Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 158

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 158
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2,108,274 — 2,108,274    Commercial mortgage-backed securities— 222,444 — 222,444 LoansResidential mortgage loans— 2,353,084 — 2,353,084 Mortgage servicing rights— — 2,122,196 2,122,196 Assets transferred or pledged to securitization vehicles— 13,307,622 — 13,307,622 Derivative assetsInterest rate swaps— 26,344 — 26,344 Other derivatives— 136,213 — 136,213 Total assets$— $85,436,828 $2,122,196 $87,559,024 LiabilitiesDebt issued by securitization vehicles$— $11,600,338 $— $11,600,338 Participations issued— 1,103,835 — 1,103,835 U.S. Treasury securities sold, not yet purchased2,132,751 — — 2,132,751 Derivative liabilitiesInterest rate swaps— 83,051 — 83,051 Other derivatives179,835 39,409 — 219,244 Total liabilities$2,312,586 $12,826,633 $— $15,139,219 

F-25

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESFinancial Statements

Qualitative and Quantitative Information about Level 3 Fair Value MeasurementsThe Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements are described below. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently from changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply. For MSR, in general, increases in the discount