XML 111 R89.htm IDEA: XBRL DOCUMENT
v3.20.2

FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018
--- | --- | --- | --- | --- | --- | ---
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities | [1] | $ 77,805,743 |  | $ 114,833,580 | [2] |  |  |
Mortgage servicing rights |  | 227,400 | $ 280,558 | 378,078 |  | $ 425,328 | $ 500,745 | $ 557,813
Assets transferred or pledged to securitization vehicles |  | 7,690,451 |  | 7,002,460 | [2] |  |  |
Interest rate swaps |  | 0 |  | 1,199 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Interest rate swaps |  | 1,198,970 |  | 706,862 |  |  |  |
Residential Mortgage Loans |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 4,001,023 |  | 4,246,161 |  |  |  |
Fair Value, Measurements, Recurring |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 76,761,800 |  | 112,893,367 |  |  |  |
Credit risk transfer securities |  | 362,901 |  | 531,322 |  |  |  |
Mortgage servicing rights |  | 227,400 |  | 378,078 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 6,815,833 |  | 6,066,082 |  |  |  |
Interest rate swaps |  |  |  | 1,199 |  |  |  |
Other derivatives |  | 165,642 |  | 112,357 |  |  |  |
Total assets |  | 86,183,139 |  | 123,039,083 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 6,458,130 |  | 5,622,801 |  |  |  |
Interest rate swaps |  | 1,198,970 |  | 706,862 |  |  |  |
Other derivatives |  | 58,068 |  | 97,004 |  |  |  |
Total liabilities |  | 7,715,168 |  | 6,426,667 |  |  |  |
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 619,840 |  | 1,135,868 |  |  |  |
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 61,202 |  | 273,023 |  |  |  |
Fair Value, Measurements, Recurring | Residential Mortgage Loans |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 1,168,521 |  | 1,647,787 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Credit risk transfer securities |  | 0 |  | 0 |  |  |  |
Mortgage servicing rights |  | 0 |  | 0 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 0 |  | 0 |  |  |  |
Interest rate swaps |  |  |  | 0 |  |  |  |
Other derivatives |  | 0 |  | 77,889 |  |  |  |
Total assets |  | 0 |  | 77,889 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 0 |  | 0 |  |  |  |
Interest rate swaps |  | 0 |  | 0 |  |  |  |
Other derivatives |  | 17,579 |  | 84,781 |  |  |  |
Total liabilities |  | 17,579 |  | 84,781 |  |  |  |
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 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 76,761,800 |  | 112,893,367 |  |  |  |
Credit risk transfer securities |  | 362,901 |  | 531,322 |  |  |  |
Mortgage servicing rights |  | 0 |  | 0 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 6,815,833 |  | 6,066,082 |  |  |  |
Interest rate swaps |  |  |  | 1,199 |  |  |  |
Other derivatives |  | 165,642 |  | 34,468 |  |  |  |
Total assets |  | 85,955,739 |  | 122,583,116 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 6,458,130 |  | 5,622,801 |  |  |  |
Interest rate swaps |  | 1,198,970 |  | 706,862 |  |  |  |
Other derivatives |  | 40,489 |  | 12,223 |  |  |  |
Total liabilities |  | 7,697,589 |  | 6,341,886 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 619,840 |  | 1,135,868 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 61,202 |  | 273,023 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 1,168,521 |  | 1,647,787 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Credit risk transfer securities |  | 0 |  | 0 |  |  |  |
Mortgage servicing rights |  | 227,400 |  | 378,078 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 0 |  | 0 |  |  |  |
Interest rate swaps |  |  |  | 0 |  |  |  |
Other derivatives |  | 0 |  | 0 |  |  |  |
Total assets |  | 227,400 |  | 378,078 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 0 |  | 0 |  |  |  |
Interest rate swaps |  | 0 |  | 0 |  |  |  |
Other derivatives |  | 0 |  | 0 |  |  |  |
Total liabilities |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage Loans |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | $ 0 |  | $ 0 |  |  |  |
[1] | Excludes $144.2 million and $102.5 million at June 30, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $398.9 million and $468.0 million at June 30, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $381.3 million and $500.3 million at June 30, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[2] | Derived from the audited consolidated financial statements at December 31, 2019.

X
- Definition Financial assets, fair value disclosure. + References No definition available. + Details
Name: | nly_FinancialAssetsFairValueDisclosure
Namespace Prefix: | nly_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Mortgage loans fair value disclosure. + References No definition available. + Details
Name: | nly_MortgageLoansFairValueDisclosure
Namespace Prefix: | nly_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Other derivative instrument obligations meeting the definition of an asset which the Company is a party to as of the balance sheet date. + References No definition available. + Details
Name: | nly_OtherDerivativeFinancialInstrumentsAssetsFairValueDisclosure
Namespace Prefix: | nly_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition This element represents the fair value of derivative liabilities categorized as other as of the balance sheet date. + References No definition available. + Details
Name: | nly_OtherDerivativeFinancialInstrumentsLiabilitiesFairValueDisclosure
Namespace Prefix: | nly_
Data Type: | xbrli:monetaryItemType
Balance Type: | credit
Period Type: | instant

X
- Definition Securitized debt of consolidated VIEs fair value disclosure. + References No definition available. + Details
Name: | nly_SecuritizedDebtOfConsolidatedVieFairValueDisclosure
Namespace Prefix: | nly_
Data Type: | xbrli:monetaryItemType
Balance Type: | credit
Period Type: | instant

X
- References No definition available. + Details
Name: | us-gaap_AssetsFairValueDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The fair value as of the balance sheet date of financial instruments and other positions owned by the entity and pledged to counterparties as collateral, including: (1) mortgages, mortgage-backed and asset backed securities; (2) US government and agency obligations; (3) state and municipal government obligations; (4) other sovereign government debt; (5) corporate obligations; (6) corporate equities; (7) principal investments; (8) derivative contracts; and (9) physical commodities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 45 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66007379&loc=d3e113888-111728 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -Subparagraph (c)(2) -URI http://asc.fasb.org/extlink&oid=109249958&loc=SL6224234-111729 + Details
Name: | us-gaap_FinancialInstrumentsOwnedAndPledgedAsCollateralAtFairValue
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition The fair value as of the balance sheet date of firm holdings in mortgages, mortgage backed securities (investment instruments that represent ownership of an undivided interest in a group of mortgages, where principal and interest from the individual mortgages are used to pay investors' principal and interest on the mortgage backed security) and asset-backed securities that are primarily paid from the cash flows of a discrete pool of receivables or other financial assets (such as credit-card receivables), either fixed or revolving, that by their terms convert into cash within a finite time period. Includes both pledged (to counterparties as collateral for financing transactions) and unpledged holdings. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=35711157&loc=d3e42546-110969 + Details
Name: | us-gaap_FinancialInstrumentsOwnedMortgagesMortgageBackedAndAssetBackedSecuritiesAtFairValue
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Fair value of firm holdings in securities classified as other. Includes pledged and unpledged holdings. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=35711157&loc=d3e42546-110969 + Details
Name: | us-gaap_FinancialInstrumentsOwnedOtherAtFairValue
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Fair value of financial obligations, including, but not limited to, debt instruments, derivative liabilities, federal funds purchased and sold under agreements to repurchase, securities loaned or sold under agreements to repurchase, financial instruments sold not yet purchased, guarantees, line of credit, loans and notes payable, servicing liability, and trading liabilities. + References No definition available. + Details
Name: | us-gaap_FinancialLiabilitiesFairValueDisclosure
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | credit
Period Type: | instant

X
- Definition Fair value as of the balance sheet date of interest rate derivative assets, which includes all such derivative instruments in hedging and nonhedging relationships that are recognized as assets. + References No definition available. + Details
Name: | us-gaap_InterestRateDerivativeAssetsAtFairValue
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Fair value as of the balance sheet date of interest rate derivative liabilities, which includes all such derivative instruments in hedging and nonhedging relationships that are recognized as liabilities. + References No definition available. + Details
Name: | us-gaap_InterestRateDerivativeLiabilitiesAtFairValue
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | credit
Period Type: | instant

X
- References No definition available. + Details
Name: | us-gaap_LiabilitiesFairValueDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Fair value of securitized, pay-through debt securities collateralized by real estate mortgage loans classified as available-for-sale. + References No definition available. + Details
Name: | us-gaap_MortgageBackedSecuritiesAvailableForSaleFairValueDisclosure
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Fair value of an asset representing net future revenue from contractually specified servicing fees, late charges, and other ancillary revenues, in excess of future costs related to servicing arrangements. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6469459&loc=d3e122501-111745 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 50 -Paragraph 3 -Subparagraph (a)(1) -URI http://asc.fasb.org/extlink&oid=116651436&loc=d3e122625-111746 + Details
Name: | us-gaap_ServicingAssetAtFairValueAmount
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Details
Name: | us-gaap_FinancialInstrumentAxis=us-gaap_ResidentialMortgageMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FairValueByMeasurementFrequencyAxis=us-gaap_FairValueMeasurementsRecurringMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FinancialInstrumentAxis=us-gaap_MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FinancialInstrumentAxis=us-gaap_CommercialMortgageBackedSecuritiesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FairValueByFairValueHierarchyLevelAxis=us-gaap_FairValueInputsLevel1Member
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FairValueByFairValueHierarchyLevelAxis=us-gaap_FairValueInputsLevel2Member
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FairValueByFairValueHierarchyLevelAxis=us-gaap_FairValueInputsLevel3Member
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |