Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 93

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 93
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idential credit risk transfer securitiesFair value, with unrealized gains (losses) through earnings414,047 754,915 SecuritiesNon-agency mortgage-backed securitiesFair value, with unrealized gains (losses) through earnings1,329,941 1,493,186 SecuritiesCommercial real estate debt investments - CMBSFair value, with unrealized gains (losses) through earnings— 74,278 Total securities73,500,626 69,756,447 Loans, netResidential mortgage loansFair value, with unrealized gains (losses) through earnings3,722,272 3,546,902 Assets transferred or pledged to securitization vehiclesResidential mortgage loansFair value, with unrealized gains (losses) through earnings27,021,790 21,973,188 LiabilitiesRepurchase agreementsRepurchase agreementsAmortized cost$66,541,378 $65,688,923 Other secured financingLoansAmortized cost1,025,000 750,000 Debt issued by securitization vehiclesSecuritiesFair value, with unrealized gains (losses) through earnings24,107,249 19,540,678 Participations issuedParticipations issuedFair value, with unrealized gains (losses) through earnings1,556,900 1,154,816 U.S. Treasury securities sold, not yet purchasedSecuritiesFair value, with unrealized gains (losses) through earnings2,528,167 2,470,629 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost.(2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities purchased prior to July 1, 2022.(3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, CMO and multifamily securities.

5. SECURITIESThe Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt securities are classified as available-for-sale. The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported