XML 79 R68.htm IDEA: XBRL DOCUMENT
v3.23.2

DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended
--- | --- | ---
Jun. 30, 2023 | Dec. 31, 2022
Interest rate swaps, at fair value |  |
Derivative [Line Items] |  |
Current Notional | $ 58,987,104 | $ 52,277,300
Weighted Average Pay Rate | 2.50% | 1.74%
Weighted Average Receive Rate | 5.05% | 4.28%
Weighted average years to maturity | 5 years 6 months 29 days | 5 years 3 months
Interest rate swaps, at fair value | LIBOR |  |
Derivative [Line Items] |  |
Notional amount, percentage | 0.12 | 0.17
Interest rate swaps, at fair value | Federal funds index swap |  |
Derivative [Line Items] |  |
Notional amount, percentage | 0.12 | 0.23
Interest rate swaps, at fair value | Secured Overnight Financing Rate |  |
Derivative [Line Items] |  |
Notional amount, percentage | 0.76 | 0.60
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 | $ 21,617,608 | $ 26,355,700
Weighted Average Pay Rate | 2.02% | 0.88%
Weighted Average Receive Rate | 5.01% | 4.33%
Weighted average years to maturity | 10 months 20 days | 9 months
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 | $ 7,464,799 | $ 1,120,400
Weighted Average Pay Rate | 2.96% | 2.53%
Weighted Average Receive Rate | 5.06% | 3.95%
Weighted average years to maturity | 4 years 6 months 25 days | 4 years 25 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 | $ 27,823,637 | $ 22,492,200
Weighted Average Pay Rate | 2.72% | 2.54%
Weighted Average Receive Rate | 5.12% | 4.24%
Weighted average years to maturity | 8 years 1 month 6 days | 8 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 Notional | $ 2,081,060 | $ 2,309,000
Weighted Average Pay Rate | 3.71% | 3.49%
Weighted Average Receive Rate | 4.84% | 4.26%
Weighted average years to maturity | 24 years 5 months 4 days | 22 years 11 months 4 days
Forward starting pay fixed swaps |  |
Derivative [Line Items] |  |
Current Notional | $ 734,000 | $ 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-types1: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-types1: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 Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 + 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 -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 1B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1B Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1A + 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=nly_LondonInterbankOfferedRateMember
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: |