Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 239

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 8
Chunk 239
---
 Securities (“Commercial Securities”) - The Company invests in Commercial Securities such as conduit, credit CMBS, single-asset single borrower and collateralized loan obligations.The following table represents a rollforward of the activity for the Company’s securities for the six months ended June 30, 2025:Agency SecuritiesResidential Credit SecuritiesCommercial SecuritiesTotal(dollars in thousands)Beginning balance January 1, 2025$67,434,068 $2,248,101 $74,278 $69,756,447 Purchases14,488,441 303,780 — 14,792,221 Sales(8,141,852)(314,442)(41,814)(8,498,108)Principal paydowns(3,304,684)(479,193)(32,451)(3,816,328)(Amortization) / accretion(82,302)(3,249)(80)(85,631)Fair value adjustment1,362,967 (11,009)67 1,352,025 Ending balance June 30, 2025$71,756,638 $1,743,988 $— $73,500,626 

9

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 1.  Financial Statements

The following tables present the Company’s securities portfolio that were carried at their fair value at June 30, 2025 and December 31, 2024: June 30, 2025 Principal /NotionalRemaining PremiumRemaining DiscountAmortizedCostUnrealizedGainsUnrealizedLossesEstimated Fair ValueAgency(dollars in thousands)Fixed-rate pass-through$67,147,092 $1,278,878 $(1,262,508)$67,163,462 $402,772 $(1,347,384)$66,218,850 Adjustable-rate pass-through129,886 8,796 (37)138,645 1,823 (6,326)134,142 CMO2,989 14 — 3,003 — (161)2,842 Interest-only4,335,356 598,234 — 598,234 40,821 (92,842)546,213 Multifamily(1)31,734,605 556,190 (10,139)4,