Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 40

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 40
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Principal amount at period end as % of total residential securities0.59%1.34%Fixed-rate Residential Securities (1)Principal amount$83,420,028 $69,832,159 Weighted average coupon rate5.07%4.97%Weighted average yield5.00%4.93%Principal amount at period end as % of total residential securities99.41%98.66%Interest-only Residential SecuritiesNotional amount$47,634,258 $38,352,812 Net premium1,279,518 1,091,361 Amortized cost1,279,518 1,091,361 Amortized cost / notional amount2.69%2.85%Carrying value1,226,712 965,131 Carrying value / notional amount2.58%2.52%Weighted average coupon rate0.57%0.46%Weighted average yield3.74%2.40%(1) Excludes interest-only MBS.(2) Excludes non-Agency MBS and CRT securities.(3) Excludes non-Agency MBS and CRT securities as this attribute is not applicable to these asset classes.

The following tables summarize certain characteristics of our Residential Credit portfolio at September 30, 2025.

Payment StructureInvestment Characteristics (1)ProductEstimated Fair ValueSeniorSubordinateCouponCredit Enhancement60+Delinquencies3M VPR (2)(dollars in thousands)Credit risk transfer$330,647 $— $330,647 9.27%1.54%1.14%6.25%Non-QM312,108 — 312,108 7.06%7.71%3.30%17.08%Prime130,471 110,013 20,458 6.02%18.84%3.59%5.13%SBC183,348 20,618 162,730 7.26%25.67%14.83%22.16%NPL/RPL435,368 117,239 318,129 7.31%21.06%51.68%6.64%RTL174,755 145,478 29,277 7.19%18.93%4.80%59.25%Prime jumbo (>=2010 vintage)178,209 107,341 70,868 5.05%