Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 104

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 104
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. The actual weighted average lives of the Residential Securities could be longer or shorter than projected.The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at September 30, 2025 and December 31, 2024. September 30, 2025December 31, 2024 Estimated Fair Value (1)Gross Unrealized Losses (1)Number of Securities (1)Estimated Fair Value (1)Gross Unrealized Losses (1)Number of Securities (1) (dollars in thousands)Less than 12 months$12,781 $(208)3 $49,820 $(1,477)34 12 Months or more7,093,209 (629,117)1,292 8,054,162 (1,020,427)1,377 Total$7,105,990 $(629,325)1,295 $8,103,982 $(1,021,904)1,411 (1) Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, CMOs and multifamily securities.The decline in value of these securities is solely due to market conditions and not the quality of the assets.  Substantially all of the Agency mortgage-backed securities have an actual or implied credit rating that is the same as that of the U.S. government. An impairment has not been recognized in earnings related to these investments because the decline in value is not related to credit quality, the Company currently has not made a decision to sell the securities nor is it more likely than not that the securities will be required to be sold before recovery. During the three and nine months ended September 30, 2025, the Company disposed of $1.3 billion and $9.7 billion amortized cost basis of Residential Securities, respectively. During the three and nine months ended September 30, 2024, the Company disposed of $2.8 billion and $16.0 billion amortized cost basis of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three and nine months ended September 30, 2025 and 202