Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 60

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 7
Chunk 60
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 portfolio market value if mortgage option-adjusted spreads instantaneously increase or decrease by 5, 15 or 25 basis points (assuming shocks are parallel and instantaneous). All changes to income and portfolio market value are measured as percentage changes from the projected net interest income and portfolio value at the base interest rate scenario. The net interest income simulations incorporate the interest expense effect of rate resets on liabilities and derivatives as well as the amortization expense and reinvestment of principal based on the prepayments on our securities, which varies based on the level of rates. The results assume no management actions in response to the rate or spread changes. The following table presents estimates at December 31, 2024. Actual results could differ materially from these estimates.

Change in Interest Rate (1)Estimated Percentage Change in Portfolio Value (2)Estimated Change as a% on NAV (2)(3)Projected Percentage Change in Economic Net Interest Income (4)-75 Basis points0.1%0.5%0.1%-50 Basis points0.1%1.0%0.3%-25 Basis points0.1%0.8%0.3%+25 Basis points(0.2%)(1.3%)(0.8%)+50 Basis points(0.4%)(2.9%)(2.1%)+75 Basis points(0.7%)(4.8%)(3.6%)MBS Spread Shock (1)Estimated Change inPortfolio Market Value (2)Estimated Change as a %on NAV (2)(3) -25 Basis points1.3%9.8% -15 Basis points0.8%5.9% -5 Basis points0.3%1.9% +5 Basis points(0.3%)(1.9%) +15 Basis points(0.8%)(5.8%) +25 Basis points(1.3%)(9.6%) (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates.(2) Scenarios include securities, residential mortgage loans, MSR and derivative instruments.(3) NAV represents book value of equity.(4) Scenarios include securities, residential mortgage loans, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps