Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 39

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 39
---
30, 2025December 31, 2024 Estimated Fair ValueAgencyFixed-rate pass-through$76,702,561 $63,049,674 Adjustable-rate pass-through127,286 162,238 CMO2,743 73,684 Interest-only574,325 380,732 Multifamily5,910,904 3,741,765 Reverse mortgages— 25,975 Total agency securities$83,317,819 $67,434,068 Residential credit Credit risk transfer$330,647 $754,915 Non-QM312,108 164,892 Prime130,471 102,117 SBC183,348 233,572 NPL/RPL435,368 682,440 RTL174,755 151,852 Prime jumbo (>= 2010 vintage)178,209 158,313 Total residential credit securities$1,744,906 $2,248,101 Total Residential Securities$85,062,725 $69,682,169 

57

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

The following table summarizes certain characteristics of our Residential Securities (excluding interest-only mortgage-backed securities) and interest-only mortgage-backed securities at September 30, 2025 and December 31, 2024.        

 September 30, 2025December 31, 2024Residential Securities (1)(dollars in thousands)  Principal amount$83,915,079 $70,783,559 Net premium80,312 110,212 Amortized cost83,995,391 70,893,771 Amortized cost / principal amount100.10%100.16%Carrying value83,836,013 68,717,038 Carrying value / principal amount99.91%97.08%Weighted average coupon rate5.09%5.02%Weighted average yield5.02%4.96%Adjustable-rate Residential Securities (1)Principal amount$495,051 $951,400 Weighted average coupon rate8.14%8.41%Weighted average yield7.72%7.59%Weighted average term to next adjustment (2)5 Months6 MonthsWeighted average lifetime cap (3)9.46%9.33%