XML 47 R36.htm IDEA: XBRL DOCUMENT
v3.23.2

DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Summarizes Fair Value Information about Derivative Assets Liabilities | The table below summarizes fair value information about the Company’s derivative assets and liabilities at June 30, 2023 and December 31, 2022:
Derivatives Instruments |  |  | June 30, 2023 |  | December 31, 2022
Assets |  |  | (dollars in thousands)
Interest rate swaps |  |  | $ | 30,026 |  |  | $ | 33,006 |
Interest rate swaptions |  |  | 264,406 |  |  | 256,991 |
TBA derivatives |  |  | 21,460 |  |  | 17,056 |
Futures contracts |  |  | 139,108 |  |  | 33,179 |
Purchase commitments |  |  | 2,119 |  |  | 1,832 |
Total derivative assets |  |  | $ | 457,119 |  |  | $ | 342,064 |
Liabilities |  |  |  |  |
Interest rate swaps |  |  | $ | 96,618 |  |  | $ | 108,724 |
TBA derivatives |  |  | 19,187 |  |  | 69,270 |
Futures contracts (1) |  |  | 37,049 |  |  | 11,919 |
Purchase commitments |  |  | 3,328 |  |  | 460 |
Credit derivatives (2) |  |  | — |  |  | 13,799 |
Total derivative liabilities |  |  | $ | 156,182 |  |  | $ | 204,172 |
(1) As of June 30, 2023, this includes $36.4 million of SOFR futures options. (2) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $420.0 million at December 31, 2022, plus any coupon shortfalls on the underlying tranche. As of December 31, 2022 the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and AA.
Summary of Certain Characteristics of Derivatives | The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2023 and December 31, 2022:
June 30, 2023
Maturity | Current Notional (1)(2) |  | Weighted Average Pay Rate |  | Weighted Average Receive Rate |  | Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years | $ | 21,617,608 |  |  | 2.02 | % |  | 5.01 | % |  | 0.89
3 - 6 years | 7,464,799 |  |  | 2.96 | % |  | 5.06 | % |  | 4.57
6 - 10 years | 27,823,637 |  |  | 2.72 | % |  | 5.12 | % |  | 8.10
Greater than 10 years | 2,081,060 |  |  | 3.71 | % |  | 4.84 | % |  | 24.43
Total / Weighted average | $ | 58,987,104 |  |  | 2.50 | % |  | 5.05 | % |  | 5.58
December 31, 2022
Maturity | Current Notional (1)(2) |  | Weighted Average Pay Rate |  | Weighted Average Receive Rate |  | Weighted Average Years to Maturity (3)
(dollars in thousands)
0 - 3 years | $ | 26,355,700 |  |  | 0.88 | % |  | 4.33 | % |  | 0.75
3 - 6 years | 1,120,400 |  |  | 2.53 | % |  | 3.95 | % |  | 4.07
6 - 10 years | 22,492,200 |  |  | 2.54 | % |  | 4.24 | % |  | 8.76
Greater than 10 years | 2,309,000 |  |  | 3.49 | % |  | 4.26 | % |  | 22.93
Total / Weighted average | $ | 52,277,300 |  |  | 1.74 | % |  | 4.28 | % |  | 5.25
(1) As of June 30, 2023, 12%, 12% and 76% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the SOFR, respectively. As of December 31, 2022, 17%, 23% and 60% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the SOFR, respectively. (2) As of June 30, 2023, notional amount includes $734.0 million of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2022. (3) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.
The following tables summarize certain characteristics of the Company’s swaptions at June 30, 2023 and December 31, 2022:
June 30, 2023
|  | Current Underlying Notional |  | Weighted Average Underlying Fixed Rate |  | Weighted Average Underlying Floating Rate |  | Weighted Average Underlying Years to Maturity |  | Weighted Average Months to Expiration
(dollars in thousands)
Long pay |  | $2,500,000 |  | 2.02% |  | 3M LIBOR |  | 7.69 |  | 8.25
Long receive |  | $750,000 |  | 1.57% |  | 3M LIBOR |  | 10.57 |  | 6.79
December 31, 2022
|  | Current Underlying Notional |  | Weighted Average Underlying Fixed Rate |  | Weighted Average Underlying Floating Rate |  | Weighted Average Underlying Years to Maturity |  | Weighted Average Months to Expiration
(dollars in thousands)
Long pay |  | $2,500,000 |  | 2.02% |  | 3M LIBOR |  | 8.19 |  | 14.28
Long receive |  | $750,000 |  | 1.57% |  | 3M LIBOR |  | 11.07 |  | 12.82
The following tables summarize certain characteristics of the Company’s TBA derivatives at June 30, 2023 and December 31, 2022:
June 30, 2023
Purchase and sale contracts for derivative TBAs | Notional |  | Implied Cost Basis |  | Implied Market Value |  | Net Carrying Value
(dollars in thousands)
Purchase contracts | $ | 5,649,000 |  |  | $ | 5,537,076 |  |  | $ | 5,519,589 |  |  | $ | (17,487) |
Sale contracts | (1,915,000) |  |  | (1,911,633) |  |  | (1,891,873) |  |  | 19,760 |
Net TBA derivatives | $ | 3,734,000 |  |  | $ | 3,625,443 |  |  | $ | 3,627,716 |  |  | $ | 2,273 |
December 31, 2022
(dollars in thousands)
Purchase contracts | $ | 10,589,000 |  |  | $ | 10,675,739 |  |  | $ | 10,623,350 |  |  | $ | (52,389) |
Sale contracts | (44,000) |  |  | (44,849) |  |  | (44,674) |  |  | 175 |
Net TBA derivatives | $ | 10,545,000 |  |  | $ | 10,630,890 |  |  | $ | 10,578,676 |  |  | $ | (52,214) |
The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2023 and December 31, 2022:
June 30, 2023
| Notional - Long Positions |  | Notional - Short Positions |  | Weighted Average Years to Maturity
| (dollars in thousands) |  |  |  |
U.S. Treasury futures - 2 year | $ | — |  |  | $ | (9,071,400) |  |  | 1.97
U.S. Treasury futures - 5 year | 98,000 |  |  | — |  |  | 4.39
U.S. Treasury futures - 10 year and greater | — |  |  | (2,439,800) |  |  | 8.01
Total | $ | 98,000 |  |  | $ | (11,511,200) |  |  | 3.26
December 31, 2022
| Notional - Long Positions |  | Notional - Short Positions |  | Weighted Average Years to Maturity
| (dollars in thousands) |  |  |  |
U.S. Treasury futures - 2 year | $ | — |  |  | $ | (8,518,400) |  |  | 1.96
U.S. Treasury futures - 5 year | — |  |  | (5,803,400) |  |  | 4.37
U.S. Treasury futures - 10 year and greater | — |  |  | (6,866,900) |  |  | 8.15
Total | $ | — |  |  | $ | (21,188,700) |  |  | 4.63
Offsetting of Derivative Assets and Liabilities | The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in our Consolidated Statements of Financial Condition at June 30, 2023 and December 31, 2022, respectively.
June 30, 2023
|  |  | Amounts Eligible for Offset |  |
| Gross Amounts |  | Financial Instruments |  | Cash Collateral |  | Net Amounts
Assets | (dollars in thousands)
Interest rate swaps, at fair value | $ | 30,026 |  |  | $ | (23,168) |  |  | $ | — |  |  | $ | 6,858 |
Interest rate swaptions, at fair value | 264,406 |  |  | (113,023) |  |  | (147,234) |  |  | 4,149 |
TBA derivatives, at fair value | 21,460 |  |  | (1,699) |  |  | — |  |  | 19,761 |
Futures contracts, at fair value | 139,108 |  |  | (24,822) |  |  | — |  |  | 114,286 |
Purchase commitments | 2,119 |  |  | — |  |  | — |  |  | 2,119 |
Liabilities |
Interest rate swaps, at fair value | $ | 96,618 |  |  | $ | (57,398) |  |  | $ | — |  |  | $ | 39,220 |
TBA derivatives, at fair value | 19,187 |  |  | (16,480) |  |  | (1,761) |  |  | 946 |
Futures contracts, at fair value (1) | 37,049 |  |  | (24,822) |  |  | (12,227) |  |  | — |
Purchase commitments | 3,328 |  |  | — |  |  | — |  |  | 3,328 |
December 31, 2022
|  |  | Amounts Eligible for Offset |  |
| Gross Amounts |  | Financial Instruments |  | Cash Collateral |  | Net Amounts
Assets | (dollars in thousands)
Interest rate swaps, at fair value | $ | 33,006 |  |  | $ | (24,625) |  |  | $ | — |  |  | $ | 8,381 |
Interest rate swaptions, at fair value | 256,991 |  |  | — |  |  | — |  |  | 256,991 |
TBA derivatives, at fair value | 17,056 |  |  | (16,875) |  |  | — |  |  | 181 |
Futures contracts, at fair value | 33,179 |  |  | (2,414) |  |  | — |  |  | 30,765 |
Purchase commitments | 1,832 |  |  | — |  |  | — |  |  | 1,832 |
Liabilities |
Interest rate swaps, at fair value | $ | 108,724 |  |  | $ | (24,625) |  |  | $ | (1,251) |  |  | $ | 82,848 |
TBA derivatives, at fair value | 69,270 |  |  | (16,875) |  |  | — |  |  | 52,395 |
Futures contracts, at fair value | 11,919 |  |  | (2,414) |  |  | (9,505) |  |  | — |
Purchase commitments | 460 |  |  | — |  |  | — |  |  | 460 |
Credit derivatives | 13,799 |  |  | — |  |  | (9,291) |  |  | 4,508 |
(1) As of June 30, 2023, this includes $36.4 million of SOFR futures options.
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss | The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows:
Location on Consolidated Statements of Comprehensive Income (Loss)
| Net Interest Component of Interest Rate Swaps (1) |  | Realized Gains (Losses) on Termination of Interest Rate Swaps (1) |  | Unrealized Gains (Losses) on Interest Rate Swaps (1)
For the three months ended | (dollars in thousands)
June 30, 2023 | $ | 425,293 |  |  | $ | 48,148 |  |  | $ | 841,702 |
June 30, 2022 | $ | 992 |  |  | $ | (16) |  |  | $ | 897,537 |
For the six months ended |
June 30, 2023 | $ | 810,999 |  |  | $ | (97,671) |  |  | $ | (114,570) |
June 30, 2022 | $ | (61,549) |  |  | $ | (16) |  |  | $ | 2,220,976 |
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
Three Months Ended June 30, 2023
Derivative Instruments | Realized Gain (Loss) |  | Unrealized Gain (Loss) |  | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives | $ | 99,361 |  |  | $ | (160,873) |  |  | $ | (61,512) |
Net interest rate swaptions | — |  |  | 53,413 |  |  | 53,413 |
Futures (1) | (242,013) |  |  | 413,240 |  |  | 171,227 |
Purchase commitments | — |  |  | (3,444) |  |  | (3,444) |
Credit derivatives | (17,970) |  |  | 18,468 |  |  | 498 |
Total |  |  |  |  | $ | 160,182 |
(1) For the three months ended June 30, 2023, this includes $18.8 million of unrealized loss related to SOFR futures options.
Three Months Ended June 30, 2022
Derivative Instruments | Realized Gain (Loss) |  | Unrealized Gain (Loss) |  | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives
(dollars in thousands)
Net TBA derivatives | $ | (1,064,242) |  |  | $ | 280,992 |  |  | $ | (783,250) |
Net interest rate swaptions | — |  |  | 119,436 |  |  | 119,436 |
Futures | 1,167,524 |  |  | (380,436) |  |  | 787,088 |
Purchase commitments | — |  |  | 2,671 |  |  | 2,671 |
Credit derivatives | 374 |  |  | (9,189) |  |  | (8,815) |
Total |  |  |  |  | $ | 117,130 |
Six Months Ended June 30, 2023
Derivative Instruments | Realized Gain (Loss) |  | Unrealized Gain (Loss) |  | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives | $ | (54,488) |  |  | $ | 54,487 |  |  | $ | (1) |
Net interest rate swaptions | 2,323 |  |  | 7,415 |  |  | 9,738 |
Futures (1) | (123,681) |  |  | 98,362 |  |  | (25,319) |
Purchase commitments | — |  |  | (2,581) |  |  | (2,581) |
Credit derivatives | (19,282) |  |  | 13,260 |  |  | (6,022) |
Total |  |  |  |  | $ | (24,185) |
(1) For the six months ended June 30, 2023, this includes $18.8 million of unrealized loss related to SOFR futures options.
Six Months Ended June 30, 2022
Derivative Instruments | Realized Gain (Loss) |  | Unrealized Gain (Loss) |  | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives
(dollars in thousands)
Net TBA derivatives | $ | (1,820,381) |  |  | $ | (79,239) |  |  | $ | (1,899,620) |
Net interest rate swaptions | (14,450) |  |  | 242,058 |  |  | 227,608 |
Futures | 1,720,678 |  |  | 458,516 |  |  | 2,179,194 |
Purchase commitments | — |  |  | 2,172 |  |  | 2,172 |
Credit derivatives | 1,434 |  |  | (12,528) |  |  | (11,094) |
Total |  |  |  |  | $ | 498,260 |

X
- Definition Tabular disclosure of derivative assets and liabilities that are subject to offsetting, including master netting arrangements. + References No definition available. + Details
Name: | nly_DerivativeAssetsAndLiabilitiesOffsettingTableTextBlock
Namespace Prefix: | nly_
Data Type: | dtr-types1:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Schedule of derivative instruments in statement of operations and comprehensive income. + References No definition available. + Details
Name: | nly_ScheduleOfDerivativeInstrumentsInStatementOfOperationsAndComprehensiveIncomeTableTextBlock
Namespace Prefix: | nly_
Data Type: | dtr-types1:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -SubTopic 10 -Topic 815 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1A Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1B Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-8 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4B Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the notional amounts of outstanding derivative positions. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1A + Details
Name: | us-gaap_ScheduleOfNotionalAmountsOfOutstandingDerivativePositionsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration