XML 63 R72.htm IDEA: XBRL DOCUMENT v2.4.1.9
Summary of Characteristics of Interest Rate Swaps (Detail) (USD $)
In Thousands, unless otherwise specified
12 Months Ended
Dec. 31, 2014
Dec. 31, 2013
Derivative Instruments:    
Weighted Average Pay Rate 2.49%nly_InterestRateSwapsWeightedAveragePayRate 2.14%nly_InterestRateSwapsWeightedAveragePayRate
Weighted Average Receive Rate 0.22%nly_InterestRateSwapsWeightedAverageReceiveRate 0.20%nly_InterestRateSwapsWeightedAverageReceiveRate
Interest Rate Swaps    
Derivative Instruments:    
Current Notional $ 31,461,505invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
[1] $ 52,426,910invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
Weighted Average Pay Rate 2.49%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
[2],[3] 2.14%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
Weighted Average Receive Rate 0.22%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
[2] 0.20%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
Average Years to Maturity 8 years 4 months 17 days [2] 5 years 3 months 4 days
Interest Rate Swaps | 0 - 3 years    
Derivative Instruments:    
Derivative Instruments minimum maturity period 0 years 0 years
Derivative Instruments maximum maturity period 3 years 3 years
Current Notional 2,502,505invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodOneMember
[1] 24,286,000invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodOneMember
Weighted Average Pay Rate 1.63%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodOneMember
[2],[3] 1.83%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodOneMember
Weighted Average Receive Rate 0.17%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodOneMember
[2] 0.18%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodOneMember
Average Years to Maturity 2 years 7 months 21 days [2] 1 year 11 months 23 days
Interest Rate Swaps | 3 - 6 years    
Derivative Instruments:    
Derivative Instruments minimum maturity period 3 years 3 years
Derivative Instruments maximum maturity period 6 years 6 years
Current Notional 11,138,000invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodTwoMember
[1] 8,865,410invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodTwoMember
Weighted Average Pay Rate 2.06%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodTwoMember
[2],[3] 2.02%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodTwoMember
Weighted Average Receive Rate 0.22%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodTwoMember
[2] 0.19%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodTwoMember
Average Years to Maturity 5 years 2 months 5 days [2] 4 years 2 months 9 days
Interest Rate Swaps | 6 - 10 years    
Derivative Instruments:    
Derivative Instruments minimum maturity period 6 years 6 years
Derivative Instruments maximum maturity period 10 years 10 years
Current Notional 13,069,200invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodThreeMember
[1] 15,785,500invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodThreeMember
Weighted Average Pay Rate 2.67%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodThreeMember
[2],[3] 2.37%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodThreeMember
Weighted Average Receive Rate 0.23%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodThreeMember
[2] 0.23%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodThreeMember
Average Years to Maturity 8 years 6 months 26 days [2] 7 years 7 months 28 days
Interest Rate Swaps | Greater than 10 years    
Derivative Instruments:    
Derivative Instruments minimum maturity period 10 years 10 years
Current Notional $ 4,751,800invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodFourMember
[1] $ 3,490,000invest_DerivativeNotionalAmount
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodFourMember
Weighted Average Pay Rate 3.58%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodFourMember
[2],[3] 3.62%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodFourMember
Weighted Average Receive Rate 0.20%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodFourMember
[2] 0.20%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_FinancialInstrumentAxis
= us-gaap_InterestRateSwapMember
/ nly_PeriodAxis
= nly_MaturityPeriodFourMember
Average Years to Maturity 19 years 6 months 11 days [2] 19 years 11 months 5 days
[1] Notional amount includes $500.0 million in forward starting pay fixed swaps.
[2] Excludes forward starting swaps.
[3] Weighted average fixed rate on forward starting pay fixed swaps was 3.25%.