LOANS (Tables)

12 Months Ended

Dec. 31, 2020

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Loan Investment Activity

The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the year ended December 31, 2020:

	Residential		Commercial		Corporate		Total
	(dollars in thousands)
Beginning balance January 1, 2020	$	1,647,787	$	669,713	$	2,144,850	$	4,462,350
Impact of adopting CECL	—		(3,599)		(29,653)		(33,252)
Purchases / originations	1,168,830		217,329		1,061,644		2,447,803
Sales and transfers (1)	(2,298,391)		(235,533)		(357,930)		(2,891,854)
Principal payments	(154,864)		(77,422)		(576,759)		(809,045)
Gains / (losses) (2)	(11,854)		(74,965)		(14,429)		(101,248)
(Amortization) / accretion	(5,698)		2,558		12,207		9,067
Ending balance December 31, 2020	$	345,810	$	498,081	$	2,239,930	$	3,083,821
(1)     Includes securitizations, syndications and transfers to securitization vehicles or REO. Includes transfer of residential loans to securitization vehicles with a carrying value of $1.9 billion during the year ended December 31, 2020.
(2)     Includes loan loss allowances.

Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at December 31, 2020 and 2019:

	December 31, 2020		December 31, 2019
	(dollars in thousands)
Fair value	$	3,595,061	$	4,246,161
Unpaid principal balance	$	3,482,865	$	4,133,149

Summary of Comprehensive Income (Loss)

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for December 31, 2020 and 2019 for these investments:

	For the Years Ended
	December 31, 2020		December 31, 2019
	(dollars in thousands)
Interest income	$	170,259	$	150,066
Net gains (losses) on disposal of investments	(38,372)		(18,619)
Net unrealized gains (losses) on instruments measured at fair value through earnings	37,693		51,290
Total included in net income (loss)	$	169,580	$	182,737

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2020 and 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

Geographic Concentrations of Residential Mortgage Loans
December 31, 2020		December 31, 2019
Property location	% of Balance	Property location	% of Balance
California	48.9%	California	52.1%
New York	14.0%	New York	10.5%
Florida	6.0%	Florida	5.3%
All other (none individually greater than 5%)	31.1%	All other (none individually greater than 5%)	32.1%
Total	100.0%		100.0%

The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, multifamily securitizations, OBX Trusts and CLO, at December 31, 2020 are as follows:

Securitized Loans at Fair Value Geographic Concentration of Credit Risk

Commercial Trusts					Residential Trusts
Property Location	Principal Balance		% of Balance		Property Location	Principal Balance		% of Balance
(dollars in thousands)
California	$	1,051,276	32.4	%	California	$	18,692	47.4	%
Texas	459,256		14.2	%	Illinois	5,356		13.6	%
New York	369,691		11.4	%	Texas	4,972		12.6	%
Florida	196,865		6.1	%	Massachusetts	2,265		5.7	%
Washington	182,000		5.6	%	Other (1)	8,174		20.7	%
Arizona	171,102		5.3	%
Other (1)	811,282		25.0	%
Total	$	3,241,472	100.0	%		$	39,459	100.0	%

(1)    No individual state greater than 5%.

Residential Mortgage Loans

The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at December 31, 2020 and 2019:

	December 31, 2020		December 31, 2019
	Portfolio Range	Portfolio Weighted Average	Portfolio Range	Portfolio Weighted Average
	(dollars in thousands)
Unpaid principal balance	$1 - $3,448	$473	$1 - $3,448	$459
Interest rate	0.50% - 9.24%	4.89%	2.00% - 8.38%	4.94%
Maturity	7/1/2029 - 1/1/2061	4/17/2046	1/1/2028 - 12/1/2059	12/29/2047
FICO score at loan origination	505 - 829	755	505 - 829	758
Loan-to-value ratio at loan origination	8% - 104%	67%	8% - 105%	67%

Commercial Real Estate, Held for Investments, Amortized Cost Basis by Risk Rating and Vintage

The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating rubric for commercial loans has nine categories as depicted below:

Risk Rating - Commercial Loans	Description
1-4 / Performing	Meets all present contractual obligations.
5 / Performing - Closely Monitored	Meets all present contractual obligations, but are transitional or could be exhibiting some weaknesses in both leverage and liquidity.
6 / Performing - Special Mention	Meets all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects.
7 / Substandard	Inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected.
8 / Doubtful	Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable.
9 / Loss	Considered uncollectible.

The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below:

Risk Rating - Corporate Debt	Description
1-5 / Performing	Meets all present contractual obligations.
6 / Performing - Closely Monitored	Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal.
7 / Substandard	A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible.
8 / Doubtful	A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues.
9 / Loss	Considered uncollectible.

