XML 45 R33.htm IDEA: XBRL DOCUMENT v3.21.1

SECURITIES (Tables)

3 Months Ended

Mar. 31, 2021

Investments, Debt and Equity Securities [Abstract]

Rollforward of Company's Securities

The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the three months ended March 31, 2021:

			Residential Securities						Commercial Securities						Total
			(dollars in thousands)
Beginning balance January 1, 2021			$	75,571,654					$	80,742					$	75,652,396
Purchases			5,607,648						—						5,607,648
Sales and transfers (1)			(3,025,550)						(78,770)						(3,104,320)
Principal paydowns			(4,986,747)						—						(4,986,747)
(Amortization) / accretion			12,006						284						12,290
Fair value adjustment			(1,333,695)						1,865						(1,331,830)
Ending balance March 31, 2021			$	71,845,316					$	4,121					$	71,849,437
(1)     Includes transfers to assets of disposal group held for sale.

Schedule of Available-for-sale Securities Reconciliation

The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at March 31, 2021 and December 31, 2020:

			March 31, 2021
			Principal / Notional						Remaining Premium						Remaining Discount						Amortized Cost						Unrealized Gains						Unrealized Losses						Estimated Fair Value
Agency			(dollars in thousands)
Fixed-rate pass-through			$	62,221,818					$	3,509,679					$	(22,954)					$	65,708,543					$	2,323,973					$	(418,896)					$	67,613,620
Adjustable-rate pass-through			416,963						2,425						(3,550)						415,838						23,035						(1)						438,872
CMO			133,977						2,140						—						136,117						6,755						—						142,872
Interest-only			2,564,531						534,913						—						534,913						2,058						(126,807)						410,164
Multifamily(1)			1,294,527						41,353						(1,031)						980,458						21,820						(20,163)						982,115
Reverse mortgages			46,004						4,070						—						50,074						—						(488)						49,586
Total agency securities			$	66,677,820					$	4,094,580					$	(27,535)					$	67,825,943					$	2,377,641					$	(566,355)					$	69,637,229
Residential credit
CRT (2)			$	940,130					$	7,087					$	(2,299)					$	934,425					$	3,455					$	(6,897)					$	930,983
Alt-A			72,234						50						(17,179)						55,105						3,398						(5)						58,498
Prime			174,335						4,932						(15,778)						163,489						12,026						(285)						175,230
Prime interest-only			146,141						1,513						—						1,513						—						(554)						959
Subprime			199,639						531						(17,986)						182,184						7,479						(1,165)						188,498
NPL/RPL			804,824						1,307						(2,374)						803,757						6,297						(650)						809,404
Prime jumbo (>=2010 vintage)			44,309						196						(5,234)						39,271						4,126						(48)						43,349
Prime jumbo (>=2010 vintage) Interest-only			228,483						5,770						—						5,770						—						(4,604)						1,166
Total residential credit securities			$	2,610,095					$	21,386					$	(60,850)					$	2,185,514					$	36,781					$	(14,208)					$	2,208,087
Total Residential Securities			$	69,287,915					$	4,115,966					$	(88,385)					$	70,011,457					$	2,414,422					$	(580,563)					$	71,845,316
Commercial
Commercial Securities			$	4,000					$	—					$	(111)					$	3,889					$	232					$	—					$	4,121
Total securities			$	69,291,915					$	4,115,966					$	(88,496)					$	70,015,346					$	2,414,654					$	(580,563)					$	71,849,437
			December 31, 2020
			Principal / Notional						Remaining Premium						Remaining Discount						Amortized Cost						Unrealized Gains						Unrealized Losses						Estimated Fair Value
Agency			(dollars in thousands)
Fixed-rate pass-through			$	64,800,235					$	3,325,020					$	(22,143)					$	68,103,112					$	3,200,542					$	(1,076)					$	71,302,578
Adjustable-rate pass-through			455,675						2,869						(3,369)						455,175						22,341						—						477,516
CMO			139,664						2,177						—						141,841						7,926						—						149,767
Interest-only			2,790,537						564,297						—						564,297						3,513						(145,901)						421,909
Multifamily			1,910,384						50,148						(1,057)						1,604,913						59,548						(954)						1,663,507
Reverse mortgages			47,585						4,183						—						51,768						252						(238)						51,782
Total agency investments			$	70,144,080					$	3,948,694					$	(26,569)					$	70,921,106					$	3,294,122					$	(148,169)					$	74,067,059
Residential credit
CRT (1)			$	544,780					$	7,324					$	(2,430)					$	538,941					$	3,062					$	(9,600)					$	532,403
Alt-A			93,001						51						(17,368)						75,684						4,644						—						80,328
Prime			177,852						5,126						(15,999)						166,979						14,607						(77)						181,509
Prime interest-only			194,687						1,882						—						1,882						—						(642)						1,240
Subprime			197,779						584						(18,181)						180,182						8,312						(61)						188,433
NPL/RPL			475,108						821						(2,416)						473,513						3,782						(1,448)						475,847
Prime jumbo (>=2010 vintage)			44,696						207						(5,300)						39,603						3,680						—						43,283
Prime jumbo (>=2010 vintage) Interest-only			291,624						6,803						—						6,803						—						(5,251)						1,552
Total residential credit securities			$	2,019,527					$	22,798					$	(61,694)					$	1,483,587					$	38,087					$	(17,079)					$	1,504,595
Total Residential Securities			$	72,163,607					$	3,971,492					$	(88,263)					$	72,404,693					$	3,332,209					$	(165,248)					$	75,571,654
Commercial
Commercial Securities			$	89,858					$	—					$	(7,471)					$	82,387					$	54					$	(1,699)					$	80,742
Total securities			$	72,253,465					$	3,971,492					$	(95,734)					$	72,487,080					$	3,332,263					$	(166,947)					$	75,652,396

(1) Principal/Notional amount includes $354.4 million and $354.6 million of an Agency CMBS interest-only security as of March 31, 2021 and December 31, 2020, respectively.

(2) Principal/Notional amount includes $10.5 million and $14.9 million of a CRT interest-only security as of March 31, 2021 and December 31, 2020, respectively.

Types of Agency Mortgage Backed Securities

The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at March 31, 2021 and December 31, 2020:

			March 31, 2021						December 31, 2020
Investment Type			(dollars in thousands)
Fannie Mae			$	53,587,022					$	56,218,033
Freddie Mac			15,945,374						17,735,041
Ginnie Mae			104,833						113,985
Total			$	69,637,229					$	74,067,059

Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification

The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at March 31, 2021 and December 31, 2020, according to their estimated weighted average life classifications:

			March 31, 2021												December 31, 2020
			Estimated Fair Value						Amortized Cost						Estimated Fair Value						Amortized Cost
Estimated weighted average life			(dollars in thousands)
Less than one year			$	93,493					$	92,760					$	110,203					$	109,540
Greater than one year through five years			11,078,004						10,643,081						45,643,138						43,404,877
Greater than five years through ten years			59,414,165						57,992,294						28,509,058						27,610,923
Greater than ten years			1,259,654						1,283,322						1,309,255						1,279,353
Total			$	71,845,316					$	70,011,457					$	75,571,654					$	72,404,693

Schedule of Continuous Unrealized Loss Position

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 March 31, 2021 and December 31, 2020.

			March 31, 2021																		December 31, 2020
			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			$	18,862,476					$	(439,060)					381						$	777,586					$	(2,030)					30
12 Months or more			—						—						—						—						—						—
Total			$	18,862,476					$	(439,060)					381						$	777,586					$	(2,030)					30
(1)     Excludes interest-only mortgage-backed securities and reverse mortgages.

Schedule of Realized Gain (Loss)

The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three months ended March 31, 2021 and 2020.

			Gross Realized Gains						Gross Realized Losses						Net Realized Gains (Losses)
For the three months ended			(dollars in thousands)
March 31, 2021			$	4,646					$	(65,340)					$	(60,694)
March 31, 2020			$	539,255					$	(271,998)					$	267,257

X

- Definition

Tabular disclosure of mortgage baked securities agency concentration.

+ References

No definition available.

+ Details

Name:	nly_ScheduleOfMortgageBackedSecuritiesAgencyConcentrationTableTextBlock
Namespace Prefix:	nly_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Schedule of actual mortgage backed securities, which are generally shorter than stated contractual maturities due to payments of principal, prepayments, etc.

+ References

No definition available.

+ Details

Name:	nly_ScheduleOfMortgageBackedSecuritiesByEstimatedWeightedAverageLifeClassificationTableTextBlock
Namespace Prefix:	nly_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale).

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-URI http://asc.fasb.org/topic&trid=2196928

+ Details

Name:	us-gaap_DebtSecuritiesAvailableForSaleTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the reconciliation of available-for-sale securities from cost basis to fair value.

+ References

No definition available.

+ Details

Name:	us-gaap_ScheduleOfAvailableForSaleSecuritiesReconciliationTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the proceeds from sales of available-for-sale securities and the gross realized gains and gross realized losses that have been included in earnings as a result of those sales.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-SubTopic 10
-Section 50
-Paragraph 9
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=121645371&loc=d3e27357-111563

+ Details

Name:	us-gaap_ScheduleOfRealizedGainLossTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

For all investments in an unrealized loss position, including those for which other-than-temporary impairments have not been recognized in earnings (including investments for which a portion of an other-than-temporary impairment has been recognized in other comprehensive income), a tabular disclosure of the aggregate related fair value of investments with unrealized losses and the aggregate amount of unrealized losses (that is, the amount by which amortized cost basis exceeds fair value).

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-SubTopic 10
-Section 50
-Paragraph 6
-URI http://asc.fasb.org/extlink&oid=121645371&loc=d3e27290-111563

+ Details

Name:	us-gaap_ScheduleOfUnrealizedLossOnInvestmentsTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration