XML 91 R79.htm IDEA: XBRL DOCUMENT
v3.21.2

DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2021 | Dec. 31, 2020
Interest rate swaps, at fair value |  |
Derivative [Line Items] |  |
Current Underlying Notional | $ 44,778,750,000 | $ 34,329,650,000
Weighted Average Pay Rate | 0.60% | 0.92%
Weighted Average Receive Rate | 0.07% | 0.37%
Weighted Average Years to Maturity | 3 years 8 months 19 days | 3 years 11 months 8 days
Interest rate swaps, at fair value | LIBOR |  |
Derivative [Line Items] |  |
Notional Amount, Percentage | 0.19 | 0.17
Interest rate swaps, at fair value | Federal funds index swap |  |
Derivative [Line Items] |  |
Notional Amount, Percentage | 0.54 | 0.72
Interest rate swaps, at fair value | Secured Overnight Financing Rate |  |
Derivative [Line Items] |  |
Notional Amount, Percentage | 0.27 | 0.11
Interest rate swaps, at fair value | 0 - 3 years |  |
Derivative [Line Items] |  |
Minimum Maturity Period | 0 years | 0 years
Maximum Maturity Period | 3 years | 3 years
Current Underlying Notional | $ 31,311,750,000 | $ 23,680,150,000
Weighted Average Pay Rate | 0.24% | 0.27%
Weighted Average Receive Rate | 0.06% | 0.11%
Weighted Average Years to Maturity | 1 year 3 months 18 days | 1 year 11 months 15 days
Interest rate swaps, at fair value | 3 - 6 years |  |
Derivative [Line Items] |  |
Minimum Maturity Period | 3 years | 3 years
Maximum Maturity Period | 6 years | 6 years
Current Underlying Notional | $ 2,780,000,000 | $ 3,600,000,000
Weighted Average Pay Rate | 0.21% | 0.18%
Weighted Average Receive Rate | 0.06% | 0.09%
Weighted Average Years to Maturity | 3 years 8 months 19 days | 4 years 2 months 15 days
Interest rate swaps, at fair value | 6 - 10 years |  |
Derivative [Line Items] |  |
Minimum Maturity Period | 6 years | 6 years
Maximum Maturity Period | 10 years | 10 years
Current Underlying Notional | $ 9,131,000,000 | $ 5,565,500,000
Weighted Average Pay Rate | 1.43% | 1.40%
Weighted Average Receive Rate | 0.10% | 0.62%
Weighted Average Years to Maturity | 9 years 3 months 14 days | 7 years 9 months 3 days
Interest rate swaps, at fair value | Greater than 10 years |  |
Derivative [Line Items] |  |
Minimum Maturity Period | 10 years | 10 years
Current Underlying Notional | $ 1,556,000,000 | $ 1,484,000,000
Weighted Average Pay Rate | 3.83% | 3.06%
Weighted Average Receive Rate | 0.10% | 0.36%
Weighted Average Years to Maturity | 19 years 8 months 26 days | 20 years 6 months 7 days
Forward starting pay fixed swaps |  |
Derivative [Line Items] |  |
Current Underlying 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 Weighted average pay rate for interest rate swaps. + References No definition available. + Details
Name: | nly_InterestRateSwapsWeightedAveragePayRate
Namespace Prefix: | nly_
Data Type: | dtr-types: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: | dtr-types: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
- Definition Nominal or face amount used to calculate payment on derivative. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 + Details
Name: | us-gaap_DerivativeNotionalAmount
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | na
Period Type: | instant

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

X
- Details
Name: | us-gaap_VariableRateAxis=us-gaap_LondonInterbankOfferedRateLIBORMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_VariableRateAxis=us-gaap_FederalFundsEffectiveSwapRateMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_VariableRateAxis=us-gaap_SecuredOvernightFinancingRateSofrOvernightIndexSwapRateMember
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_ForwardStartingPayFixedSwapsMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |