XML 48 R36.htm IDEA: XBRL DOCUMENT v3.21.1

VARIABLE INTEREST ENTITIES (Tables)

3 Months Ended

Mar. 31, 2021

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Fair Value of OBX Trusts

The entities in the table below are referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company.

Securitization			Date of Closing			Face Value at Closing
						(dollars in thousands)
OBX 2018-1			March 2018			$	327,162
OBX 2018-EXP1			August 2018			$	383,451
OBX 2018-EXP2			October 2018			$	384,027
OBX 2019-INV1			January 2019			$	393,961
OBX 2019-EXP1			April 2019			$	388,156
OBX 2019-INV2			June 2019			$	383,760
OBX 2019-EXP2			July 2019			$	463,405
OBX 2019-EXP3			October 2019			$	465,492
OBX 2020-INV1			January 2020			$	374,609
OBX 2020-EXP1			February 2020			$	467,511
OBX 2020-EXP2			July 2020			$	489,352
OBX 2020-EXP3			September 2020			$	514,609
OBX 2021-NQM1			March 2021			$	257,135

Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition

The statements of financial condition of the Company’s VIEs, excluding the multifamily securitization, credit facility VIEs and OBX Trusts as the transfers of loans or securities did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at March 31, 2021 and December 31, 2020 are as follows:

March 31, 2021
									Residential Trusts						MSR Silo
Assets									(dollars in thousands)
Cash and cash equivalents									$	—					$	30,529
Loans									—						45,982
Assets transferred or pledged to securitization vehicles									36,786						—
Mortgage servicing rights									—						113,080
Principal and interest receivable									214						—
Other assets									—						24,150
Total assets									$	37,000					$	213,741
Liabilities
Debt issued by securitization vehicles (non-recourse)									$	20,254					$	—
Payable for unsettled trades									—						587
Interest payable									48						—
Other liabilities									408						13,106
Total liabilities									$	20,710					$	13,693

December 31, 2020
									Residential Trusts						MSR Silo
Assets									(dollars in thousands)
Cash and cash equivalents									$	—					$	22,241
Loans									—						47,048
Assets transferred or pledged to securitization vehicles									40,035						—
Mortgage servicing rights									—						100,895
Principal and interest receivable									226						—
Total assets									$	40,261					$	170,184
Liabilities
Debt issued by securitization vehicles (non-recourse)									$	23,351					$	—
Other secured financing									—						30,420
Payable for unsettled trades									—						3,076
Interest payable									55						—
Other liabilities									246						13,345
Total liabilities									$	23,652					$	46,841

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2021 and December 31, 2020 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

Geographic Concentrations of Residential Mortgage Loans

March 31, 2021

December 31, 2020

Property location

% of Balance

Property location

% of Balance

California

51.0%

California

48.9%

New York

14.0%

New York

14.0%

Florida

6.0%

Florida

6.0%

All other (none individually greater than 5%)

29.0%

All other (none individually greater than 5%)

31.1%

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 multifamily securitization, OBX Trusts and credit facility VIEs, at March 31, 2021 are as follows:

Securitized Loans at Fair Value Geographic Concentration of Credit Risk

						Residential Trusts
																		Property Location						Principal Balance						% of Balance
																		California						$	16,549					45.9		%
																		Illinois						4,799						13.3		%
																		Texas						4,365						12.1		%
																		Massachusetts						2,247						6.2		%
																		Other (1)						8,074						22.5		%
																		Total						$	36,034					100.0		%

        (1) No individual state greater than 5%.

X

- Definition

Tabular disclosure of assets and liabilities of consolidated VIEs.

+ References

No definition available.

+ Details

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

X

- References

No definition available.

+ Details

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

X

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 810
-SubTopic 10
-Section 50
-Paragraph 5A
-URI http://asc.fasb.org/extlink&oid=121559654&loc=SL6759159-111685

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 810
-SubTopic 10
-Section 50
-Paragraph 6
-URI http://asc.fasb.org/extlink&oid=121559654&loc=d3e5747-111685

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 810
-SubTopic 10
-Section 50
-Paragraph 9
-URI http://asc.fasb.org/extlink&oid=121559654&loc=SL6228884-111685

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 810
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=121559654&loc=d3e5710-111685

Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 810
-SubTopic 10
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=121559654&loc=d3e5728-111685

+ Details

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

X

- Definition

Tabular disclosure of the nature of a concentration, a benchmark to which it is compared, and the percentage that the risk is to the benchmark.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 21
-URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13537-108611

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 20
-URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13531-108611

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 275
-SubTopic 10
-Section 50
-Paragraph 20
-URI http://asc.fasb.org/extlink&oid=99393423&loc=d3e6404-108592

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 275
-SubTopic 10
-Section 50
-Paragraph 16
-URI http://asc.fasb.org/extlink&oid=99393423&loc=d3e6327-108592

Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 275
-SubTopic 10
-Section 50
-Paragraph 18
-URI http://asc.fasb.org/extlink&oid=99393423&loc=d3e6351-108592

Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 275
-SubTopic 10
-Section 50
-Paragraph 21
-URI http://asc.fasb.org/extlink&oid=99393423&loc=d3e6442-108592

+ Details

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