v3.24.3
COVER PAGE - shares
 9 Months Ended
Sep. 30, 2024
Oct. 25, 2024
Document Information [Line Items]    
Document Type 10-Q  
Document Quarterly Report true  
Document Period End Date Sep. 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   560,548,148
Amendment Flag false  
Document Fiscal Year Focus 2024  
Document Fiscal Period Focus Q3  
Entity Central Index Key 0001043219  
Current Fiscal Year End Date --12-31  
Common Stock, par value $0.01 per share    
Document Information [Line Items]    
Title of Each Class Common Stock, par value $0.01 per share  
Trading Symbol NLY  
Name of Each Exchange on Which Registered NYSE  
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock    
Document Information [Line Items]    
Title of Each Class 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock  
Trading Symbol NLY.F  
Name of Each Exchange on Which Registered NYSE  
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock    
Document Information [Line Items]    
Title of Each Class 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock  
Trading Symbol NLY.G  
Name of Each Exchange on Which Registered NYSE  
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock    
Document Information [Line Items]    
Title of Each Class 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock  
Trading Symbol NLY.I  
Name of Each Exchange on Which Registered NYSE  
v3.24.3
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
 [2]
Assets    
Cash and cash equivalents (includes pledged assets of $1,235,942 and $1,136,298, respectively) [1] $ 1,560,159 $ 1,412,148
Securities (includes pledged assets of $65,983,918 and $65,400,248, respectively) [3] 71,700,177 69,613,565
Loans, net (includes pledged assets of $1,957,860 and $2,082,419, respectively) [4] 2,305,613 2,353,084
Mortgage servicing rights (includes pledged assets of $1,842,510 and $1,781,279, respectively) 2,693,057 2,122,196
Assets transferred or pledged to securitization vehicles 21,044,007 13,307,622
Derivative assets 59,071 162,557
Receivable for unsettled trades 766,341 2,710,224
Principal and interest receivable 1,060,991 1,222,705
Intangible assets, net 10,088 12,106
Other assets 316,491 311,029
Total assets 101,515,995 93,227,236
Liabilities    
Repurchase agreements 64,310,276 62,201,543
Other secured financing 600,000 500,000
Debt issued by securitization vehicles 18,709,118 11,600,338
Participations issued 467,006 1,103,835
U.S. Treasury securities sold, not yet purchased 2,043,519 2,132,751
Derivative liabilities 102,628 302,295
Payable for unsettled trades 1,885,286 3,249,389
Interest payable 276,397 287,937
Dividends payable 362,731 325,052
Other liabilities 219,085 179,005
Total liabilities 88,976,046 81,882,145
Stockholders’ equity    
Preferred stock, par value $0.01 per share, 63,500,000 authorized, issued and outstanding 1,536,569 1,536,569
Common stock, par value $0.01 per share, 1,468,250,000 authorized, 558,047,743 and 500,080,287 issued and outstanding, respectively 5,580 5,001
Additional paid-in capital 24,851,604 23,672,391
Accumulated other comprehensive income (loss) (712,203) (1,335,400)
Accumulated deficit (13,238,288) (12,622,768)
Total stockholders’ equity 12,443,262 11,255,793
Noncontrolling interests 96,687 89,298
Total equity 12,539,949 11,345,091
Total liabilities and equity $ 101,515,995 $ 93,227,236
[1]
(2)Includes cash of consolidated Variable Interest Entities (“VIEs”) of $2.4 million and $2.0 million at September 30, 2024 and December 31, 2023, respectively.
[2]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
[3]
(3)Excludes $2.0 billion and $1.5 billion at September 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 $0.8 million and $1.2 million of residential mortgage loans held for sale at September 30, 2024 and December 31, 2023, respectively.
v3.24.3
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Pledged assets included in cash and cash equivalents $ 1,235,942 $ 1,136,298
Pledged assets in securities [1] 71,700,177 69,613,565 [2]
Pledged assets in loans, net [3] 2,305,613 2,353,084 [2]
Pledged assets included in mortgage servicing rights $ 2,693,057 $ 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) 558,047,743 500,080,287
Common stock outstanding (shares) 558,047,743 500,080,287
Residential Mortgage Loans    
Loans held-for-sale $ 800 $ 1,200
Consolidated VIEs    
Cash and Cash Equivalents, at Carrying Value 2,400 2,000
Consolidated VIEs | Non-Agency Mortgage-Backed Securities    
Mortgage-backed securities 2,000,000 1,500,000
Asset Pledged as Collateral    
Pledged assets in securities 65,983,918 65,400,248
Pledged assets in loans, net 1,957,860 2,082,419
Pledged assets included in mortgage servicing rights $ 1,842,510 $ 1,781,279
[1]
(3)Excludes $2.0 billion and $1.5 billion at September 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 $0.8 million and $1.2 million of residential mortgage loans held for sale at September 30, 2024 and December 31, 2023, respectively.
v3.24.3
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Net interest income        
Interest income $ 1,229,341 $ 1,001,485 $ 3,501,154 $ 2,741,229
Interest expense 1,215,940 1,046,819 3,440,646 2,799,063
Net interest income 13,401 (45,334) 60,508 (57,834)
Net servicing income        
Servicing and related income 122,583 97,620 358,182 265,683
Servicing and related expense 12,988 9,623 37,821 26,433
Net servicing income 109,595 87,997 320,361 239,250
Other income (loss)        
Net gains (losses) on investments and other 1,723,713 (2,713,126) 160,841 (4,020,362)
Net gains (losses) on derivatives (1,754,010) 2,127,430 53,621 2,702,003
Loan loss (provision) reversal 0 0 0 219
Other, net 27,438 26,250 75,596 50,853
Total other income (loss) (2,859) (559,446) 290,058 (1,267,287)
General and administrative expenses        
Compensation expense 34,453 30,064 96,448 90,090
Other general and administrative expenses 9,468 9,845 30,934 33,562
Total general and administrative expenses 43,921 39,909 127,382 123,652
Income (loss) before income taxes 76,216 (556,692) 543,545 (1,209,523)
Income taxes (6,135) 12,392 4,853 37,702
Net income (loss) 82,351 (569,084) 538,692 (1,247,225)
Net income (loss) attributable to noncontrolling interests 15,906 (6,879) 18,838 (7,797)
Net income (loss) attributable to Annaly 66,445 (562,205) 519,854 (1,239,428)
Dividends on preferred stock 41,628 36,854 115,847 104,495
Net income (loss) available (related) to common stockholders $ 24,817 $ (599,059) $ 404,007 $ (1,343,923)
Net income (loss) per share available (related) to common stockholders        
Basic (in dollars per share) $ 0.05 $ (1.21) $ 0.80 $ (2.73)
Diluted (in dollars per share) $ 0.05 $ (1.21) $ 0.80 $ (2.73)
Weighted average number of common shares outstanding        
Basic (in shares) 515,729,658 494,330,361 505,800,723 492,744,997
Diluted (in shares) 516,832,152 494,330,361 506,618,143 492,744,997
Other comprehensive income (loss)        
Net income (loss) $ 82,351 $ (569,084) $ 538,692 $ (1,247,225)
Unrealized gains (losses) on available-for-sale securities 428,955 (825,286) 92,843 (443,957)
Reclassification adjustment for net (gains) losses included in net income (loss) 15,769 513,041 530,354 1,458,077
Other comprehensive income (loss) 444,724 (312,245) 623,197 1,014,120
Comprehensive income (loss) 527,075 (881,329) 1,161,889 (233,105)
Comprehensive income (loss) attributable to noncontrolling interests 15,906 (6,879) 18,838 (7,797)
Comprehensive income (loss) attributable to Annaly 511,169 (874,450) 1,143,051 (225,308)
Dividends on preferred stock 41,628 36,854 115,847 104,495
Comprehensive income (loss) attributable to common stockholders $ 469,541 $ (911,304) $ 1,027,204 $ (329,803)
v3.24.3
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       262 579,838      
Stock-based award activity       3 11,838      
Unrealized gains (losses) on available-for-sale securities $ (443,957)         (443,957)    
Reclassification adjustment for net (gains) losses included in net income (loss) 1,458,077         1,458,077    
Net income (loss) attributable to Annaly (1,239,428)           (1,239,428)  
Dividends declared on preferred stock [1]             (104,495)  
Dividends and dividend equivalents declared on common stock and stock-based awards (968,111)           (968,111) [1]  
Net income (loss) attributable to noncontrolling interests 7,797             (7,797)
Equity contributions from (distributions to) noncontrolling interests               21,401
End of period at Sep. 30, 2023 10,677,057 $ 10,564,470 1,536,569 4,948 23,572,996 (2,694,776) (11,855,267) 112,587
Beginning of period at Jun. 30, 2023     1,536,569 4,939 23,550,346 (2,382,531) (10,933,044) 111,066
Increase (Decrease) in Stockholders' Equity [Roll Forward]                
Issuance       9 17,500      
Stock-based award activity         5,150      
Unrealized gains (losses) on available-for-sale securities (825,286)         (825,286)    
Reclassification adjustment for net (gains) losses included in net income (loss) 513,041         513,041    
Net income (loss) attributable to Annaly (562,205)           (562,205)  
Dividends declared on preferred stock [1]             (36,854)  
Dividends and dividend equivalents declared on common stock and stock-based awards (323,164)           (323,164) [1]  
Net income (loss) attributable to noncontrolling interests 6,879             (6,879)
Equity contributions from (distributions to) noncontrolling interests               8,400
End of period at Sep. 30, 2023 10,677,057 10,564,470 1,536,569 4,948 23,572,996 (2,694,776) (11,855,267) 112,587
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       576 1,159,774      
Stock-based award activity       3 19,439      
Unrealized gains (losses) on available-for-sale securities 92,843         92,843    
Reclassification adjustment for net (gains) losses included in net income (loss) 530,354         530,354    
Net income (loss) attributable to Annaly 519,854           519,854  
Dividends declared on preferred stock [1]             (115,847)  
Dividends and dividend equivalents declared on common stock and stock-based awards (1,019,527)           (1,019,527) [1]  
Net income (loss) attributable to noncontrolling interests (18,838)             18,838
Equity contributions from (distributions to) noncontrolling interests               (11,449)
End of period at Sep. 30, 2024 12,539,949 12,443,262 1,536,569 5,580 24,851,604 (712,203) (13,238,288) 96,687
Beginning of period at Jun. 30, 2024     1,536,569 5,010 23,694,663 (1,156,927) (12,898,191) 81,780
Increase (Decrease) in Stockholders' Equity [Roll Forward]                
Issuance       570 1,148,881      
Stock-based award activity         8,060      
Unrealized gains (losses) on available-for-sale securities 428,955         428,955    
Reclassification adjustment for net (gains) losses included in net income (loss) 15,769         15,769    
Net income (loss) attributable to Annaly 66,445           66,445  
Dividends declared on preferred stock [1]             (41,628)  
Dividends and dividend equivalents declared on common stock and stock-based awards (364,914)           (364,914) [1]  
Net income (loss) attributable to noncontrolling interests (15,906)             15,906
Equity contributions from (distributions to) noncontrolling interests               (999)
End of period at Sep. 30, 2024 $ 12,539,949 $ 12,443,262 $ 1,536,569 $ 5,580 $ 24,851,604 $ (712,203) $ (13,238,288) $ 96,687
[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.
v3.24.3
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($)
$ in Thousands
 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Cash flows from operating activities    
Net income (loss) $ 538,692 $ (1,247,225)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities    
Amortization of premiums and discounts of investments, net 95,697 132,558
Amortization of securitized debt premiums and discounts and deferred financing costs 7,127 10,724
Depreciation, amortization and other noncash expenses 23,180 19,348
Net (gains) losses on investments and derivatives 731,542 2,524,035
Income (loss) from unconsolidated joint ventures (3,119) (1,508)
Loan loss provision (reversal) 0 (219)
Payments on purchases of loans held for sale (37,978) 0
Proceeds from sales and repayments of loans held for sale 38,063 1,336
Proceeds from U.S. Treasury securities 6,083,273 0
Payments on U.S. Treasury securities (6,181,017) 0
Net receipts (payments) on derivatives (967,289) 1,230,848
Net change in    
Other assets (8,787) (116,687)
Interest receivable 176,430 (521,322)
Interest payable (11,540) (127,196)
Other liabilities 17,910 83,989
Net cash provided by (used in) operating activities 502,184 1,988,681
Cash flows from investing activities    
Payments on purchases of securities (22,984,768) (29,960,271)
Proceeds from sales of securities 17,254,884 18,705,788
Principal payments on securities 4,875,202 4,706,936
Payments on purchases and origination of loans (9,304,025) (3,446,835)
Proceeds from sales of loans 414,706 0
Principal payments on loans 1,625,155 773,928
Payments on purchases of MSR (701,418) (398,664)
Proceeds from sales of MSR 66,269 0
Proceeds from reverse repurchase agreements 442,510,370 46,800,024
Payments on reverse repurchase agreements (442,510,370) (46,800,024)
Distributions in excess of cumulative earnings from unconsolidated joint ventures 19,264 0
Net cash provided by (used in) investing activities (8,734,731) (9,619,118)
Cash flows from financing activities    
Proceeds from repurchase agreements and other secured financing 4,316,726,746 3,993,811,505
Payments on repurchase agreements and other secured financing (4,314,490,574) (3,988,383,706)
Proceeds from issuances of securitized debt 8,236,251 3,116,654
Principal payments on securitized debt (1,478,171) (673,729)
Payments on purchases of securitized debt 0 (2,504)
Payment of deferred financing cost (2,783) (214)
Proceeds from participations issued 2,984,799 1,182,639
Payments on repurchases of participations issued (3,605,523) (1,160,902)
Principal payments on participations issued (40,805) (30,866)
Net contributions (distributions) from (to) noncontrolling interests (11,449) 21,401
Net proceeds from stock offerings, direct purchases and dividend reinvestments 1,160,350 580,100
Settlement of stock-based awards in satisfaction of withholding tax requirements (6,157) (6,661)
Dividends paid (1,092,126) (1,158,872)
Net cash provided by (used in) financing activities 8,380,558 7,294,845
Net (decrease) increase in cash and cash equivalents 148,011 (335,592)
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 1,560,159 [2] 1,241,122
Supplemental disclosure of cash flow information    
Interest received 2,787,729 2,400,942
Interest paid (excluding interest paid on interest rate swaps) 2,907,352 2,673,922
Net interest received (paid) on interest rate swaps 1,353,022 891,649
Taxes received (paid) (1,127) 1,290
Noncash investing and financing activities    
Receivable for unsettled trades 766,341 1,047,566
Payable for unsettled trades 1,885,286 2,214,319
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 623,197 1,014,120
Dividends declared, not yet paid $ 362,731 $ 321,629
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
[2]
(2)Includes cash of consolidated Variable Interest Entities (“VIEs”) of $2.4 million and $2.0 million at September 30, 2024 and December 31, 2023, respectively.
v3.24.3
DESCRIPTION OF BUSINESS
 9 Months Ended
Sep. 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.
v3.24.3
BASIS OF PRESENTATION
 9 Months Ended
Sep. 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.
In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year.
v3.24.3
SIGNIFICANT ACCOUNTING POLICIES
 9 Months Ended
Sep. 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 deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled $1.2 billion and $1.1 billion at September 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.
v3.24.3
FINANCIAL INSTRUMENTS
 9 Months Ended
Sep. 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 September 30, 2024 and December 31, 2023.
Financial Instruments (1)
Balance Sheet Line ItemType / FormMeasurement BasisSeptember 30, 2024December 31, 2023
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities (2)
Fair value, with unrealized gains (losses) through other comprehensive income$9,579,247 $15,665,352 
Securities
Agency mortgage-backed securities (3)
Fair value, with unrealized gains (losses) through earnings59,571,152 50,643,436 
SecuritiesResidential credit risk transfer securitiesFair value, with unrealized gains (losses) through earnings826,841 974,059 
SecuritiesNon-agency mortgage-backed securitiesFair value, with unrealized gains (losses) through earnings1,616,696 2,108,274 
SecuritiesCommercial real estate debt investments - CMBSFair value, with unrealized gains (losses) through earnings106,241 222,444 
Total securities71,700,177 69,613,565 
Loans, netResidential mortgage loansFair value, with unrealized gains (losses) through earnings2,305,613 2,353,084 
Assets transferred or pledged to securitization vehiclesResidential mortgage loansFair value, with unrealized gains (losses) through earnings21,044,007 13,307,622 
Liabilities
Repurchase agreementsRepurchase agreementsAmortized cost$64,310,276 $62,201,543 
Other secured financingLoansAmortized cost600,000 500,000 
Debt issued by securitization vehiclesSecuritiesFair value, with unrealized gains (losses) through earnings18,709,118 11,600,338 
Participations issuedParticipations issuedFair value, with unrealized gains (losses) through earnings467,006 1,103,835 
U.S. Treasury securities sold, not yet purchasedSecuritiesFair value, with unrealized gains (losses) through earnings2,043,519 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, CMO and multifamily securities.
v3.24.3
SECURITIES
 9 Months Ended
Sep. 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 nine months ended September 30, 2024 and 2023, $1.7 billion and $762.8 million, and ($2.0) billion and ($2.4) billion, respectively, of unrealized gains (losses) on the Agency mortgage-backed securities, for which the fair value option was elected, 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 nine months ended September 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 
Purchases21,102,716 515,189 — 21,617,905 
Sales
(15,307,569)(737,702)(107,464)(16,152,735)
Principal paydowns(4,338,657)(541,052)(10,685)(4,890,394)
(Amortization) / accretion(92,290)1,672 535 (90,083)
Fair value adjustment1,477,411 123,097 1,411 1,601,919 
Ending balance September 30, 2024
$69,150,399 $2,443,537 $106,241 $71,700,177 
The following tables present the Company’s securities portfolio that were carried at their fair value at September 30, 2024 and December 31, 2023:
 September 30, 2024
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$64,672,312 $1,321,720 $(1,166,717)$64,827,315 $895,219 $(929,577)$64,792,957 
Adjustable-rate pass-through164,775 12,563 (44)177,294 2,266 (10,226)169,334 
CMO89,286 1,481 — 90,767 — (11,363)79,404 
Interest-only2,878,756 455,715 — 455,715 33,559 (109,636)379,638 
Multifamily(1)
23,793,890 484,760 (9,626)3,659,198 73,978 (30,916)3,702,260 
Reverse mortgages25,499 2,725 — 28,224 — (1,418)26,806 
Total agency securities$91,624,518 $2,278,964 $(1,176,387)$69,238,513 $1,005,022 $(1,093,136)$69,150,399 
Residential credit       
Credit risk transfer$772,924 $1,712 $(3,707)$770,929 $56,019 $(107)$826,841 
Alt-A172,368 36 (1,810)170,594 4,357 (6,656)168,295 
Prime (2)
1,462,881 15,842 (10,302)32,195 3,304 (536)34,963 
Subprime287,667 13 (30,510)257,170 9,785 (9,163)257,792 
NPL/RPL996,780 5,380 (6,252)995,908 5,265 (7,925)993,248 
Prime jumbo (>=2010 vintage) (3)
10,000,947 82,250 (30,577)144,628 21,551 (3,781)162,398 
Total residential credit securities$13,693,567 $105,233 $(83,158)$2,371,424 $100,281 $(28,168)$2,443,537 
Total residential securities$105,318,085 $2,384,197 $(1,259,545)$71,609,937 $1,105,303 $(1,121,304)$71,593,936 
Commercial
Commercial securities$106,044 $143 $(7)$106,180 $96 $(35)$106,241 
Total securities$105,424,129 $2,384,340 $(1,259,552)$71,716,117 $1,105,399 $(1,121,339)$71,700,177 
 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 $20.6 billion and $14.0 billion of Agency Multifamily interest-only securities as of September 30, 2024 and December 31, 2023, respectively.
(2) Principal/Notional amount includes $1.4 billion and $0.9 billion of Prime interest-only securities as of September 30, 2024 and December 31, 2023, respectively.
(3) Principal/Notional amount includes $9.9 billion and $9.1 billion of Prime Jumbo interest-only securities as of September 30, 2024 and December 31, 2023, respectively.
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at September 30, 2024 and December 31, 2023: 
September 30, 2024December 31, 2023
Investment Type(dollars in thousands)
Fannie Mae$64,332,620 $60,477,303 
Freddie Mac4,711,281 5,778,809 
Ginnie Mae106,498 52,676 
Total$69,150,399 $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 September 30, 2024 and December 31, 2023, according to their estimated weighted average life classifications:
 September 30, 2024December 31, 2023
Estimated Fair ValueAmortized
Cost		Estimated Fair ValueAmortized
Cost
Estimated weighted average life(dollars in thousands)
Less than one year$372,457 $373,090 $254,753 $257,170 
Greater than one year through five years14,058,665 13,842,110 5,159,969 5,213,575 
Greater than five years through ten years55,842,923 56,074,367 62,158,711 63,662,144 
Greater than ten years1,319,891 1,320,370 1,817,688 1,875,105 
Total$71,593,936 $71,609,937 $69,391,121 $71,007,994 
The estimated weighted average lives of the Residential Securities at September 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 September 30, 2024 and December 31, 2023.
 September 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$13,122 $(638)11 $35,453 $(418)16 
12 Months or more9,390,134 (717,707)1,429 15,455,118 (1,340,032)1,747 
Total$9,403,256 $(718,345)1,440 $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 nine months ended September 30, 2024, the Company disposed of $2.8 billion and $16.0 billion amortized cost basis of Residential Securities, respectively. During the three and nine months ended September 30, 2023, the Company disposed of $6.9 billion and $20.5 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 nine months ended September 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)
September 30, 2024$26,983 $(35,258)$(8,275)
September 30, 2023$10,048 $(612,665)$(602,617)
For the nine months ended
September 30, 2024$67,209 $(888,683)$(821,474)
September 30, 2023$23,813 $(1,747,514)$(1,723,701)
v3.24.3
LOANS
 9 Months Ended
Sep. 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 September 30, 2024 and December 31, 2023, the Company had $2.3 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 $0.8 million and $1.2 million at September 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 nine months ended September 30, 2024:
Residential Loans
(dollars in thousands)
Beginning balance January 1, 2024
$2,353,084 
Purchases / originations9,329,964 
Sales and transfers (1)
(9,287,090)
Principal payments(103,691)
Gains / (losses)25,189 
(Amortization) / accretion(11,843)
Ending balance September 30, 2024
$2,305,613 
(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $8.8 billion during the nine months ended September 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 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 September 30, 2024 and December 31, 2023:
September 30, 2024December 31, 2023
 (dollars in thousands)
Fair value$23,349,620 $15,660,706 
Unpaid principal balance$23,711,456 $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 nine months ended September 30, 2024 and 2023 for these investments:
For the Three Months EndedFor the Nine Months Ended
September 30, 2024September 30, 2023September 30, 2024September 30, 2023
 (dollars in thousands)
Interest income$346,031 $181,965 $899,867 $491,397 
Net gains (losses) on disposal of investments (1)
1,535 (1,087)(1,810)(3,358)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)
558,161 (418,776)469,462 (326,096)
Total included in net income (loss)$905,727 $(237,898)$1,367,519 $161,943 
(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 September 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
September 30, 2024December 31, 2023
Property location% of BalanceProperty location% of Balance
California38.3%California40.1%
New York10.9%Florida10.6%
Florida10.6%New York10.5%
Texas5.6%Texas5.6%
All other (none individually greater than 5%)34.6%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 September 30, 2024 and December 31, 2023:
 September 30, 2024December 31, 2023
 
Portfolio
Range
Portfolio Weighted
Average
Portfolio
Range
Portfolio Weighted Average
 (dollars in thousands)
Unpaid principal balance
$1 - $4,396
$475
$1 - $4,396
$477
Interest rate
2.00% - 18.00%
6.31%
2.00% - 13.25%
5.63%
Maturity7/1/2029 - 10/1/206411/4/20527/1/2029 - 12/1/20634/22/2052
FICO score at loan origination
549 - 850
758
549 - 850
758
Loan-to-value ratio at loan origination
3% - 100%
68%
3% - 100%
68%
At September 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.
v3.24.3
MORTGAGE SERVICING RIGHTS
 9 Months Ended
Sep. 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 nine months ended September 30, 2024 and 2023:  
 Mortgage Servicing RightsThree Months EndedNine Months Ended
September 30, 2024September 30, 2023September 30, 2024September 30, 2023
 (dollars in thousands)
Fair value, beginning of period$2,785,614 $2,018,896 $2,122,196 $1,748,209 
Purchases (1)
64,750 185,299 701,377 399,450 
Sales(68,635)— (69,703)— 
Change in fair value due to:
Changes in valuation inputs or assumptions (2)
(42,752)62,315 63,286 172,845 
Other changes, including realization of expected cash flows(45,920)(31,697)(124,099)(85,691)
Fair value, end of period$2,693,057 $2,234,813 $2,693,057 $2,234,813 
(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.
v3.24.3
VARIABLE INTEREST ENTITIES
 9 Months Ended
Sep. 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 $2.1 billion at September 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 September 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 
OBX 2024-NQM10July 2024$482,526 
OBX 2024-NQM11July 2024$602,981 
OBX 2024-NQM12August 2024$532,193 
OBX 2024-NQM13September 2024$582,213 
OBX 2024-J1September 2024$357,801 
OBX 2024-NQM14September 2024$600,909 
As of September 30, 2024 and December 31, 2023, a total carrying value of $18.7 billion and $11.6 billion, respectively, of bonds were held by third parties and the Company retained $2.1 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 $5.0 million and $1.9 million of costs during the three months ended September 30, 2024 and 2023, respectively, and $14.0 million and $5.9 million of costs during the nine months ended September 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 $19.3 billion and $12.6 billion at September 30, 2024 and December 31, 2023, respectively. During the three months ended September 30, 2024 and 2023, the Company recorded ($430.4) million and $294.9 million, respectively, and ($339.6) million and $213.5 million during the nine months ended September 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 September 30, 2024 and December 31, 2023, the Company had outstanding participating interests in residential mortgage loans of $0.5 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 the fair value option for participations issued with changes in fair value reflected in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss) to more accurately reflect the economics of the transfers as the underlying loans are carried at fair value through earnings.
v3.24.3
DERIVATIVE INSTRUMENTS
 9 Months Ended
Sep. 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 September 30, 2024 and December 31, 2023, ($1.8) 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 September 30, 2024 and December 31, 2023:
Derivatives InstrumentsSeptember 30, 2024December 31, 2023
Assets(dollars in thousands)
Interest rate swaps$3,094 $26,344 
Interest rate swaptions13,068 105,883 
TBA derivatives2,869 20,689 
Futures contracts23,256 — 
Purchase commitments16,784 9,641 
Total derivative assets$59,071 $162,557 
Liabilities 
Interest rate swaps$59,297 $83,051 
TBA derivatives8,601 39,070 
Futures contracts32,117 179,835 
Purchase commitments2,613 339 
Total derivative liabilities$102,628 $302,295 
    

The following tables summarize certain characteristics of the Company’s interest rate swaps at September 30, 2024 and December 31, 2023:
September 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
$19,961,229 3.33 %4.95 %1.05
3 - 6 years
13,510,021 3.10 %4.94 %4.62
6 - 10 years
20,114,937 2.77 %4.95 %7.97
Greater than 10 years
1,559,384 3.44 %4.84 %23.50
Total / Weighted average$55,145,571 3.05 %4.94 %5.08
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 September 30, 2024, 7% and 93% 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 September 30, 2024 and December 31, 2023:
September 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$250,0002.40%SOFR5.030.23
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 September 30, 2024 and December 31, 2023:
September 30, 2024
Purchase and Sale Contracts for Derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$3,319,000 $3,333,873 $3,328,141 $(5,732)
Net TBA derivatives$3,319,000 $3,333,873 $3,328,141 $(5,732)
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 September 30, 2024 and December 31, 2023: 
September 30, 2024
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(16,793,200)1.94
U.S. Treasury futures - 5 year
3,346,000 — 4.39
U.S. Treasury futures - 10 year and greater
621,300 (2,285,500)12.41
Total$3,967,300 $(19,078,700)3.62
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 September 30, 2024 and December 31, 2023, respectively.
September 30, 2024
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$3,094 $— $— $3,094 
Interest rate swaptions, at fair value13,068 — (11,100)1,968 
TBA derivatives, at fair value2,869 (2,660)— 209 
Futures contracts, at fair value23,256 (20,305)— 2,951 
Purchase commitments16,784 — — 16,784 
Liabilities 
Interest rate swaps, at fair value$59,297 $(48,713)$— $10,584 
TBA derivatives, at fair value8,601 (6,972)— 1,629 
Futures contracts, at fair value32,117 (20,305)(11,812)— 
Purchase commitments2,613 — — 2,613 
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)
September 30, 2024$317,483 $(94,016)$(1,582,495)
September 30, 2023$394,677 $16,416 $1,475,547 
For the nine months ended
September 30, 2024$946,004 $(96,532)$(584,109)
September 30, 2023$1,205,676 $(81,255)$1,360,977 
(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 September 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$40,561 $(18,181)$22,380 
Net interest rate swaptions(21,180)(113,792)(134,972)
Futures(362,660)71,146 (291,514)
Purchase commitments— 9,124 9,124 
Total
$(394,982)
Three Months Ended September 30, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(81,964)$(41,777)$(123,741)
Net interest rate swaptions(27,860)(51,041)(78,901)
Futures (1)
309,397 131,578 440,975 
Purchase commitments— 2,457 2,457 
Total$240,790 
(1) For the three months ended September 30, 2023, includes $13.2 million of unrealized gain and ($18.9) million of realized loss related to SOFR futures options.
Nine Months Ended September 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$15,694 $12,649 $28,343 
Net interest rate swaptions(33,511)(59,304)(92,815)
Futures (1)
(323,113)170,973 (152,140)
Purchase commitments— 4,870 4,870 
Total$(211,742)
(1) For the nine months ended September 30, 2024, includes ($6.8) million of realized loss related to SOFR futures options.
Nine Months Ended September 30, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(136,452)$12,710 $(123,742)
Net interest rate swaptions(25,538)(43,627)(69,165)
Futures (1)
185,716 229,940 415,656 
Purchase commitments— (122)(122)
Credit derivatives(19,282)13,260 (6,022)
Total$216,605 
(1) For the nine months ended September 30, 2023, includes ($5.6) million of unrealized loss and ($18.9) million of realized 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 liability position at September 30, 2024 of $42.2 million, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized.
v3.24.3
FAIR VALUE MEASUREMENTS
 9 Months Ended
Sep. 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.
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 mortgage-backed securities 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 has classified its investments in MSR as Level 3. 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 rates 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 September 30, 2024 and December 31, 2023. There were no transfers between levels of the fair value hierarchy during the periods presented.
September 30, 2024
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $69,150,399 $— $69,150,399 
Credit risk transfer securities— 826,841 — 826,841 
Non-Agency mortgage-backed securities— 1,616,696 — 1,616,696 
   Commercial mortgage-backed securities— 106,241 — 106,241 
Loans
Residential mortgage loans— 2,305,613 — 2,305,613 
Mortgage servicing rights— — 2,693,057 2,693,057 
Assets transferred or pledged to securitization vehicles— 21,044,007 — 21,044,007 
Derivative assets
Interest rate swaps— 3,094 — 3,094 
Other derivatives23,256 32,721 — 55,977 
Total assets$23,256 $95,085,612 $2,693,057 $97,801,925 
Liabilities
Debt issued by securitization vehicles$— $18,709,118 $— $18,709,118 
Participations issued— 467,006 — 467,006 
U.S. Treasury securities sold, not yet purchased2,043,519 — — 2,043,519 
Derivative liabilities
Interest rate swaps— 59,297 — 59,297 
Other derivatives32,117 11,214 — 43,331 
Total liabilities$2,075,636 $19,246,635 $— $21,322,271 
December 31, 2023
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $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)
September 30, 2024December 31, 2023
Discount rate
1.8% - 11.2% (7.6%)
7.0% - 12.0% (8.6%)
Prepayment rate
5.1% - 31.3% (6.1%)
4.8% - 11.0% (5.6%)
Delinquency rate
0.2% - 4.0% (1.2%)
0.2% - 4.2% (1.3%)
Cost to service
$83 - $108 ($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 September 30, 2024 and December 31, 2023.
 September 30, 2024December 31, 2023
 Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial liabilities
Repurchase agreements$64,310,276$64,310,276$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.
v3.24.3
INTANGIBLE ASSETS
 9 Months Ended
Sep. 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 nine months ended September 30, 2024.
Intangible Assets, net
(dollars in thousands)
Beginning balance January 1, 2024
$12,106 
Less: amortization expense(2,018)
Ending balance September 30, 2024
$10,088 
v3.24.3
SECURED FINANCING
 9 Months Ended
Sep. 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 $64.3 billion and $62.2 billion of repurchase agreements with weighted average remaining maturities of 34 days and 44 days and weighted average rates of 5.23% and 5.70% at September 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 $3.5 billion with remaining capacity of $2.2 billion at September 30, 2024.
At September 30, 2024 and December 31, 2023, the repurchase agreements had the following remaining maturities and collateral types: 
September 30, 2024
 Agency Mortgage-Backed SecuritiesCRTsNon-Agency Mortgage-Backed SecuritiesResidential Mortgage LoansCommercial Mortgage-Backed SecuritiesTotal Repurchase Agreements
 (dollars in thousands)
1 day$24,998,317 $175,637 $41,503 $— $— $25,215,457 
2 to 29 days655,425 275,927 846,860 221,231 95,291 2,094,734 
30 to 59 days34,198,599 — 589,802 26,404 — 34,814,805 
60 to 89 days2,594,869 142,486 611,235 452,799 — 3,801,389 
90 to 119 days1,675 47,353 82,050 — — 131,078 
Over 119 days (1)
— — 364,920 566,773 — 931,693 
Total$62,448,885 $641,403 $2,536,370 $1,267,207 $95,291 $66,989,156 
Amounts offset in accordance with netting arrangements.(2,678,880)
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition.$64,310,276 
December 31, 2023
 Agency Mortgage-Backed SecuritiesCRTsNon-Agency Mortgage-Backed SecuritiesResidential Mortgage LoansCommercial Mortgage-Backed SecuritiesTotal Repurchase Agreements
 (dollars in thousands)
1 day$— $— $— $— $— $— 
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 September 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 September 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.
 September 30, 2024December 31, 2023
 Reverse Repurchase AgreementsRepurchase AgreementsReverse Repurchase AgreementsRepurchase Agreements
 (dollars in thousands)
Gross amounts$2,678,880 $66,989,156 $2,268,293 $64,469,836 
Amounts offset(2,678,880)(2,678,880)(2,268,293)(2,268,293)
Netted amounts$— $64,310,276 $— $62,201,543 
The fair value of collateral received in connection with reverse repurchase agreements as of September 30, 2024 was $2.7 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 September 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 September 30, 2024 totaled $600.0 million with maturities ranging between four months to one year. The weighted average interest rate of the borrowings was
8.05% as of September 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 $69.3 billion and $304.7 million, respectively, at September 30, 2024 and $68.2 billion and $279.5 million, respectively, at December 31, 2023.
v3.24.3
CAPITAL STOCK
 9 Months Ended
Sep. 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 September 30, 2024 and December 31, 2023.
Shares authorizedShares issued and outstanding
September 30, 2024December 31, 2023September 30, 2024December 31, 2023Par Value
Common stock
1,468,250,000 1,468,250,000 558,047,743 500,080,287 $0.01
In January 2022, the Company announced that its Board of Directors (the “Board”) authorized the repurchase of up to $1.5 billion of its outstanding shares of common stock through December 31, 2024 (the “Share Repurchase Program”). During the three and nine months ended September 30, 2024 and 2023, no shares were repurchased under the 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 “Prior 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 “Prior Sales Agents”). Pursuant to the Prior Sales Agreements, the Company offered and sold shares of its common stock, having an aggregate offering price of up to $1.5 billion, from time to time through any of the Prior Sales Agents (the “Prior At-the-Market Sales Program”).
On September 20, 2024, the Company entered into new Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., Citizens JMP Securities, LLC, Goldman Sachs & Co. LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co., LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Sales Agents”), which terminated and replaced the Prior Sales Agreements. Under the terms of 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 "Current At-the-Market Sales Program" and, together with the Prior At-the-Market Sales Program, the "at-the-market sales program").
During the three and nine months ended September 30, 2024, under the at-the-market sales program, the Company issued 57.0 million and 57.6 million shares for proceeds of $1.1 billion and $1.2 billion, respectively, each net of commissions and fees. During the three and nine months ended September 30, 2023, under the at-the-market sales program, the Company issued 0.9 million and 26.2 million shares for proceeds of $17.8 million and $580.5 million, respectively, each net of commissions and fees.

(B)    Preferred Stock
The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 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)
September 30, 2024December 31, 2023September 30, 2024December 31, 2023September 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 September 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 nine months ended September 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 Nine Months Ended
 September 30, 2024September 30, 2023September 30, 2024September 30, 2023
 (dollars in thousands, except per share data)
Dividends and dividend equivalents declared on common stock and share-based awards$364,914 $323,164 $1,019,527 $968,111 
Distributions declared per common share$0.65 $0.65 $1.95 $1.95 
Distributions paid to common stockholders after period end$362,731 $321,629 $362,731 $321,629 
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 endOctober 31, 2024October 31, 2023October 31, 2024October 31, 2023
Dividends declared to series F preferred stockholders$19,055 $18,956 $57,142 $54,732 
Dividends declared per share of series F preferred stock$0.662 $0.658 $1.984 $1.900 
Dividends declared to series G preferred stockholders$10,606 $10,431 $31,804 $27,362 
Dividends declared per share of series G preferred stock$0.624 $0.614 $1.871 $1.610 
Dividends declared to series I preferred stockholders$11,967 $7,467 $26,901 $22,401 
Dividends declared per share of series I preferred stock$0.676 $0.422 $1.520 $1.266 
v3.24.3
INTEREST INCOME AND INTEREST EXPENSE
 9 Months Ended
Sep. 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 nine months ended September 30, 2024 and 2023.
 For the Three Months Ended
For the Nine Months Ended
 September 30, 2024September 30, 2023September 30, 2024September 30, 2023
Interest income(dollars in thousands)
Agency securities$789,403 $753,007 $2,331,698 $2,043,021 
Residential credit securities49,863 57,229 156,754 167,451 
Residential mortgage loans (1)
346,031 181,965 899,867 491,398 
Commercial investment portfolio (1)
2,240 5,812 8,235 24,009 
Reverse repurchase agreements41,804 3,472 104,600 15,350 
Total interest income$1,229,341 $1,001,485 $3,501,154 $2,741,229 
Interest expense  
Repurchase agreements$942,780 $917,997 $2,722,304 $2,457,996 
Debt issued by securitization vehicles234,299 116,962 596,128 307,715 
Participations issued17,834 11,860 57,841 33,352 
U.S. Treasury securities sold, not yet purchased21,027 — 64,373 — 
Total interest expense1,215,940 1,046,819 3,440,646 2,799,063 
Net interest income$13,401 $(45,334)$60,508 $(57,834)
(1) Includes assets transferred or pledged to securitization vehicles.
v3.24.3
NET INCOME (LOSS) PER COMMON SHARE
 9 Months Ended
Sep. 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 nine months ended September 30, 2024 and 2023.
 For the Three Months Ended
For the Nine Months Ended
 September 30, 2024September 30, 2023September 30, 2024September 30, 2023
 (dollars in thousands, except per share data)
Net income (loss)$82,351 $(569,084)$538,692 $(1,247,225)
Net income (loss) attributable to noncontrolling interests15,906 (6,879)18,838 (7,797)
Net income (loss) attributable to Annaly 66,445 (562,205)519,854 (1,239,428)
Dividends on preferred stock41,628 36,854 115,847 104,495 
Net income (loss) available (related) to common stockholders$24,817 $(599,059)$404,007 $(1,343,923)
Weighted average shares of common stock outstanding-basic515,729,658 494,330,361 505,800,723 492,744,997 
Add: Effect of stock awards, if dilutive1,102,494 — 817,420 — 
Weighted average shares of common  stock outstanding-diluted516,832,152 494,330,361 506,618,143 492,744,997 
Net income (loss) per share available (related) to common share
Basic$0.05 $(1.21)$0.80 $(2.73)
Diluted$0.05 $(1.21)$0.80 $(2.73)
The computations of diluted net income (loss) per share available (related) to common share for the three and nine months ended September 30, 2024 excludes 0 and 2 thousand, respectively, and for the three and nine months ended September 30, 2023 excludes 1.9 million and 1.8 million, respectively, of potentially dilutive restricted and performance stock units because their effect would have been anti-dilutive.
v3.24.3
INCOME TAXES
 9 Months Ended
Sep. 30, 2024
Income Tax Disclosure [Abstract]  
INCOME TAXES
16.  INCOME TAXES
For the three months ended September 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 September 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 nine months ended September 30, 2024, the Company recorded ($6.1) million and $4.9 million, respectively, of income tax expense/(benefit) attributable to its TRSs. During the three and nine months ended September 30, 2023, the Company recorded $12.4 million and $37.7 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.
v3.24.3
SEGMENTS
 9 Months Ended
Sep. 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 stockholders plus common stock dividends declared divided by the prior period’s stockholders’ equity attributable to common stockholders), 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 nine months ended September 30, 2024 and 2023:
Three Months Ended September 30, 2024
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$830,407 $396,694 $— $2,240 $1,229,341 
Interest expense885,982 328,440 — 1,518 1,215,940 
Net interest income(55,575)68,254 — 722 13,401 
Servicing and related income— — 122,583 — 122,583 
Servicing and related expense— — 12,988 — 12,988 
Net servicing income— — 109,595 — 109,595 
Other income (loss)(6,658)36,028 (33,967)1,738 (2,859)
Less: Total general and administrative expenses16,154 13,868 8,876 5,023 43,921 
Income (loss) before income taxes(78,387)90,414 66,752 (2,563)76,216 
Income taxes23 (8,263)2,126 (21)(6,135)
Net income (loss)(78,410)98,677 64,626 (2,542)82,351 
Less: Net income (loss) attributable to noncontrolling interest— 15,906 — — 15,906 
Net income (loss) attributable to Annaly(78,410)82,771 64,626 (2,542)66,445 
Dividends on preferred stock— — — 41,628 41,628 
Net income (loss) available (related) to common stockholders(78,410)82,771 64,626 (44,170)24,817 
Unrealized gains (losses) on available-for-sale securities428,955 — — — 428,955 
Reclassification adjustment for net (gains) losses included in net income (loss)15,769 — — — 15,769 
Other comprehensive income (loss)444,724 — — — 444,724 
Comprehensive income (loss)366,314 98,677 64,626 (2,542)527,075 
Comprehensive income (loss) attributable to noncontrolling interests— 15,906 — — 15,906 
Comprehensive income (loss) attributable to Annaly$366,314 $82,771 $64,626 $(2,542)$511,169 
Noncash investing and financing activities:
Receivable for unsettled trades727,124 — 39,217 — 766,341 
Payable for unsettled trades1,811,196 — 74,090 — 1,885,286 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment444,724 — — — 444,724 
Dividends declared, not yet paid— — — 362,731 362,731 
Total assets
Total assets$71,699,019 $26,235,097 $3,371,113 $210,766 $101,515,995 
Three Months Ended September 30, 2023
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$756,479 $239,194 $— $5,812 $1,001,485 
Interest expense849,422 193,271 — 4,126 1,046,819 
Net interest income(92,943)45,923 — 1,686 (45,334)
Servicing and related income— — 97,620 — 97,620 
Servicing and related expense— — 9,623 — 9,623 
Net servicing income— — 87,997 — 87,997 
Other income (loss)(528,640)(12,974)(21,870)4,038 (559,446)
Less: Total general and administrative expenses14,576 12,195 7,657 5,481 39,909 
Income (loss) before income taxes(636,159)20,754 58,470 243 (556,692)
Income taxes727 5,985 5,858 (178)12,392 
Net income (loss)(636,886)14,769 52,612 421 (569,084)
Less: Net income (loss) attributable to noncontrolling interest— (6,879)— — (6,879)
Net income (loss) attributable to Annaly(636,886)21,648 52,612 421 (562,205)
Dividends on preferred stock— — — 36,854 36,854 
Net income (loss) available (related) to common stockholders(636,886)21,648 52,612 (36,433)(599,059)
Unrealized gains (losses) on available-for-sale securities(825,286)— — — (825,286)
Reclassification adjustment for net (gains) losses included in net income (loss)513,041 — — — 513,041 
Other comprehensive income (loss)(312,245)— — — (312,245)
Comprehensive income (loss)(949,131)14,769 52,612 421 (881,329)
Comprehensive income (loss) attributable to noncontrolling interests— (6,879)— — (6,879)
Comprehensive income (loss) attributable to Annaly$(949,131)$21,648 $52,612 $421 $(874,450)
Noncash investing and financing activities:
Receivable for unsettled trades1,039,173 — 8,393 — 1,047,566 
Payable for unsettled trades2,144,692 1,546 38,231 29,850 2,214,319 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment(312,245)— — — (312,245)
Dividends declared, not yet paid— — — 321,629 321,629 
Total assets
Total assets$70,047,768 $16,616,765 $2,647,052 $336,838 $89,648,423 
Nine Months Ended September 30, 2024
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$2,433,672 $1,059,247 $— $8,235 $3,501,154 
Interest expense2,563,077 872,118 — 5,451 3,440,646 
Net interest income(129,405)187,129 — 2,784 60,508 
Servicing and related income— — 358,182 — 358,182 
Servicing and related expense— — 37,821 — 37,821 
Net servicing income— — 320,361 — 320,361 
Other income (loss)109,384 189,851 (12,513)3,336 290,058 
Less: Total general and administrative expenses47,604 39,690 25,977 14,111 127,382 
Income (loss) before income taxes(67,625)337,290 281,871 (7,991)543,545 
Income taxes748 (9,966)14,195 (124)4,853 
Net income (loss)(68,373)347,256 267,676 (7,867)538,692 
Less: Net income (loss) attributable to noncontrolling interest— 18,838 — — 18,838 
Net income (loss) attributable to Annaly(68,373)328,418 267,676 (7,867)519,854 
Dividends on preferred stock— — — 115,847 115,847 
Net income (loss) available (related) to common stockholders(68,373)328,418 267,676 (123,714)404,007 
Unrealized gains (losses) on available-for-sale securities92,843 — — — 92,843 
Reclassification adjustment for net (gains) losses included in net income (loss)530,354 — — — 530,354 
Other comprehensive income (loss)623,197 — — — 623,197 
Comprehensive income (loss)554,824 347,256 267,676 (7,867)1,161,889 
Comprehensive income (loss) attributable to noncontrolling interests— 18,838 — — 18,838 
Comprehensive income (loss) attributable to Annaly$554,824 $328,418 $267,676 $(7,867)$1,143,051 
Noncash investing and financing activities:
Receivable for unsettled trades727,124 — 39,217 — 766,341 
Payable for unsettled trades1,811,196 — 74,090 — 1,885,286 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment623,197 — — — 623,197 
Dividends declared, not yet paid— — — 362,731 362,731 
Total assets
Total assets$71,699,019 $26,235,097 $3,371,113 $210,766 $101,515,995 
Nine Months Ended September 30, 2023
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$2,058,371 $658,849 $— $24,009 $2,741,229 
Interest expense2,279,586 504,011 — 15,466 2,799,063 
Net interest income(221,215)154,838 — 8,543 (57,834)
Servicing and related income— — 265,683 — 265,683 
Servicing and related expense— — 26,433 — 26,433 
Net servicing income— — 239,250 — 239,250 
Other income (loss)(1,415,438)91,439 61,314 (4,602)(1,267,287)
Less: Total general and administrative expenses44,401 36,757 22,210 20,284 123,652 
Income (loss) before income taxes(1,681,054)209,520 278,354 (16,343)(1,209,523)
Income taxes1,213 14,034 22,706 (251)37,702 
Net income (loss)(1,682,267)195,486 255,648 (16,092)(1,247,225)
Less: Net income (loss) attributable to noncontrolling interest— (7,797)— — (7,797)
Net income (loss) attributable to Annaly(1,682,267)203,283 255,648 (16,092)(1,239,428)
Dividends on preferred stock— — — 104,495 104,495 
Net income (loss) available (related) to common stockholders(1,682,267)203,283 255,648 (120,587)(1,343,923)
Unrealized gains (losses) on available-for-sale securities(443,957)— — — (443,957)
Reclassification adjustment for net (gains) losses included in net income (loss)1,458,077 — — — 1,458,077 
Other comprehensive income (loss)1,014,120 — — — 1,014,120 
Comprehensive income (loss)(668,147)195,486 255,648 (16,092)(233,105)
Comprehensive income (loss) attributable to noncontrolling interests— (7,797)— — (7,797)
Comprehensive income (loss) attributable to Annaly$(668,147)$203,283 $255,648 $(16,092)$(225,308)
Noncash investing and financing activities:
Receivable for unsettled trades1,039,173 — 8,393 — 1,047,566 
Payable for unsettled trades2,144,692 1,546 38,231 29,850 2,214,319 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment1,014,120 — — — 1,014,120 
Dividends declared, not yet paid— — — 321,629 321,629 
Total assets
Total assets$70,047,768 $16,616,765 $2,647,052 $336,838 $89,648,423 
v3.24.3
RISK MANAGEMENT
 9 Months Ended
Sep. 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 of these risks 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, 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.
v3.24.3
LEASE COMMITMENTS AND CONTINGENCIES
 9 Months Ended
Sep. 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 three 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 nine months ended September 30, 2024 and 2023 was $0.8 million and $2.5 million, and $0.8 million and $2.4 million, respectively.
Supplemental information related to leases as of and for the nine months ended September 30, 2024 was as follows:
Operating LeasesClassificationSeptember 30, 2024
Assets(dollars in thousands)
Operating lease right-of-use assetsOther assets$3,660 
Liabilities
Operating lease liabilities (1)
Other liabilities$4,585 
Lease term and discount rate
Weighted average remaining lease term1.4 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$3,080 
(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)$1,027 
20253,149 
2026261 
2027269 
202822 
Later years— 
Total lease payments$4,728 
Less imputed interest143 
Present value of lease liabilities$4,585 
Contingencies
From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at September 30, 2024 and December 31, 2023.
v3.24.3
SUBSEQUENT EVENTS
 9 Months Ended
Sep. 30, 2024
Subsequent Events [Abstract]  
Subsequent Events
20.  SUBSEQUENT EVENTS
In October 2024, the Company entered into a $300 million facility for financing its MSR investments.
In October 2024, the Company completed and closed the securitization of residential mortgage loans: OBX 2024-NQM15, with a face value of $635.8 million. The securitization represents a financing transaction which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.
v3.24.3
Pay vs Performance Disclosure - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Pay vs Performance Disclosure        
Net Income (Loss) $ 66,445 $ (562,205) $ 519,854 $ (1,239,428)
v3.24.3
Insider Trading Arrangements
 3 Months Ended
Sep. 30, 2024
Trading Arrangements, by Individual  
Rule 10b5-1 Arrangement Adopted false
Non-Rule 10b5-1 Arrangement Adopted false
Rule 10b5-1 Arrangement Terminated false
Non-Rule 10b5-1 Arrangement Terminated false
v3.24.3
SIGNIFICANT ACCOUNTING POLICIES (Policies)
 9 Months Ended
Sep. 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
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 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 Measurements
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.
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 mortgage-backed securities 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 has classified its investments in MSR as Level 3. 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 rates 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.
v3.24.3
DESCRIPTION OF BUSINESS (Tables)
 9 Months Ended
Sep. 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.
v3.24.3
FINANCIAL INSTRUMENTS (Tables)
 9 Months Ended
Sep. 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 September 30, 2024 and December 31, 2023.
Financial Instruments (1)
Balance Sheet Line ItemType / FormMeasurement BasisSeptember 30, 2024December 31, 2023
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities (2)
Fair value, with unrealized gains (losses) through other comprehensive income$9,579,247 $15,665,352 
Securities
Agency mortgage-backed securities (3)
Fair value, with unrealized gains (losses) through earnings59,571,152 50,643,436 
SecuritiesResidential credit risk transfer securitiesFair value, with unrealized gains (losses) through earnings826,841 974,059 
SecuritiesNon-agency mortgage-backed securitiesFair value, with unrealized gains (losses) through earnings1,616,696 2,108,274 
SecuritiesCommercial real estate debt investments - CMBSFair value, with unrealized gains (losses) through earnings106,241 222,444 
Total securities71,700,177 69,613,565 
Loans, netResidential mortgage loansFair value, with unrealized gains (losses) through earnings2,305,613 2,353,084 
Assets transferred or pledged to securitization vehiclesResidential mortgage loansFair value, with unrealized gains (losses) through earnings21,044,007 13,307,622 
Liabilities
Repurchase agreementsRepurchase agreementsAmortized cost$64,310,276 $62,201,543 
Other secured financingLoansAmortized cost600,000 500,000 
Debt issued by securitization vehiclesSecuritiesFair value, with unrealized gains (losses) through earnings18,709,118 11,600,338 
Participations issuedParticipations issuedFair value, with unrealized gains (losses) through earnings467,006 1,103,835 
U.S. Treasury securities sold, not yet purchasedSecuritiesFair value, with unrealized gains (losses) through earnings2,043,519 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, CMO and multifamily securities.
v3.24.3
SECURITIES (Tables)
 9 Months Ended
Sep. 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 nine months ended September 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 
Purchases21,102,716 515,189 — 21,617,905 
Sales
(15,307,569)(737,702)(107,464)(16,152,735)
Principal paydowns(4,338,657)(541,052)(10,685)(4,890,394)
(Amortization) / accretion(92,290)1,672 535 (90,083)
Fair value adjustment1,477,411 123,097 1,411 1,601,919 
Ending balance September 30, 2024
$69,150,399 $2,443,537 $106,241 $71,700,177 
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s securities portfolio that were carried at their fair value at September 30, 2024 and December 31, 2023:
 September 30, 2024
 Principal /
Notional		Remaining PremiumRemaining DiscountAmortized
Cost		Unrealized
Gains		Unrealized
Losses		Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$64,672,312 $1,321,720 $(1,166,717)$64,827,315 $895,219 $(929,577)$64,792,957 
Adjustable-rate pass-through164,775 12,563 (44)177,294 2,266 (10,226)169,334 
CMO89,286 1,481 — 90,767 — (11,363)79,404 
Interest-only2,878,756 455,715 — 455,715 33,559 (109,636)379,638 
Multifamily(1)
23,793,890 484,760 (9,626)3,659,198 73,978 (30,916)3,702,260 
Reverse mortgages25,499 2,725 — 28,224 — (1,418)26,806 
Total agency securities$91,624,518 $2,278,964 $(1,176,387)$69,238,513 $1,005,022 $(1,093,136)$69,150,399 
Residential credit       
Credit risk transfer$772,924 $1,712 $(3,707)$770,929 $56,019 $(107)$826,841 
Alt-A172,368 36 (1,810)170,594 4,357 (6,656)168,295 
Prime (2)
1,462,881 15,842 (10,302)32,195 3,304 (536)34,963 
Subprime287,667 13 (30,510)257,170 9,785 (9,163)257,792 
NPL/RPL996,780 5,380 (6,252)995,908 5,265 (7,925)993,248 
Prime jumbo (>=2010 vintage) (3)
10,000,947 82,250 (30,577)144,628 21,551 (3,781)162,398 
Total residential credit securities$13,693,567 $105,233 $(83,158)$2,371,424 $100,281 $(28,168)$2,443,537 
Total residential securities$105,318,085 $2,384,197 $(1,259,545)$71,609,937 $1,105,303 $(1,121,304)$71,593,936 
Commercial
Commercial securities$106,044 $143 $(7)$106,180 $96 $(35)$106,241 
Total securities$105,424,129 $2,384,340 $(1,259,552)$71,716,117 $1,105,399 $(1,121,339)$71,700,177 
 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 $20.6 billion and $14.0 billion of Agency Multifamily interest-only securities as of September 30, 2024 and December 31, 2023, respectively.
(2) Principal/Notional amount includes $1.4 billion and $0.9 billion of Prime interest-only securities as of September 30, 2024 and December 31, 2023, respectively.
(3) Principal/Notional amount includes $9.9 billion and $9.1 billion of Prime Jumbo interest-only securities as of September 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 September 30, 2024 and December 31, 2023: 
September 30, 2024December 31, 2023
Investment Type(dollars in thousands)
Fannie Mae$64,332,620 $60,477,303 
Freddie Mac4,711,281 5,778,809 
Ginnie Mae106,498 52,676 
Total$69,150,399 $66,308,788 
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s Residential Securities at September 30, 2024 and December 31, 2023, according to their estimated weighted average life classifications:
 September 30, 2024December 31, 2023
Estimated Fair ValueAmortized
Cost		Estimated Fair ValueAmortized
Cost
Estimated weighted average life(dollars in thousands)
Less than one year$372,457 $373,090 $254,753 $257,170 
Greater than one year through five years14,058,665 13,842,110 5,159,969 5,213,575 
Greater than five years through ten years55,842,923 56,074,367 62,158,711 63,662,144 
Greater than ten years1,319,891 1,320,370 1,817,688 1,875,105 
Total$71,593,936 $71,609,937 $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 September 30, 2024 and December 31, 2023.
 September 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$13,122 $(638)11 $35,453 $(418)16 
12 Months or more9,390,134 (717,707)1,429 15,455,118 (1,340,032)1,747 
Total$9,403,256 $(718,345)1,440 $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 nine months ended September 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)
September 30, 2024$26,983 $(35,258)$(8,275)
September 30, 2023$10,048 $(612,665)$(602,617)
For the nine months ended
September 30, 2024$67,209 $(888,683)$(821,474)
September 30, 2023$23,813 $(1,747,514)$(1,723,701)
v3.24.3
LOANS (Tables)
 9 Months Ended
Sep. 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 nine months ended September 30, 2024:
Residential Loans
(dollars in thousands)
Beginning balance January 1, 2024
$2,353,084 
Purchases / originations9,329,964 
Sales and transfers (1)
(9,287,090)
Principal payments(103,691)
Gains / (losses)25,189 
(Amortization) / accretion(11,843)
Ending balance September 30, 2024
$2,305,613 
(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $8.8 billion during the nine months ended September 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 September 30, 2024 and December 31, 2023:
September 30, 2024December 31, 2023
 (dollars in thousands)
Fair value$23,349,620 $15,660,706 
Unpaid principal balance$23,711,456 $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 nine months ended September 30, 2024 and 2023 for these investments:
For the Three Months EndedFor the Nine Months Ended
September 30, 2024September 30, 2023September 30, 2024September 30, 2023
 (dollars in thousands)
Interest income$346,031 $181,965 $899,867 $491,397 
Net gains (losses) on disposal of investments (1)
1,535 (1,087)(1,810)(3,358)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)
558,161 (418,776)469,462 (326,096)
Total included in net income (loss)$905,727 $(237,898)$1,367,519 $161,943 
(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 September 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
September 30, 2024December 31, 2023
Property location% of BalanceProperty location% of Balance
California38.3%California40.1%
New York10.9%Florida10.6%
Florida10.6%New York10.5%
Texas5.6%Texas5.6%
All other (none individually greater than 5%)34.6%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 September 30, 2024 and December 31, 2023:
 September 30, 2024December 31, 2023
 
Portfolio
Range
Portfolio Weighted
Average
Portfolio
Range
Portfolio Weighted Average
 (dollars in thousands)
Unpaid principal balance
$1 - $4,396
$475
$1 - $4,396
$477
Interest rate
2.00% - 18.00%
6.31%
2.00% - 13.25%
5.63%
Maturity7/1/2029 - 10/1/206411/4/20527/1/2029 - 12/1/20634/22/2052
FICO score at loan origination
549 - 850
758
549 - 850
758
Loan-to-value ratio at loan origination
3% - 100%
68%
3% - 100%
68%
v3.24.3
MORTGAGE SERVICING RIGHTS (Tables)
 9 Months Ended
Sep. 30, 2024
Transfers and Servicing [Abstract]  
Presentation of Activity Related to MSR
The following table presents activity related to MSR for the three and nine months ended September 30, 2024 and 2023:  
 Mortgage Servicing RightsThree Months EndedNine Months Ended
September 30, 2024September 30, 2023September 30, 2024September 30, 2023
 (dollars in thousands)
Fair value, beginning of period$2,785,614 $2,018,896 $2,122,196 $1,748,209 
Purchases (1)
64,750 185,299 701,377 399,450 
Sales(68,635)— (69,703)— 
Change in fair value due to:
Changes in valuation inputs or assumptions (2)
(42,752)62,315 63,286 172,845 
Other changes, including realization of expected cash flows(45,920)(31,697)(124,099)(85,691)
Fair value, end of period$2,693,057 $2,234,813 $2,693,057 $2,234,813 
(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.
v3.24.3
VARIABLE INTEREST ENTITIES (Tables)
 9 Months Ended
Sep. 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 September 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 
OBX 2024-NQM10July 2024$482,526 
OBX 2024-NQM11July 2024$602,981 
OBX 2024-NQM12August 2024$532,193 
OBX 2024-NQM13September 2024$582,213 
OBX 2024-J1September 2024$357,801 
OBX 2024-NQM14September 2024$600,909 
v3.24.3
DERIVATIVE INSTRUMENTS (Tables)
 9 Months Ended
Sep. 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 September 30, 2024 and December 31, 2023:
Derivatives InstrumentsSeptember 30, 2024December 31, 2023
Assets(dollars in thousands)
Interest rate swaps$3,094 $26,344 
Interest rate swaptions13,068 105,883 
TBA derivatives2,869 20,689 
Futures contracts23,256 — 
Purchase commitments16,784 9,641 
Total derivative assets$59,071 $162,557 
Liabilities 
Interest rate swaps$59,297 $83,051 
TBA derivatives8,601 39,070 
Futures contracts32,117 179,835 
Purchase commitments2,613 339 
Total derivative liabilities$102,628 $302,295 
Summary of Certain Characteristics of Derivatives
The following tables summarize certain characteristics of the Company’s interest rate swaps at September 30, 2024 and December 31, 2023:
September 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
$19,961,229 3.33 %4.95 %1.05
3 - 6 years
13,510,021 3.10 %4.94 %4.62
6 - 10 years
20,114,937 2.77 %4.95 %7.97
Greater than 10 years
1,559,384 3.44 %4.84 %23.50
Total / Weighted average$55,145,571 3.05 %4.94 %5.08
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 September 30, 2024, 7% and 93% 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 September 30, 2024 and December 31, 2023:
September 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$250,0002.40%SOFR5.030.23
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 September 30, 2024 and December 31, 2023:
September 30, 2024
Purchase and Sale Contracts for Derivative TBAsNotionalImplied Cost BasisImplied Market ValueNet Carrying Value
(dollars in thousands)
Purchase contracts$3,319,000 $3,333,873 $3,328,141 $(5,732)
Net TBA derivatives$3,319,000 $3,333,873 $3,328,141 $(5,732)
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 September 30, 2024 and December 31, 2023: 
September 30, 2024
 Notional - Long
Positions		Notional - Short
Positions		Weighted Average
Years to Maturity
 (dollars in thousands)
U.S. Treasury futures - 2 year
$— $(16,793,200)1.94
U.S. Treasury futures - 5 year
3,346,000 — 4.39
U.S. Treasury futures - 10 year and greater
621,300 (2,285,500)12.41
Total$3,967,300 $(19,078,700)3.62
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 September 30, 2024 and December 31, 2023, respectively.
September 30, 2024
 Amounts Eligible for Offset 
 Gross AmountsFinancial InstrumentsCash CollateralNet Amounts
Assets(dollars in thousands)
Interest rate swaps, at fair value$3,094 $— $— $3,094 
Interest rate swaptions, at fair value13,068 — (11,100)1,968 
TBA derivatives, at fair value2,869 (2,660)— 209 
Futures contracts, at fair value23,256 (20,305)— 2,951 
Purchase commitments16,784 — — 16,784 
Liabilities 
Interest rate swaps, at fair value$59,297 $(48,713)$— $10,584 
TBA derivatives, at fair value8,601 (6,972)— 1,629 
Futures contracts, at fair value32,117 (20,305)(11,812)— 
Purchase commitments2,613 — — 2,613 
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)
September 30, 2024$317,483 $(94,016)$(1,582,495)
September 30, 2023$394,677 $16,416 $1,475,547 
For the nine months ended
September 30, 2024$946,004 $(96,532)$(584,109)
September 30, 2023$1,205,676 $(81,255)$1,360,977 
(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 September 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$40,561 $(18,181)$22,380 
Net interest rate swaptions(21,180)(113,792)(134,972)
Futures(362,660)71,146 (291,514)
Purchase commitments— 9,124 9,124 
Total
$(394,982)
Three Months Ended September 30, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(81,964)$(41,777)$(123,741)
Net interest rate swaptions(27,860)(51,041)(78,901)
Futures (1)
309,397 131,578 440,975 
Purchase commitments— 2,457 2,457 
Total$240,790 
(1) For the three months ended September 30, 2023, includes $13.2 million of unrealized gain and ($18.9) million of realized loss related to SOFR futures options.
Nine Months Ended September 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$15,694 $12,649 $28,343 
Net interest rate swaptions(33,511)(59,304)(92,815)
Futures (1)
(323,113)170,973 (152,140)
Purchase commitments— 4,870 4,870 
Total$(211,742)
(1) For the nine months ended September 30, 2024, includes ($6.8) million of realized loss related to SOFR futures options.
Nine Months Ended September 30, 2023
Derivative InstrumentsRealized Gain (Loss)Unrealized Gain (Loss)Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives$(136,452)$12,710 $(123,742)
Net interest rate swaptions(25,538)(43,627)(69,165)
Futures (1)
185,716 229,940 415,656 
Purchase commitments— (122)(122)
Credit derivatives(19,282)13,260 (6,022)
Total$216,605 
(1) For the nine months ended September 30, 2023, includes ($5.6) million of unrealized loss and ($18.9) million of realized loss related to SOFR futures options.
v3.24.3
FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis
The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023. There were no transfers between levels of the fair value hierarchy during the periods presented.
September 30, 2024
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $69,150,399 $— $69,150,399 
Credit risk transfer securities— 826,841 — 826,841 
Non-Agency mortgage-backed securities— 1,616,696 — 1,616,696 
   Commercial mortgage-backed securities— 106,241 — 106,241 
Loans
Residential mortgage loans— 2,305,613 — 2,305,613 
Mortgage servicing rights— — 2,693,057 2,693,057 
Assets transferred or pledged to securitization vehicles— 21,044,007 — 21,044,007 
Derivative assets
Interest rate swaps— 3,094 — 3,094 
Other derivatives23,256 32,721 — 55,977 
Total assets$23,256 $95,085,612 $2,693,057 $97,801,925 
Liabilities
Debt issued by securitization vehicles$— $18,709,118 $— $18,709,118 
Participations issued— 467,006 — 467,006 
U.S. Treasury securities sold, not yet purchased2,043,519 — — 2,043,519 
Derivative liabilities
Interest rate swaps— 59,297 — 59,297 
Other derivatives32,117 11,214 — 43,331 
Total liabilities$2,075,636 $19,246,635 $— $21,322,271 
December 31, 2023
 Level 1Level 2Level 3Total
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities$— $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)
September 30, 2024December 31, 2023
Discount rate
1.8% - 11.2% (7.6%)
7.0% - 12.0% (8.6%)
Prepayment rate
5.1% - 31.3% (6.1%)
4.8% - 11.0% (5.6%)
Delinquency rate
0.2% - 4.0% (1.2%)
0.2% - 4.2% (1.3%)
Cost to service
$83 - $108 ($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 September 30, 2024 and December 31, 2023.
 September 30, 2024December 31, 2023
 Carrying
Value		Fair
Value		Carrying
Value		Fair
Value
Financial liabilities
Repurchase agreements$64,310,276$64,310,276$62,201,543$62,201,543
Other secured financing600,000600,000500,000500,000
v3.24.3
INTANGIBLE ASSETS (Tables)
 9 Months Ended
Sep. 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 nine months ended September 30, 2024.
Intangible Assets, net
(dollars in thousands)
Beginning balance January 1, 2024
$12,106 
Less: amortization expense(2,018)
Ending balance September 30, 2024
$10,088 
v3.24.3
SECURED FINANCING (Tables)
 9 Months Ended
Sep. 30, 2024
Debt Disclosure [Abstract]  
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates
At September 30, 2024 and December 31, 2023, the repurchase agreements had the following remaining maturities and collateral types: 
September 30, 2024
 Agency Mortgage-Backed SecuritiesCRTsNon-Agency Mortgage-Backed SecuritiesResidential Mortgage LoansCommercial Mortgage-Backed SecuritiesTotal Repurchase Agreements
 (dollars in thousands)
1 day$24,998,317 $175,637 $41,503 $— $— $25,215,457 
2 to 29 days655,425 275,927 846,860 221,231 95,291 2,094,734 
30 to 59 days34,198,599 — 589,802 26,404 — 34,814,805 
60 to 89 days2,594,869 142,486 611,235 452,799 — 3,801,389 
90 to 119 days1,675 47,353 82,050 — — 131,078 
Over 119 days (1)
— — 364,920 566,773 — 931,693 
Total$62,448,885 $641,403 $2,536,370 $1,267,207 $95,291 $66,989,156 
Amounts offset in accordance with netting arrangements.(2,678,880)
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition.$64,310,276 
December 31, 2023
 Agency Mortgage-Backed SecuritiesCRTsNon-Agency Mortgage-Backed SecuritiesResidential Mortgage LoansCommercial Mortgage-Backed SecuritiesTotal Repurchase Agreements
 (dollars in thousands)
1 day$— $— $— $— $— $— 
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 September 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 September 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.
 September 30, 2024December 31, 2023
 Reverse Repurchase AgreementsRepurchase AgreementsReverse Repurchase AgreementsRepurchase Agreements
 (dollars in thousands)
Gross amounts$2,678,880 $66,989,156 $2,268,293 $64,469,836 
Amounts offset(2,678,880)(2,678,880)(2,268,293)(2,268,293)
Netted amounts$— $64,310,276 $— $62,201,543 
v3.24.3
CAPITAL STOCK (Tables)
 9 Months Ended
Sep. 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 September 30, 2024 and December 31, 2023.
Shares authorizedShares issued and outstanding
September 30, 2024December 31, 2023September 30, 2024December 31, 2023Par Value
Common stock
1,468,250,000 1,468,250,000 558,047,743 500,080,287 $0.01
The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at September 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)
September 30, 2024December 31, 2023September 30, 2024December 31, 2023September 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 Nine Months Ended
 September 30, 2024September 30, 2023September 30, 2024September 30, 2023
 (dollars in thousands, except per share data)
Dividends and dividend equivalents declared on common stock and share-based awards$364,914 $323,164 $1,019,527 $968,111 
Distributions declared per common share$0.65 $0.65 $1.95 $1.95 
Distributions paid to common stockholders after period end$362,731 $321,629 $362,731 $321,629 
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 endOctober 31, 2024October 31, 2023October 31, 2024October 31, 2023
Dividends declared to series F preferred stockholders$19,055 $18,956 $57,142 $54,732 
Dividends declared per share of series F preferred stock$0.662 $0.658 $1.984 $1.900 
Dividends declared to series G preferred stockholders$10,606 $10,431 $31,804 $27,362 
Dividends declared per share of series G preferred stock$0.624 $0.614 $1.871 $1.610 
Dividends declared to series I preferred stockholders$11,967 $7,467 $26,901 $22,401 
Dividends declared per share of series I preferred stock$0.676 $0.422 $1.520 $1.266 
v3.24.3
INTEREST INCOME AND INTEREST EXPENSE (Tables)
 9 Months Ended
Sep. 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 nine months ended September 30, 2024 and 2023.
 For the Three Months Ended
For the Nine Months Ended
 September 30, 2024September 30, 2023September 30, 2024September 30, 2023
Interest income(dollars in thousands)
Agency securities$789,403 $753,007 $2,331,698 $2,043,021 
Residential credit securities49,863 57,229 156,754 167,451 
Residential mortgage loans (1)
346,031 181,965 899,867 491,398 
Commercial investment portfolio (1)
2,240 5,812 8,235 24,009 
Reverse repurchase agreements41,804 3,472 104,600 15,350 
Total interest income$1,229,341 $1,001,485 $3,501,154 $2,741,229 
Interest expense  
Repurchase agreements$942,780 $917,997 $2,722,304 $2,457,996 
Debt issued by securitization vehicles234,299 116,962 596,128 307,715 
Participations issued17,834 11,860 57,841 33,352 
U.S. Treasury securities sold, not yet purchased21,027 — 64,373 — 
Total interest expense1,215,940 1,046,819 3,440,646 2,799,063 
Net interest income$13,401 $(45,334)$60,508 $(57,834)
(1) Includes assets transferred or pledged to securitization vehicles.
v3.24.3
NET INCOME (LOSS) PER COMMON SHARE (Tables)
 9 Months Ended
Sep. 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 nine months ended September 30, 2024 and 2023.
 For the Three Months Ended
For the Nine Months Ended
 September 30, 2024September 30, 2023September 30, 2024September 30, 2023
 (dollars in thousands, except per share data)
Net income (loss)$82,351 $(569,084)$538,692 $(1,247,225)
Net income (loss) attributable to noncontrolling interests15,906 (6,879)18,838 (7,797)
Net income (loss) attributable to Annaly 66,445 (562,205)519,854 (1,239,428)
Dividends on preferred stock41,628 36,854 115,847 104,495 
Net income (loss) available (related) to common stockholders$24,817 $(599,059)$404,007 $(1,343,923)
Weighted average shares of common stock outstanding-basic515,729,658 494,330,361 505,800,723 492,744,997 
Add: Effect of stock awards, if dilutive1,102,494 — 817,420 — 
Weighted average shares of common  stock outstanding-diluted516,832,152 494,330,361 506,618,143 492,744,997 
Net income (loss) per share available (related) to common share
Basic$0.05 $(1.21)$0.80 $(2.73)
Diluted$0.05 $(1.21)$0.80 $(2.73)
v3.24.3
SEGMENTS (Tables)
 9 Months Ended
Sep. 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 nine months ended September 30, 2024 and 2023:
Three Months Ended September 30, 2024
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$830,407 $396,694 $— $2,240 $1,229,341 
Interest expense885,982 328,440 — 1,518 1,215,940 
Net interest income(55,575)68,254 — 722 13,401 
Servicing and related income— — 122,583 — 122,583 
Servicing and related expense— — 12,988 — 12,988 
Net servicing income— — 109,595 — 109,595 
Other income (loss)(6,658)36,028 (33,967)1,738 (2,859)
Less: Total general and administrative expenses16,154 13,868 8,876 5,023 43,921 
Income (loss) before income taxes(78,387)90,414 66,752 (2,563)76,216 
Income taxes23 (8,263)2,126 (21)(6,135)
Net income (loss)(78,410)98,677 64,626 (2,542)82,351 
Less: Net income (loss) attributable to noncontrolling interest— 15,906 — — 15,906 
Net income (loss) attributable to Annaly(78,410)82,771 64,626 (2,542)66,445 
Dividends on preferred stock— — — 41,628 41,628 
Net income (loss) available (related) to common stockholders(78,410)82,771 64,626 (44,170)24,817 
Unrealized gains (losses) on available-for-sale securities428,955 — — — 428,955 
Reclassification adjustment for net (gains) losses included in net income (loss)15,769 — — — 15,769 
Other comprehensive income (loss)444,724 — — — 444,724 
Comprehensive income (loss)366,314 98,677 64,626 (2,542)527,075 
Comprehensive income (loss) attributable to noncontrolling interests— 15,906 — — 15,906 
Comprehensive income (loss) attributable to Annaly$366,314 $82,771 $64,626 $(2,542)$511,169 
Noncash investing and financing activities:
Receivable for unsettled trades727,124 — 39,217 — 766,341 
Payable for unsettled trades1,811,196 — 74,090 — 1,885,286 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment444,724 — — — 444,724 
Dividends declared, not yet paid— — — 362,731 362,731 
Total assets
Total assets$71,699,019 $26,235,097 $3,371,113 $210,766 $101,515,995 
Three Months Ended September 30, 2023
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$756,479 $239,194 $— $5,812 $1,001,485 
Interest expense849,422 193,271 — 4,126 1,046,819 
Net interest income(92,943)45,923 — 1,686 (45,334)
Servicing and related income— — 97,620 — 97,620 
Servicing and related expense— — 9,623 — 9,623 
Net servicing income— — 87,997 — 87,997 
Other income (loss)(528,640)(12,974)(21,870)4,038 (559,446)
Less: Total general and administrative expenses14,576 12,195 7,657 5,481 39,909 
Income (loss) before income taxes(636,159)20,754 58,470 243 (556,692)
Income taxes727 5,985 5,858 (178)12,392 
Net income (loss)(636,886)14,769 52,612 421 (569,084)
Less: Net income (loss) attributable to noncontrolling interest— (6,879)— — (6,879)
Net income (loss) attributable to Annaly(636,886)21,648 52,612 421 (562,205)
Dividends on preferred stock— — — 36,854 36,854 
Net income (loss) available (related) to common stockholders(636,886)21,648 52,612 (36,433)(599,059)
Unrealized gains (losses) on available-for-sale securities(825,286)— — — (825,286)
Reclassification adjustment for net (gains) losses included in net income (loss)513,041 — — — 513,041 
Other comprehensive income (loss)(312,245)— — — (312,245)
Comprehensive income (loss)(949,131)14,769 52,612 421 (881,329)
Comprehensive income (loss) attributable to noncontrolling interests— (6,879)— — (6,879)
Comprehensive income (loss) attributable to Annaly$(949,131)$21,648 $52,612 $421 $(874,450)
Noncash investing and financing activities:
Receivable for unsettled trades1,039,173 — 8,393 — 1,047,566 
Payable for unsettled trades2,144,692 1,546 38,231 29,850 2,214,319 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment(312,245)— — — (312,245)
Dividends declared, not yet paid— — — 321,629 321,629 
Total assets
Total assets$70,047,768 $16,616,765 $2,647,052 $336,838 $89,648,423 
Nine Months Ended September 30, 2024
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$2,433,672 $1,059,247 $— $8,235 $3,501,154 
Interest expense2,563,077 872,118 — 5,451 3,440,646 
Net interest income(129,405)187,129 — 2,784 60,508 
Servicing and related income— — 358,182 — 358,182 
Servicing and related expense— — 37,821 — 37,821 
Net servicing income— — 320,361 — 320,361 
Other income (loss)109,384 189,851 (12,513)3,336 290,058 
Less: Total general and administrative expenses47,604 39,690 25,977 14,111 127,382 
Income (loss) before income taxes(67,625)337,290 281,871 (7,991)543,545 
Income taxes748 (9,966)14,195 (124)4,853 
Net income (loss)(68,373)347,256 267,676 (7,867)538,692 
Less: Net income (loss) attributable to noncontrolling interest— 18,838 — — 18,838 
Net income (loss) attributable to Annaly(68,373)328,418 267,676 (7,867)519,854 
Dividends on preferred stock— — — 115,847 115,847 
Net income (loss) available (related) to common stockholders(68,373)328,418 267,676 (123,714)404,007 
Unrealized gains (losses) on available-for-sale securities92,843 — — — 92,843 
Reclassification adjustment for net (gains) losses included in net income (loss)530,354 — — — 530,354 
Other comprehensive income (loss)623,197 — — — 623,197 
Comprehensive income (loss)554,824 347,256 267,676 (7,867)1,161,889 
Comprehensive income (loss) attributable to noncontrolling interests— 18,838 — — 18,838 
Comprehensive income (loss) attributable to Annaly$554,824 $328,418 $267,676 $(7,867)$1,143,051 
Noncash investing and financing activities:
Receivable for unsettled trades727,124 — 39,217 — 766,341 
Payable for unsettled trades1,811,196 — 74,090 — 1,885,286 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment623,197 — — — 623,197 
Dividends declared, not yet paid— — — 362,731 362,731 
Total assets
Total assets$71,699,019 $26,235,097 $3,371,113 $210,766 $101,515,995 
Nine Months Ended September 30, 2023
 AgencyResi-creditMSRCorporate & OtherConsolidated
(dollars in thousands)
Interest income$2,058,371 $658,849 $— $24,009 $2,741,229 
Interest expense2,279,586 504,011 — 15,466 2,799,063 
Net interest income(221,215)154,838 — 8,543 (57,834)
Servicing and related income— — 265,683 — 265,683 
Servicing and related expense— — 26,433 — 26,433 
Net servicing income— — 239,250 — 239,250 
Other income (loss)(1,415,438)91,439 61,314 (4,602)(1,267,287)
Less: Total general and administrative expenses44,401 36,757 22,210 20,284 123,652 
Income (loss) before income taxes(1,681,054)209,520 278,354 (16,343)(1,209,523)
Income taxes1,213 14,034 22,706 (251)37,702 
Net income (loss)(1,682,267)195,486 255,648 (16,092)(1,247,225)
Less: Net income (loss) attributable to noncontrolling interest— (7,797)— — (7,797)
Net income (loss) attributable to Annaly(1,682,267)203,283 255,648 (16,092)(1,239,428)
Dividends on preferred stock— — — 104,495 104,495 
Net income (loss) available (related) to common stockholders(1,682,267)203,283 255,648 (120,587)(1,343,923)
Unrealized gains (losses) on available-for-sale securities(443,957)— — — (443,957)
Reclassification adjustment for net (gains) losses included in net income (loss)1,458,077 — — — 1,458,077 
Other comprehensive income (loss)1,014,120 — — — 1,014,120 
Comprehensive income (loss)(668,147)195,486 255,648 (16,092)(233,105)
Comprehensive income (loss) attributable to noncontrolling interests— (7,797)— — (7,797)
Comprehensive income (loss) attributable to Annaly$(668,147)$203,283 $255,648 $(16,092)$(225,308)
Noncash investing and financing activities:
Receivable for unsettled trades1,039,173 — 8,393 — 1,047,566 
Payable for unsettled trades2,144,692 1,546 38,231 29,850 2,214,319 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment1,014,120 — — — 1,014,120 
Dividends declared, not yet paid— — — 321,629 321,629 
Total assets
Total assets$70,047,768 $16,616,765 $2,647,052 $336,838 $89,648,423 
v3.24.3
LEASE COMMITMENTS AND CONTINGENCIES (Tables)
 9 Months Ended
Sep. 30, 2024
Leases [Abstract]  
Supplemental Information Regarding Leases
Supplemental information related to leases as of and for the nine months ended September 30, 2024 was as follows:
Operating LeasesClassificationSeptember 30, 2024
Assets(dollars in thousands)
Operating lease right-of-use assetsOther assets$3,660 
Liabilities
Operating lease liabilities (1)
Other liabilities$4,585 
Lease term and discount rate
Weighted average remaining lease term1.4 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$3,080 
(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)$1,027 
20253,149 
2026261 
2027269 
202822 
Later years— 
Total lease payments$4,728 
Less imputed interest143 
Present value of lease liabilities$4,585 
v3.24.3
DESCRIPTION OF BUSINESS (Details)
Sep. 30, 2024
investmentGroup
Accounting Policies [Abstract]  
Number of investment groups 3
v3.24.3
SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($)
$ in Billions
Sep. 30, 2024
Dec. 31, 2023
Interest rate swaps, at fair value    
Derivative Instruments and Hedging Activities Disclosures [Line Items]    
Margin deposit assets $ 1.2 $ 1.1
v3.24.3
FINANCIAL INSTRUMENTS (Details) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Sep. 30, 2023
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets $ 101,515,995 $ 93,227,236 [1] $ 89,648,423
Liabilities 88,976,046 81,882,145 [1]  
Total securities      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 71,700,177 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 9,579,247 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 59,571,152 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 826,841 974,059  
Non-agency mortgage-backed securities      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 1,616,696 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 106,241 222,444  
Residential mortgage loans      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 2,305,613 2,353,084  
Residential mortgage loans      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Assets 21,044,007 13,307,622  
Repurchase agreements      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Liabilities 64,310,276 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 18,709,118 11,600,338  
Participations issued      
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items]      
Liabilities 467,006 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 $ 2,043,519 $ 2,132,751  
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
SECURITIES - Narrative (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Debt Securities, Available-for-sale [Line Items]        
Unrealized gains (losses) on agency mortgage-backed securities $ 1,723,713 $ (2,713,126) $ 160,841 $ (4,020,362)
Residential Investment securities sold, carrying value 2,800,000 6,900,000 16,000,000 20,500,000
Agency        
Debt Securities, Available-for-sale [Line Items]        
Unrealized gains (losses) on agency mortgage-backed securities $ 1,700,000 $ (2,000,000) $ 762,800 $ (2,400,000)
v3.24.3
SECURITIES - Summary of Residential Securities and CMBS (Details)
$ in Thousands
 9 Months Ended
Sep. 30, 2024
USD ($)
Debt Securities, Available-For-Sale [Roll Forward]  
Beginning balance January 1, 2024 $ 69,613,565 [1],[2]
Purchases 21,617,905
Sales (16,152,735)
Principal paydowns (4,890,394)
(Amortization) / accretion (90,083)
Fair value adjustment 1,601,919
Ending balance September 30, 2024 71,700,177 [2]
Agency Securities  
Debt Securities, Available-For-Sale [Roll Forward]  
Beginning balance January 1, 2024 66,308,788
Purchases 21,102,716
Sales (15,307,569)
Principal paydowns (4,338,657)
(Amortization) / accretion (92,290)
Fair value adjustment 1,477,411
Ending balance September 30, 2024 69,150,399
Residential Credit Securities  
Debt Securities, Available-For-Sale [Roll Forward]  
Beginning balance January 1, 2024 3,082,333
Purchases 515,189
Sales (737,702)
Principal paydowns (541,052)
(Amortization) / accretion 1,672
Fair value adjustment 123,097
Ending balance September 30, 2024 2,443,537
Commercial Securities  
Debt Securities, Available-For-Sale [Roll Forward]  
Beginning balance January 1, 2024 222,444
Purchases 0
Sales (107,464)
Principal paydowns (10,685)
(Amortization) / accretion 535
Fair value adjustment 1,411
Ending balance September 30, 2024 $ 106,241
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
[2]
(3)Excludes $2.0 billion and $1.5 billion at September 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
v3.24.3
SECURITIES - Portfolio (Details) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional $ 105,424,129 $ 96,221,329
Remaining Premium 2,384,340 2,378,411
Remaining Discount (1,259,552) (1,449,850)
Amortized Cost 71,716,117 71,231,784
Unrealized Gains 1,105,399 612,427
Unrealized Losses (1,121,339) (2,230,646)
Estimated Fair Value [1] 71,700,177 69,613,565 [2]
Total residential securities    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 105,318,085 95,996,732
Remaining Premium 2,384,197 2,378,396
Remaining Discount (1,259,545) (1,449,028)
Amortized Cost 71,609,937 71,007,994
Unrealized Gains 1,105,303 612,408
Unrealized Losses (1,121,304) (2,229,281)
Estimated Fair Value 71,593,936 69,391,121
Agency    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 91,624,518 82,895,356
Remaining Premium 2,278,964 2,287,261
Remaining Discount (1,176,387) (1,328,751)
Amortized Cost 69,238,513 67,874,312
Unrealized Gains 1,005,022 535,689
Unrealized Losses (1,093,136) (2,101,213)
Estimated Fair Value 69,150,399 66,308,788
Agency | Fixed-rate pass-through    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 64,672,312 63,444,987
Remaining Premium 1,321,720 1,448,886
Remaining Discount (1,166,717) (1,318,948)
Amortized Cost 64,827,315 63,574,925
Unrealized Gains 895,219 477,242
Unrealized Losses (929,577) (1,853,226)
Estimated Fair Value 64,792,957 62,198,941
Agency | Adjustable-rate pass-through    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 164,775 188,996
Remaining Premium 12,563 15,834
Remaining Discount (44) (51)
Amortized Cost 177,294 204,779
Unrealized Gains 2,266 1,663
Unrealized Losses (10,226) (14,953)
Estimated Fair Value 169,334 191,489
Agency | CMO    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 89,286 94,448
Remaining Premium 1,481 1,612
Remaining Discount 0 0
Amortized Cost 90,767 96,060
Unrealized Gains 0 0
Unrealized Losses (11,363) (13,088)
Estimated Fair Value 79,404 82,972
Agency | Interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 2,878,756 2,010,697
Remaining Premium 455,715 416,955
Remaining Discount 0 0
Amortized Cost 455,715 416,955
Unrealized Gains 33,559 4,729
Unrealized Losses (109,636) (157,679)
Estimated Fair Value 379,638 264,005
Agency | Multifamily    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 23,793,890 17,130,045
Remaining Premium 484,760 400,781
Remaining Discount (9,626) (9,752)
Amortized Cost 3,659,198 3,552,217
Unrealized Gains 73,978 52,055
Unrealized Losses (30,916) (59,744)
Estimated Fair Value 3,702,260 3,544,528
Agency | Reverse mortgages    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 25,499 26,183
Remaining Premium 2,725 3,193
Remaining Discount 0 0
Amortized Cost 28,224 29,376
Unrealized Gains 0 0
Unrealized Losses (1,418) (2,523)
Estimated Fair Value 26,806 26,853
Agency | Multifamily interest-only security    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 20,600,000 14,000,000
Residential credit    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 13,693,567 13,101,376
Remaining Premium 105,233 91,135
Remaining Discount (83,158) (120,277)
Amortized Cost 2,371,424 3,133,682
Unrealized Gains 100,281 76,719
Unrealized Losses (28,168) (128,068)
Estimated Fair Value 2,443,537 3,082,333
Residential credit | Credit risk transfer    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 772,924 924,729
Remaining Premium 1,712 2,240
Remaining Discount (3,707) (4,358)
Amortized Cost 770,929 922,611
Unrealized Gains 56,019 51,984
Unrealized Losses (107) (536)
Estimated Fair Value 826,841 974,059
Residential credit | Alt-A    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 172,368 164,384
Remaining Premium 36 9
Remaining Discount (1,810) (3,922)
Amortized Cost 170,594 160,471
Unrealized Gains 4,357 2,135
Unrealized Losses (6,656) (12,371)
Estimated Fair Value 168,295 150,235
Residential credit | Prime    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 1,462,881 1,076,497
Remaining Premium 15,842 8,590
Remaining Discount (10,302) (21,163)
Amortized Cost 32,195 207,077
Unrealized Gains 3,304 1,704
Unrealized Losses (536) (28,134)
Estimated Fair Value 34,963 180,647
Residential credit | Subprime    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 287,667 272,955
Remaining Premium 13 0
Remaining Discount (30,510) (31,751)
Amortized Cost 257,170 241,204
Unrealized Gains 9,785 5,622
Unrealized Losses (9,163) (11,221)
Estimated Fair Value 257,792 235,605
Residential credit | NPL/RPL    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 996,780 1,237,531
Remaining Premium 5,380 8,336
Remaining Discount (6,252) (9,224)
Amortized Cost 995,908 1,236,643
Unrealized Gains 5,265 4,578
Unrealized Losses (7,925) (43,666)
Estimated Fair Value 993,248 1,197,555
Residential credit | Prime jumbo (>=2010 vintage)    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 10,000,947 9,425,280
Remaining Premium 82,250 71,960
Remaining Discount (30,577) (49,859)
Amortized Cost 144,628 365,676
Unrealized Gains 21,551 10,696
Unrealized Losses (3,781) (32,140)
Estimated Fair Value 162,398 344,232
Residential credit | Prime interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 1,400,000 900,000
Residential credit | Prime jumbo interest-only    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 9,900,000 9,100,000
Commercial Securities    
Mortgage-Backed Securities Portfolio [Line Items]    
Principal / Notional 106,044 224,597
Remaining Premium 143 15
Remaining Discount (7) (822)
Amortized Cost 106,180 223,790
Unrealized Gains 96 19
Unrealized Losses (35) (1,365)
Estimated Fair Value $ 106,241 $ 222,444
[1]
(3)Excludes $2.0 billion and $1.5 billion at September 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
[2]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - Agency Mortgage-Backed Securities - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Mortgage-Backed Securities Portfolio [Line Items]    
Total $ 69,150,399 $ 66,308,788
Fannie Mae    
Mortgage-Backed Securities Portfolio [Line Items]    
Total 64,332,620 60,477,303
Freddie Mac    
Mortgage-Backed Securities Portfolio [Line Items]    
Total 4,711,281 5,778,809
Ginnie Mae    
Mortgage-Backed Securities Portfolio [Line Items]    
Total $ 106,498 $ 52,676
v3.24.3
SECURITIES - Weighted Average Life (Details) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Amortized Cost    
Amortized Cost $ 71,716,117 $ 71,231,784
Total residential securities    
Estimated Fair Value    
Less than one year 372,457 254,753
Greater than one year through five years 14,058,665 5,159,969
Greater than five years through ten years 55,842,923 62,158,711
Greater than ten years 1,319,891 1,817,688
Estimated Fair Value 71,593,936 69,391,121
Amortized Cost    
Less than one year 373,090 257,170
Greater than one year through five years 13,842,110 5,213,575
Greater than five years through ten years 56,074,367 63,662,144
Greater than ten years 1,320,370 1,875,105
Amortized Cost $ 71,609,937 $ 71,007,994
v3.24.3
SECURITIES - Unrealized Loss Position (Details)
$ in Thousands
Sep. 30, 2024
USD ($)
security
Dec. 31, 2023
USD ($)
security
Unrealized Loss Position For:    
Estimated Fair Value [1] $ 71,700,177 $ 69,613,565 [2]
Gross Unrealized Losses (1,121,339) (2,230,646)
Agency Mortgage-Backed Securities    
Unrealized Loss Position For:    
Estimated Fair Value 9,403,256 15,490,571
Gross Unrealized Losses $ (718,345) $ (1,340,450)
Number of Securities | security 1,440 1,763
Agency Mortgage-Backed Securities | Less than 12 months    
Unrealized Loss Position For:    
Estimated Fair Value $ 13,122 $ 35,453
Gross Unrealized Losses $ (638) $ (418)
Number of Securities | security 11 16
Agency Mortgage-Backed Securities | 12 Months or more    
Unrealized Loss Position For:    
Estimated Fair Value $ 9,390,134 $ 15,455,118
Gross Unrealized Losses $ (717,707) $ (1,340,032)
Number of Securities | security 1,429 1,747
[1]
(3)Excludes $2.0 billion and $1.5 billion at September 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
[2]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
SECURITIES - Realized Gain (Loss) (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]        
Gross Realized Gains $ 26,983 $ 10,048 $ 67,209 $ 23,813
Gross Realized Losses (35,258) (612,665) (888,683) (1,747,514)
Net Realized Gains (Losses) $ (8,275) $ (602,617) $ (821,474) $ (1,723,701)
v3.24.3
LOANS - Narrative (Details) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Sep. 30, 2023
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]      
Assets $ 101,515,995 $ 93,227,236 [1] $ 89,648,423
Residential Mortgage Loans      
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]      
Assets 2,300,000 2,400,000  
Loans held-for-sale $ 800 $ 1,200  
Percent of adjustable-rate loans 15.00% 11.00%  
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
LOANS - Investment Loan Activity (Details)
$ in Thousands
 9 Months Ended
Sep. 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 9,329,964
Sales and transfers (9,287,090)
Principal payments (103,691)
Gains / (losses) 25,189
(Amortization) / accretion (11,843)
Ending balance September 30, 2024 2,305,613 [2]
Transfer of residential loans to securitization vehicles, carrying value $ 8,800,000
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
[2]
(4)Includes $0.8 million and $1.2 million of residential mortgage loans held for sale at September 30, 2024 and December 31, 2023, respectively.
v3.24.3
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage Loans - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Fair value $ 23,349,620 $ 15,660,706
Unpaid principal balance $ 23,711,456 $ 16,611,204
v3.24.3
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]        
Interest income $ 13,401 $ (45,334) $ 60,508 $ (57,834)
Net income (loss) attributable to Annaly 66,445 (562,205) 519,854 (1,239,428)
Residential Mortgage Loans        
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]        
Interest income 346,031 181,965 899,867 491,397
Net gains (losses) on disposal of investments 1,535 (1,087) (1,810) (3,358)
Net unrealized gains (losses) on instruments measured at fair value through earnings 558,161 (418,776) 469,462 (326,096)
Net income (loss) attributable to Annaly $ 905,727 $ (237,898) $ 1,367,519 $ 161,943
v3.24.3
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk
 9 Months Ended 12 Months Ended
Sep. 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 38.30% 40.10%
New York    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Geographic Concentrations of Residential Mortgage Loans 10.90% 10.50%
Florida    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Geographic Concentrations of Residential Mortgage Loans 10.60% 10.60%
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 34.60% 33.20%
v3.24.3
LOANS - Additional Data On Residential Mortgage Loans (Details) - Residential Mortgage Loans
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 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 $ 23,711,456 $ 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 18.00% 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 $ 475 $ 477
Interest rate 6.31% 5.63%
FICO score at loan origination | point 758 758
Loan-to-value ratio at loan origination 68.00% 68.00%
v3.24.3
MORTGAGE SERVICING RIGHTS (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Servicing Asset at Fair Value, Amount [Roll Forward]        
Fair value, beginning of period $ 2,785,614 $ 2,018,896 $ 2,122,196 $ 1,748,209
Purchases 64,750 185,299 701,377 399,450
Sales (68,635) 0 (69,703) 0
Changes in valuation inputs or assumptions (42,752) 62,315 63,286 172,845
Other changes, including realization of expected cash flows (45,920) (31,697) (124,099) (85,691)
Fair value, end of period $ 2,693,057 $ 2,234,813 $ 2,693,057 $ 2,234,813
v3.24.3
VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Dec. 31, 2023
Variable Interest Entity [Line Items]          
Securitized debt of consolidated VIEs $ 18,709,118   $ 18,709,118   $ 11,600,338 [1]
Costs incurred in connection with securitization 43,921 $ 39,909 127,382 $ 123,652  
Securitized debt of consolidated VIE, unrealized gain (loss) (430,400) (339,600) 294,900 213,500  
Participations issued 467,006   467,006   1,103,835 [1]
Consolidated VIEs          
Variable Interest Entity [Line Items]          
Exposure to obligations of VIEs 2,100,000   2,100,000    
Securitized debt of consolidated VIEs 18,700,000   18,700,000   11,600,000
Costs incurred in connection with securitization 5,000 $ 1,900      
Contractual principal amount of debt held by third parties 19,300,000   19,300,000   12,600,000
Consolidated VIEs | OBX Trust          
Variable Interest Entity [Line Items]          
Costs incurred in connection with securitization     14,000 $ 5,900  
Consolidated VIEs | Consolidation, Eliminations          
Variable Interest Entity [Line Items]          
Mortgage-backed securities 2,100,000   2,100,000   1,400,000
VIE, Not Primary Beneficiary          
Variable Interest Entity [Line Items]          
Participations issued $ 500,000   $ 500,000   $ 1,100,000
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
VARIABLE INTEREST ENTITIES - Schedule of the Fair Value of OBX Trusts Closed (Details) - Consolidated VIEs - USD ($)
$ in Thousands
Sep. 30, 2024
Aug. 31, 2024
Jul. 31, 2024
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          
OBX 2024-NQM10                  
Variable Interest Entity [Line Items]                  
Face Value at Closing     $ 482,526            
OBX 2024-NQM11                  
Variable Interest Entity [Line Items]                  
Face Value at Closing     $ 602,981            
OBX 2024-NQM12                  
Variable Interest Entity [Line Items]                  
Face Value at Closing   $ 532,193              
OBX 2024-NQM13                  
Variable Interest Entity [Line Items]                  
Face Value at Closing $ 582,213                
OBX 2024-J1                  
Variable Interest Entity [Line Items]                  
Face Value at Closing 357,801                
OBX 2024-NQM14                  
Variable Interest Entity [Line Items]                  
Face Value at Closing $ 600,909                
v3.24.3
DERIVATIVE INSTRUMENTS - Narrative (Details) - USD ($)
$ in Millions
Sep. 30, 2024
Dec. 31, 2023
Derivative [Line Items]    
Aggregate fair value of derivative instruments in a net liability position $ 42.2  
Interest rate swaps, at fair value    
Derivative [Line Items]    
Variation margin $ (1,800.0) $ (2,400.0)
v3.24.3
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Assets    
Total derivative assets $ 59,071 $ 162,557 [1]
Liabilities    
Interest rate swaps 59,297 83,051
Total derivative liabilities 102,628 302,295 [1]
Futures contracts    
Assets    
Other derivative assets 23,256 0
Total derivative assets 23,256  
Liabilities    
Other derivative liabilities 32,117 179,835
Total derivative liabilities 32,117 179,835
Purchase commitments    
Assets    
Other derivative assets 16,784 9,641
Total derivative assets 16,784 9,641
Liabilities    
Other derivative liabilities 2,613 339
Total derivative liabilities 2,613 339
Interest rate swaps    
Assets    
Interest rate swaps 3,094 26,344
Total derivative assets 3,094 26,344
Liabilities    
Total derivative liabilities 59,297 83,051
Interest rate swaptions    
Assets    
Other derivative assets 13,068 105,883
Total derivative assets 13,068 105,883
TBA derivatives    
Assets    
Other derivative assets 2,869 20,689
Total derivative assets 2,869 20,689
Liabilities    
Other derivative liabilities 8,601 39,070
Total derivative liabilities $ 8,601 $ 39,070
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - Interest rate swaps, at fair value - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2024
Dec. 31, 2023
Derivative [Line Items]    
Current Notional $ 55,145,571 $ 58,829,554
Weighted Average Pay Rate 3.05% 3.04%
Weighted Average Receive Rate 4.94% 5.31%
Weighted Average Years to Maturity 5 years 29 days 5 years 4 months 9 days
Federal funds index swap    
Derivative [Line Items]    
Notional amount, percentage 7.00% 6.00%
Secured Overnight Financing Rate    
Derivative [Line Items]    
Notional amount, percentage 93.00% 94.00%
0 - 3 years    
Derivative [Line Items]    
Minimum maturity period 0 years 0 years
Maximum maturity period 3 years 3 years
Current Notional $ 19,961,229 $ 21,397,358
Weighted Average Pay Rate 3.33% 3.17%
Weighted Average Receive Rate 4.95% 5.26%
Weighted Average Years to Maturity 1 year 18 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 $ 13,510,021 $ 12,461,799
Weighted Average Pay Rate 3.10% 3.09%
Weighted Average Receive Rate 4.94% 5.37%
Weighted Average Years to Maturity 4 years 7 months 13 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 $ 20,114,937 $ 22,949,150
Weighted Average Pay Rate 2.77% 2.85%
Weighted Average Receive Rate 4.95% 5.34%
Weighted Average Years to Maturity 7 years 11 months 19 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 3.44% 3.53%
Weighted Average Receive Rate 4.84% 5.27%
Weighted Average Years to Maturity 23 years 6 months 22 years 8 months 15 days
v3.24.3
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2024
Dec. 31, 2023
Long pay    
Derivative [Line Items]    
Current Underlying Notional $ 250,000 $ 1,250,000
Weighted Average Underlying Fixed Rate 2.40% 2.21%
Weighted Average Underlying Years to Maturity 5 years 10 days 7 years 8 months 8 days
Weighted Average Months to Expiration 7 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
v3.24.3
DERIVATIVE INSTRUMENTS - Summary of Purchase and Sale Contracts for TBA Derivatives (Details) - TBA derivatives - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2024
Dec. 31, 2023
Derivative [Line Items]    
Notional $ 3,319,000 $ 503,000
Implied Cost Basis 3,333,873 (555,221)
Implied Market Value 3,328,141 (573,602)
Net Carrying Value (5,732) (18,381)
Purchase contracts    
Derivative [Line Items]    
Notional 3,319,000 988,000
Implied Cost Basis 3,333,873 920,626
Implied Market Value 3,328,141 915,790
Net Carrying Value $ (5,732) (4,836)
Sale contracts    
Derivative [Line Items]    
Notional   (1,491,000)
Implied Cost Basis   (1,475,847)
Implied Market Value   (1,489,392)
Net Carrying Value   $ (13,545)
v3.24.3
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2024
Dec. 31, 2023
Futures contracts    
Derivative [Line Items]    
Weighted Average Underlying Years to Maturity 3 years 7 months 13 days 5 years 1 month 17 days
Futures contracts | Notional - Long Positions    
Derivative [Line Items]    
Current notional $ 3,967,300 $ 0
Futures contracts | Notional - Short Positions    
Derivative [Line Items]    
Current notional $ 19,078,700 $ 6,735,000
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 8 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 $ 16,793,200 $ 5,001,400
U.S. Treasury futures - 5 year    
Derivative [Line Items]    
Maturity period 5 years  
Weighted Average Underlying Years to Maturity 4 years 4 months 20 days  
U.S. Treasury futures - 5 year | Notional - Long Positions    
Derivative [Line Items]    
Current notional $ 3,346,000  
U.S. Treasury futures - 5 year | Notional - Short Positions    
Derivative [Line Items]    
Current notional $ 0  
U.S. Treasury futures - 10 year and greater    
Derivative [Line Items]    
Maturity period 10 years 10 years
Weighted Average Underlying Years to Maturity 12 years 4 months 28 days 14 years 3 months 3 days
U.S. Treasury futures - 10 year and greater | Notional - Long Positions    
Derivative [Line Items]    
Current notional $ 621,300 $ 0
U.S. Treasury futures - 10 year and greater | Notional - Short Positions    
Derivative [Line Items]    
Current notional $ 2,285,500 $ 1,733,600
v3.24.3
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Assets    
Gross Amounts $ 59,071 $ 162,557 [1]
Liabilities    
Gross Amounts 102,628 302,295 [1]
Futures contracts, at fair value    
Assets    
Gross Amounts 23,256  
Financial Instruments (20,305)  
Cash Collateral 0  
Net Amounts 2,951  
Liabilities    
Gross Amounts 32,117 179,835
Financial Instruments (20,305) 0
Cash Collateral (11,812) (179,835)
Net Amounts 0 0
Other derivative assets 23,256 0
Other derivative liabilities 32,117 179,835
Purchase commitments    
Assets    
Gross Amounts 16,784 9,641
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 16,784 9,641
Liabilities    
Gross Amounts 2,613 339
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 2,613 339
Other derivative assets 16,784 9,641
Other derivative liabilities 2,613 339
Interest rate swaps, at fair value    
Assets    
Gross Amounts 3,094 26,344
Financial Instruments 0 (21,505)
Cash Collateral 0 0
Net Amounts 3,094 4,839
Liabilities    
Gross Amounts 59,297 83,051
Financial Instruments (48,713) (72,844)
Cash Collateral 0 0
Net Amounts 10,584 10,207
Interest rate swaptions, at fair value    
Assets    
Gross Amounts 13,068 105,883
Financial Instruments 0 (45,930)
Cash Collateral (11,100) (57,320)
Net Amounts 1,968 2,633
Liabilities    
Other derivative assets 13,068 105,883
TBA derivatives, at fair value    
Assets    
Gross Amounts 2,869 20,689
Financial Instruments (2,660) (13,282)
Cash Collateral 0 0
Net Amounts 209 7,407
Liabilities    
Gross Amounts 8,601 39,070
Financial Instruments (6,972) (34,525)
Cash Collateral 0 0
Net Amounts 1,629 4,545
Other derivative assets 2,869 20,689
Other derivative liabilities $ 8,601 $ 39,070
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]        
Net Interest Component of Interest Rate Swaps $ 317,483 $ 394,677 $ 946,004 $ 1,205,676
Realized Gains (Losses) on Termination of Interest Rate Swaps (94,016) 16,416 (96,532) (81,255)
Unrealized Gain (Loss) $ (1,582,495) $ 1,475,547 $ (584,109) $ 1,360,977
v3.24.3
DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Derivative [Line Items]        
Unrealized Gain (Loss) $ (1,582,495) $ 1,475,547 $ (584,109) $ 1,360,977
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (394,982) 240,790 (211,742) 216,605
Futures        
Derivative [Line Items]        
Realized Gain (Loss) (362,660) 309,397 (323,113) 185,716
Unrealized Gain (Loss) 71,146 131,578 170,973 229,940
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (291,514) 440,975 (152,140) 415,656
Futures | Secured Overnight Financing Rate (SOFR)        
Derivative [Line Items]        
Realized Gain (Loss)   (18,900) (6,800) (18,900)
Unrealized Gain (Loss)     (5,600) 13,200
Purchase commitments        
Derivative [Line Items]        
Realized Gain (Loss) 0 0 0 0
Unrealized Gain (Loss) 9,124 2,457 4,870 (122)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives 9,124 2,457 4,870 (122)
Net TBA derivatives        
Derivative [Line Items]        
Realized Gain (Loss) 40,561 (81,964) 15,694 (136,452)
Unrealized Gain (Loss) (18,181) (41,777) 12,649 12,710
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives 22,380 (123,741) 28,343 (123,742)
Net interest rate swaptions        
Derivative [Line Items]        
Realized Gain (Loss) (21,180) (27,860) (33,511) (25,538)
Unrealized Gain (Loss) (113,792) (51,041) (59,304) (43,627)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives $ (134,972) $ (78,901) $ (92,815) (69,165)
Credit derivatives        
Derivative [Line Items]        
Realized Gain (Loss)       (19,282)
Unrealized Gain (Loss)       13,260
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives       $ (6,022)
v3.24.3
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Sep. 30, 2024
Jun. 30, 2024
Dec. 31, 2023
Sep. 30, 2023
Jun. 30, 2023
Dec. 31, 2022
Loans            
Mortgage servicing rights $ 2,693,057 $ 2,785,614 $ 2,122,196 $ 2,234,813 $ 2,018,896 $ 1,748,209
Derivative assets            
Interest rate swaps 59,071   162,557 [1]      
Liabilities            
Participations issued 467,006   1,103,835 [1]      
U.S. Treasury securities sold, not yet purchased 2,043,519   2,132,751 [1]      
Derivative liabilities            
Interest rate swaps 59,297   83,051      
Residential mortgage loans            
Loans            
Residential mortgage loans 23,349,620   15,660,706      
Fair Value, Measurements, Recurring            
Assets            
Agency mortgage-backed securities 69,150,399   66,308,788      
Credit risk transfer securities 826,841   974,059      
Loans            
Mortgage servicing rights 2,693,057   2,122,196      
Derivative assets            
Other derivatives 55,977   136,213      
Total assets 97,801,925   87,559,024      
Liabilities            
Debt issued by securitization vehicles 18,709,118   11,600,338      
Participations issued 467,006   1,103,835      
U.S. Treasury securities sold, not yet purchased 2,043,519   2,132,751      
Derivative liabilities            
Interest rate swaps 59,297   83,051      
Other derivatives 43,331   219,244      
Total liabilities 21,322,271   15,139,219      
Fair Value, Measurements, Recurring | Assets transferred or pledged to securitization vehicles            
Loans            
Assets transferred or pledged to securitization vehicles 21,044,007   13,307,622      
Fair Value, Measurements, Recurring | Non-Agency mortgage-backed securities            
Assets            
Mortgage-backed securities 1,616,696   2,108,274      
Fair Value, Measurements, Recurring | Commercial mortgage-backed securities            
Assets            
Mortgage-backed securities 106,241   222,444      
Fair Value, Measurements, Recurring | Residential mortgage loans            
Loans            
Residential mortgage loans 2,305,613   2,353,084      
Fair Value, Measurements, Recurring | Interest rate swaps            
Derivative assets            
Interest rate swaps 3,094   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 23,256   0      
Total assets 23,256   0      
Liabilities            
Debt issued by securitization vehicles 0   0      
Participations issued 0   0      
U.S. Treasury securities sold, not yet purchased 2,043,519   2,132,751      
Derivative liabilities            
Interest rate swaps 0   0      
Other derivatives 32,117   179,835      
Total liabilities 2,075,636   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 69,150,399   66,308,788      
Credit risk transfer securities 826,841   974,059      
Loans            
Mortgage servicing rights 0   0      
Derivative assets            
Other derivatives 32,721   136,213      
Total assets 95,085,612   85,436,828      
Liabilities            
Debt issued by securitization vehicles 18,709,118   11,600,338      
Participations issued 467,006   1,103,835      
U.S. Treasury securities sold, not yet purchased 0   0      
Derivative liabilities            
Interest rate swaps 59,297   83,051      
Other derivatives 11,214   39,409      
Total liabilities 19,246,635   12,826,633      
Fair Value, Measurements, Recurring | Level 2 | Assets transferred or pledged to securitization vehicles            
Loans            
Assets transferred or pledged to securitization vehicles 21,044,007   13,307,622      
Fair Value, Measurements, Recurring | Level 2 | Non-Agency mortgage-backed securities            
Assets            
Mortgage-backed securities 1,616,696   2,108,274      
Fair Value, Measurements, Recurring | Level 2 | Commercial mortgage-backed securities            
Assets            
Mortgage-backed securities 106,241   222,444      
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans            
Loans            
Residential mortgage loans 2,305,613   2,353,084      
Fair Value, Measurements, Recurring | Level 2 | Interest rate swaps            
Derivative assets            
Interest rate swaps 3,094   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 2,693,057   2,122,196      
Derivative assets            
Other derivatives 0   0      
Total assets 2,693,057   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.
v3.24.3
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
Sep. 30, 2024
USD ($)
Dec. 31, 2023
USD ($)
Discount rate | Minimum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.018 0.070
Discount rate | Maximum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.112 0.120
Discount rate | Weighted Average    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.076 0.086
Prepayment rate | Minimum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.051 0.048
Prepayment rate | Maximum    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.313 0.110
Prepayment rate | Weighted Average    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.061 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 0.040 0.042
Delinquency rate | Weighted Average    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 0.012 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 108 111
Cost to service | Weighted Average    
Fair Value, Option, Quantitative Disclosures [Line Items]    
MSR measurement inputs 91 94
v3.24.3
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Financial liabilities    
Other secured financing $ 600,000 $ 500,000 [1]
Carrying Value | Level 2    
Financial liabilities    
Repurchase agreements 64,310,276 62,201,543
Other secured financing 600,000 500,000
Fair Value | Level 2    
Financial liabilities    
Repurchase agreements 64,310,276 62,201,543
Other secured financing $ 600,000 $ 500,000
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
INTANGIBLE ASSETS - Narrative (Details)
$ in Millions
Jun. 30, 2020
USD ($)
Assembled workforce  
Finite-Lived Intangible Assets [Line Items]  
Intangible assets acquired $ 41.2
v3.24.3
INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details)
$ in Thousands
 9 Months Ended
Sep. 30, 2024
USD ($)
Intangible Assets, net  
Beginning balance January 1, 2024 $ 12,106 [1]
Less: amortization expense (2,018)
Ending balance September 30, 2024 $ 10,088
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
SECURED FINANCING - Narrative (Details) - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2024
Dec. 31, 2023
Repurchase Agreements:    
Netted amounts $ 64,310,276 $ 62,201,543 [1]
Repurchase agreements, weighted average remaining maturities 34 days 44 days
Repurchase agreements weighted average rate 5.23% 5.70%
Repurchase agreement amount $ 3,500,000  
Remaining capacity of repurchase agreement 2,200,000  
Fair value of collateral received for reverse repurchase agreements 2,700,000 $ 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 8.05%  
Secured financings and interest rate swaps - collateral held, estimated fair value $ 69,300,000 68,200,000
Secured financings and interest rate swaps - collateral held, accrued interest 304,700 $ 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 4 months  
Maximum    
Repurchase Agreements:    
Debt instrument, maturity 1 year  
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Repurchase Agreements:    
Gross amounts $ 66,989,156 $ 64,469,836
Amounts offset (2,678,880) (2,268,293)
Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition. $ 64,310,276 $ 62,201,543 [1]
Repurchase agreements, remaining maturities, percentage 1.00% 0.00%
CRTs    
Repurchase Agreements:    
Gross amounts $ 641,403 $ 695,520
Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 2,536,370 2,157,763
Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 1,267,207 851,851
Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 62,448,885 60,573,426
Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 95,291 191,276
1 day    
Repurchase Agreements:    
Gross amounts 25,215,457 0
1 day | CRTs    
Repurchase Agreements:    
Gross amounts 175,637 0
1 day | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 41,503 0
1 day | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 0 0
1 day | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 24,998,317 0
1 day | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 0 0
2 to 29 days    
Repurchase Agreements:    
Gross amounts 2,094,734 35,080,196
2 to 29 days | CRTs    
Repurchase Agreements:    
Gross amounts 275,927 555,568
2 to 29 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 846,860 840,400
2 to 29 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 221,231 0
2 to 29 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 655,425 33,492,952
2 to 29 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 95,291 191,276
30 to 59 days    
Repurchase Agreements:    
Gross amounts 34,814,805 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 589,802 528,341
30 to 59 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 26,404 0
30 to 59 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 34,198,599 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 3,801,389 7,198,769
60 to 89 days | CRTs    
Repurchase Agreements:    
Gross amounts 142,486 139,952
60 to 89 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 611,235 579,611
60 to 89 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 452,799 0
60 to 89 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 2,594,869 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 131,078 247,306
90 to 119 days | CRTs    
Repurchase Agreements:    
Gross amounts 47,353 0
90 to 119 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 82,050 39,714
90 to 119 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 0 207,592
90 to 119 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 1,675 0
90 to 119 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 0 0
Over 119 days    
Repurchase Agreements:    
Gross amounts 931,693 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 364,920 169,697
Over 119 days | Residential Mortgage Loans    
Repurchase Agreements:    
Gross amounts 566,773 644,259
Over 119 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Gross amounts 0 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.
v3.24.3
SECURED FINANCING - Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Details) - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Reverse Repurchase Agreements    
Gross amounts $ 2,678,880 $ 2,268,293
Amounts offset (2,678,880) (2,268,293)
Netted amounts 0 0
Repurchase Agreements    
Gross amounts 66,989,156 64,469,836
Amounts offset (2,678,880) (2,268,293)
Netted amounts $ 64,310,276 $ 62,201,543 [1]
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares
Sep. 30, 2024
Dec. 31, 2023
Equity [Abstract]    
Shares authorized (in shares) 1,468,250,000 1,468,250,000
Shares issued (in shares) 558,047,743 500,080,287
Shares outstanding (in shares) 558,047,743 500,080,287
Par Value (in dollars per share) $ 0.01 $ 0.01
v3.24.3
CAPITAL STOCK - Narrative (Details) - USD ($)
$ / shares in Units, $ in Millions
 3 Months Ended 9 Months Ended
Sep. 20, 2024
Nov. 03, 2022
Aug. 06, 2020
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Dec. 31, 2023
Jan. 31, 2022
Class of Stock [Line Items]                  
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   $ 1,500.0            
Sale of stock, shares issued (in shares)       57,000,000 900,000 57,600,000 26,200,000    
Proceeds from sale of stock       $ 1,100.0 $ 17.8 $ 1,200.0 $ 580.5    
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    
v3.24.3
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($)
$ in Thousands
 9 Months Ended
Nov. 03, 2022
Sep. 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.
v3.24.3
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($)
$ / shares in Units, $ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Dividends Payable [Line Items]        
Dividends and dividend equivalents declared on common stock and share-based awards $ 364,914 $ 323,164 $ 1,019,527 $ 968,111
Distributions declared per common share (in dollars per share) $ 0.65 $ 0.65 $ 1.95 $ 1.95
Distributions paid to common stockholders after period end $ 362,731 $ 321,629 $ 362,731 $ 321,629
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 $ 19,055 $ 18,956 $ 57,142 $ 54,732
Preferred series dividends declared (in dollars per share) $ 0.662 $ 0.658 $ 1.984 $ 1.900
Series G        
Dividends Payable [Line Items]        
Preferred dividends declared $ 10,606 $ 10,431 $ 31,804 $ 27,362
Preferred series dividends declared (in dollars per share) $ 0.624 $ 0.614 $ 1.871 $ 1.610
Series I        
Dividends Payable [Line Items]        
Preferred dividends declared $ 11,967 $ 7,467 $ 26,901 $ 22,401
Preferred series dividends declared (in dollars per share) $ 0.676 $ 0.422 $ 1.520 $ 1.266
v3.24.3
INTEREST INCOME AND INTEREST EXPENSE (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Interest income        
Agency securities $ 789,403 $ 753,007 $ 2,331,698 $ 2,043,021
Residential credit securities 49,863 57,229 156,754 167,451
Residential mortgage loans 346,031 181,965 899,867 491,398
Commercial investment portfolio 2,240 5,812 8,235 24,009
Reverse repurchase agreements 41,804 3,472 104,600 15,350
Total interest income 1,229,341 1,001,485 3,501,154 2,741,229
Interest expense        
Repurchase agreements 942,780 917,997 2,722,304 2,457,996
Debt issued by securitization vehicles 234,299 116,962 596,128 307,715
Participations issued 17,834 11,860 57,841 33,352
U.S. Treasury securities sold, not yet purchased 21,027 0 64,373 0
Total interest expense 1,215,940 1,046,819 3,440,646 2,799,063
Interest income $ 13,401 $ (45,334) $ 60,508 $ (57,834)
v3.24.3
NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($)
$ / shares in Units, $ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Earnings Per Share [Abstract]        
Net income (loss) $ 82,351 $ (569,084) $ 538,692 $ (1,247,225)
Net income (loss) attributable to noncontrolling interests 15,906 (6,879) 18,838 (7,797)
Net income (loss) attributable to Annaly 66,445 (562,205) 519,854 (1,239,428)
Dividends on preferred stock 41,628 36,854 115,847 104,495
Net income (loss) available (related) to common stockholders $ 24,817 $ (599,059) $ 404,007 $ (1,343,923)
Weighted average shares of common stock outstanding-basic (in shares) 515,729,658 494,330,361 505,800,723 492,744,997
Add: Effect of stock awards, if dilutive (in shares) 1,102,494 0 817,420 0
Weighted average shares of common stock outstanding-diluted (in shares) 516,832,152 494,330,361 506,618,143 492,744,997
Net income (loss) per share available (related) to common share        
Basic (in dollars per share) $ 0.05 $ (1.21) $ 0.80 $ (2.73)
Diluted (in dollars per share) $ 0.05 $ (1.21) $ 0.80 $ (2.73)
v3.24.3
NET INCOME (LOSS) PER COMMON SHARE - Narrative (Details) - shares
shares in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Earnings Per Share [Abstract]        
Options to purchase common stock (in shares) 0 1,900 2 1,800
v3.24.3
INCOME TAXES (Details) - USD ($)
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 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) (6,135,000) $ 12,392,000 4,853,000 $ 37,702,000  
Taxable REIT Subsidiary          
Income Taxes:          
Income tax expense (benefit) $ (6,100,000) $ 12,400,000 $ 4,900,000 $ 37,700,000  
v3.24.3
SEGMENTS - Narrative (Details)
 9 Months Ended
Sep. 30, 2024
segment
Segment Reporting [Abstract]  
Number of reportable segments 3
Number of operating segments 3
v3.24.3
SEGMENTS - Schedule of Segment Reporting (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 30, 2023
Dec. 31, 2023
 [1]
Segment Reporting Information [Line Items]          
Interest income $ 1,229,341 $ 1,001,485 $ 3,501,154 $ 2,741,229  
Interest expense 1,215,940 1,046,819 3,440,646 2,799,063  
Net interest income 13,401 (45,334) 60,508 (57,834)  
Servicing and related income 122,583 97,620 358,182 265,683  
Servicing and related expense 12,988 9,623 37,821 26,433  
Net servicing income 109,595 87,997 320,361 239,250  
Other income (loss) (2,859) (559,446) 290,058 (1,267,287)  
Less: Total general and administrative expenses 43,921 39,909 127,382 123,652  
Income (loss) before income taxes 76,216 (556,692) 543,545 (1,209,523)  
Income taxes (6,135) 12,392 4,853 37,702  
Net income (loss) 82,351 (569,084) 538,692 (1,247,225)  
Less: Net income (loss) attributable to noncontrolling interest 15,906 (6,879) 18,838 (7,797)  
Net income (loss) attributable to Annaly 66,445 (562,205) 519,854 (1,239,428)  
Dividends on preferred stock 41,628 36,854 115,847 104,495  
Net income (loss) available (related) to common stockholders 24,817 (599,059) 404,007 (1,343,923)  
Unrealized gains (losses) on available-for-sale securities 428,955 (825,286) 92,843 (443,957)  
Reclassification adjustment for net (gains) losses included in net income (loss) 15,769 513,041 530,354 1,458,077  
Other comprehensive income (loss) 444,724 (312,245) 623,197 1,014,120  
Comprehensive income (loss) 527,075 (881,329) 1,161,889 (233,105)  
Comprehensive income (loss) attributable to noncontrolling interests 15,906 (6,879) 18,838 (7,797)  
Comprehensive income (loss) attributable to Annaly 511,169 (874,450) 1,143,051 (225,308)  
Receivable for unsettled trades 766,341 1,047,566 766,341 1,047,566 $ 2,710,224
Payable for unsettled trades 1,885,286 2,214,319 1,885,286 2,214,319 3,249,389
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 444,724 (312,245) 623,197 1,014,120  
Dividends declared, not yet paid 362,731 321,629 362,731 321,629 325,052
Total assets 101,515,995 89,648,423 101,515,995 89,648,423 $ 93,227,236
Operating Segments | Agency          
Segment Reporting Information [Line Items]          
Interest income 830,407 756,479 2,433,672 2,058,371  
Interest expense 885,982 849,422 2,563,077 2,279,586  
Net interest income (55,575) (92,943) (129,405) (221,215)  
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) (6,658) (528,640) 109,384 (1,415,438)  
Less: Total general and administrative expenses 16,154 14,576 47,604 44,401  
Income (loss) before income taxes (78,387) (636,159) (67,625) (1,681,054)  
Income taxes 23 727 748 1,213  
Net income (loss) (78,410) (636,886) (68,373) (1,682,267)  
Less: Net income (loss) attributable to noncontrolling interest 0 0 0 0  
Net income (loss) attributable to Annaly (78,410) (636,886) (68,373) (1,682,267)  
Dividends on preferred stock 0 0 0 0  
Net income (loss) available (related) to common stockholders (78,410) (636,886) (68,373) (1,682,267)  
Unrealized gains (losses) on available-for-sale securities 428,955 (825,286) 92,843 (443,957)  
Reclassification adjustment for net (gains) losses included in net income (loss) 15,769 513,041 530,354 1,458,077  
Other comprehensive income (loss) 444,724 (312,245) 623,197 1,014,120  
Comprehensive income (loss) 366,314 (949,131) 554,824 (668,147)  
Comprehensive income (loss) attributable to noncontrolling interests 0 0 0 0  
Comprehensive income (loss) attributable to Annaly 366,314 (949,131) 554,824 (668,147)  
Receivable for unsettled trades 727,124 1,039,173 727,124 1,039,173  
Payable for unsettled trades 1,811,196 2,144,692 1,811,196 2,144,692  
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 444,724 (312,245) 623,197 1,014,120  
Dividends declared, not yet paid 0 0 0 0  
Total assets 71,699,019 70,047,768 71,699,019 70,047,768  
Operating Segments | Resi-credit          
Segment Reporting Information [Line Items]          
Interest income 396,694 239,194 1,059,247 658,849  
Interest expense 328,440 193,271 872,118 504,011  
Net interest income 68,254 45,923 187,129 154,838  
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) 36,028 (12,974) 189,851 91,439  
Less: Total general and administrative expenses 13,868 12,195 39,690 36,757  
Income (loss) before income taxes 90,414 20,754 337,290 209,520  
Income taxes (8,263) 5,985 (9,966) 14,034  
Net income (loss) 98,677 14,769 347,256 195,486  
Less: Net income (loss) attributable to noncontrolling interest 15,906 (6,879) 18,838 (7,797)  
Net income (loss) attributable to Annaly 82,771 21,648 328,418 203,283  
Dividends on preferred stock 0 0 0 0  
Net income (loss) available (related) to common stockholders 82,771 21,648 328,418 203,283  
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) 98,677 14,769 347,256 195,486  
Comprehensive income (loss) attributable to noncontrolling interests 15,906 (6,879) 18,838 (7,797)  
Comprehensive income (loss) attributable to Annaly 82,771 21,648 328,418 203,283  
Receivable for unsettled trades 0 0 0 0  
Payable for unsettled trades 0 1,546 0 1,546  
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 26,235,097 16,616,765 26,235,097 16,616,765  
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 122,583 97,620 358,182 265,683  
Servicing and related expense 12,988 9,623 37,821 26,433  
Net servicing income 109,595 87,997 320,361 239,250  
Other income (loss) (33,967) (21,870) (12,513) 61,314  
Less: Total general and administrative expenses 8,876 7,657 25,977 22,210  
Income (loss) before income taxes 66,752 58,470 281,871 278,354  
Income taxes 2,126 5,858 14,195 22,706  
Net income (loss) 64,626 52,612 267,676 255,648  
Less: Net income (loss) attributable to noncontrolling interest 0 0 0 0  
Net income (loss) attributable to Annaly 64,626 52,612 267,676 255,648  
Dividends on preferred stock 0 0 0 0  
Net income (loss) available (related) to common stockholders 64,626 52,612 267,676 255,648  
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) 64,626 52,612 267,676 255,648  
Comprehensive income (loss) attributable to noncontrolling interests 0 0 0 0  
Comprehensive income (loss) attributable to Annaly 64,626 52,612 267,676 255,648  
Receivable for unsettled trades 39,217 8,393 39,217 8,393  
Payable for unsettled trades 74,090 38,231 74,090 38,231  
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 3,371,113 2,647,052 3,371,113 2,647,052  
Corporate & Other          
Segment Reporting Information [Line Items]          
Interest income 2,240 5,812 8,235 24,009  
Interest expense 1,518 4,126 5,451 15,466  
Net interest income 722 1,686 2,784 8,543  
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) 1,738 4,038 3,336 (4,602)  
Less: Total general and administrative expenses 5,023 5,481 14,111 20,284  
Income (loss) before income taxes (2,563) 243 (7,991) (16,343)  
Income taxes (21) (178) (124) (251)  
Net income (loss) (2,542) 421 (7,867) (16,092)  
Less: Net income (loss) attributable to noncontrolling interest 0 0 0 0  
Net income (loss) attributable to Annaly (2,542) 421 (7,867) (16,092)  
Dividends on preferred stock 41,628 36,854 115,847 104,495  
Net income (loss) available (related) to common stockholders (44,170) (36,433) (123,714) (120,587)  
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) (2,542) 421 (7,867) (16,092)  
Comprehensive income (loss) attributable to noncontrolling interests 0 0 0 0  
Comprehensive income (loss) attributable to Annaly (2,542) 421 (7,867) (16,092)  
Receivable for unsettled trades 0 0 0 0  
Payable for unsettled trades 0 29,850 0 29,850  
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 0 0 0 0  
Dividends declared, not yet paid 362,731 321,629 362,731 321,629  
Total assets $ 210,766 $ 336,838 $ 210,766 $ 336,838  
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.
v3.24.3
LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($)
$ in Millions
 3 Months Ended 9 Months Ended
Sep. 30, 2024
Sep. 30, 2023
Sep. 30, 2024
Sep. 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 $ 2.5 $ 2.4  
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) 3 years   3 years    
v3.24.3
LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details)
$ in Thousands
 9 Months Ended
Sep. 30, 2024
USD ($)
Leases [Abstract]  
Operating lease right-of-use assets $ 3,660
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible Enumeration] Other assets
Operating lease liabilities $ 4,585
Operating Lease, Liability, Statement of Financial Position [Extensible Enumeration] Other Liabilities
Weighted average remaining lease term 1 year 4 months 24 days
Weighted average discount rate 3.40%
Operating cash flows from operating leases $ 3,080