XML 62 R50.htm IDEA: XBRL DOCUMENT
v3.24.2

SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | $ 99,097,058 | $ 96,221,329 |
Remaining Premium |  | 2,239,816 | 2,378,411 |
Remaining Discount |  | (1,290,514) | (1,449,850) |
Amortized Cost |  | 69,312,100 | 71,231,784 |
Unrealized Gains |  | 266,370 | 612,427 |
Unrealized Losses |  | (2,533,717) | (2,230,646) |
Estimated Fair Value | [1] | 67,044,753 | 69,613,565 | [2]
Total residential securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 98,984,770 | 95,996,732 |
Remaining Premium |  | 2,239,700 | 2,378,396 |
Remaining Discount |  | (1,290,467) | (1,449,028) |
Amortized Cost |  | 69,199,743 | 71,007,994 |
Unrealized Gains |  | 266,171 | 612,408 |
Unrealized Losses |  | (2,533,713) | (2,229,281) |
Estimated Fair Value |  | 66,932,201 | 69,391,121 |
Agency |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 85,210,788 | 82,895,356 |
Remaining Premium |  | 2,134,704 | 2,287,261 |
Remaining Discount |  | (1,203,402) | (1,328,751) |
Amortized Cost |  | 66,705,761 | 67,874,312 |
Unrealized Gains |  | 171,241 | 535,689 |
Unrealized Losses |  | (2,486,097) | (2,101,213) |
Estimated Fair Value |  | 64,390,905 | 66,308,788 |
Agency | Fixed-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 62,483,207 | 63,444,987 |
Remaining Premium |  | 1,273,211 | 1,448,886 |
Remaining Discount |  | (1,194,156) | (1,318,948) |
Amortized Cost |  | 62,562,262 | 63,574,925 |
Unrealized Gains |  | 142,638 | 477,242 |
Unrealized Losses |  | (2,230,420) | (1,853,226) |
Estimated Fair Value |  | 60,474,480 | 62,198,941 |
Agency | Adjustable-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 173,655 | 188,996 |
Remaining Premium |  | 14,982 | 15,834 |
Remaining Discount |  | (49) | (51) |
Amortized Cost |  | 188,588 | 204,779 |
Unrealized Gains |  | 2,118 | 1,663 |
Unrealized Losses |  | (12,945) | (14,953) |
Estimated Fair Value |  | 177,761 | 191,489 |
Agency | CMO |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 90,987 | 94,448 |
Remaining Premium |  | 1,539 | 1,612 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 92,526 | 96,060 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (15,607) | (13,088) |
Estimated Fair Value |  | 76,919 | 82,972 |
Agency | Interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 2,281,909 | 2,010,697 |
Remaining Premium |  | 408,515 | 416,955 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 408,515 | 416,955 |
Unrealized Gains |  | 8,991 | 4,729 |
Unrealized Losses |  | (143,950) | (157,679) |
Estimated Fair Value |  | 273,556 | 264,005 |
Agency | Multifamily |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 20,155,207 | 17,130,045 |
Remaining Premium |  | 433,555 | 400,781 |
Remaining Discount |  | (9,197) | (9,752) |
Amortized Cost |  | 3,425,145 | 3,552,217 |
Unrealized Gains |  | 17,494 | 52,055 |
Unrealized Losses |  | (81,456) | (59,744) |
Estimated Fair Value |  | 3,361,183 | 3,544,528 |
Agency | Reverse mortgages |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 25,823 | 26,183 |
Remaining Premium |  | 2,902 | 3,193 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 28,725 | 29,376 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (1,719) | (2,523) |
Estimated Fair Value |  | 27,006 | 26,853 |
Agency | Multifamily interest-only security |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 17,200,000 | 14,000,000 |
Residential credit |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 13,773,982 | 13,101,376 |
Remaining Premium |  | 104,996 | 91,135 |
Remaining Discount |  | (87,065) | (120,277) |
Amortized Cost |  | 2,493,982 | 3,133,682 |
Unrealized Gains |  | 94,930 | 76,719 |
Unrealized Losses |  | (47,616) | (128,068) |
Estimated Fair Value |  | 2,541,296 | 3,082,333 |
Residential credit | Credit risk transfer |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 780,293 | 924,729 |
Remaining Premium |  | 1,863 | 2,240 |
Remaining Discount |  | (3,843) | (4,358) |
Amortized Cost |  | 778,313 | 922,611 |
Unrealized Gains |  | 60,272 | 51,984 |
Unrealized Losses |  | (148) | (536) |
Estimated Fair Value |  | 838,437 | 974,059 |
Residential credit | Alt-A |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 165,585 | 164,384 |
Remaining Premium |  | 37 | 9 |
Remaining Discount |  | (1,889) | (3,922) |
Amortized Cost |  | 163,733 | 160,471 |
Unrealized Gains |  | 2,934 | 2,135 |
Unrealized Losses |  | (9,739) | (12,371) |
Estimated Fair Value |  | 156,928 | 150,235 |
Residential credit | Prime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,372,222 | 1,076,497 |
Remaining Premium |  | 14,026 | 8,590 |
Remaining Discount |  | (10,409) | (21,163) |
Amortized Cost |  | 30,527 | 207,077 |
Unrealized Gains |  | 2,844 | 1,704 |
Unrealized Losses |  | (559) | (28,134) |
Estimated Fair Value |  | 32,812 | 180,647 |
Residential credit | Subprime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 295,067 | 272,955 |
Remaining Premium |  | 13 | 0 |
Remaining Discount |  | (30,949) | (31,751) |
Amortized Cost |  | 264,131 | 241,204 |
Unrealized Gains |  | 6,963 | 5,622 |
Unrealized Losses |  | (11,728) | (11,221) |
Estimated Fair Value |  | 259,366 | 235,605 |
Residential credit | NPL/RPL |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,114,675 | 1,237,531 |
Remaining Premium |  | 8,087 | 8,336 |
Remaining Discount |  | (9,181) | (9,224) |
Amortized Cost |  | 1,113,581 | 1,236,643 |
Unrealized Gains |  | 3,247 | 4,578 |
Unrealized Losses |  | (20,660) | (43,666) |
Estimated Fair Value |  | 1,096,168 | 1,197,555 |
Residential credit | Prime jumbo (>=2010 vintage) |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 10,046,140 | 9,425,280 |
Remaining Premium |  | 80,970 | 71,960 |
Remaining Discount |  | (30,794) | (49,859) |
Amortized Cost |  | 143,697 | 365,676 |
Unrealized Gains |  | 18,670 | 10,696 |
Unrealized Losses |  | (4,782) | (32,140) |
Estimated Fair Value |  | 157,585 | 344,232 |
Residential credit | Prime interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,300,000 | 900,000 |
Residential credit | Prime jumbo interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 10,000,000 | 9,100,000 |
Commercial Securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 112,288 | 224,597 |
Remaining Premium |  | 116 | 15 |
Remaining Discount |  | (47) | (822) |
Amortized Cost |  | 112,357 | 223,790 |
Unrealized Gains |  | 199 | 19 |
Unrealized Losses |  | (4) | (1,365) |
Estimated Fair Value |  | $ 112,552 | $ 222,444 |
[1] | (3)Excludes $1.8 billion and $1.5 billion at June 30, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[2] | (1)Derived from the audited consolidated financial statements at December 31, 2023.

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://www.xbrl.org/2003/role/disclosureRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481800/320-10-50-2 + 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://www.xbrl.org/2003/role/disclosureRef -Topic 320 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481800/320-10-50-2 + 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 -Topic 326 -SubTopic 30 -Name Accounting Standards Codification -Section 45 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org/1943274/2147479130/326-30-45-1 + 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 -Topic 326 -SubTopic 30 -Name Accounting Standards Codification -Section 45 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org/1943274/2147479130/326-30-45-1 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleExcludingAccruedInterest
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Amount of principal of investment owned. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 210 -Name Accounting Standards Codification -Section 50 -Paragraph 6 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478795/946-210-50-6 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 946 -SubTopic 210 -Name Accounting Standards Codification -Section 55 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org/1943274/2147477439/946-210-55-1 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 210 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478795/946-210-50-1 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 320 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.12-12(Column B)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147477271/946-320-S99-1 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 320 -Name Accounting Standards Codification -Section S99 -Paragraph 3 -Subparagraph (SX 210.12-12B(Column B)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147477271/946-320-S99-3 Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 320 -Name Accounting Standards Codification -Section S99 -Paragraph 6 -Subparagraph (SX 210.12-14(Column B)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147477271/946-320-S99-6 + 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_FinancialInstrumentAxis=nly_FixedRatePassThroughMortgageBackedSecuritiesAvailableForSaleMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

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

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

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

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

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

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

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

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

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

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

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

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

X
- Details
Name: | us-gaap_FinancialInstrumentAxis=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: |