XML 58 R47.htm IDEA: XBRL DOCUMENT
v3.23.1

SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | $ 90,400,391 | $ 86,183,782
Remaining Premium | 2,937,481 | 2,943,297
Remaining Discount | (1,243,353) | (1,110,917)
Amortized Cost | 72,473,602 | 70,669,855
Unrealized Gains | 227,203 | 83,143
Unrealized Losses | (3,462,620) | (4,963,091)
Estimated Fair Value | 69,238,185 | 65,789,907
Total residential securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 89,881,827 | 85,637,283
Remaining Premium | 2,937,481 | 2,943,297
Remaining Discount | (1,241,523) | (1,108,512)
Amortized Cost | 71,956,868 | 70,125,761
Unrealized Gains | 227,203 | 83,143
Unrealized Losses | (3,446,497) | (4,945,306)
Estimated Fair Value | 68,737,574 | 65,263,598
Agency |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 78,131,936 | 75,220,242
Remaining Premium | 2,856,175 | 2,878,118
Remaining Discount | (1,117,615) | (1,004,331)
Amortized Cost | 68,674,734 | 66,908,288
Unrealized Gains | 206,341 | 71,939
Unrealized Losses | (3,257,541) | (4,705,332)
Estimated Fair Value | 65,623,534 | 62,274,895
Agency | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 64,851,694 | 63,232,479
Remaining Premium | 2,009,496 | 2,105,813
Remaining Discount | (1,116,103) | (1,003,225)
Amortized Cost | 65,745,087 | 64,335,067
Unrealized Gains | 185,694 | 62,060
Unrealized Losses | (2,978,073) | (4,367,369)
Estimated Fair Value | 62,952,708 | 60,029,758
Agency | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 221,651 | 232,028
Remaining Premium | 16,768 | 17,065
Remaining Discount | (78) | (85)
Amortized Cost | 238,341 | 249,008
Unrealized Gains | 2,226 | 2,138
Unrealized Losses | (15,695) | (16,759)
Estimated Fair Value | 224,872 | 234,387
Agency | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 99,729 | 101,543
Remaining Premium | 1,752 | 1,781
Remaining Discount | 0 | 0
Amortized Cost | 101,481 | 103,324
Unrealized Gains | 0 | 0
Unrealized Losses | (11,793) | (13,714)
Estimated Fair Value | 89,688 | 89,610
Agency | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 2,347,144 | 1,824,339
Remaining Premium | 507,374 | 438,295
Remaining Discount | 0 | 0
Amortized Cost | 507,374 | 438,295
Unrealized Gains | 3,675 | 153
Unrealized Losses | (196,486) | (220,371)
Estimated Fair Value | 314,563 | 218,077
Agency | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 10,584,134 | 9,801,375
Remaining Premium | 317,435 | 311,785
Remaining Discount | (1,434) | (1,021)
Amortized Cost | 2,051,517 | 1,750,737
Unrealized Gains | 14,746 | 7,588
Unrealized Losses | (52,824) | (84,160)
Estimated Fair Value | 2,013,439 | 1,674,165
Agency | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 27,584 | 28,478
Remaining Premium | 3,350 | 3,379
Remaining Discount | 0 | 0
Amortized Cost | 30,934 | 31,857
Unrealized Gains | 0 | 0
Unrealized Losses | (2,670) | (2,959)
Estimated Fair Value | 28,264 | 28,898
Agency | Multifamily Interest-Only Security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 8,800,000 | 8,400,000
Residential credit |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 11,749,891 | 10,417,041
Remaining Premium | 81,306 | 65,179
Remaining Discount | (123,908) | (104,181)
Amortized Cost | 3,282,134 | 3,217,473
Unrealized Gains | 20,862 | 11,204
Unrealized Losses | (188,956) | (239,974)
Estimated Fair Value | 3,114,040 | 2,988,703
Residential credit | Credit risk transfer |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,087,475 | 1,013,368
Remaining Premium | 6,626 | 6,790
Remaining Discount | (5,184) | (4,828)
Amortized Cost | 1,088,917 | 1,015,330
Unrealized Gains | 10,154 | 6,629
Unrealized Losses | (13,687) | (24,402)
Estimated Fair Value | 1,085,384 | 997,557
Residential credit | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 118,110 | 111,009
Remaining Premium | 9 | 9
Remaining Discount | (5,027) | (5,048)
Amortized Cost | 113,092 | 105,970
Unrealized Gains | 0 | 0
Unrealized Losses | (11,523) | (14,754)
Estimated Fair Value | 101,569 | 91,216
Residential credit | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 863,323 | 1,946,186
Remaining Premium | 9,725 | 19,496
Remaining Discount | (24,769) | (17,375)
Amortized Cost | 248,242 | 240,694
Unrealized Gains | 2,157 | 1,528
Unrealized Losses | (38,528) | (44,352)
Estimated Fair Value | 211,871 | 197,870
Residential credit | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 206,842 | 202,304
Remaining Premium | 0 | 0
Remaining Discount | (32,450) | (32,188)
Amortized Cost | 174,392 | 170,116
Unrealized Gains | 3,711 | 1,275
Unrealized Losses | (15,949) | (15,078)
Estimated Fair Value | 162,154 | 156,313
Residential credit | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,328,628 | 1,426,616
Remaining Premium | 2,796 | 1,624
Remaining Discount | (15,948) | (15,500)
Amortized Cost | 1,315,476 | 1,412,740
Unrealized Gains | 1,109 | 87
Unrealized Losses | (67,660) | (95,673)
Estimated Fair Value | 1,248,925 | 1,317,154
Residential credit | Prime jumbo (>=2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 8,145,513 | 5,717,558
Remaining Premium | 62,150 | 37,260
Remaining Discount | (40,530) | (29,242)
Amortized Cost | 342,015 | 272,623
Unrealized Gains | 3,731 | 1,685
Unrealized Losses | (41,609) | (45,715)
Estimated Fair Value | 304,137 | 228,593
Residential credit | Prime interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 600,000 | 1,700,000
Residential credit | Prime Jumbo interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 7,800,000 | 5,500,000
Commercial Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 518,564 | 546,499
Remaining Premium | 0 | 0
Remaining Discount | (1,830) | (2,405)
Amortized Cost | 516,734 | 544,094
Unrealized Gains | 0 | 0
Unrealized Losses | (16,123) | (17,785)
Estimated Fair Value | $ 500,611 | $ 526,309

X
- Definition Debt Securities, Available-for-sale, Remaining Discount + References No definition available. + Details
Name: | nly_DebtSecuritiesAvailableforsaleRemainingDiscount
Namespace Prefix: | nly_
Data Type: | xbrli:monetaryItemType
Balance Type: | credit
Period Type: | instant

X
- Definition Debt Securities, Available-for-sale, Remaining Premium + References No definition available. + Details
Name: | nly_DebtSecuritiesAvailableforsaleRemainingPremium
Namespace Prefix: | nly_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Mortgage-Backed Securities Portfolio [Line Items] + References No definition available. + Details
Name: | nly_MortgageBackedSecuritiesPortfolioLineItems
Namespace Prefix: | nly_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Amount, before tax, of unrealized gain in accumulated other comprehensive income (AOCI) on 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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126970911&loc=d3e27161-111563 + Details
Name: | us-gaap_AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedGainBeforeTax
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | credit
Period Type: | instant

X
- Definition Amount, before tax, of unrealized loss in accumulated other comprehensive income (AOCI) on 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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=126970911&loc=d3e27161-111563 + Details
Name: | us-gaap_AvailableForSaleDebtSecuritiesAccumulatedGrossUnrealizedLossBeforeTax
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Amortized cost excluding accrued interest, after allowance for credit loss, 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 326 -SubTopic 30 -Section 45 -Paragraph 1 -URI https://asc.fasb.org/extlink&oid=124258926&loc=SL82898722-210454 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleAmortizedCostExcludingAccruedInterestAfterAllowanceForCreditLoss
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Amount excluding accrued interest, 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 326 -SubTopic 30 -Section 45 -Paragraph 1 -URI https://asc.fasb.org/extlink&oid=124258926&loc=SL82898722-210454 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleExcludingAccruedInterest
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition For investments which are quantified by principal amount, the principle balance held at close of period. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 210 -Section 50 -Paragraph 6 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=99383244&loc=d3e12121-115841 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -Section S99 -Paragraph 3 -Subparagraph (SX 210.12-12B(Column B)) -URI https://asc.fasb.org/extlink&oid=122147990&loc=d3e611197-123010 + Details
Name: | us-gaap_InvestmentOwnedBalancePrincipalAmount
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Details
Name: | us-gaap_UnderlyingAssetClassAxis=nly_ResidentialInvestmentsMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_UnderlyingAssetClassAxis=us-gaap_AgencySecuritiesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_FixedRatePassThroughMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_AdjustableRatePassThroughMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=us-gaap_CollateralizedMortgageObligationsMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_InterestOnlyMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_MultifamilyMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_ReverseMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_MultifamilyInterestOnlySecurityMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_UnderlyingAssetClassAxis=nly_ResidentialCreditSecuritiesMortgageBackedSecuritiesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_CreditRiskTransferMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_AltaMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_PrimeMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_SubprimeMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_NplRplMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_PrimeJumboGreaterThanOrEqualToTwoThousandTenVintageMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_PrimeInterestonlyMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_InvestmentSecondaryCategorizationAxis=nly_PrimeJumboGreaterThanOrEqualToTwoThousandTenVintageInterestOnlyMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_UnderlyingAssetClassAxis=us-gaap_CommercialMortgageBackedSecuritiesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |