XML 36 R82.htm IDEA: XBRL DOCUMENT
v3.20.1

DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 3 Months Ended | 12 Months Ended
--- | --- | ---
Mar. 31, 2020 | Dec. 31, 2019
Interest rate swaps, at fair value |  |
Derivative [Line Items] |  |
Current Notional | $ 12,968,300,000 | $ 74,146,350,000
Weighted Average Pay Rate | 1.63% | 1.84%
Weighted Average Receive Rate | 1.16% | 1.89%
Weighted Average Underlying Years to Maturity | 9 years 10 days | 4 years 2 months 23 days
Notional Amount, Percentage | 0.31 | 0.75
Interest rate swaps, at fair value | 0 - 3 years |  |
Derivative [Line Items] |  |
Current Notional | $ 1,459,400,000 | $ 38,942,400,000
Weighted Average Pay Rate | 1.41% | 1.60%
Weighted Average Receive Rate | 1.03% | 1.84%
Weighted Average Underlying Years to Maturity | 2 years 11 months 23 days | 1 year 3 months 14 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 0 years | 0 years
Derivative Instruments maximum maturity period | 3 years | 3 years
Interest rate swaps, at fair value | 3 - 6 years |  |
Derivative [Line Items] |  |
Current Notional | $ 1,310,400,000 | $ 16,097,450,000
Weighted Average Pay Rate | 1.47% | 1.77%
Weighted Average Receive Rate | 0.93% | 1.87%
Weighted Average Underlying Years to Maturity | 2 years 11 months 19 days | 4 years 3 months 18 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 3 years | 3 years
Derivative Instruments maximum maturity period | 6 years | 6 years
Interest rate swaps, at fair value | 6 - 10 years |  |
Derivative [Line Items] |  |
Current Notional | $ 7,949,500,000 | $ 16,176,500,000
Weighted Average Pay Rate | 1.91% | 2.20%
Weighted Average Receive Rate | 1.56% | 2.02%
Weighted Average Underlying Years to Maturity | 8 years 8 months 23 days | 9 years
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 6 years | 6 years
Derivative Instruments maximum maturity period | 10 years | 10 years
Interest rate swaps, at fair value | Greater than 10 years |  |
Derivative [Line Items] |  |
Current Notional | $ 2,249,000,000 | $ 2,930,000,000
Weighted Average Pay Rate | 3.42% | 3.76%
Weighted Average Receive Rate | 1.21% | 1.86%
Weighted Average Underlying Years to Maturity | 17 years 6 months 14 days | 17 years 10 months 17 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 10 years | 10 years
Overnight index swap |  |
Derivative [Line Items] |  |
Notional Amount, Percentage | 0.64 | 0.25
Forward starting pay fixed swaps |  |
Derivative [Line Items] |  |
Current Notional | $ 0 | $ 0

X
- Definition Derivative instruments maximum maturity period. + References No definition available. + Details
Name: | nly_DerivativeInstrumentsMaximumMaturityPeriod
Namespace Prefix: | nly_
Data Type: | xbrli:durationItemType
Balance Type: | na
Period Type: | duration

X
- Definition Derivative instruments minimum maturity period. + References No definition available. + Details
Name: | nly_DerivativeInstrumentsMinimumMaturityPeriod
Namespace Prefix: | nly_
Data Type: | xbrli:durationItemType
Balance Type: | na
Period Type: | duration

X
- Definition Derivative, Nonmonetary Notional Amount, Percentage + References No definition available. + Details
Name: | nly_DerivativeNonmonetaryNotionalAmountPercentage
Namespace Prefix: | nly_
Data Type: | xbrli:pureItemType
Balance Type: | na
Period Type: | instant

X
- Definition Derivative, Notional Amount1 + References No definition available. + Details
Name: | nly_DerivativeNotionalAmount1
Namespace Prefix: | nly_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Weighted average pay rate for interest rate swaps. + References No definition available. + Details
Name: | nly_InterestRateSwapsWeightedAveragePayRate
Namespace Prefix: | nly_
Data Type: | num:percentItemType
Balance Type: | na
Period Type: | instant

X
- Definition Weighted average receive rate for interest rate swaps. + References No definition available. + Details
Name: | nly_InterestRateSwapsWeightedAverageReceiveRate
Namespace Prefix: | nly_
Data Type: | num:percentItemType
Balance Type: | na
Period Type: | instant

X
- Definition Average remaining period until maturity of the derivative contract, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. + References No definition available. + Details
Name: | us-gaap_DerivativeAverageRemainingMaturity1
Namespace Prefix: | us-gaap_
Data Type: | xbrli:durationItemType
Balance Type: | na
Period Type: | duration

X
- Definition Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References No definition available. + Details
Name: | us-gaap_DerivativeLineItems
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Details
Name: | us-gaap_DerivativeInstrumentRiskAxis=us-gaap_InterestRateSwapMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_DebtInstrumentRedemptionPeriodAxis=nly_MaturityPeriodOneMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_DebtInstrumentRedemptionPeriodAxis=nly_MaturityPeriodTwoMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_DebtInstrumentRedemptionPeriodAxis=nly_MaturityPeriodThreeMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_DebtInstrumentRedemptionPeriodAxis=nly_MaturityPeriodFourMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_DerivativeInstrumentRiskAxis=nly_OvernightIndexSwapMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_DerivativeInstrumentRiskAxis=nly_ForwardStartingPayFixedSwapsMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |