Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 227

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 8
Chunk 227
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 because they do not have sufficient equity at risk for the entities to finance their activities without additional subordinated financial support from other parties. The Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs’ economic performance. For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these  VIEs. Refer to the “Securities” Note for further information on Residential Securities.OBX TrustsResidential securitizations are issued by entities generally referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions that provide non-recourse financing to the Company and are collateralized by residential mortgage loans purchased by the Company. Residential securitizations closed as of March 31, 2025 are included in the following table:SecuritizationDate of ClosingFace Value at Closing(dollars in thousands)OBX 2025-NQM1January 2025$618,433 OBX 2025-NQM2February 2025$719,218 OBX 2025-NQM3February 2025$577,442 OBX 2025-NQM4March 2025$625,807 OBX 2025-HE1March 2025$216,455 OBX 2025-NQM5March 2025$334,879 

14

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

As of March 31, 2025 and December 31, 2024, a total carrying value of $21.8 billion and $19.5 billion, respectively, of bonds were held by third parties and the Company retained $2.5 billion and $2.3 billion, respectively, of MBS, which were eliminated in consolidation. The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs. Effective August 1, 2022, upon initial consolidation of new securitization entities, the Company elected to apply the measurement alternative for consolidated collateralized financing entities in order to simplify the accounting and valuation processes. The liabilities