Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 147

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 147
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 demand from the overseas and bank communities has remained muted, but we believe these participants may become more involved should the Fed resume cutting interest rates in the second half of the year or should favorable regulatory reforms take place. 

Shifting to the Agency MBS activity, early in the quarter we managed our duration through the tariff driven volatility without meaningfully reducing our Agency portfolio. And as markets normalized, we steadily added Agency MBS at attractive spreads in line with our accretive capital raising, growing our Agency portfolio by nearly $5 billion during the quarter. Purchases were fairly evenly split across 4.5%, 5.5% and 6% coupons, and on balance we marginally preferred pools over To-be-Announced securities (“TBA”) as repo market financing was slightly more attractive. 

Meanwhile, we operated within a narrow interest rate risk band given the elevated volatility experienced so far this year. Within our hedge portfolio, we continue to favor holding interest rate swaps against shorter-term risk due to the positive carry profile, 

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 2. Management’s Discussion and Analysis 

while maintaining a more balanced mix of Treasury and swap exposure in the intermediate and long-end of the yield curve. Swap spreads tightened significantly during the quarter, and forward markets are signaling further tightening in the months ahead. In light of the environment, maintaining a 60/40 risk allocation between swaps and Treasuries appears more favorable at this time.

Our Residential Credit business saw its portfolio relatively unchanged at $6.6 billion in market value of assets during the quarter. The broader market tracked corporate credit performance through the quarter, widening in April in sympathy with other risk assets, before ending the quarter roughly unchanged. Our Onslow Bay platform had its highest quarterly securitization activity to date, closing $3.6 billion across seven transactions. Including two additional securitizations in July, cumulative 2025 securitization issuance totals $7.6 billion, in turn generating $913 million of high yielding, proprietary assets for Annaly and our joint venture. Onslow Bay’s expanded credit correspondent channel remained an industry leader, generating $5.3 billion of locks and funding $3.7 billion loans over the quarter, despite us tightening our credit standards once again given some of the headwinds in the housing market.

Available for sale inventories continue to increase as housing affordability remains challenged given elevated mortgage rates, high home prices and increased property taxes and insurance premiums. While affordability