Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 66

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 2
Chunk 66
---
 value of our assets caused from changes in market variables, such as interest rates, which affect the values of Residential Securities and other investment instruments.Investment Advisers ActRefers to the Investment Advisers Act of 1940, as amended.Investment Company ActRefers to the Investment Company Act of 1940, as amended.LLeverageThe use of borrowed money to increase investing power and economic returns.Leverage Ratio (GAAP Leverage Ratio or Debt-to-Equity Ratio)Calculated as total debt to total stockholders’ equity. For purposes of calculating this ratio total debt includes repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued, and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us.LIBOR (London Interbank Offered Rate)A rate previously used as a benchmark for financial transactions. All tenors of LIBOR relevant to us are either no longer published or are no longer representative.Liquidity RiskRisk to earnings, capital or business arising from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding.Long-Term CPROur projected prepayment speeds for certain Agency mortgage-backed securities using third party model and market information. Our prepayment speed projections incorporate underlying loan characteristics (e.g., coupon, term, original loan size, original loan-to-value ratio, etc.) and market data, including interest rate and home price index forecasts.  Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results.Long-Term DebtDebt which matures in more than one year. MMarket Agreed Coupon (“MAC”) Interest Rate SwapAn interest rate swap contract structure with pre-defined, market agreed terms, developed by SIFMA and ISDA with the purpose of promoting liquidity and simplified administration.Monetary PolicyAction taken by the Federal Open Market Committee of the Federal Reserve System to influence the money supply or interest rates.

72

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 2. Management’s Discussion and Analysis 

Mortgage-Backed Security (“MBS”)A security representing a direct interest in a pool of mortgage loans. The pass-through issuer or servicer collects the payments on the loans in the pool and “passes through” the principal and interest to the security holders on a pro rata basis.M