10-Q 1 nly-20210930.htm 10-Q nly-20210930
false2021Q3000104321912/31http://fasb.org/us-gaap/2021-01-31#AccountingStandardsUpdate201613MemberP5Y0.000875http://fasb.org/us-gaap/2021-01-31#OtherAssetshttp://fasb.org/us-gaap/2021-01-31#OtherLiabilities00010432192021-01-012021-09-300001043219us-gaap:CommonStockMember2021-01-012021-09-300001043219nly:A6.95SeriesFFixedtoFloatingRateCumulativeRedeemablePreferredStockMember2021-01-012021-09-300001043219nly:A6.50SeriesGFixedtoFloatingRateCumulativeRedeemablePreferredStockMember2021-01-012021-09-300001043219nly:A6.75SeriesIFixedtoFloatingRateCumulativeRedeemablePreferredStockMember2021-01-012021-09-30xbrli:shares00010432192021-10-22iso4217:USD00010432192021-09-3000010432192020-12-310001043219nly:AgencyMortgageBackedSecuritiesMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMember2020-12-310001043219us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2021-09-300001043219us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2020-12-31iso4217:USDxbrli:shares0001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-12-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:MortgageBackedSecuritiesIssuedByUSGovernmentSponsoredEnterprisesMember2021-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:MortgageBackedSecuritiesIssuedByUSGovernmentSponsoredEnterprisesMember2020-12-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2021-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2020-12-310001043219nly:CommercialMortgageLoanMembersrt:ConsolidationEliminationsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-09-300001043219nly:CommercialMortgageLoanMembersrt:ConsolidationEliminationsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-12-310001043219us-gaap:ResidentialMortgageMember2021-09-300001043219us-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:CorporateDebtSecuritiesMember2021-09-300001043219us-gaap:CorporateDebtSecuritiesMember2020-12-3100010432192021-07-012021-09-3000010432192020-07-012020-09-3000010432192020-01-012020-09-300001043219us-gaap:PreferredStockMember2021-06-300001043219us-gaap:PreferredStockMember2020-06-300001043219us-gaap:PreferredStockMember2020-12-310001043219us-gaap:PreferredStockMember2019-12-310001043219us-gaap:PreferredStockMember2021-09-300001043219us-gaap:PreferredStockMember2020-09-300001043219us-gaap:CommonStockMember2021-06-300001043219us-gaap:CommonStockMember2020-06-300001043219us-gaap:CommonStockMember2020-12-310001043219us-gaap:CommonStockMember2019-12-310001043219us-gaap:CommonStockMember2021-07-012021-09-300001043219us-gaap:CommonStockMember2020-07-012020-09-300001043219us-gaap:CommonStockMember2021-01-012021-09-300001043219us-gaap:CommonStockMember2020-01-012020-09-300001043219us-gaap:CommonStockMember2021-09-300001043219us-gaap:CommonStockMember2020-09-300001043219us-gaap:AdditionalPaidInCapitalMember2021-06-300001043219us-gaap:AdditionalPaidInCapitalMember2020-06-300001043219us-gaap:AdditionalPaidInCapitalMember2020-12-310001043219us-gaap:AdditionalPaidInCapitalMember2019-12-310001043219us-gaap:AdditionalPaidInCapitalMember2021-07-012021-09-300001043219us-gaap:AdditionalPaidInCapitalMember2020-07-012020-09-300001043219us-gaap:AdditionalPaidInCapitalMember2021-01-012021-09-300001043219us-gaap:AdditionalPaidInCapitalMember2020-01-012020-09-300001043219us-gaap:AdditionalPaidInCapitalMember2021-09-300001043219us-gaap:AdditionalPaidInCapitalMember2020-09-300001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-06-300001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-06-300001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-12-310001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2019-12-310001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-07-012021-09-300001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-07-012020-09-300001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-01-012021-09-300001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-01-012020-09-300001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-09-300001043219us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-09-300001043219us-gaap:RetainedEarningsMember2021-06-300001043219us-gaap:RetainedEarningsMember2020-06-300001043219us-gaap:RetainedEarningsMember2020-12-310001043219us-gaap:RetainedEarningsMember2019-12-3100010432192019-01-012019-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMemberus-gaap:RetainedEarningsMember2021-06-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMemberus-gaap:RetainedEarningsMember2020-06-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMemberus-gaap:RetainedEarningsMember2020-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMemberus-gaap:RetainedEarningsMember2019-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMemberus-gaap:RetainedEarningsMember2021-06-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMemberus-gaap:RetainedEarningsMember2020-06-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMemberus-gaap:RetainedEarningsMember2020-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMemberus-gaap:RetainedEarningsMember2019-12-310001043219us-gaap:RetainedEarningsMember2021-07-012021-09-300001043219us-gaap:RetainedEarningsMember2020-07-012020-09-300001043219us-gaap:RetainedEarningsMember2021-01-012021-09-300001043219us-gaap:RetainedEarningsMember2020-01-012020-09-300001043219us-gaap:RetainedEarningsMember2021-09-300001043219us-gaap:RetainedEarningsMember2020-09-300001043219us-gaap:ParentMember2021-09-300001043219us-gaap:ParentMember2020-09-300001043219us-gaap:NoncontrollingInterestMember2021-06-300001043219us-gaap:NoncontrollingInterestMember2020-06-300001043219us-gaap:NoncontrollingInterestMember2020-12-310001043219us-gaap:NoncontrollingInterestMember2019-12-310001043219us-gaap:NoncontrollingInterestMember2021-07-012021-09-300001043219us-gaap:NoncontrollingInterestMember2020-07-012020-09-300001043219us-gaap:NoncontrollingInterestMember2021-01-012021-09-300001043219us-gaap:NoncontrollingInterestMember2020-01-012020-09-300001043219us-gaap:NoncontrollingInterestMember2021-09-300001043219us-gaap:NoncontrollingInterestMember2020-09-3000010432192020-09-3000010432192019-12-310001043219srt:RevisionOfPriorPeriodReclassificationAdjustmentMember2021-01-012021-03-310001043219srt:RevisionOfPriorPeriodReclassificationAdjustmentMember2020-07-012020-09-300001043219srt:RevisionOfPriorPeriodReclassificationAdjustmentMember2020-01-012020-09-300001043219us-gaap:InterestRateSwapMember2021-09-300001043219us-gaap:InterestRateSwapMember2020-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMember2019-12-310001043219nly:AgencyMortgageBackedSecuritiesRecognizedThroughComprehensiveIncomeMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesRecognizedThroughComprehensiveIncomeMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesRecognizedThroughEarningsMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesRecognizedThroughEarningsMember2020-12-310001043219nly:CreditRiskTransferSecuritiesMember2021-09-300001043219nly:CreditRiskTransferSecuritiesMember2020-12-310001043219nly:NonAgencyMortgageBackedSecuritiesMember2021-09-300001043219nly:NonAgencyMortgageBackedSecuritiesMember2020-12-310001043219nly:CommercialRealEstateDebtInvestmentSecuritiesRecognizedThroughComprehensiveIncomeMember2021-09-300001043219nly:CommercialRealEstateDebtInvestmentSecuritiesRecognizedThroughComprehensiveIncomeMember2020-12-310001043219nly:CommercialRealEstateDebtInvestmentSecuritiesRecognizedThroughEarningsMember2021-09-300001043219nly:CommercialRealEstateDebtInvestmentSecuritiesRecognizedThroughEarningsMember2020-12-310001043219nly:CommercialRealEstateDebtInvestmentCreditRiskTransferSecuritiesMember2021-09-300001043219nly:CommercialRealEstateDebtInvestmentCreditRiskTransferSecuritiesMember2020-12-310001043219us-gaap:AvailableforsaleSecuritiesMember2021-09-300001043219us-gaap:AvailableforsaleSecuritiesMember2020-12-310001043219nly:ResidentialMortgageLoansMember2021-09-300001043219nly:ResidentialMortgageLoansMember2020-12-310001043219nly:ResidentialMortgageLoanWarehouseFacilityMember2021-09-300001043219nly:ResidentialMortgageLoanWarehouseFacilityMember2020-12-310001043219nly:CommercialRealEstateDebtAndPreferredEquityHeldForInvestmentMember2021-09-300001043219nly:CommercialRealEstateDebtAndPreferredEquityHeldForInvestmentMember2020-12-310001043219nly:CorporateDebtHeldForInvestmentMember2021-09-300001043219nly:CorporateDebtHeldForInvestmentMember2020-12-310001043219nly:CorporateDebtHeldForSaleMember2021-09-300001043219nly:CorporateDebtHeldForSaleMember2020-12-310001043219us-gaap:FinanceReceivablesMember2021-09-300001043219us-gaap:FinanceReceivablesMember2020-12-310001043219nly:ExcessSpreadAgreementsRecognizedThroughEarningsMember2021-09-300001043219nly:ExcessSpreadAgreementsRecognizedThroughEarningsMember2020-12-310001043219nly:MortgagebackedSecuritiesRecognizedThroughOtherComprehensiveIncomeMember2021-09-300001043219nly:MortgagebackedSecuritiesRecognizedThroughOtherComprehensiveIncomeMember2020-12-310001043219nly:ResidentialMortgageLoansAssetTransferredOrPledgedToSecuritizationRecognizedThroughEarningsMember2021-09-300001043219nly:ResidentialMortgageLoansAssetTransferredOrPledgedToSecuritizationRecognizedThroughEarningsMember2020-12-310001043219nly:CommercialMortgageLoansAssetTransferredOrPledgedToSecuritizationRecognizedThroughEarningsMember2021-09-300001043219nly:CommercialMortgageLoansAssetTransferredOrPledgedToSecuritizationRecognizedThroughEarningsMember2020-12-310001043219nly:CommercialMortgageLoansAmortizedCostMember2021-09-300001043219nly:CommercialMortgageLoansAmortizedCostMember2020-12-310001043219nly:AssetsTransferredOrPledgedToSecuritizationMember2021-09-300001043219nly:AssetsTransferredOrPledgedToSecuritizationMember2020-12-310001043219us-gaap:RepurchaseAgreementsMember2021-09-300001043219us-gaap:RepurchaseAgreementsMember2020-12-310001043219us-gaap:OtherDebtSecuritiesMember2021-09-300001043219us-gaap:OtherDebtSecuritiesMember2020-12-310001043219nly:SecuritizedDebtOfConsolidatedVIEsMember2021-09-300001043219nly:SecuritizedDebtOfConsolidatedVIEsMember2020-12-310001043219us-gaap:ParticipatingMortgagesMember2021-09-300001043219us-gaap:ParticipatingMortgagesMember2020-12-310001043219nly:MortgagePayableMember2021-09-300001043219nly:MortgagePayableMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMember2021-01-012021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMember2020-01-012020-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMember2020-07-012020-09-300001043219us-gaap:AgencySecuritiesMember2020-12-310001043219us-gaap:ResidentialMortgageBackedSecuritiesMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMember2020-12-310001043219us-gaap:AgencySecuritiesMember2021-01-012021-09-300001043219us-gaap:ResidentialMortgageBackedSecuritiesMember2021-01-012021-09-300001043219us-gaap:AgencySecuritiesMember2021-09-300001043219us-gaap:ResidentialMortgageBackedSecuritiesMember2021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMember2021-09-300001043219us-gaap:AgencySecuritiesMembernly:FixedRatePassThroughMortgageBackedSecuritiesAvailableForSaleMember2021-09-300001043219nly:AdjustableRatePassThroughMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:AgencySecuritiesMember2021-09-300001043219us-gaap:CollateralizedMortgageObligationsMemberus-gaap:AgencySecuritiesMember2021-09-300001043219us-gaap:AgencySecuritiesMembernly:InterestOnlyMortgageBackedSecuritiesAvailableForSaleMember2021-09-300001043219us-gaap:AgencySecuritiesMembernly:MultifamilyMortgageBackedSecuritiesAvailableForSaleMember2021-09-300001043219us-gaap:AgencySecuritiesMembernly:ReverseMortgageBackedSecuritiesAvailableForSaleMember2021-09-300001043219us-gaap:AgencySecuritiesMember2021-09-300001043219nly:CreditRiskTransferMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:AltaMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:PrimeMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:SubprimeMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:NplRplMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:PrimeJumboGreaterThanOrEqualToTwoThousandTenVintageMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:ResidentialInvestmentsMember2021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMember2021-09-300001043219us-gaap:AgencySecuritiesMembernly:FixedRatePassThroughMortgageBackedSecuritiesAvailableForSaleMember2020-12-310001043219nly:AdjustableRatePassThroughMortgageBackedSecuritiesAvailableForSaleMemberus-gaap:AgencySecuritiesMember2020-12-310001043219us-gaap:CollateralizedMortgageObligationsMemberus-gaap:AgencySecuritiesMember2020-12-310001043219us-gaap:AgencySecuritiesMembernly:InterestOnlyMortgageBackedSecuritiesAvailableForSaleMember2020-12-310001043219us-gaap:AgencySecuritiesMembernly:MultifamilyMortgageBackedSecuritiesAvailableForSaleMember2020-12-310001043219us-gaap:AgencySecuritiesMembernly:ReverseMortgageBackedSecuritiesAvailableForSaleMember2020-12-310001043219us-gaap:AgencySecuritiesMember2020-12-310001043219nly:CreditRiskTransferMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:AltaMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:PrimeMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:SubprimeMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:NplRplMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:PrimeJumboGreaterThanOrEqualToTwoThousandTenVintageMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:ResidentialInvestmentsMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMember2020-12-310001043219us-gaap:AgencySecuritiesMembernly:MultifamilyInterestOnlySecurityMember2021-09-300001043219us-gaap:AgencySecuritiesMembernly:MultifamilyInterestOnlySecurityMember2020-12-310001043219nly:CreditRiskTransferMortgageBackedSecuritiesAvailableForSaleInterestOnlySecurityMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:CreditRiskTransferMortgageBackedSecuritiesAvailableForSaleInterestOnlySecurityMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:PrimeInterestonlyMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:PrimeInterestonlyMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:PrimeJumboGreaterThanOrEqualToTwoThousandTenVintageInterestOnlyMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2021-09-300001043219nly:PrimeJumboGreaterThanOrEqualToTwoThousandTenVintageInterestOnlyMortgageBackedSecuritiesAvailableForSaleMembernly:ResidentialCreditSecuritiesMortgageBackedSecuritiesMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMemberus-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMemberus-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMemberus-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMemberus-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMemberus-gaap:GovernmentNationalMortgageAssociationCertificatesAndObligationsGNMAMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMemberus-gaap:GovernmentNationalMortgageAssociationCertificatesAndObligationsGNMAMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMembernly:AvailableForSaleSecuritiesContinuousUnrealizedLossPositionsLessThanTwelveMonthsMember2021-09-30nly:security0001043219nly:AgencyMortgageBackedSecuritiesMembernly:AvailableForSaleSecuritiesContinuousUnrealizedLossPositionsLessThanTwelveMonthsMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMembernly:AvailableForSaleSecuritiesContinuousUnrealizedLossPositionsGreaterThanTwelveMonthsMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMembernly:AvailableForSaleSecuritiesContinuousUnrealizedLossPositionsGreaterThanTwelveMonthsMember2020-12-310001043219us-gaap:ResidentialPortfolioSegmentMember2020-12-310001043219us-gaap:CommercialPortfolioSegmentMember2020-12-310001043219nly:CorporatePortfolioSegmentMember2020-12-310001043219nly:CorporateDebtHeldForSalePortfolioSegmentMember2020-12-310001043219nly:FinancingReceivablePortfolioSegmentsExcludingWarehouseFacilitiesMember2020-12-310001043219us-gaap:ResidentialPortfolioSegmentMember2021-01-012021-09-300001043219us-gaap:CommercialPortfolioSegmentMember2021-01-012021-09-300001043219nly:CorporatePortfolioSegmentMember2021-01-012021-09-300001043219nly:CorporateDebtHeldForSalePortfolioSegmentMember2021-01-012021-09-300001043219nly:FinancingReceivablePortfolioSegmentsExcludingWarehouseFacilitiesMember2021-01-012021-09-300001043219us-gaap:ResidentialPortfolioSegmentMember2021-09-300001043219us-gaap:CommercialPortfolioSegmentMember2021-09-300001043219nly:CorporatePortfolioSegmentMember2021-09-300001043219nly:CorporateDebtHeldForSalePortfolioSegmentMember2021-09-300001043219nly:FinancingReceivablePortfolioSegmentsExcludingWarehouseFacilitiesMember2021-09-300001043219us-gaap:ResidentialMortgageMember2021-07-012021-09-300001043219us-gaap:ResidentialMortgageMember2020-07-012020-09-300001043219us-gaap:ResidentialMortgageMember2021-01-012021-09-300001043219us-gaap:ResidentialMortgageMember2020-01-012020-09-30xbrli:pure0001043219stpr:CAnly:ResidentialMortgageLoansMemberus-gaap:GeographicConcentrationRiskMember2021-01-012021-09-300001043219stpr:CAnly:ResidentialMortgageLoansMemberus-gaap:GeographicConcentrationRiskMember2020-01-012020-12-310001043219stpr:NYnly:ResidentialMortgageLoansMemberus-gaap:GeographicConcentrationRiskMember2021-01-012021-09-300001043219stpr:NYnly:ResidentialMortgageLoansMemberus-gaap:GeographicConcentrationRiskMember2020-01-012020-12-310001043219stpr:FLnly:ResidentialMortgageLoansMemberus-gaap:GeographicConcentrationRiskMember2021-01-012021-09-300001043219stpr:FLnly:ResidentialMortgageLoansMemberus-gaap:GeographicConcentrationRiskMember2020-01-012020-12-310001043219nly:ResidentialMortgageLoansMembernly:OtherLocationMemberus-gaap:GeographicConcentrationRiskMember2021-01-012021-09-300001043219nly:ResidentialMortgageLoansMembernly:OtherLocationMemberus-gaap:GeographicConcentrationRiskMember2020-01-012020-12-310001043219nly:ResidentialMortgageLoansMemberus-gaap:GeographicConcentrationRiskMember2021-01-012021-09-300001043219nly:ResidentialMortgageLoansMemberus-gaap:GeographicConcentrationRiskMember2020-01-012020-12-310001043219srt:MinimumMemberus-gaap:ResidentialMortgageMember2021-09-300001043219srt:MaximumMemberus-gaap:ResidentialMortgageMember2021-09-300001043219srt:WeightedAverageMemberus-gaap:ResidentialMortgageMember2021-09-300001043219srt:MinimumMemberus-gaap:ResidentialMortgageMember2020-12-310001043219srt:MaximumMemberus-gaap:ResidentialMortgageMember2020-12-310001043219srt:WeightedAverageMemberus-gaap:ResidentialMortgageMember2020-12-310001043219srt:MinimumMemberus-gaap:ResidentialMortgageMember2021-01-012021-09-300001043219srt:MaximumMemberus-gaap:ResidentialMortgageMember2021-01-012021-09-300001043219srt:WeightedAverageMemberus-gaap:ResidentialMortgageMember2021-01-012021-09-300001043219srt:MinimumMemberus-gaap:ResidentialMortgageMember2020-01-012020-12-310001043219srt:MaximumMemberus-gaap:ResidentialMortgageMember2020-01-012020-12-310001043219srt:WeightedAverageMemberus-gaap:ResidentialMortgageMember2020-01-012020-12-31nly:point0001043219nly:CommercialMortgageLoanMember2021-01-012021-09-300001043219nly:CommercialMortgageLoanMember2020-07-012020-09-300001043219nly:CommercialMortgageLoanMember2020-01-012020-09-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMembernly:CommercialMortgageLoanMember2021-01-012021-09-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMembernly:CommercialMortgageLoanMember2020-07-012020-09-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMembernly:CommercialMortgageLoanMember2020-01-012020-09-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMembernly:CommercialMortgageLoanMember2020-01-01nly:loan0001043219nly:CommercialMortgageLoanMember2020-01-012020-12-310001043219nly:CommercialMortgageLoanMember2020-12-310001043219us-gaap:ExtendedMaturityMembernly:CommercialMortgageLoanMember2020-01-012020-12-310001043219us-gaap:PaymentDeferralMembernly:CommercialMortgageLoanMember2020-01-012020-12-310001043219us-gaap:ExtendedMaturityMembernly:CommercialMortgageLoanMember2020-12-310001043219nly:SeniorMortgagesMembernly:CommercialMortgageMember2020-12-310001043219nly:SeniorSecuritizedMortgagesMembernly:CommercialMortgageMember2020-12-310001043219nly:MezzanineLoansMembernly:CommercialMortgageMember2020-12-310001043219nly:CommercialMortgageMember2020-12-310001043219nly:SeniorMortgagesMembernly:CommercialMortgageMember2021-01-012021-09-300001043219nly:SeniorSecuritizedMortgagesMembernly:CommercialMortgageMember2021-01-012021-09-300001043219nly:MezzanineLoansMembernly:CommercialMortgageMember2021-01-012021-09-300001043219nly:CommercialMortgageMember2021-01-012021-09-300001043219nly:SeniorMortgagesMembernly:CommercialMortgageMember2021-09-300001043219nly:SeniorSecuritizedMortgagesMembernly:CommercialMortgageMember2021-09-300001043219nly:MezzanineLoansMembernly:CommercialMortgageMember2021-09-300001043219nly:CommercialMortgageMember2021-09-300001043219nly:SeniorMortgagesMembernly:CommercialMortgageMember2019-12-310001043219nly:SeniorSecuritizedMortgagesMembernly:CommercialMortgageMember2019-12-310001043219nly:MezzanineLoansMembernly:CommercialMortgageMember2019-12-310001043219nly:CommercialMortgageMember2019-12-310001043219nly:SeniorMortgagesMembernly:CommercialMortgageMember2020-01-012020-12-310001043219nly:SeniorSecuritizedMortgagesMembernly:CommercialMortgageMember2020-01-012020-12-310001043219nly:MezzanineLoansMembernly:CommercialMortgageMember2020-01-012020-12-310001043219nly:CommercialMortgageMember2020-01-012020-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMembernly:SeniorMortgagesMembernly:CommercialMortgageMember2019-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMembernly:SeniorSecuritizedMortgagesMembernly:CommercialMortgageMember2019-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMembernly:MezzanineLoansMembernly:CommercialMortgageMember2019-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMembernly:CommercialMortgageMember2019-12-310001043219srt:MinimumMember2021-01-012021-09-300001043219srt:MaximumMember2021-01-012021-09-300001043219us-gaap:CorporateDebtSecuritiesMember2021-01-012021-09-300001043219us-gaap:CorporateDebtSecuritiesMember2020-07-012020-09-300001043219us-gaap:CorporateDebtSecuritiesMember2020-01-012020-09-300001043219nly:SecondLienMemberus-gaap:CorporateDebtSecuritiesMember2020-09-300001043219us-gaap:CorporateDebtSecuritiesMember2020-09-300001043219nly:FirstLienMemberus-gaap:CorporateDebtSecuritiesMember2020-01-012020-09-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMemberus-gaap:CorporateDebtSecuritiesMember2021-07-012021-09-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMemberus-gaap:CorporateDebtSecuritiesMember2021-01-012021-09-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMemberus-gaap:CorporateDebtSecuritiesMember2020-07-012020-09-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustedBalanceMemberus-gaap:CorporateDebtSecuritiesMember2020-01-012020-09-300001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMemberus-gaap:CorporateDebtSecuritiesMember2020-01-010001043219nly:ComputerProgrammingDataProcessingAndOtherComputerRelatedServicesMember2021-09-300001043219nly:ComputerProgrammingDataProcessingAndOtherComputerRelatedServicesMember2020-12-310001043219nly:ManagementAndPublicRelationsMember2021-09-300001043219nly:ManagementAndPublicRelationsMember2020-12-310001043219nly:IndustrialInorganicChemicalsMember2021-09-300001043219nly:IndustrialInorganicChemicalsMember2020-12-310001043219nly:MetalCansAndShippingContainersMember2021-09-300001043219nly:MetalCansAndShippingContainersMember2020-12-310001043219nly:PublicWarehousingAndStorageMember2021-09-300001043219nly:PublicWarehousingAndStorageMember2020-12-310001043219nly:SurgicalMedicalAndDentalInstrumentsAndSuppliesMember2021-09-300001043219nly:SurgicalMedicalAndDentalInstrumentsAndSuppliesMember2020-12-310001043219nly:ElectronicComponentsAccessoriesMember2021-09-300001043219nly:ElectronicComponentsAccessoriesMember2020-12-310001043219nly:OfficesAndClinicsOfDoctorsOfMedicineMember2021-09-300001043219nly:OfficesAndClinicsOfDoctorsOfMedicineMember2020-12-310001043219nly:TelephoneCommunicationsMember2021-09-300001043219nly:TelephoneCommunicationsMember2020-12-310001043219nly:SpecialtyOutpatientFacilitiesNotElsewhereClassifiedMember2021-09-300001043219nly:SpecialtyOutpatientFacilitiesNotElsewhereClassifiedMember2020-12-310001043219nly:ResearchDevelopmentAndTestingServicesMember2021-09-300001043219nly:ResearchDevelopmentAndTestingServicesMember2020-12-310001043219nly:InsuranceAgentsBrokersAndServicesMember2021-09-300001043219nly:InsuranceAgentsBrokersAndServicesMember2020-12-310001043219nly:ElectricalWorkMember2021-09-300001043219nly:ElectricalWorkMember2020-12-310001043219nly:EngineeringArchitecturalSurveyingMember2021-09-300001043219nly:EngineeringArchitecturalSurveyingMember2020-12-310001043219nly:MiscellaneousIndustrialAndCommercialMember2021-09-300001043219nly:MiscellaneousIndustrialAndCommercialMember2020-12-310001043219nly:MiscellaneousEquipmentRentalAndLeasingMember2021-09-300001043219nly:MiscellaneousEquipmentRentalAndLeasingMember2020-12-310001043219nly:MedicalAndDentalLaboratoriesMember2021-09-300001043219nly:MedicalAndDentalLaboratoriesMember2020-12-310001043219nly:SchoolsAndEducationalServicesNotElsewhereClassifiedMember2021-09-300001043219nly:SchoolsAndEducationalServicesNotElsewhereClassifiedMember2020-12-310001043219nly:HomeHealthCareServicesMember2021-09-300001043219nly:HomeHealthCareServicesMember2020-12-310001043219nly:MetalForgingsandStampingsMember2021-09-300001043219nly:MetalForgingsandStampingsMember2020-12-310001043219nly:LegalServicesMember2021-09-300001043219nly:LegalServicesMember2020-12-310001043219nly:PetroleumAndPetroleumProductsMember2021-09-300001043219nly:PetroleumAndPetroleumProductsMember2020-12-310001043219nly:GroceryStoresMember2021-09-300001043219nly:GroceryStoresMember2020-12-310001043219nly:CoatingEngravingandAlliedServicesMember2021-09-300001043219nly:CoatingEngravingandAlliedServicesMember2020-12-310001043219nly:ChemicalsAlliedProductsMember2021-09-300001043219nly:ChemicalsAlliedProductsMember2020-12-310001043219nly:MailingReproductionCommercialArtAndPhotographyAndStenographicMember2021-09-300001043219nly:MailingReproductionCommercialArtAndPhotographyAndStenographicMember2020-12-310001043219nly:MachineryEquipmentandSuppliesMember2021-09-300001043219nly:MachineryEquipmentandSuppliesMember2020-12-310001043219nly:SanitaryServicesMember2021-09-300001043219nly:SanitaryServicesMember2020-12-310001043219nly:OfficesAndClinicsOfHealthPractitionersNotElsewhereClassifiedMember2021-09-300001043219nly:OfficesAndClinicsOfHealthPractitionersNotElsewhereClassifiedMember2020-12-310001043219nly:MiscellaneousBusinessServicesMember2021-09-300001043219nly:MiscellaneousBusinessServicesMember2020-12-310001043219nly:DrugsMember2021-09-300001043219nly:DrugsMember2020-12-310001043219nly:ComputerIntegratedSystemsDesignMember2021-09-300001043219nly:ComputerIntegratedSystemsDesignMember2020-12-310001043219nly:MiscellaneousFoodPreparationsMember2021-09-300001043219nly:MiscellaneousFoodPreparationsMember2020-12-310001043219nly:FirstLienMember2021-09-300001043219nly:FirstLienMember2020-12-310001043219nly:SecondLienMember2021-09-300001043219nly:SecondLienMember2020-12-310001043219nly:FirstLienMemberus-gaap:CorporateDebtSecuritiesMember2020-12-310001043219nly:SecondLienMemberus-gaap:CorporateDebtSecuritiesMember2020-12-310001043219nly:FirstLienMemberus-gaap:CorporateDebtSecuritiesMember2021-01-012021-09-300001043219nly:SecondLienMemberus-gaap:CorporateDebtSecuritiesMember2021-01-012021-09-300001043219nly:FirstLienMemberus-gaap:CorporateDebtSecuritiesMember2021-09-300001043219nly:SecondLienMemberus-gaap:CorporateDebtSecuritiesMember2021-09-300001043219nly:FirstLienMemberus-gaap:CorporateDebtSecuritiesMember2019-12-310001043219nly:SecondLienMemberus-gaap:CorporateDebtSecuritiesMember2019-12-310001043219us-gaap:CorporateDebtSecuritiesMember2019-12-310001043219nly:FirstLienMemberus-gaap:CorporateDebtSecuritiesMember2020-01-012020-12-310001043219nly:SecondLienMemberus-gaap:CorporateDebtSecuritiesMember2020-01-012020-12-310001043219us-gaap:CorporateDebtSecuritiesMember2020-01-012020-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMembernly:FirstLienMemberus-gaap:CorporateDebtSecuritiesMember2019-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMembernly:SecondLienMemberus-gaap:CorporateDebtSecuritiesMember2019-12-310001043219srt:CumulativeEffectPeriodOfAdoptionAdjustmentMemberus-gaap:CorporateDebtSecuritiesMember2019-12-310001043219nly:PerformingMemberus-gaap:CorporateDebtSecuritiesMember2021-09-300001043219nly:CloselyMonitoredMemberus-gaap:CorporateDebtSecuritiesMember2021-09-300001043219us-gaap:CorporateDebtSecuritiesMemberus-gaap:SubstandardMember2021-09-300001043219us-gaap:DoubtfulMemberus-gaap:CorporateDebtSecuritiesMember2021-09-300001043219us-gaap:CorporateDebtSecuritiesMemberus-gaap:UnlikelyToBeCollectedFinancingReceivableMember2021-09-3000010432192021-06-3000010432192020-06-300001043219us-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMember2021-06-300001043219us-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMember2020-12-310001043219us-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMember2021-07-012021-09-300001043219us-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMember2021-01-012021-09-300001043219us-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMember2021-09-300001043219us-gaap:BankServicingMember2021-07-012021-09-300001043219us-gaap:BankServicingMember2021-01-012021-09-300001043219us-gaap:BankServicingMember2020-07-012020-09-300001043219us-gaap:BankServicingMember2020-01-012020-09-300001043219nly:InterestsInMortgageServicingRightsMember2021-07-012021-09-300001043219nly:InterestsInMortgageServicingRightsMember2021-01-012021-09-300001043219nly:InterestsInMortgageServicingRightsMember2020-07-012020-09-300001043219nly:InterestsInMortgageServicingRightsMember2020-01-012020-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MultifamilyMember2019-11-300001043219us-gaap:RetainedInterestMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MultifamilyMember2019-11-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MultifamilyMemberus-gaap:SeniorLoansMember2019-11-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MultifamilyMember2020-03-310001043219us-gaap:RetainedInterestMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MultifamilyMember2020-03-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MultifamilyMember2020-01-012020-09-300001043219nly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-09-300001043219nly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-12-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:ResidentialMortgageLoansMember2021-09-300001043219srt:ConsolidationEliminationsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:ResidentialMortgageLoansMember2021-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2018-03-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2018-08-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2018-10-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2019-01-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2019-04-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2019-06-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2019-07-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2019-10-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2020-01-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2020-02-290001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2020-07-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2020-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2021-03-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2021-04-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2021-06-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2021-07-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2021-08-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2021-09-300001043219srt:ConsolidationEliminationsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2021-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2021-07-012021-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2020-07-012020-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2021-01-012021-09-300001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBXTrustMember2020-01-012020-09-300001043219nly:BorrowerMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:June2016CreditFacilityMember2021-09-300001043219nly:BorrowerMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:June2016CreditFacilityMemberus-gaap:CorporateDebtSecuritiesMember2021-09-300001043219srt:ConsolidationEliminationsMembernly:BorrowerMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:June2016CreditFacilityMember2021-09-300001043219nly:BorrowerMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:July2017CreditFacilityMember2021-09-300001043219nly:BorrowerMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:July2017CreditFacilityMemberus-gaap:CorporateDebtSecuritiesMember2021-09-300001043219nly:BorrowerMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:January2019CreditFacilityMember2021-09-300001043219nly:BorrowerMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:CorporateDebtSecuritiesMembernly:January2019CreditFacilityMember2021-09-300001043219nly:MSRSiloMember2017-08-012017-08-310001043219nly:MortgageServicingRightsSilosMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-09-300001043219nly:MortgageServicingRightsSilosMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2020-12-310001043219stpr:CAnly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-09-300001043219stpr:CAus-gaap:GeographicConcentrationRiskMembernly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:SecuritizedLoansMember2021-01-012021-09-300001043219nly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberstpr:IL2021-09-300001043219us-gaap:GeographicConcentrationRiskMembernly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberstpr:ILnly:SecuritizedLoansMember2021-01-012021-09-300001043219nly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberstpr:TX2021-09-300001043219us-gaap:GeographicConcentrationRiskMembernly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberstpr:TXnly:SecuritizedLoansMember2021-01-012021-09-300001043219nly:OtherLocationMembernly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-09-300001043219us-gaap:GeographicConcentrationRiskMembernly:OtherLocationMembernly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:SecuritizedLoansMember2021-01-012021-09-300001043219us-gaap:GeographicConcentrationRiskMembernly:ResidentialMortgageLoanTrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:SecuritizedLoansMember2021-01-012021-09-300001043219us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2021-07-012021-09-300001043219us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMember2021-01-012021-09-300001043219us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMembernly:ResidentialMortgageLoansMember2021-09-300001043219us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMembernly:ResidentialMortgageLoansMember2020-12-310001043219nly:CommercialRealEstateBusinessMemberus-gaap:DiscontinuedOperationsDisposedOfBySaleMember2021-03-250001043219nly:CommercialRealEstateBusinessMemberus-gaap:DiscontinuedOperationsDisposedOfBySaleMember2021-07-012021-09-300001043219nly:CommercialRealEstateBusinessMemberus-gaap:DiscontinuedOperationsDisposedOfBySaleMember2021-01-012021-09-300001043219nly:CommercialRealEstateBusinessMemberus-gaap:DiscontinuedOperationsDisposedOfBySaleMember2020-07-012020-09-300001043219nly:CommercialRealEstateBusinessMemberus-gaap:DiscontinuedOperationsDisposedOfBySaleMember2020-01-012020-09-300001043219nly:CommercialRealEstateBusinessMemberus-gaap:DiscontinuedOperationsDisposedOfBySaleMember2021-09-300001043219us-gaap:DiscontinuedOperationsHeldforsaleMemberus-gaap:FairValueInputsLevel3Member2021-07-012021-09-300001043219us-gaap:DiscontinuedOperationsHeldforsaleMemberus-gaap:FairValueMeasurementsNonrecurringMemberus-gaap:FairValueInputsLevel3Member2021-09-300001043219us-gaap:InterestRateSwaptionMember2021-09-300001043219us-gaap:InterestRateSwaptionMember2020-12-310001043219nly:ToBeAnnouncedContractsMember2021-09-300001043219nly:ToBeAnnouncedContractsMember2020-12-310001043219us-gaap:FutureMember2021-09-300001043219us-gaap:FutureMember2020-12-310001043219us-gaap:LoanPurchaseCommitmentsMember2021-09-300001043219us-gaap:LoanPurchaseCommitmentsMember2020-12-310001043219us-gaap:CreditRiskContractMember2021-09-300001043219us-gaap:CreditRiskContractMember2020-12-310001043219us-gaap:CreditRiskContractMembersrt:MaximumMember2021-09-300001043219us-gaap:CreditRiskContractMembersrt:MaximumMember2020-12-310001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodOneMember2021-01-012021-09-300001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodOneMember2021-09-300001043219nly:MaturityPeriodTwoMemberus-gaap:InterestRateSwapMember2021-01-012021-09-300001043219nly:MaturityPeriodTwoMemberus-gaap:InterestRateSwapMember2021-09-300001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodThreeMember2021-01-012021-09-300001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodThreeMember2021-09-300001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodFourMember2021-01-012021-09-300001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodFourMember2021-09-300001043219us-gaap:InterestRateSwapMember2021-01-012021-09-300001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodOneMember2020-01-012020-12-310001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodOneMember2020-12-310001043219nly:MaturityPeriodTwoMemberus-gaap:InterestRateSwapMember2020-01-012020-12-310001043219nly:MaturityPeriodTwoMemberus-gaap:InterestRateSwapMember2020-12-310001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodThreeMember2020-01-012020-12-310001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodThreeMember2020-12-310001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodFourMember2020-01-012020-12-310001043219us-gaap:InterestRateSwapMembernly:MaturityPeriodFourMember2020-12-310001043219us-gaap:InterestRateSwapMember2020-01-012020-12-310001043219us-gaap:LondonInterbankOfferedRateLIBORMemberus-gaap:InterestRateSwapMember2021-09-300001043219us-gaap:FederalFundsEffectiveSwapRateMemberus-gaap:InterestRateSwapMember2021-09-300001043219us-gaap:InterestRateSwapMemberus-gaap:SecuredOvernightFinancingRateSofrOvernightIndexSwapRateMember2021-09-300001043219us-gaap:LondonInterbankOfferedRateLIBORMemberus-gaap:InterestRateSwapMember2020-12-310001043219us-gaap:FederalFundsEffectiveSwapRateMemberus-gaap:InterestRateSwapMember2020-12-310001043219us-gaap:InterestRateSwapMemberus-gaap:SecuredOvernightFinancingRateSofrOvernightIndexSwapRateMember2020-12-310001043219nly:ForwardStartingPayFixedSwapsMember2020-12-310001043219nly:ForwardStartingPayFixedSwapsMember2021-09-300001043219nly:InterestRateSwaptionPayMemberus-gaap:LongMember2021-09-300001043219nly:InterestRateSwaptionPayMemberus-gaap:LongMember2021-01-012021-09-300001043219nly:InterestRateSwaptionReceiveMemberus-gaap:LongMember2021-09-300001043219nly:InterestRateSwaptionReceiveMemberus-gaap:LongMember2021-01-012021-09-300001043219nly:InterestRateSwaptionPayMemberus-gaap:LongMember2020-12-310001043219nly:InterestRateSwaptionPayMemberus-gaap:LongMember2020-01-012020-12-310001043219nly:InterestRateSwaptionReceiveMemberus-gaap:LongMember2020-12-310001043219nly:InterestRateSwaptionReceiveMemberus-gaap:LongMember2020-01-012020-12-310001043219us-gaap:LongMembernly:ToBeAnnouncedContractsMember2021-09-300001043219us-gaap:LongMembernly:ToBeAnnouncedContractsMember2021-01-012021-09-300001043219us-gaap:LongMembernly:ToBeAnnouncedContractsMember2020-12-310001043219us-gaap:LongMembernly:ToBeAnnouncedContractsMember2020-01-012020-12-310001043219nly:UsTreasuryFuturesTwoYearMember2021-01-012021-09-300001043219nly:UsTreasuryFuturesTwoYearMemberus-gaap:LongMember2021-09-300001043219nly:UsTreasuryFuturesTwoYearMemberus-gaap:ShortMember2021-09-300001043219nly:UsTreasuryFuturesFiveYearMember2021-01-012021-09-300001043219us-gaap:LongMembernly:UsTreasuryFuturesFiveYearMember2021-09-300001043219us-gaap:ShortMembernly:UsTreasuryFuturesFiveYearMember2021-09-300001043219nly:UsTreasuryFuturesTenYearMember2021-01-012021-09-300001043219us-gaap:LongMembernly:UsTreasuryFuturesTenYearMember2021-09-300001043219us-gaap:ShortMembernly:UsTreasuryFuturesTenYearMember2021-09-300001043219us-gaap:FutureMemberus-gaap:LongMember2021-09-300001043219us-gaap:FutureMemberus-gaap:ShortMember2021-09-300001043219us-gaap:FutureMember2021-01-012021-09-300001043219nly:UsTreasuryFuturesFiveYearMember2020-01-012020-12-310001043219us-gaap:LongMembernly:UsTreasuryFuturesFiveYearMember2020-12-310001043219us-gaap:ShortMembernly:UsTreasuryFuturesFiveYearMember2020-12-310001043219nly:UsTreasuryFuturesTenYearMember2020-01-012020-12-310001043219us-gaap:LongMembernly:UsTreasuryFuturesTenYearMember2020-12-310001043219us-gaap:ShortMembernly:UsTreasuryFuturesTenYearMember2020-12-310001043219us-gaap:FutureMemberus-gaap:LongMember2020-12-310001043219us-gaap:FutureMemberus-gaap:ShortMember2020-12-310001043219us-gaap:FutureMember2020-01-012020-12-310001043219us-gaap:CreditRiskContractMember2021-09-300001043219nly:ToBeAnnouncedContractsMember2021-07-012021-09-300001043219us-gaap:InterestRateSwaptionMember2021-07-012021-09-300001043219nly:UsTreasuryFuturesMember2021-07-012021-09-300001043219us-gaap:LoanPurchaseCommitmentsMember2021-07-012021-09-300001043219nly:CreditDerivativesMember2021-07-012021-09-300001043219nly:ToBeAnnouncedContractsMember2020-07-012020-09-300001043219us-gaap:InterestRateSwaptionMember2020-07-012020-09-300001043219nly:UsTreasuryFuturesMember2020-07-012020-09-300001043219us-gaap:LoanPurchaseCommitmentsMember2020-07-012020-09-300001043219nly:CreditDerivativesMember2020-07-012020-09-300001043219nly:ToBeAnnouncedContractsMember2021-01-012021-09-300001043219us-gaap:InterestRateSwaptionMember2021-01-012021-09-300001043219nly:UsTreasuryFuturesMember2021-01-012021-09-300001043219us-gaap:LoanPurchaseCommitmentsMember2021-01-012021-09-300001043219nly:CreditDerivativesMember2021-01-012021-09-300001043219nly:ToBeAnnouncedContractsMember2020-01-012020-09-300001043219us-gaap:InterestRateSwaptionMember2020-01-012020-09-300001043219nly:UsTreasuryFuturesMember2020-01-012020-09-300001043219us-gaap:LoanPurchaseCommitmentsMember2020-01-012020-09-300001043219nly:CreditDerivativesMember2020-01-012020-09-300001043219us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:FairValueInputsLevel2Member2021-09-300001043219us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219us-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2021-09-300001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel2Member2021-09-300001043219us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2021-09-300001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMemberus-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMemberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:FairValueInputsLevel2Member2021-09-300001043219us-gaap:FairValueInputsLevel3Memberus-gaap:CommercialMortgageBackedSecuritiesMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:ResidentialMortgageMember2021-09-300001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel2Member2021-09-300001043219us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:ResidentialMortgageMember2021-09-300001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:ResidentialMortgageMember2021-09-300001043219us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:FairValueInputsLevel2Member2020-12-310001043219us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219us-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2020-12-310001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel2Member2020-12-310001043219us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2020-12-310001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMemberus-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMemberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:FairValueInputsLevel2Member2020-12-310001043219us-gaap:FairValueInputsLevel3Memberus-gaap:CommercialMortgageBackedSecuritiesMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel2Member2020-12-310001043219us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMemberus-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:FairValueMeasurementsRecurringMemberus-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219us-gaap:MeasurementInputDiscountRateMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MinimumMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMembernly:MeasurementInputDelinquencyRateMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MaximumMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMembernly:MeasurementInputDelinquencyRateMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMembernly:MeasurementInputDelinquencyRateMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MinimumMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-01-012021-09-300001043219srt:MaximumMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-01-012021-09-300001043219srt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-01-012021-09-300001043219us-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219us-gaap:MeasurementInputDiscountRateMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MinimumMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MaximumMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MinimumMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMembernly:MeasurementInputDelinquencyRateMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MaximumMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMembernly:MeasurementInputDelinquencyRateMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMembernly:MeasurementInputDelinquencyRateMemberus-gaap:FairValueMeasurementsRecurringMember2021-09-300001043219srt:MinimumMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-01-012021-09-300001043219srt:MaximumMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-01-012021-09-300001043219srt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membernly:InterestsInMortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2021-01-012021-09-300001043219us-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219srt:MaximumMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219us-gaap:MeasurementInputDiscountRateMembersrt:WeightedAverageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219srt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219srt:MaximumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219srt:WeightedAverageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219srt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMembernly:MeasurementInputDelinquencyRateMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219srt:MaximumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMembernly:MeasurementInputDelinquencyRateMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219srt:WeightedAverageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMembernly:MeasurementInputDelinquencyRateMemberus-gaap:FairValueMeasurementsRecurringMember2020-12-310001043219srt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2020-01-012020-12-310001043219srt:MaximumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2020-01-012020-12-310001043219srt:WeightedAverageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Membernly:MortgageServicingRightsMemberus-gaap:FairValueMeasurementsRecurringMember2020-01-012020-12-310001043219us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueInputsLevel3Member2021-09-300001043219us-gaap:FairValueInputsLevel3Memberus-gaap:EstimateOfFairValueFairValueDisclosureMember2021-09-300001043219us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueInputsLevel3Member2020-12-310001043219us-gaap:FairValueInputsLevel3Memberus-gaap:EstimateOfFairValueFairValueDisclosureMember2020-12-310001043219us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueInputsLevel2Member2021-09-300001043219us-gaap:EstimateOfFairValueFairValueDisclosureMemberus-gaap:FairValueInputsLevel2Member2021-09-300001043219us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueInputsLevel2Member2020-12-310001043219us-gaap:EstimateOfFairValueFairValueDisclosureMemberus-gaap:FairValueInputsLevel2Member2020-12-310001043219us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:CorporateDebtSecuritiesMemberus-gaap:FairValueInputsLevel3Member2021-09-300001043219us-gaap:CorporateDebtSecuritiesMemberus-gaap:FairValueInputsLevel3Memberus-gaap:EstimateOfFairValueFairValueDisclosureMember2021-09-300001043219us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:CorporateDebtSecuritiesMemberus-gaap:FairValueInputsLevel3Member2020-12-310001043219us-gaap:CorporateDebtSecuritiesMemberus-gaap:FairValueInputsLevel3Memberus-gaap:EstimateOfFairValueFairValueDisclosureMember2020-12-310001043219us-gaap:EmploymentContractsMember2020-06-302020-06-300001043219us-gaap:EmploymentContractsMemberus-gaap:OtherNonoperatingIncomeExpenseMember2021-01-012021-09-300001043219us-gaap:EmploymentContractsMembernly:BusinessDivestureRelatedGainLossMember2021-01-012021-09-300001043219us-gaap:DiscontinuedOperationsHeldforsaleMember2021-01-012021-09-3000010432192020-01-012020-12-310001043219us-gaap:MaturityOvernightMembernly:AgencyMortgageBackedSecuritiesMember2021-09-300001043219us-gaap:MaturityOvernightMembernly:CreditRiskTransferSecuritiesMember2021-09-300001043219us-gaap:MaturityOvernightMembernly:NonAgencyMbsMember2021-09-300001043219us-gaap:MaturityOvernightMemberus-gaap:ResidentialMortgageMember2021-09-300001043219us-gaap:MaturityOvernightMemberus-gaap:CommercialMortgageBackedSecuritiesMember2021-09-300001043219us-gaap:MaturityOvernightMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMembernly:Maturity2To29DaysMember2021-09-300001043219nly:Maturity2To29DaysMembernly:CreditRiskTransferSecuritiesMember2021-09-300001043219nly:NonAgencyMbsMembernly:Maturity2To29DaysMember2021-09-300001043219nly:Maturity2To29DaysMemberus-gaap:ResidentialMortgageMember2021-09-300001043219nly:Maturity2To29DaysMemberus-gaap:CommercialMortgageBackedSecuritiesMember2021-09-300001043219nly:Maturity2To29DaysMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMembernly:Maturity30To59DaysMember2021-09-300001043219nly:Maturity30To59DaysMembernly:CreditRiskTransferSecuritiesMember2021-09-300001043219nly:NonAgencyMbsMembernly:Maturity30To59DaysMember2021-09-300001043219nly:Maturity30To59DaysMemberus-gaap:ResidentialMortgageMember2021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMembernly:Maturity30To59DaysMember2021-09-300001043219nly:Maturity30To59DaysMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMembernly:Maturity60To89DaysMember2021-09-300001043219nly:Maturity60To89DaysMembernly:CreditRiskTransferSecuritiesMember2021-09-300001043219nly:NonAgencyMbsMembernly:Maturity60To89DaysMember2021-09-300001043219nly:Maturity60To89DaysMemberus-gaap:ResidentialMortgageMember2021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMembernly:Maturity60To89DaysMember2021-09-300001043219nly:Maturity60To89DaysMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMembernly:Maturity90To119DaysMember2021-09-300001043219nly:Maturity90To119DaysMembernly:CreditRiskTransferSecuritiesMember2021-09-300001043219nly:NonAgencyMbsMembernly:Maturity90To119DaysMember2021-09-300001043219nly:Maturity90To119DaysMemberus-gaap:ResidentialMortgageMember2021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMembernly:Maturity90To119DaysMember2021-09-300001043219nly:Maturity90To119DaysMember2021-09-300001043219nly:AgencyMortgageBackedSecuritiesMembernly:MaturityOver119DaysMember2021-09-300001043219nly:MaturityOver119DaysMembernly:CreditRiskTransferSecuritiesMember2021-09-300001043219nly:NonAgencyMbsMembernly:MaturityOver119DaysMember2021-09-300001043219nly:MaturityOver119DaysMemberus-gaap:ResidentialMortgageMember2021-09-300001043219us-gaap:CommercialMortgageBackedSecuritiesMembernly:MaturityOver119DaysMember2021-09-300001043219nly:MaturityOver119DaysMember2021-09-300001043219nly:NonAgencyMbsMember2021-09-300001043219us-gaap:MaturityOvernightMembernly:AgencyMortgageBackedSecuritiesMember2020-12-310001043219us-gaap:MaturityOvernightMembernly:CreditRiskTransferSecuritiesMember2020-12-310001043219us-gaap:MaturityOvernightMembernly:NonAgencyMbsMember2020-12-310001043219us-gaap:MaturityOvernightMemberus-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:MaturityOvernightMemberus-gaap:CommercialLoanMember2020-12-310001043219us-gaap:MaturityOvernightMemberus-gaap:CommercialMortgageBackedSecuritiesMember2020-12-310001043219us-gaap:MaturityOvernightMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMembernly:Maturity2To29DaysMember2020-12-310001043219nly:Maturity2To29DaysMembernly:CreditRiskTransferSecuritiesMember2020-12-310001043219nly:NonAgencyMbsMembernly:Maturity2To29DaysMember2020-12-310001043219nly:Maturity2To29DaysMemberus-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:CommercialLoanMembernly:Maturity2To29DaysMember2020-12-310001043219nly:Maturity2To29DaysMemberus-gaap:CommercialMortgageBackedSecuritiesMember2020-12-310001043219nly:Maturity2To29DaysMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMembernly:Maturity30To59DaysMember2020-12-310001043219nly:Maturity30To59DaysMembernly:CreditRiskTransferSecuritiesMember2020-12-310001043219nly:NonAgencyMbsMembernly:Maturity30To59DaysMember2020-12-310001043219nly:Maturity30To59DaysMemberus-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:CommercialLoanMembernly:Maturity30To59DaysMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMembernly:Maturity30To59DaysMember2020-12-310001043219nly:Maturity30To59DaysMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMembernly:Maturity60To89DaysMember2020-12-310001043219nly:Maturity60To89DaysMembernly:CreditRiskTransferSecuritiesMember2020-12-310001043219nly:NonAgencyMbsMembernly:Maturity60To89DaysMember2020-12-310001043219nly:Maturity60To89DaysMemberus-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:CommercialLoanMembernly:Maturity60To89DaysMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMembernly:Maturity60To89DaysMember2020-12-310001043219nly:Maturity60To89DaysMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMembernly:Maturity90To119DaysMember2020-12-310001043219nly:Maturity90To119DaysMembernly:CreditRiskTransferSecuritiesMember2020-12-310001043219nly:NonAgencyMbsMembernly:Maturity90To119DaysMember2020-12-310001043219nly:Maturity90To119DaysMemberus-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:CommercialLoanMembernly:Maturity90To119DaysMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMembernly:Maturity90To119DaysMember2020-12-310001043219nly:Maturity90To119DaysMember2020-12-310001043219nly:AgencyMortgageBackedSecuritiesMembernly:MaturityOver119DaysMember2020-12-310001043219nly:MaturityOver119DaysMembernly:CreditRiskTransferSecuritiesMember2020-12-310001043219nly:NonAgencyMbsMembernly:MaturityOver119DaysMember2020-12-310001043219nly:MaturityOver119DaysMemberus-gaap:ResidentialMortgageMember2020-12-310001043219us-gaap:CommercialLoanMembernly:MaturityOver119DaysMember2020-12-310001043219us-gaap:CommercialMortgageBackedSecuritiesMembernly:MaturityOver119DaysMember2020-12-310001043219nly:MaturityOver119DaysMember2020-12-310001043219nly:NonAgencyMbsMember2020-12-310001043219us-gaap:CommercialLoanMember2020-12-3100010432192019-06-300001043219nly:AtthemarketSaleProgramMember2018-01-012018-01-310001043219nly:AtthemarketSaleProgramMember2021-07-012021-09-300001043219nly:AtthemarketSaleProgramMember2021-01-012021-09-300001043219nly:AtthemarketSaleProgramMember2020-07-012020-09-300001043219nly:AtthemarketSaleProgramMember2020-01-012020-09-300001043219us-gaap:SeriesDPreferredStockMember2021-09-300001043219us-gaap:SeriesDPreferredStockMember2020-12-310001043219us-gaap:SeriesDPreferredStockMember2021-01-012021-09-300001043219us-gaap:SeriesFPreferredStockMember2021-09-300001043219us-gaap:SeriesFPreferredStockMember2020-12-310001043219us-gaap:SeriesFPreferredStockMember2021-01-012021-09-300001043219us-gaap:SeriesGPreferredStockMember2021-09-300001043219us-gaap:SeriesGPreferredStockMember2020-12-310001043219us-gaap:SeriesGPreferredStockMember2021-01-012021-09-300001043219nly:SeriesIPreferredStockMember2021-09-300001043219nly:SeriesIPreferredStockMember2020-12-310001043219nly:SeriesIPreferredStockMember2021-01-012021-09-300001043219us-gaap:SeriesDPreferredStockMember2021-07-012021-09-300001043219us-gaap:SeriesDPreferredStockMember2020-07-012020-09-300001043219us-gaap:SeriesDPreferredStockMember2020-01-012020-09-300001043219us-gaap:SeriesFPreferredStockMember2021-07-012021-09-300001043219us-gaap:SeriesFPreferredStockMember2020-07-012020-09-300001043219us-gaap:SeriesFPreferredStockMember2020-01-012020-09-300001043219us-gaap:SeriesGPreferredStockMember2021-07-012021-09-300001043219us-gaap:SeriesGPreferredStockMember2020-07-012020-09-300001043219us-gaap:SeriesGPreferredStockMember2020-01-012020-09-300001043219nly:SeriesIPreferredStockMember2021-07-012021-09-300001043219nly:SeriesIPreferredStockMember2020-07-012020-09-300001043219nly:SeriesIPreferredStockMember2020-01-012020-09-300001043219nly:TaxableREITSubsidiaryMember2021-07-012021-09-300001043219nly:TaxableREITSubsidiaryMember2021-01-012021-09-300001043219nly:TaxableREITSubsidiaryMember2020-07-012020-09-300001043219nly:TaxableREITSubsidiaryMember2020-01-012020-09-3000010432192020-02-1200010432192020-02-1100010432192020-02-112020-02-1100010432192020-01-012020-06-300001043219nly:ManagementAgreementMember2020-01-012020-06-300001043219nly:ArcolaMember2021-09-300001043219nly:OBX2021J3TrustMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:SubsequentEventMemberus-gaap:ResidentialMortgageMember2021-10-310001043219us-gaap:VariableInterestEntityPrimaryBeneficiaryMembernly:OBX2021INV2Memberus-gaap:SubsequentEventMemberus-gaap:ResidentialMortgageMember2021-10-310001043219us-gaap:SubsequentEventMember2021-10-012021-10-31

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549


FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE QUARTERLY PERIOD ENDED:  September 30, 2021
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM _______________ TO _________________
COMMISSION FILE NUMBER:  1-13447

nly-20210930_g1.jpg

ANNALY CAPITAL MANAGEMENT INC
(Exact Name of Registrant as Specified in its Charter)

Maryland
22-3479661
(State or other jurisdiction of incorporation or organization)(IRS Employer Identification No.)
  
1211 Avenue of the Americas 
New York,
New York
10036
(Address of principal executive offices)(Zip Code)
(212) 696-0100
(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
Title of Each ClassTrading Symbol(s)Name of Each Exchange on Which Registered
Common Stock, par value $0.01 per shareNLYNew York Stock Exchange
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred StockNLY.FNew York Stock Exchange
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred StockNLY.GNew York Stock Exchange
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred StockNLY.INew York Stock Exchange








Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes     No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes     No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerAccelerated
filer
Non-accelerated filerSmaller reporting companyEmerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).  Yes     No 

The number of shares of the registrant’s Common Stock outstanding on October 22, 2021 was 1,450,120,688.



ANNALY CAPITAL MANAGEMENT, INC.
FORM 10-Q
TABLE OF CONTENTS
  
Page
Item 1.  Financial Statements
Note 9. Sale of Commercial Real Estate Business
26
 



ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
PART I - FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except per share data)
 September 30,December 31,
2021
2020 (1)
(Unaudited)
Assets  
Cash and cash equivalents (includes pledged assets of $896,255 and $1,137,809, respectively) (2)
$1,046,300 $1,243,703 
Securities (includes pledged assets of $57,950,911 and $67,471,074, respectively) (3)
65,622,352 75,652,396 
Loans, net (includes pledged assets of $2,267,661 and $2,231,035, respectively) (4)
3,580,521 3,083,821 
Mortgage servicing rights (includes pledged assets of $0 and $5,541, respectively) (5)
572,259 100,895 
Interests in MSR57,530  
Assets transferred or pledged to securitization vehicles4,738,481 6,910,020 
Real estate, net 656,314 
Assets of disposal group held for sale (includes pledged assets of $52,684 and $0, respectively)
238,042  
Derivative assets331,395 171,134 
Receivable for unsettled trades42,482 15,912 
Principal and interest receivable234,810 268,073 
Goodwill and intangible assets, net25,371 127,341 
Other assets172,890 225,494 
Total assets$76,662,433 $88,455,103 
Liabilities and stockholders’ equity  
Liabilities  
Repurchase agreements$55,475,420 $64,825,239 
Other secured financing729,555 917,876 
Debt issued by securitization vehicles3,935,410 5,652,982 
Participations issued641,006 39,198 
Mortgages payable 426,256 
Liabilities of disposal group held for sale159,508  
Derivative liabilities912,134 1,033,345 
Payable for unsettled trades571,540 884,069 
Interest payable109,586 191,116 
Dividends payable318,986 307,613 
Other liabilities91,421 155,613 
Total liabilities62,944,566 74,433,307 
Stockholders’ equity  
Preferred stock, par value $0.01 per share, 63,500,000 and 85,150,000 authorized, respectively, 63,500,000 issued and outstanding
1,536,569 1,536,569 
Common stock, par value $0.01 per share, 2,936,500,000 and 2,914,850,000 authorized, respectively, 1,449,935,017 and 1,398,240,618 issued and outstanding, respectively
14,499 13,982 
Additional paid-in capital20,228,366 19,750,818 
Accumulated other comprehensive income (loss)1,638,638 3,374,335 
Accumulated deficit(9,720,270)(10,667,388)
Total stockholders’ equity13,697,802 14,008,316 
Noncontrolling interests20,065 13,480 
Total equity13,717,867 14,021,796 
Total liabilities and equity$76,662,433 $88,455,103 
(1)Derived from the audited consolidated financial statements at December 31, 2020.
(2)Includes cash of consolidated Variable Interest Entities (“VIEs”) of $11.0 million and $22.2 million at September 30, 2021 and December 31, 2020, respectively.
(3)Excludes $46.4 million and $81.5 million at September 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $245.8 million and $576.6 million at September 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at September 30, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
(4)Includes $3.7 million and $47.0 million of residential mortgage loans held for sale at September 30, 2021 and December 31, 2020, respectively, and $2.1 million and $0 of corporate loans held for sale at September 30, 2021 and December 31, 2020, respectively.
(5)Includes $86.2 million and $0 million of mortgage servicing rights held for sale at September 30, 2021 and December 31, 2020.
See notes to consolidated financial statements.
1


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except per share data)
(Unaudited)
 For The Three Months Ended September 30,For The Nine Months Ended September 30,
 2021202020212020
Net interest income  
Interest income$412,972 $562,443 $1,560,256 $1,702,281 
Interest expense50,438 115,126 187,458 804,631 
Net interest income362,534 447,317 1,372,798 897,650 
Realized and unrealized gains (losses)  
Net interest component of interest rate swaps(54,411)(62,529)(217,245)(141,070)
Realized gains (losses) on termination or maturity of interest rate swaps(1,196,417)(427)(1,196,417)(1,919,720)
Unrealized gains (losses) on interest rate swaps1,380,946 170,327 2,012,141 (1,162,768)
Subtotal130,118 107,371 598,479 (3,223,558)
Net gains (losses) on disposal of investments and other12,002 198,888 (37,561)652,150 
Net gains (losses) on other derivatives and financial instruments(45,168)169,316 73,892 546,658 
Net unrealized gains (losses) on instruments measured at fair value through earnings90,817 121,255 198,992 (354,133)
Loan loss (provision) reversal6,134 21,993 145,260 (146,084)
Business divestiture-related gains (losses)(14,009) (262,045) 
Subtotal49,776 511,452 118,538 698,591 
Total realized and unrealized gains (losses)179,894 618,823 717,017 (2,524,967)
Other income (loss)16,221 3,714 31,364 23,204 
General and administrative expenses
Compensation and management fee27,859 29,196 91,390 107,057 
Other general and administrative expenses16,023 15,391 53,923 72,165 
Total general and administrative expenses43,882 44,587 145,313 179,222 
Income (loss) before income taxes514,767 1,025,267 1,975,866 (1,783,335)
Income taxes(6,767)9,719 (1,954)(14,928)
Net income (loss)521,534 1,015,548 1,977,820 (1,768,407)
Net income (loss) attributable to noncontrolling interests2,290 (126)3,405 (28)
Net income (loss) attributable to Annaly519,244 1,015,674 1,974,415 (1,768,379)
Dividends on preferred stock26,883 35,509 80,649 106,527 
Net income (loss) available (related) to common stockholders$492,361 $980,165 $1,893,766 $(1,874,906)
Net income (loss) per share available (related) to common stockholders  
Basic$0.34 $0.70 $1.34 $(1.32)
Diluted$0.34 $0.70 $1.33 $(1.32)
Weighted average number of common shares outstanding  
Basic1,445,315,914 1,404,202,695 1,418,424,208 1,419,645,475 
Diluted1,446,357,867 1,404,368,300 1,419,502,205 1,419,645,475 
Other comprehensive income (loss)  
Net income (loss)$521,534 $1,015,548 $1,977,820 $(1,768,407)
Unrealized gains (losses) on available-for-sale securities(113,451)(140,671)(1,733,919)2,220,271 
Reclassification adjustment for net (gains) losses included in net income (loss)(28,186)(112,347)(1,778)(769,406)
Other comprehensive income (loss)(141,637)(253,018)(1,735,697)1,450,865 
Comprehensive income (loss)379,897 762,530 242,123 (317,542)
Comprehensive income (loss) attributable to noncontrolling interests2,290 (126)3,405 (28)
Comprehensive income (loss) attributable to Annaly377,607 762,656 238,718 (317,514)
Dividends on preferred stock26,883 35,509 80,649 106,527 
Comprehensive income (loss) attributable to common stockholders$350,724 $727,147 $158,069 $(424,041)
See notes to consolidated financial statements.


2


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
(dollars in thousands)
(Unaudited)
For The Three Months Ended September 30,For The Nine Months Ended September 30,
2021202020212020
Preferred stock
Beginning of period
$1,536,569 $1,982,026 $1,536,569 $1,982,026 
End of period$1,536,569 $1,982,026 $1,536,569 $1,982,026 
Common stock
Beginning of period
$14,442 $14,077 $13,982 $14,301 
Issuance
55  511  
Buyback of common stock
 (49) (277)
Stock-based award activity
2  6 3 
Direct purchase and dividend reinvestment
 1  2 
End of period$14,499 $14,029 $14,499 $14,029 
Additional paid-in capital
Beginning of period
$20,178,692 $19,827,216 $19,750,818 $19,966,923 
Issuance
48,853  468,823 (93)
Buyback of common stock
 (31,363) (174,799)
Stock-based award activity
821 1,510 8,725 4,928 
Direct purchase and dividend reinvestment
 669  1,073 
End of period$20,228,366 $19,798,032 $20,228,366 $19,798,032 
Accumulated other comprehensive income (loss)
Beginning of period
$1,780,275 $3,842,074 $3,374,335 $2,138,191 
Unrealized gains (losses) on available-for-sale securities
(113,451)(140,671)(1,733,919)2,220,271 
Reclassification adjustment for net gains (losses) included in net income (loss)
(28,186)(112,347)(1,778)(769,406)
End of period$1,638,638 $3,589,056 $1,638,638 $3,589,056 
Accumulated deficit
Beginning of period - unadjusted
$(9,892,863)$(11,871,927)$(10,667,388)$(8,309,424)
Cumulative effect of change in accounting principle for credit losses
   (39,641)
Beginning of period - adjusted
(9,892,863)(11,871,927)(10,667,388)(8,349,065)
Net income (loss) attributable to Annaly
519,244 1,015,674 1,974,415 (1,768,379)
Dividends declared on preferred stock (1)
(26,883)(35,509)(80,649)(106,527)
Dividends and dividend equivalents declared on common stock and stock-based awards (1)
(319,768)(309,175)(946,648)(976,966)
End of period$(9,720,270)$(11,200,937)$(9,720,270)$(11,200,937)
Total stockholder’s equity$13,697,802 $14,182,206 $13,697,802 $14,182,206 
Noncontrolling interests
Beginning of period
$22,061 $4,137 $13,480 $4,327 
Net income (loss) attributable to noncontrolling interests
2,290 (126)3,405 (28)
Equity contributions from (distributions to) noncontrolling interests
(4,286)8,455 3,180 8,167 
End of period$20,065 $12,466 $20,065 $12,466 
Total equity$13,717,867 $14,194,672 $13,717,867 $14,194,672 
(1)    Refer to the “Capital Stock” Note for dividends per share for each class of shares.
See notes to consolidated financial statements.



3


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
 For The Nine Months Ended September 30,
 20212020
Cash flows from operating activities  
Net income (loss)$1,977,820 $(1,768,407)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Amortization of premiums and discounts of investments, net555,659