Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 222

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 8
Chunk 222
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 Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at March 31, 2025 and December 31, 2024. March 31, 2025December 31, 2024 Estimated Fair Value (1)Gross Unrealized Losses (1)Number of Securities (1)Estimated Fair Value (1)Gross Unrealized Losses (1)Number of Securities (1) (dollars in thousands)Less than 12 months$28,285 $(547)9 $49,820 $(1,477)34 12 Months or more7,502,140 (791,682)1,311 8,054,162 (1,020,427)1,377 Total$7,530,425 $(792,229)1,320 $8,103,982 $(1,021,904)1,411 (1) Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.The decline in value of these securities is solely due to market conditions and not the quality of the assets.  Substantially all of the Agency mortgage-backed securities have an actual or implied credit rating that is the same as that of the U.S. government. An impairment has not been recognized in earnings related to these investments because the decline in value is not related to credit quality, the Company currently has not made a decision to sell the securities nor is it more likely than not that the securities will be required to be sold before recovery. During the three months ended March 31, 2025 and 2024, the Company disposed of $5.2 billion and $8.1 billion of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three months ended March 31, 2025 and 2024.  Gross Realized GainsGross Realized LossesNet Realized Gains (Losses)For the three months ended(dollars in thousands)March 31, 2025$64,880 $(119,486)$(54,606)March 31, 2024$32,924 $(471,