivative liabilities 1,592 339
Interest rate swaps    
Assets    
Interest rate swaps 16,824 26,344
Total derivative assets 16,824 26,344
Liabilities    
Total derivative liabilities 15,314 83,051
Interest rate swaptions    
Assets    
Other derivative assets 148,040 105,883
Total derivative assets 148,040 105,883
TBA derivatives    
Assets    
Other derivative assets 14,641 20,689
Total derivative assets 14,641 20,689
Liabilities    
Other derivative liabilities 2,193 39,070
Total derivative liabilities $ 2,193 $ 39,070
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - Interest rate swaps, at fair value - USD ($)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2024
Dec. 31, 2023
Derivative [Line Items]    
Current Notional $ 56,455,271 $ 58,829,554
Weighted Average Pay Rate 3.13% 3.04%
Weighted Average Receive Rate 5.30% 5.31%
Weighted Average Years to Maturity 5 years 3 months 10 days 5 years 4 months 9 days
Federal funds index swap    
Derivative [Line Items]    
Notional amount, percentage 6.00% 6.00%
Secured Overnight Financing Rate    
Derivative [Line Items]    
Notional amount, percentage 94.00% 94.00%
0 - 3 years    
Derivative [Line Items]    
Minimum maturity period 0 years 0 years
Maximum maturity period 3 years 3 years
Current Notional $ 19,861,229 $ 21,397,358
Weighted Average Pay Rate 3.35% 3.17%
Weighted Average Receive Rate 5.33% 5.26%
Weighted Average Years to Maturity 1 year 3 months 14 days 1 year 2 months 23 days
3 - 6 years    
Derivative [Line Items]    
Minimum maturity period 3 years 3 years
Maximum maturity period 6 years 6 years
Current Notional $ 14,533,021 $ 12,461,799
Weighted Average Pay Rate 3.36% 3.09%
Weighted Average Receive Rate 5.30% 5.37%
Weighted Average Years to Maturity 4 years 9 months 25 days 4 years 9 months
6 - 10 years    
Derivative [Line Items]    
Minimum maturity period 6 years 6 years
Maximum maturity period 10 years 10 years
Current Notional $ 20,501,637 $ 22,949,150
Weighted Average Pay Rate 2.80% 2.85%
Weighted Average Receive Rate 5.28% 5.34%
Weighted Average Years to Maturity 8 years 21 days 8 years 7 days
Greater than 10 years    
Derivative [Line Items]    
Minimum maturity period 10 years 10 years
Current Notional $ 1,559,384 $ 2,021,247
Weighted Average Pay Rate 3.47% 3.53%
Weighted Average Receive Rate 5.18% 5.27%
Weighted Average Years to Maturity 23 years 9 months 22 years 8 months 15 days
v3.24.2
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2024
Dec. 31, 2023
Long pay    
Derivative [Line Items]    
Current Underlying Notional $ 1,250,000 $ 1,250,000
Weighted Average Underlying Fixed Rate 2.21% 2.21%
Weighted Average Underlying Years to Maturity 7 years 2 months 8 days 7 years 8 months 8 days
Weighted Average Months to Expiration 2 months 5 days 8 months 5 days
Long receive    
Derivative [Line Items]    
Current Underlying Notional   $ 500,000
Weighted Average Underlying Fixed Rate   1.65%
Weighted Average Underlying Years to Maturity   10 years 3 months 18 days
Weighted Average Months to Expiration 3 months 15 days
v3.24.2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2024
Dec. 31, 2023
Derivative [Line Items]    
Notional $ 1,662,000 $ 503,000
Implied Cost Basis 1,639,941 (555,221)
Implied Market Value 1,652,389 (573,602)
Net Carrying Value 12,448 (18,381)
Purchase contracts    
Derivative [Line Items]    
Notional 2,395,000 988,000
Implied Cost Basis 2,313,203 920,626
Implied Market Value 2,324,113 915,790
Net Carrying Value 10,910 (4,836)
Sale contracts    
Derivative [Line Items]    
Notional (733,000) (1,491,000)
Implied Cost Basis (673,262) (1,475,847)
Implied Market Value (671,724) (1,489,392)
Net Carrying Value $ 1,538 $ (13,545)
v3.24.2
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2024
Dec. 31, 2023
Futures contracts    
Derivative [Line Items]    
Weighted Average Underlying Years to Maturity 7 years 2 months 4 days 5 years 1 month 17 days
Futures contracts | Notional - Long Positions    
Derivative [Line Items]    
Current notional $ 2,790,000 $ 0
Futures contracts | Notional - Short Positions    
Derivative [Line Items]    
Current notional $ 7,331,900 $ 6,735,000
2-year swap equivalent SOFR contracts    
Derivative [Line Items]    
Weighted Average Underlying Years to Maturity 1 year 11 months 19 days  
2-year swap equivalent SOFR contracts | Notional - Long Positions    
Derivative [Line Items]    
Current notional $ 2,790,000  
2-year swap equivalent SOFR contracts | Notional - Short Positions    
Derivative [Line Items]    
Current notional $ 0  
U.S. Treasury futures - 2 year    
Derivative [Line Items]    
Maturity period 2 years 2 years
Weighted Average Underlying Years to Maturity 1 year 11 months 19 days 1 year 11 months 19 days
U.S. Treasury futures - 2 year | Notional - Long Positions    
Derivative [Line Items]    
Current notional $ 0 $ 0
U.S. Treasury futures - 2 year | Notional - Short Positions    
Derivative [Line Items]    
Current notional $ 1,306,400 $ 5,001,400
U.S. Treasury futures - 10 year and greater    
Derivative [Line Items]    
Maturity period 10 years 10 years
Weighted Average Underlying Years to Maturity 10 years 8 months 19 days 14 years 3 months 3 days
U.S. Treasury futures - 10 year and greater | Notional - Long Positions    
Derivative [Line Items]    
Current notional $ 0 $ 0
U.S. Treasury futures - 10 year and greater | Notional - Short Positions    
Derivative [Line Items]    
Current notional $ 6,025,500 $ 1,733,600
v3.24.2
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Assets    
Gross Amounts $ 187,868 $ 162,557 [1]
Liabilities    
Gross Amounts 100,829 302,295 [1]
Futures contracts, at fair value    
Assets    
Gross Amounts 1,723  
Financial Instruments (1,723)  
Cash Collateral 0  
Net Amounts 0  
Liabilities    
Gross Amounts 81,730 179,835
Financial Instruments (1,723) 0
Cash Collateral (80,007) (179,835)
Net Amounts 0 0
Other derivative assets 1,723 0
Other derivative liabilities 81,730 179,835
Purchase commitments    
Assets    
Gross Amounts 6,640 9,641
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 6,640 9,641
Liabilities    
Gross Amounts 1,592 339
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 1,592 339
Other derivative assets 6,640 9,641
Other derivative liabilities 1,592 339
Interest rate swaps, at fair value    
Assets    
Gross Amounts 16,824 26,344
Financial Instruments (9,263) (21,505)
Cash Collateral 0 0
Net Amounts 7,561 4,839
Liabilities    
Gross Amounts 15,314 83,051
Financial Instruments (13,899) (72,844)
Cash Collateral 0 0
Net Amounts 1,415 10,207
Interest rate swaptions, at fair value    
Assets    
Gross Amounts 148,040 105,883
Financial Instruments (62,215) (45,930)
Cash Collateral (82,110) (57,320)
Net Amounts 3,715 2,633
Liabilities    
Other derivative assets 148,040 105,883
TBA derivatives, at fair value    
Assets    
Gross Amounts 14,641 20,689
Financial Instruments (4,285) (13,282)
Cash Collateral (6,595) 0
Net Amounts 3,761 7,407
Liabilities    
Gross Amounts 2,193 39,070
Financial Instruments (2,193) (34,525)
Cash Collateral 0 0
Net Amounts 0 4,545
Other derivative assets 14,641 20,689
Other derivative liabilities $ 2,193 $ 39,070
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]        
Net Interest Component of Interest Rate Swaps $ 298,372 $ 425,293 $ 628,521 $ 810,999
Realized Gains (Losses) on Termination of Interest Rate Swaps 18,721 48,148 (2,516) (97,671)
Unrealized Gain (Loss) $ 97,484 $ 841,702 $ 998,386 $ (114,570)
v3.24.2
DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Derivative [Line Items]        
Unrealized Gain (Loss) $ 97,484 $ 841,702 $ 998,386 $ (114,570)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives 15,910 160,182 183,240 (24,185)
Futures        
Derivative [Line Items]        
Realized Gain (Loss) 48,227 (242,013) 39,547 (123,681)
Unrealized Gain (Loss) (45,882) 413,240 99,827 98,362
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives 2,345 171,227 139,374 (25,319)
Futures | Secured Overnight Financing Rate (SOFR)        
Derivative [Line Items]        
Realized Gain (Loss) (6,800)   (6,800)  
Unrealized Gain (Loss) (1,200)   (18,800) (18,800)
Purchase commitments        
Derivative [Line Items]        
Realized Gain (Loss) 0 0 0 0
Unrealized Gain (Loss) 2,360 (3,444) (4,252) (2,581)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives 2,360 (3,444) (4,252) (2,581)
Net TBA derivatives        
Derivative [Line Items]        
Realized Gain (Loss) (16,252) 99,361 (24,868) (54,488)
Unrealized Gain (Loss) 15,931 (160,873) 30,829 54,487
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives (321) (61,512) 5,961 (1)
Net interest rate swaptions        
Derivative [Line Items]        
Realized Gain (Loss) (12,331) 0 (12,331) 2,323
Unrealized Gain (Loss) 23,857 53,413 54,488 7,415
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives $ 11,526 53,413 $ 42,157 9,738
Credit derivatives        
Derivative [Line Items]        
Realized Gain (Loss)   (17,970)   (19,282)
Unrealized Gain (Loss)   18,468   13,260
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives   $ 498   $ (6,022)
v3.24.2
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Jun. 30, 2024
Mar. 31, 2024
Dec. 31, 2023
Jun. 30, 2023
Mar. 31, 2023
Dec. 31, 2022
Loans            
Mortgage servicing rights $ 2,785,614 $ 2,651,279 $ 2,122,196 $ 2,018,896 $ 1,790,980 $ 1,748,209
Derivative assets            
Interest rate swaps 187,868   162,557 [1]      
Liabilities            
Participations issued 1,144,821   1,103,835 [1]      
U.S. Treasury securities sold, not yet purchased 1,974,602   2,132,751      
Derivative liabilities            
Interest rate swaps 15,314   83,051      
Residential mortgage loans            
Loans            
Residential mortgage loans 20,495,040   15,660,706      
Fair Value, Measurements, Recurring            
Assets            
Agency mortgage-backed securities 64,390,905   66,308,788      
Credit risk transfer securities 838,437   974,059      
Loans            
Mortgage servicing rights 2,785,614   2,122,196      
Derivative assets            
Other derivatives 171,044   136,213      
Total assets 90,513,275   87,559,024      
Liabilities            
Debt issued by securitization vehicles 15,831,915   11,600,338      
Participations issued 1,144,821   1,103,835      
U.S. Treasury securities sold, not yet purchased 1,974,602   2,132,751      
Derivative liabilities            
Interest rate swaps 15,314   83,051      
Other derivatives 85,515   219,244      
Total liabilities 19,052,167   15,139,219      
Fair Value, Measurements, Recurring | Assets transferred or pledged to securitization vehicles            
Loans            
Assets transferred or pledged to securitization vehicles 17,946,812   13,307,622      
Fair Value, Measurements, Recurring | Non-Agency mortgage-backed securities            
Assets            
Mortgage-backed securities 1,702,859   2,108,274      
Fair Value, Measurements, Recurring | Commercial mortgage-backed securities            
Assets            
Mortgage-backed securities 112,552   222,444      
Fair Value, Measurements, Recurring | Residential mortgage loans            
Loans            
Residential mortgage loans 2,548,228   2,353,084      
Fair Value, Measurements, Recurring | Interest rate swaps            
Derivative assets            
Interest rate swaps 16,824   26,344      
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      
Derivative assets            
Other derivatives 1,723   0      
Total assets 1,723   0      
Liabilities            
Debt issued by securitization vehicles 0   0      
Participations issued 0   0      
U.S. Treasury securities sold, not yet purchased 1,974,602   2,132,751      
Derivative liabilities            
Interest rate swaps 0   0      
Other derivatives 81,730   179,835      
Total liabilities 2,056,332   2,312,586      
Fair Value, Measurements, Recurring | Level 1 | Assets transferred or pledged to securitization vehicles            
Loans            
Assets transferred or pledged to securitization vehicles 0   0      
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 1 | Interest rate swaps            
Derivative assets            
Interest rate swaps 0   0      
Fair Value, Measurements, Recurring | Level 2            
Assets            
Agency mortgage-backed securities 64,390,905   66,308,788      
Credit risk transfer securities 838,437   974,059      
Loans            
Mortgage servicing rights 0   0      
Derivative assets            
Other derivatives 169,321   136,213      
Total assets 87,725,938   85,436,828      
Liabilities            
Debt issued by securitization vehicles 15,831,915   11,600,338      
Participations issued 1,144,821   1,103,835      
U.S. Treasury securities sold, not yet purchased 0   0      
Derivative liabilities            
Interest rate swaps 15,314   83,051      
Other derivatives 3,785   39,409      
Total liabilities 16,995,835   12,826,633      
Fair Value, Measurements, Recurring | Level 2 | Assets transferred or pledged to securitization vehicles            
Loans            
Assets transferred or pledged to securitization vehicles 17,946,812   13,307,622      
Fair Value, Measurements, Recurring | Level 2 | Non-Agency mortgage-backed securities            
Assets            
Mortgage-backed securities 1,702,859   2,108,274      
Fair Value, Measurements, Recurring | Level 2 | Commercial mortgage-backed securities            
Assets            
Mortgage-backed securities 112,552   222,444      
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans            
Loans            
Residential mortgage loans 2,548,228   2,353,084      
Fair Value, Measurements, Recurring | Level 2 | Interest rate swaps            
Derivative assets            
Interest rate swaps 16,824   26,344      
Fair Value, Measurements, Recurring | Level 3            
Assets            
Agency mortgage-backed securities 0   0      
Credit risk transfer securities 0   0      
Loans            
Mortgage servicing rights 2,785,614   2,122,196      
Derivative assets            
Other derivatives 0   0      
Total assets 2,785,614   2,122,196      
Liabilities            
Debt issued by securitization vehicles 0   0      
Participations issued 0   0      
U.S. Treasury securities sold, not yet purchased 0   0      
Derivative liabilities            
Interest rate swaps 0   0      
Other derivatives 0   0      
Total liabilities 0   0      
Fair Value, Measurements, Recurring | Level 3 | Assets transferred or pledged to securitization vehicles            
Loans            
Assets transferred or pledged to securitization vehicles 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      
Fair Value, Measurements, Recurring | Level 3 | Interest rate swaps            
Derivative assets            
Interest rate swaps $ 0   $ 0      
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
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
Jun. 30, 2024
USD ($)
Dec. 31, 2023
USD ($)
Discount rate | Minimum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.053 0.070
Discount rate | Maximum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.124 0.120
Discount rate | Weighted Average    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.084 0.086
Prepayment rate | Minimum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.047 0.048
Prepayment rate | Maximum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.173 0.110
Prepayment rate | Weighted Average    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.055 0.056
Delinquency rate | Minimum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.002 0.002
Delinquency rate | Maximum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.038 0.042
Delinquency rate | Weighted Average    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.011 0.013
Cost to service | Minimum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 83 84
Cost to service | Maximum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 109 111
Cost to service | Weighted Average    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 91 94
v3.24.2
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Financial liabilities    
Other secured financing $ 600,000 $ 500,000 [1]
Carrying Value | Level 2    
Financial liabilities    
Repurchase agreements 60,787,994 62,201,543
Other secured financing 600,000 500,000
Fair Value | Level 2    
Financial liabilities    
Repurchase agreements 60,787,994 62,201,543
Other secured financing $ 600,000 $ 500,000
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
INTANGIBLE ASSETS - Narrative (Details)
$ in Millions
Jun. 30, 2020
USD ($)
Assembled workforce  
Finite-Lived Intangible Assets [Line Items]  
Intangible assets acquired $ 41.2
v3.24.2
INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details)
$ in Thousands
 6 Months Ended
Jun. 30, 2024
USD ($)
Intangible Assets, net  
Beginning balance January 1, 2024 $ 12,106 [1]
Less: amortization expense (1,345)
Ending balance June 30, 2024 $ 10,761
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
SECURED FINANCING - Narrative (Details) - USD ($)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2024
Dec. 31, 2023
Repurchase Agreements:    
Netted amounts $ 60,787,994 $ 62,201,543 [1]
Repurchase agreements, weighted average remaining maturities 36 days 44 days
Repurchase agreements weighted average rate 5.59% 5.70%
Repurchase agreement amount $ 2,900,000  
Remaining capacity of repurchase agreement 1,900,000  
Fair value of collateral received for reverse repurchase agreements 2,000,000 $ 2,300,000
Fair value of securities sold 2,000,000 2,100,000
Other secured financing $ 600,000 500,000 [1]
Debt weighted average interest rate 8.07%  
Secured financings and interest rate swaps - collateral held, estimated fair value $ 65,800,000 68,200,000
Secured financings and interest rate swaps - collateral held, accrued interest 293,300 $ 279,500
Line of Credit | Mortgage Servicing Rights Committed Credit Facility    
Repurchase Agreements:    
Credit facility, maximum borrowing capacity $ 1,300,000  
Minimum    
Repurchase Agreements:    
Debt instrument, maturity 7 months  
Maximum    
Repurchase Agreements:    
Debt instrument, maturity 1 year  
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Repurchase Agreements:    
Gross amounts $ 62,799,365 $ 64,469,836
Amounts offset (2,011,371) (2,268,293)
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition. $ 60,787,994 $ 62,201,543 [1]
Repurchase agreements, remaining maturities, percentage 1.00% 0.00%
CRTs    
Repurchase Agreements:    
Gross amounts $ 636,770 $ 695,520
Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 2,373,513 2,157,763
Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 1,032,679 851,851
Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 58,655,786 60,573,426
Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 100,617 191,276
1 day    
Repurchase Agreements:    
Gross amounts 21,033,879 0
1 day | CRTs    
Repurchase Agreements:    
Gross amounts 47,794 0
1 day | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 88,066 0
1 day | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 0 0
1 day | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 20,898,019 0
1 day | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 0 0
2 to 29 days    
Repurchase Agreements:    
Gross amounts 15,167,764 35,080,196
2 to 29 days | CRTs    
Repurchase Agreements:    
Gross amounts 315,802 555,568
2 to 29 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 644,301 840,400
2 to 29 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 0 0
2 to 29 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 14,107,044 33,492,952
2 to 29 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 100,617 191,276
30 to 59 days    
Repurchase Agreements:    
Gross amounts 17,821,775 18,618,606
30 to 59 days | CRTs    
Repurchase Agreements:    
Gross amounts 0 0
30 to 59 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 711,446 528,341
30 to 59 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 0 0
30 to 59 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 17,110,329 18,090,265
30 to 59 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 0 0
60 to 89 days    
Repurchase Agreements:    
Gross amounts 4,144,700 7,198,769
60 to 89 days | CRTs    
Repurchase Agreements:    
Gross amounts 273,174 139,952
60 to 89 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 542,254 579,611
60 to 89 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 0 0
60 to 89 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 3,329,272 6,479,206
60 to 89 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 0 0
90 to 119 days    
Repurchase Agreements:    
Gross amounts 858,510 247,306
90 to 119 days | CRTs    
Repurchase Agreements:    
Gross amounts 0 0
90 to 119 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 66,755 39,714
90 to 119 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 330,994 207,592
90 to 119 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 460,761 0
90 to 119 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 0 0
Over 119 days    
Repurchase Agreements:    
Gross amounts 3,772,737 3,324,959
Over 119 days | CRTs    
Repurchase Agreements:    
Gross amounts 0 0
Over 119 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 320,691 169,697
Over 119 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 701,685 644,259
Over 119 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 2,750,361 2,511,003
Over 119 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts $ 0 $ 0
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
SECURED FINANCING - Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Details) - USD ($)
$ in Thousands
Jun. 30, 2024
Dec. 31, 2023
Reverse Repurchase Agreements    
Gross amounts $ 2,011,371 $ 2,268,293
Amounts offset (2,011,371) (2,268,293)
Netted amounts 0 0
Repurchase Agreements    
Gross amounts 62,799,365 64,469,836
Amounts offset (2,011,371) (2,268,293)
Netted amounts $ 60,787,994 $ 62,201,543 [1]
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares
Jun. 30, 2024
Dec. 31, 2023
Equity [Abstract]    
Shares authorized (in shares) 1,468,250,000 1,468,250,000
Shares issued (in shares) 501,018,415 500,080,287
Shares outstanding (in shares) 501,018,415 500,080,287
Par Value (in dollars per share) $ 0.01 $ 0.01
v3.24.2
CAPITAL STOCK - Narrative (Details) - USD ($)
$ / shares in Units, $ in Millions
 3 Months Ended 6 Months Ended
Nov. 03, 2022
Aug. 06, 2020
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Dec. 31, 2023
Jan. 31, 2022
Dec. 31, 2020
Class of Stock [Line Items]                  
Authorized amount of stock available for repurchase (up to)                 $ 1,500.0
Preferred stock, par value (USD per share)     $ 0.01   $ 0.01   $ 0.01    
Preferred stock, redemption price (in dollars per share)     $ 25.00   $ 25.00        
Preferred stock                  
Class of Stock [Line Items]                  
Authorized amount of stock available for repurchase (up to) $ 1,600.0                
Shares repurchased (in shares)     0   0        
Stock repurchase program, number of shares authorized to be repurchased (in shares) 63,500,000                
Series F Preferred Stock                  
Class of Stock [Line Items]                  
Preferred stock, par value (USD per share) $ 0.01                
Stock repurchase program, number of shares authorized to be repurchased (in shares) 28,800,000                
Preferred stock dividend rate, percentage 6.95%       6.95%        
Series G Preferred Stock                  
Class of Stock [Line Items]                  
Preferred stock, par value (USD per share) $ 0.01                
Stock repurchase program, number of shares authorized to be repurchased (in shares) 17,000,000                
Preferred stock dividend rate, percentage 6.50%       6.50%        
Series I                  
Class of Stock [Line Items]                  
Preferred stock, par value (USD per share) $ 0.01                
Stock repurchase program, number of shares authorized to be repurchased (in shares) 17,700,000                
Preferred stock dividend rate, percentage 6.75%       6.75%        
At-the-market Sale Program                  
Class of Stock [Line Items]                  
Aggregate stock offering price (up to)   $ 1,500.0              
Sale of stock, shares issued (in shares)     600,000   600,000 25,300,000      
Proceeds from sale of stock     $ 11.3   $ 11.3 $ 562.7      
Current Share Repurchase Program                  
Class of Stock [Line Items]                  
Authorized amount of stock available for repurchase (up to)               $ 1,500.0  
Shares repurchased (in shares)     0 0 0 0      
v3.24.2
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($)
$ in Thousands
 6 Months Ended
Nov. 03, 2022
Jun. 30, 2024
Dec. 31, 2023
Class of Stock [Line Items]      
Shares Authorized (in shares)   63,500,000 63,500,000
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 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% 6.95%  
Floating Annual Rate   4.993%  
Series G      
Class of Stock [Line Items]      
Shares Authorized (in shares)   17,000,000 17,000,000
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% 6.50%  
Floating Annual Rate   4.172%  
Series I      
Class of Stock [Line Items]      
Shares Authorized (in shares)   17,700,000 17,700,000
Shares Issued (in shares)   17,700,000 17,700,000
Shares Outstanding (in shares)   17,700,000 17,700,000
Carrying Value   $ 428,324 $ 428,324
Contractual Rate 6.75% 6.75%  
Floating Annual Rate   4.989%  
Redeemable Preferred Stock      
Class of Stock [Line Items]      
Floating Annual Rate   0.26161%  
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($)
$ / shares in Units, $ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Dividends Payable [Line Items]        
Dividends and dividend equivalents declared on common stock and share-based awards $ 327,741 $ 322,448 $ 654,613 $ 644,947
Distributions declared per common share (in dollars per share) $ 0.65 $ 0.65 $ 1.30 $ 1.30
Distributions paid to common stockholders after period end $ 325,662 $ 321,031 $ 325,662 $ 321,031
Distributions paid per common share after period end (in dollars per share) $ 0.65 $ 0.65 $ 0.65 $ 0.65
Series F        
Dividends Payable [Line Items]        
Preferred dividends declared $ 19,002 $ 18,274 $ 38,087 $ 35,776
Preferred series dividends declared (in dollars per share) $ 0.660 $ 0.635 $ 1.322 $ 1.242
Series G        
Dividends Payable [Line Items]        
Preferred dividends declared $ 10,689 $ 10,025 $ 21,198 $ 16,931
Preferred series dividends declared (in dollars per share) $ 0.629 $ 0.590 $ 1.247 $ 0.996
Series I        
Dividends Payable [Line Items]        
Preferred dividends declared $ 7,467 $ 7,467 $ 14,934 $ 14,934
Preferred series dividends declared (in dollars per share) $ 0.422 $ 0.422 $ 0.844 $ 0.844
v3.24.2
INTEREST INCOME AND INTEREST EXPENSE (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Interest income        
Agency securities $ 790,779 $ 686,912 $ 1,542,295 $ 1,290,014
Residential credit securities 50,895 56,477 106,891 110,222
Residential mortgage loans 301,820 162,202 553,836 309,433
Commercial investment portfolio 2,441 8,310 5,995 18,197
Reverse repurchase agreements 31,390 7,593 62,796 11,878
Total interest income 1,177,325 921,494 2,271,813 1,739,744
Interest expense        
Repurchase agreements 881,926 841,257 1,779,524 1,539,999
Debt issued by securitization vehicles 200,812 101,819 361,829 190,753
Participations issued 19,756 10,381 40,007 21,492
U.S. Treasury securities sold, not yet purchased 21,273 0 43,346 0
Total interest expense 1,123,767 953,457 2,224,706 1,752,244
Interest income $ 53,558 $ (31,963) $ 47,107 $ (12,500)
v3.24.2
NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($)
$ / shares in Units, $ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Earnings Per Share [Abstract]        
Net income (loss) $ (8,833) $ 161,187 $ 456,341 $ (678,141)
Net income (loss) attributable to noncontrolling interests 650 (5,846) 2,932 (918)
Net income (loss) attributable to Annaly (9,483) 167,033 453,409 (677,223)
Dividends on preferred stock 37,158 35,766 74,219 67,641
Net income (loss) available (related) to common stockholders $ (46,641) $ 131,267 $ 379,190 $ (744,864)
Weighted average shares of common stock outstanding-basic (in shares) 500,950,563 494,165,256 500,781,701 491,939,177
Add: Effect of stock awards, if dilutive (in shares) 0 193,726 633,814 0
Weighted average shares of common stock outstanding-diluted (in shares) 500,950,563 494,358,982 501,415,515 491,939,177
Net income (loss) per share available (related) to common share        
Basic (in dollars per share) $ (0.09) $ 0.27 $ 0.76 $ (1.51)
Diluted (in dollars per share) $ (0.09) $ 0.27 $ 0.76 $ (1.51)
v3.24.2
NET INCOME (LOSS) PER COMMON SHARE - Narrative (Details) - shares
shares in Millions
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Earnings Per Share [Abstract]        
Options to purchase common stock (in shares) 2.7 1.3 0.0 1.8
v3.24.2
INCOME TAXES (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Dec. 31, 2023
Income Taxes:          
REIT Taxable income distributed     100.00%    
Unrecognized tax benefits $ 0   $ 0   $ 0
Unrecognized tax benefits, income tax penalties and interest accrued 0   0   $ 0
Income tax expense (benefit) 11,931,000 $ 14,277,000 10,988,000 $ 25,310,000  
Taxable REIT Subsidiary          
Income Taxes:          
Income tax expense (benefit) $ 11,900,000 $ 14,300,000 $ 11,000,000.0 $ 25,300,000  
v3.24.2
SEGMENTS - Narrative (Details)
 6 Months Ended
Jun. 30, 2024
segment
Segment Reporting [Abstract]  
Number of reportable segments 3
Number of operating segments 3
v3.24.2
SEGMENTS - Schedule of Segment Reporting (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Dec. 31, 2023
 [1]
Segment Reporting Information [Line Items]          
Interest income $ 1,177,325 $ 921,494 $ 2,271,813 $ 1,739,744  
Interest expense 1,123,767 953,457 2,224,706 1,752,244  
Net interest income 53,558 (31,963) 47,107 (12,500)  
Servicing and related income 120,515 83,790 235,599 168,063  
Servicing and related expense 12,617 8,930 24,833 16,810  
Net servicing income 107,898 74,860 210,766 151,253  
Other income (loss) (113,467) 175,482 292,917 (707,841)  
Less: Total general and administrative expenses 44,891 42,915 83,461 83,743  
Income (loss) before income taxes 3,098 175,464 467,329 (652,831)  
Income taxes 11,931 14,277 10,988 25,310  
Net income (loss) (8,833) 161,187 456,341 (678,141)  
Less: Net income (loss) attributable to noncontrolling interest 650 (5,846) 2,932 (918)  
Net income (loss) attributable to Annaly (9,483) 167,033 453,409 (677,223)  
Dividends on preferred stock 37,158 35,766 74,219 67,641  
Net income (loss) available (related) to common stockholders (46,641) 131,267 379,190 (744,864)  
Unrealized gains (losses) on available-for-sale securities (54,243) (294,045) (336,112) 381,329  
Reclassification adjustment for net (gains) losses included in net income (loss) 179,234 462,128 514,585 945,036  
Other comprehensive income (loss) 124,991 168,083 178,473 1,326,365  
Comprehensive income (loss) 116,158 329,270 634,814 648,224  
Comprehensive income (loss) attributable to noncontrolling interests 650 (5,846) 2,932 (918)  
Comprehensive income (loss) attributable to Annaly 115,508 335,116 631,882 649,142  
Receivable for unsettled trades 320,659 787,442 320,659 787,442 $ 2,710,224
Payable for unsettled trades 1,096,271 4,331,315 1,096,271 4,331,315 3,249,389
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 124,991 168,083 178,473 1,326,365  
Dividends declared, not yet paid 325,662 321,031 325,662 321,031 325,052
Total assets 93,668,577 89,330,477 93,668,577 89,330,477 $ 93,227,236
Operating Segments | Agency          
Segment Reporting Information [Line Items]          
Interest income 821,339 694,505 1,603,265 1,301,892  
Interest expense 830,324 778,480 1,677,095 1,430,164  
Net interest income (8,985) (83,975) (73,830) (128,272)  
Servicing and related income 0 0 0 0  
Servicing and related expense 0 0 0 0  
Net servicing income 0 0 0 0  
Other income (loss) (184,910) 58,225 116,042 (886,798)  
Less: Total general and administrative expenses 15,862 15,685 31,450 29,825  
Income (loss) before income taxes (209,757) (41,435) 10,762 (1,044,895)  
Income taxes 118 705 725 486  
Net income (loss) (209,875) (42,140) 10,037 (1,045,381)  
Less: Net income (loss) attributable to noncontrolling interest 0 0 0 0  
Net income (loss) attributable to Annaly (209,875) (42,140) 10,037 (1,045,381)  
Dividends on preferred stock 0 0 0 0  
Net income (loss) available (related) to common stockholders (209,875) (42,140) 10,037 (1,045,381)  
Unrealized gains (losses) on available-for-sale securities (54,243) (294,045) (336,112) 381,329  
Reclassification adjustment for net (gains) losses included in net income (loss) 179,234 462,128 514,585 945,036  
Other comprehensive income (loss) 124,991 168,083 178,473 1,326,365  
Comprehensive income (loss) (84,884) 125,943 188,510 280,984  
Comprehensive income (loss) attributable to noncontrolling interests 0 0 0 0  
Comprehensive income (loss) attributable to Annaly (84,884) 125,943 188,510 280,984  
Receivable for unsettled trades 311,349 780,458 311,349 780,458  
Payable for unsettled trades 1,041,278 4,295,056 1,041,278 4,295,056  
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 124,991 168,083 178,473 1,326,365  
Dividends declared, not yet paid 0 0 0 0  
Total assets 66,660,065 70,775,689 66,660,065 70,775,689  
Operating Segments | Resi-credit          
Segment Reporting Information [Line Items]          
Interest income 353,545 218,679 662,553 419,655  
Interest expense 291,816 169,239 543,678 310,740  
Net interest income 61,729 49,440 118,875 108,915  
Servicing and related income 0 0 0 0  
Servicing and related expense 0 0 0 0  
Net servicing income 0 0 0 0  
Other income (loss) 48,457 66,637 153,823 104,413  
Less: Total general and administrative expenses 13,148 11,884 25,822 24,562  
Income (loss) before income taxes 97,038 104,193 246,876 188,766  
Income taxes (24) 673 (1,703) 8,049  
Net income (loss) 97,062 103,520 248,579 180,717  
Less: Net income (loss) attributable to noncontrolling interest 650 (5,846) 2,932 (918)  
Net income (loss) attributable to Annaly 96,412 109,366 245,647 181,635  
Dividends on preferred stock 0 0 0 0  
Net income (loss) available (related) to common stockholders 96,412 109,366 245,647 181,635  
Unrealized gains (losses) on available-for-sale securities 0 0 0 0  
Reclassification adjustment for net (gains) losses included in net income (loss) 0 0 0 0  
Other comprehensive income (loss) 0 0 0 0  
Comprehensive income (loss) 97,062 103,520 248,579 180,717  
Comprehensive income (loss) attributable to noncontrolling interests 650 (5,846) 2,932 (918)  
Comprehensive income (loss) attributable to Annaly 96,412 109,366 245,647 181,635  
Receivable for unsettled trades 0 4,857 0 4,857  
Payable for unsettled trades 0 10 0 10  
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 0 0 0 0  
Dividends declared, not yet paid 0 0 0 0  
Total assets 23,462,284 15,822,726 23,462,284 15,822,726  
Operating Segments | MSR          
Segment Reporting Information [Line Items]          
Interest income 0 0 0 0  
Interest expense 0 0 0 0  
Net interest income 0 0 0 0  
Servicing and related income 120,515 83,790 235,599 168,063  
Servicing and related expense 12,617 8,930 24,833 16,810  
Net servicing income 107,898 74,860 210,766 151,253  
Other income (loss) 22,324 54,950 21,454 83,184  
Less: Total general and administrative expenses 8,507 7,183 17,101 14,553  
Income (loss) before income taxes 121,715 122,627 215,119 219,884  
Income taxes 11,920 13,089 12,069 16,848  
Net income (loss) 109,795 109,538 203,050 203,036  
Less: Net income (loss) attributable to noncontrolling interest 0 0 0 0  
Net income (loss) attributable to Annaly 109,795 109,538 203,050 203,036  
Dividends on preferred stock 0 0 0 0  
Net income (loss) available (related) to common stockholders 109,795 109,538 203,050 203,036  
Unrealized gains (losses) on available-for-sale securities 0 0 0 0  
Reclassification adjustment for net (gains) losses included in net income (loss) 0 0 0 0  
Other comprehensive income (loss) 0 0 0 0  
Comprehensive income (loss) 109,795 109,538 203,050 203,036  
Comprehensive income (loss) attributable to noncontrolling interests 0 0 0 0  
Comprehensive income (loss) attributable to Annaly 109,795 109,538 203,050 203,036  
Receivable for unsettled trades 9,310 1,994 9,310 1,994  
Payable for unsettled trades 54,993 36,249 54,993 36,249  
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 0 0 0 0  
Dividends declared, not yet paid 0 0 0 0  
Total assets 3,326,780 2,252,578 3,326,780 2,252,578  
Corporate & Other          
Segment Reporting Information [Line Items]          
Interest income 2,441 8,310 5,995 18,197  
Interest expense 1,627 5,738 3,933 11,340  
Net interest income 814 2,572 2,062 6,857  
Servicing and related income 0 0 0 0  
Servicing and related expense 0 0 0 0  
Net servicing income 0 0 0 0  
Other income (loss) 662 (4,330) 1,598 (8,640)  
Less: Total general and administrative expenses 7,374 8,163 9,088 14,803  
Income (loss) before income taxes (5,898) (9,921) (5,428) (16,586)  
Income taxes (83) (190) (103) (73)  
Net income (loss) (5,815) (9,731) (5,325) (16,513)  
Less: Net income (loss) attributable to noncontrolling interest 0 0 0 0  
Net income (loss) attributable to Annaly (5,815) (9,731) (5,325) (16,513)  
Dividends on preferred stock 37,158 35,766 74,219 67,641  
Net income (loss) available (related) to common stockholders (42,973) (45,497) (79,544) (84,154)  
Unrealized gains (losses) on available-for-sale securities 0 0 0 0  
Reclassification adjustment for net (gains) losses included in net income (loss) 0 0 0 0  
Other comprehensive income (loss) 0 0 0 0  
Comprehensive income (loss) (5,815) (9,731) (5,325) (16,513)  
Comprehensive income (loss) attributable to noncontrolling interests 0 0 0 0  
Comprehensive income (loss) attributable to Annaly (5,815) (9,731) (5,325) (16,513)  
Receivable for unsettled trades 0 133 0 133  
Payable for unsettled trades 0 0 0 0  
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 0 0 0 0  
Dividends declared, not yet paid 325,662 321,031 325,662 321,031  
Total assets $ 219,448 $ 479,484 $ 219,448 $ 479,484  
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.2
LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($)
$ in Millions
 3 Months Ended 6 Months Ended
Jun. 30, 2024
Jun. 30, 2023
Jun. 30, 2024
Jun. 30, 2023
Dec. 31, 2023
Lessee, Lease, Description [Line Items]          
Option to extend (in years) 5 years   5 years    
Lease cost $ 0.8 $ 0.8 $ 1.6 $ 1.6  
Material contingencies $ 0.0   $ 0.0   $ 0.0
Minimum          
Lessee, Lease, Description [Line Items]          
Remaining lease term (in years) 1 year   1 year    
Maximum          
Lessee, Lease, Description [Line Items]          
Remaining lease term (in years) 4 years   4 years    
v3.24.2
LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details)
$ in Thousands
 6 Months Ended
Jun. 30, 2024
USD ($)
Leases [Abstract]  
Operating lease right-of-use assets $ 4,429
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible Enumeration] Other assets
Operating lease liabilities $ 5,568
Operating Lease, Liability, Statement of Financial Position [Extensible Enumeration] Other Liabilities
Weighted average remaining lease term 1 year 7 months 6 days
Weighted average discount rate 3.40%
Operating cash flows from operating leases $ 2,053
v3.24.2
LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details)
$ in Thousands
Jun. 30, 2024
USD ($)
Leases [Abstract]  
2024 (remaining) $ 2,054
2025 3,149
2026 261
2027 269
2028 22
Later years 0
Total lease payments 5,755
Less imputed interest 187
Present value of lease liabilities $ 5,568
v3.24.2
SUBSEQUENT EVENTS (Details) - Subsequent Event
$ in Millions
 1 Months Ended
Jul. 31, 2024
USD ($)
securitization
Subsequent Event [Line Items]  
Number of closed securitizations | securitization 2
OBX 2024-NQM10  
Subsequent Event [Line Items]  
Residential mortgage loan, face value $ 482.5
OBX 2024-NQM11  
Subsequent Event [Line Items]  
Residential mortgage loan, face value $ 603.0