Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 247

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 8
Chunk 247
---
 Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”).  Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis. TBA securities without intent to accept delivery (“TBA derivatives”) are accounted for as derivatives as discussed in the “Derivative Instruments” Note. CRT Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, prime jumbo loan, non-qualified mortgage loan (“Non-QM”), small balance commercial loan (“SBC”), non-performing loan (“NPL”), re-performing loan (“RPL”) and residential transition loan (“RTL”) securitizations.Agency mortgage-backed securities, non-Agency mortgage-backed securities and residential CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio.Commercial Mortgage-Backed Securities (“Commercial Securities”) - The Company invests in Commercial Securities such as conduit, credit CMBS, single-asset single borrower and collateralized loan obligations.The following table represents a rollforward of the activity for the Company’s securities for the nine months ended September 30, 2025:Agency SecuritiesResidential Credit SecuritiesCommercial SecuritiesTotal(dollars in thousands)Beginning balance January 1, 2025$67,434,068 $2,248,101 $74,278 $69,756,447 Purchases28,423,701 541,147 — 28,964,848 Sales(9,340,711)(392,498)(41,814)(9,775,023)Principal paydowns(5,185,889)(633,432)(32,451)(5,851,772)(Amortization) / accretion(117,471)(4,798)(80)(122,349)Fair value adjustment2,104,121 (13,614)67 2,090,574 Ending balance September