XML 95 R71.htm IDEA: XBRL DOCUMENT
v3.22.2.2

DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2022 | Dec. 31, 2021
Interest rate swaps, at fair value |  |
Derivative [Line Items] |  |
Current notional | $ 40,867,500,000 | $ 45,907,300,000
Weighted Average Pay Rate | 1.53% | 0.59%
Weighted Average Receive Rate | 2.96% | 0.08%
Weighted average years to maturity | 5 years 4 months 24 days | 3 years 3 months 25 days
Interest rate swaps, at fair value | LIBOR |  |
Derivative [Line Items] |  |
Notional amount, percentage | 0.22 | 0.18
Interest rate swaps, at fair value | Federal funds index swap |  |
Derivative [Line Items] |  |
Notional amount, percentage | 0.30 | 0.53
Interest rate swaps, at fair value | Secured Overnight Financing Rate |  |
Derivative [Line Items] |  |
Notional amount, percentage | 0.48 | 0.29
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 notional | $ 21,501,900,000 | $ 32,709,300,000
Weighted Average Pay Rate | 1.08% | 0.25%
Weighted Average Receive Rate | 2.95% | 0.06%
Weighted average years to maturity | 7 months 28 days | 1 year 1 month 6 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 notional | $ 1,120,400,000 | $ 2,780,000,000
Weighted Average Pay Rate | 2.20% | 0.21%
Weighted Average Receive Rate | 2.95% | 0.07%
Weighted average years to maturity | 4 years 3 months 25 days | 3 years 5 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 notional | $ 15,936,200,000 | $ 9,118,000,000
Weighted Average Pay Rate | 2.06% | 1.43%
Weighted Average Receive Rate | 2.99% | 0.13%
Weighted average years to maturity | 9 years 3 months 14 days | 9 years 18 days
Interest rate swaps, at fair value | Greater than 10 years |  |
Derivative [Line Items] |  |
Minimum maturity period | 10 years | 10 years
Current notional | $ 2,309,000,000 | $ 1,300,000,000
Weighted Average Pay Rate | 3.49% | 4.04%
Weighted Average Receive Rate | 2.89% | 0.11%
Weighted average years to maturity | 23 years 2 months 4 days | 18 years 8 months 12 days
Forward starting pay fixed swaps |  |
Derivative [Line Items] |  |
Current 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 https://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 https://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: |