Schedule of Commercial Mortgage Loans Held for Investment

The sector attributes of the Company’s commercial real estate investments held for investment, including loans transferred or pledged to securitization vehicles, at December 31, 2020 and December 31, 2019 were as follows:

	Sector Dispersion
	December 31, 2020				December 31, 2019
	Carrying Value		% of Loan Portfolio		Carrying Value		% of Loan Portfolio
	(dollars in thousands)
Office	$	650,034	47.4	%	$	681,129	42.4	%
Retail	256,493		18.7	%	389,076		24.2	%
Multifamily	250,095		18.2	%	262,302		16.3	%
Hotel	115,536		8.4	%	135,681		8.4	%
Industrial	60,097		4.4	%	82,441		5.1	%
Other	20,302		1.5	%	36,589		2.3	%
Healthcare	19,873		1.4	%	18,873		1.3	%
Total	$	1,372,430	100.0	%	$	1,606,091	100.0	%

At December 31, 2020 and 2019, commercial real estate investments held for investment were comprised of the following:

	December 31, 2020						December 31, 2019
	Outstanding Principal		Carrying Value (1)		Percentage of Loan Portfolio (2)		Outstanding Principal		Carrying Value (1)		Percentage of Loan Portfolio (2)
	(dollars in thousands)
Senior mortgages	$	387,124	$	373,925	25.7	%	$	503,499	$	499,690	30.9	%
Senior securitized mortgages (3)	938,859		874,349		62.3	%	940,546		936,378		57.8	%
Mezzanine loans	181,261		124,156		12.0	%	183,064		170,023		11.3	%
Total	$	1,507,244	$	1,372,430	100.0	%	$	1,627,109	$	1,606,091	100.0	%

(1)     Carrying value includes unamortized origination fees of $4.9 million and $8.3 million at December 31, 2020 and 2019, respectively.

(2)      Based on outstanding principal.

(3)      Assets of consolidated VIEs.

The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at December 31, 2020 and 2019:

December 31, 2020
	Senior Mortgages		Senior Securitized Mortgages (1)		Mezzanine Loans		Total
	(dollars in thousands)
Beginning balance (January 1, 2020) (2)	$	499,690	$	936,378	$	182,726	$	1,618,794
Originations & advances (principal)	206,090		—		12,374		218,464
Principal payments	(77,344)		(144,308)		(78)		(221,730)
Principal write off	—		—		(7,000)		(7,000)
Transfers (3)	(245,120)		142,621		(7,100)		(109,599)
Net (increase) decrease in origination fees	(1,055)		(653)		(80)		(1,788)
Realized gain	204		—		—		204
Amortization of net origination fees	2,371		2,460		187		5,018
Allowance for loan losses
Beginning allowance, prior to CECL adoption	—		—		(12,703)		(12,703)
Impact of adopting CECL	(2,263)		(4,166)		(1,336)		(7,765)
Current period allowance	(8,648)		(57,983)		(66,521)		(133,152)
Write offs	—		—		23,687		23,687
Ending allowance	(10,911)		(62,149)		(56,873)		(129,933)
Net carrying value (December 31, 2020)	$	373,925	$	874,349	$	124,156	$	1,372,430

December 31, 2019
	Senior Mortgages		Senior Securitized Mortgages (1)		Mezzanine Loans		Total
	(dollars in thousands)
Net carrying value (January 1, 2019)	$	981,202	$	—	$	315,601	$	1,296,803
Originations & advances (principal)	572,204		—		21,709		593,913
Principal payments	(16,785)		(150,245)		(149,633)		(316,663)
Transfers (3)	(1,034,754)		1,083,487		(8,675)		40,058
Net (increase) decrease in origination fees	(4,200)		—		(184)		(4,384)
Amortization of net origination fees	2,023		3,136		412		5,571
Net (increase) decrease in allowance	—		—		$	(9,207)	(9,207)
Net carrying value (December 31, 2019)	$	499,690	$	936,378	$	170,023	$	1,606,091
(1)     Represents assets of consolidated VIEs.
(2)     Excludes loan loss allowances.
(3)    Includes transfers to securitization vehicles or REO.

Schedule of Commercial Mortgage Loans Held for Investment Internal Ratings

The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of December 31, 2020.

Amortized Cost Basis by Risk Rating and Vintage (1)
Risk Rating	Vintage
	Total		2020		2019		2018		2017		2016		Prior
(dollars in thousands)
1-4 / Performing	$	300,623	$	111,177	$	134,923	$	—	$	12,972	$	—	$	41,551
5 / Performing - Closely Monitored	145,231		—		145,231		—		—		—		—
6 / Performing - Special Mention	628,224		58,648		135,868		267,555		96,982		69,171		—
7 / Substandard	205,026		9,368		78,407		66,294		—		—		50,957
8 / Doubtful	93,326		—		—		39,704		53,622		—		—
9 / Loss (2)	—		—		—		—		—		—		—
Total	$	1,372,430	$	179,193	$	494,429	$	373,553	$	163,576	$	69,171	$	92,508

(1) The amortized cost basis excludes accrued interest. As of December 31, 2020, the Company had $3.8 million of accrued interest receivable on

commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition.

(2) Includes two commercial mezzanine loans for which the Company recorded a full loan loss allowance of $46.6 million.

Schedule of Industry and Rate Attributes of Corporate Loans

The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at December 31, 2020 and 2019 are as follows:

	Industry Dispersion
	December 31, 2020			December 31, 2019
		Total (1)			Total (1)
	(dollars in thousands)
Computer programming, data processing & other computer related services		483,142			394,193
Management and public relations services		300,869			339,179
Industrial Inorganic Chemical		156,391			—
Public warehousing and storage		132,397			107,029
Metal cans & shipping containers		115,670			118,456
Offices and clinics of doctors of medicine		104,781			106,993
Surgical, medical, and dental instruments and supplies		83,161			102,182
Electronic components & accessories		78,129			24,000
Engineering, architectural & surveying		77,308			124,201
Miscellaneous Industrial & Commercial		77,163			78,908
Insurance agents, brokers and services		67,193			75,410
Research, development and testing services		62,008			45,610
Miscellaneous Food Preparations		58,857			—
Telephone communications		58,450			61,210
Miscellaneous equipment rental and leasing		49,587			49,776
Electrical work		41,128			43,175
Petroleum and petroleum products		33,890			24,923
Medical and dental laboratories		30,711			41,344
Schools and educational services, not elsewhere classified		29,040			19,586
Home health care services		28,587			29,361
Metal Forgings and Stampings		27,523			—
Legal Services		26,399			—
Grocery stores		22,895			23,248
Coating, engraving and allied services		19,484			47,249
Chemicals & Allied Products		14,686			15,002
Miscellaneous business services		12,980			164,033
Drugs		12,942			15,923
Mailing, reproduction, commercial art and photography, and stenographic		12,733			14,755
Machinery, Equipment & Supplies		12,096			—
Offices of clinics and other health practitioners		9,730			10,098
Nonferrous foundries (castings)		—			30,191
Motor vehicles and motor vehicle parts and supplies		—			28,815
Miscellaneous plastic products		—			10,000
Total		$	2,239,930		$	2,144,850
(1) All middle market lending positions are floating rate.

Aggregate positions by Respective Place in the Capital Structure of the Borrowers

The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at December 31, 2020 and 2019.

	December 31, 2020		December 31, 2019
	(dollars in thousands)
First lien loans	$	1,489,125	$	1,396,140
Second lien loans	750,805		748,710
Total	$	2,239,930	$	2,144,850

Schedule of Corporate Loans Held for Investment

The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at December 31, 2020 and December 31, 2019:

December 31, 2020
	First Lien		Second Lien		Total
	(dollars in thousands)
Beginning balance (January 1, 2020) (1)	$	1,403,503	$	748,710	$	2,152,213
Originations & advances	834,211		227,433		1,061,644
Principal payments	(444,759)		(132,000)		(576,759)
Amortization & accretion of (premium) discounts	8,374		3,832		12,206
Loan restructuring	(19,550)		2,818		(16,732)
Sales (2)	(273,887)		(79,203)		(353,090)
Allowance for loan losses
Beginning allowance, prior to CECL adoption	(7,363)		—		(7,363)
Impact of adopting CECL	(10,787)		(18,866)		(29,653)
Current period allowance	(12,510)		(1,919)		(14,429)
Write offs	11,893		—		11,893
Ending allowance	(18,767)		(20,785)		(39,552)
Net carrying value (December 31, 2020)	$	1,489,125	$	750,805	$	2,239,930

(1) Excludes loan loss allowances.

(2) Includes syndications.

December 31, 2019
	First Lien		Second Lien		Total
	(dollars in thousands)
Net carrying value (January 1, 2019)	$	1,346,356	$	540,826	$	1,887,182
Originations & advances	542,463		345,573		888,036
Principal payments	(228,302)		(140,625)		(368,927)
Amortization & accretion of (premium) discounts	5,960		2,936		8,896
Sales	(262,974)		—		(262,974)
Net (increase) decrease in allowance	(7,363)		—		(7,363)
Net carrying value (December 31, 2019)	1,396,140		748,710		2,144,850

Debt Securities, Held-to-maturity, Amortized Costs Basis by Risk Rating and Vintage

The following table provides the amortized cost basis of corporate debt held for investment as of December 31, 2020 by vintage year and internal risk rating.

Amortized Cost Basis by Risk Rating and Vintage (1)
Risk Rating	Vintage
	Total		2020		2019		2018		2017		2016		2015
(dollars in thousands)
1-5 / Performing	$	1,760,669	$	499,186	$	400,873	$	402,712	$	355,369	$	68,191	$	34,338
6 / Performing - Closely Monitored	$	337,386	38,495		—		283,464		15,427		—		—
7 / Substandard	$	141,875	—		47,742		43,206		50,927		—		—
8 / Doubtful	$	—	—		—		—		—		—		—
9 / Loss	$	—	—		—		—		—		—		—
Total	$	2,239,930	$	537,681	$	448,615	$	729,382	$	421,723	$	68,191	$	34,338

(1) The amortized cost basis excludes accrued interest and includes deferred loan fees on unfunded loans. As of December 31, 2020, the Company had $11.0 million of accrued interest receivable on corporate loans, which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition, and $1.4 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition.