XML 67 R68.htm IDEA: XBRL DOCUMENT v2.4.1.9
Summary of Characteristics of Interest Rate Swaps (Detail) (Interest Rate Swaps, USD $)
In Thousands, unless otherwise specified
3 Months Ended 12 Months Ended
Mar. 31, 2015
Dec. 31, 2014
Derivative Instruments:    
Current Notional $ 28,059,988invest_DerivativeNotionalAmount [1] $ 31,461,505invest_DerivativeNotionalAmount [1]
Weighted Average Pay Rate 2.37%nly_InterestRateSwapsWeightedAveragePayRate [2],[3] 2.49%nly_InterestRateSwapsWeightedAveragePayRate [2],[3]
Weighted Average Receive Rate 0.35%nly_InterestRateSwapsWeightedAverageReceiveRate [2] 0.22%nly_InterestRateSwapsWeightedAverageReceiveRate [2]
Average Years to Maturity 8 years 1 month 2 days [2] 8 years 4 months 17 days [2]
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 2,852,488invest_DerivativeNotionalAmount
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodOneMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[1] 2,502,505invest_DerivativeNotionalAmount
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodOneMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[1]
Weighted Average Pay Rate 1.78%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodOneMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2],[3] 1.63%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodOneMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2],[3]
Weighted Average Receive Rate 0.18%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodOneMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2] 0.17%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodOneMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2]
Average Years to Maturity 2 years 5 months 12 days [2] 2 years 7 months 21 days [2]
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 10,463,000invest_DerivativeNotionalAmount
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodTwoMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[1] 11,138,000invest_DerivativeNotionalAmount
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodTwoMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[1]
Weighted Average Pay Rate 1.85%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodTwoMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2],[3] 2.06%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodTwoMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2],[3]
Weighted Average Receive Rate 0.41%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodTwoMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2] 0.22%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodTwoMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2]
Average Years to Maturity 4 years 11 months 27 days [2] 5 years 2 months 5 days [2]
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 11,110,100invest_DerivativeNotionalAmount
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodThreeMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[1] 13,069,200invest_DerivativeNotionalAmount
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodThreeMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[1]
Weighted Average Pay Rate 2.60%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodThreeMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2],[3] 2.67%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodThreeMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2],[3]
Weighted Average Receive Rate 0.37%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodThreeMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2] 0.23%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodThreeMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2]
Average Years to Maturity 8 years 7 months 21 days [2] 8 years 6 months 26 days [2]
Greater than 10 years
   
Derivative Instruments:    
Derivative Instruments minimum maturity period 10 years 10 years
Current Notional $ 3,634,400invest_DerivativeNotionalAmount
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodFourMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[1] $ 4,751,800invest_DerivativeNotionalAmount
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodFourMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[1]
Weighted Average Pay Rate 3.70%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodFourMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2],[3] 3.58%nly_InterestRateSwapsWeightedAveragePayRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodFourMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2],[3]
Weighted Average Receive Rate 0.22%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodFourMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2] 0.20%nly_InterestRateSwapsWeightedAverageReceiveRate
/ us-gaap_DerivativeByNatureAxis
= nly_MaturityPeriodFourMember
/ us-gaap_DerivativeInstrumentRiskAxis
= us-gaap_InterestRateSwapMember
[2]
Average Years to Maturity 20 years 1 month 13 days [2] 19 years 6 months 11 days [2]
[1] Notional amount includes $3.0 billion and $500.0 million in forward starting pay fixed swaps as of March 31, 2015 and December 31, 2014, respectively.
[2] Excludes forward starting swaps.
[3] Weighted average fixed rate on forward starting pay fixed swaps was 1.88% and 3.25% as of March 31, 2015 and December 31, 2014, respectively.