Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 75

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 7
Chunk 75
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.Ginnie MaeGovernment National Mortgage Association.HHedgeAn investment made with the intention of minimizing the impact of adverse movements in interest rates or securities prices.IInitial MarginCash or securities provided by a party to collateralize its obligations under a transaction that is not based on changes in the value of such transaction since the trade was executed.In-the-MoneyDescription for an option that has intrinsic value and can be sold or exercised for a profit; a call option is in-the-money when the strike price (execution price) is below the market price of the underlying security.Interest Bearing LiabilitiesRefers to repurchase agreements, debt issued by securitization vehicles, U.S. Treasury securities sold, not yet purchased and credit facilities. Average interest bearing liabilities is based on daily balances.Interest Earning AssetsRefers to Residential Securities, U.S. Treasury securities, reverse repurchase agreements, commercial real estate debt and preferred equity interests, residential mortgage loans and corporate debt. Average interest earning assets is based on daily balances.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 7. Management’s Discussion and Analysis

Interest-Only (IO) BondThe interest portion of mortgage, Treasury or bond payments, which is separated and sold individually from the principal portion of those same payments.Interest Rate RiskThe risk that an investment’s value will change due to a change in the absolute level of interest rates, in the spread between two rates, in the shape of the yield curve or in any other interest rate relationship. As market interest rates rise, the value of current fixed income investment holdings declines. Diversifying, deleveraging and hedging techniques are utilized to mitigate this risk. Interest rate risk is a form of market risk.Interest Rate SwapA binding agreement between counterparties to exchange periodic interest payments on some predetermined dollar principal, which is called the notional principal amount. For example, one party will pay fixed and receive a variable rate.Interest Rate SwaptionOptions on interest rate swaps. The buyer of a swaption has the right to enter into an interest rate swap agreement at some specified date in the future. The swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer.International Swaps and Derivatives Association (“ISDA”) Master AgreementStandardized contract developed by ISDA used as an umbrella under which bilateral derivatives contracts are entered into.Inverse IO BondAn interest-only bond whose coupon is determined by a formula expressing an inverse relationship to a benchmark rate