XML 45 R33.htm IDEA: XBRL DOCUMENT
v3.21.2

SECURITIES (Tables) | 9 Months Ended
--- | ---
Sep. 30, 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 nine months ended September 30, 2021:
| Agency Securities |  | Residential Credit Securities |  | Commercial Securities |  | Total
| (dollars in thousands)
Beginning balance January 1, 2021 | $ | 74,067,059 |  |  | $ | 1,504,595 |  |  | $ | 80,742 |  |  | $ | 75,652,396 |
Purchases | 16,066,339 |  |  | 1,669,148 |  |  | 265,006 |  |  | 18,000,493 |
Sales and transfers (1) | (10,961,428) |  |  | (102,216) |  |  | (78,770) |  |  | (11,142,414) |
Principal paydowns | (14,083,553) |  |  | (555,460) |  |  | — |  |  | (14,639,013) |
(Amortization) / accretion | (542,125) |  |  | 820 |  |  | 292 |  |  | (541,013) |
Fair value adjustment | (1,728,213) |  |  | 18,280 |  |  | 1,836 |  |  | (1,708,097) |
Ending balance September 30, 2021 | $ | 62,818,079 |  |  | $ | 2,535,167 |  |  | $ | 269,106 |  |  | $ | 65,622,352 |
(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 were carried at their fair value at September 30, 2021 and December 31, 2020:
| September 30, 2021
| Principal / Notional |  | Remaining Premium |  | Remaining Discount |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Estimated Fair Value
Agency | (dollars in thousands)
Fixed-rate pass-through | $ | 55,667,603 |  |  | $ | 3,107,102 |  |  | $ | (19,552) |  |  | $ | 58,755,153 |  |  | $ | 1,815,792 |  |  | $ | (272,823) |  |  | $ | 60,298,122 |
Adjustable-rate pass-through | 331,164 |  |  | 1,644 |  |  | (2,991) |  |  | 329,817 |  |  | 19,204 |  |  | — |  |  | 349,021 |
CMO | 120,598 |  |  | 1,906 |  |  | — |  |  | 122,504 |  |  | 6,740 |  |  | — |  |  | 129,244 |
Interest-only | 2,091,601 |  |  | 482,544 |  |  | — |  |  | 482,544 |  |  | 919 |  |  | (153,522) |  |  | 329,941 |
Multifamily(1) | 4,435,186 |  |  | 243,588 |  |  | (979) |  |  | 1,668,149 |  |  | 23,448 |  |  | (21,125) |  |  | 1,670,472 |
Reverse mortgages | 38,452 |  |  | 3,721 |  |  | — |  |  | 42,173 |  |  | — |  |  | (894) |  |  | 41,279 |
Total agency securities | $ | 62,684,604 |  |  | $ | 3,840,505 |  |  | $ | (23,522) |  |  | $ | 61,400,340 |  |  | $ | 1,866,103 |  |  | $ | (448,364) |  |  | $ | 62,818,079 |
Residential credit |  |  |  |  |  |  |  |  |  |  |  |  |
Credit risk transfer (2) | $ | 780,039 |  |  | $ | 6,639 |  |  | $ | (1,593) |  |  | $ | 776,784 |  |  | $ | 11,598 |  |  | $ | (1,147) |  |  | $ | 787,235 |
Alt-A | 66,805 |  |  | 31 |  |  | (16,879) |  |  | 49,957 |  |  | 3,584 |  |  | — |  |  | 53,541 |
Prime (3) | 343,013 |  |  | 10,197 |  |  | (15,226) |  |  | 269,586 |  |  | 12,191 |  |  | (2,040) |  |  | 279,737 |
Subprime | 183,962 |  |  | 403 |  |  | (16,984) |  |  | 167,381 |  |  | 9,340 |  |  | (285) |  |  | 176,436 |
NPL/RPL | 1,130,807 |  |  | 1,107 |  |  | (2,126) |  |  | 1,129,788 |  |  | 7,700 |  |  | (357) |  |  | 1,137,131 |
Prime jumbo (>=2010 vintage) (4) | 252,011 |  |  | 6,105 |  |  | (5,844) |  |  | 101,283 |  |  | 4,663 |  |  | (4,859) |  |  | 101,087 |
Total residential credit securities | $ | 2,756,637 |  |  | $ | 24,482 |  |  | $ | (58,652) |  |  | $ | 2,494,779 |  |  | $ | 49,076 |  |  | $ | (8,688) |  |  | $ | 2,535,167 |
Total Residential Securities | $ | 65,441,241 |  |  | $ | 3,864,987 |  |  | $ | (82,174) |  |  | $ | 63,895,119 |  |  | $ | 1,915,179 |  |  | $ | (457,052) |  |  | $ | 65,353,246 |
Commercial |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial Securities | $ | 269,000 |  |  | $ | 6 |  |  | $ | (103) |  |  | $ | 268,903 |  |  | $ | 209 |  |  | $ | (6) |  |  | $ | 269,106 |
Total securities | $ | 65,710,241 |  |  | $ | 3,864,993 |  |  | $ | (82,277) |  |  | $ | 64,164,022 |  |  | $ | 1,915,388 |  |  | $ | (457,058) |  |  | $ | 65,622,352 |
| 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) | 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 |  |  |  |  |  |  |  |  |  |  |  |  |
Credit risk transfer (2) | $ | 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 (3) | 372,539 |  |  | 7,008 |  |  | (15,999) |  |  | 168,861 |  |  | 14,607 |  |  | (719) |  |  | 182,749 |
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) (4) | 336,320 |  |  | 7,010 |  |  | (5,300) |  |  | 46,406 |  |  | 3,680 |  |  | (5,251) |  |  | 44,835 |
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 $3.0 billion and $354.6 million of Agency Multifamily interest-only securities as of September 30, 2021 and December 31, 2020, respectively. (2) Principal/Notional amount includes $8.3 million and $10.7 million of a CRT interest-only security as of September 30, 2021 and December 31, 2020, respectively. (3) Principal/Notional amount includes $68.4 million and $194.7 million of Prime interest-only securities as of September 30, 2021 and December 31, 2020, respectively. (4) Principal/Notional amount includes $151.0 million and $291.6 million of Prime Jumbo interest-only securities as of September 30, 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 September 30, 2021 and December 31, 2020:
| September 30, 2021 |  | December 31, 2020
Investment Type | (dollars in thousands)
Fannie Mae | $ | 49,315,620 |  |  | $ | 56,218,033 |
Freddie Mac | 12,230,337 |  |  | 17,735,041 |
Ginnie Mae | 1,272,122 |  |  | 113,985 |
Total | $ | 62,818,079 |  |  | $ | 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 September 30, 2021 and December 31, 2020, according to their estimated weighted average life classifications:
| September 30, 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 | $ | 321,612 |  |  | $ | 319,986 |  |  | $ | 110,203 |  |  | $ | 109,540 |
Greater than one year through five years | 16,777,839 |  |  | 16,217,155 |  |  | 45,643,138 |  |  | 43,404,877 |
Greater than five years through ten years | 46,915,780 |  |  | 46,011,641 |  |  | 28,509,058 |  |  | 27,610,923 |
Greater than ten years | 1,338,015 |  |  | 1,346,337 |  |  | 1,309,255 |  |  | 1,279,353 |
Total | $ | 65,353,246 |  |  | $ | 63,895,119 |  |  | $ | 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 September 30, 2021 and December 31, 2020.
| September 30, 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 | $ | 19,701,354 |  |  | $ | (292,136) |  |  | 409 |  |  | $ | 777,586 |  |  | $ | (2,030) |  |  | 30 |
12 Months or more | 4,640 |  |  | (136) |  |  | 2 |  |  | — |  |  | — |  |  | — |
Total | $ | 19,705,994 |  |  | $ | (292,272) |  |  | 411 |  |  | $ | 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 and nine months ended September 30, 2021 and 2020.
| Gross Realized Gains |  | Gross Realized Losses |  | Net Realized Gains (Losses)
For the three months ended | (dollars in thousands)
September 30, 2021 | $ | 30,368 |  |  | $ | (3,636) |  |  | $ | 26,732 |
September 30, 2020 | $ | 117,373 |  |  | $ | (13,440) |  |  | $ | 103,933 |
For the nine months ended |  |  |  |  |
September 30, 2021 | $ | 87,499 |  |  | $ | (86,657) |  |  | $ | 842 |
September 30, 2020 | $ | 929,010 |  |  | $ | (297,934) |  |  | $ | 631,076 |

X
- Definition Tabular disclosure of mortgage baked securities agency concentration. + References No definition available. + Details
Name: | nly_ScheduleOfMortgageBackedSecuritiesAgencyConcentrationTableTextBlock
Namespace Prefix: | nly_
Data Type: | dtr-types: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: | dtr-types: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: | dtr-types: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: | dtr-types: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=123581744&loc=d3e27357-111563 + Details
Name: | us-gaap_ScheduleOfRealizedGainLossTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types: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=123581744&loc=d3e27290-111563 + Details
Name: | us-gaap_ScheduleOfUnrealizedLossOnInvestmentsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration