Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 77

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 77
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 as a TRS for tax purposes. Annaly and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as TRSs.Term SOFRThe term secured overnight financing rate published by the Chicago Mercantile Exchange, which is used as a benchmark for financial transactions.To-Be-Announced (“TBA”) SecuritiesA contract for the purchase or sale of a mortgage-backed security to be delivered at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date but does not include a specified pool number and number of pools.TBA Dollar Roll IncomeTBA dollar roll income is defined as the difference in price between two TBA contracts with the same terms but different settlement dates. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the “drop”. TBA dollar roll income represents the equivalent of interest income on the underlying security less an implied cost of financing.Total ReturnInvestment performance measure over a stated time period which includes coupon interest, interest on interest, and any realized and unrealized gains or losses.Total Return SwapA derivative instrument where one party makes payments at a predetermined rate (either fixed or variable) while receiving a return on a specific asset (generally an equity index, loan or bond) held by the counterparty.UUnencumbered AssetsAssets on our balance sheet which have not been pledged as collateral against an existing liability.U.S. Government-Sponsored Enterprise (“GSE”) ObligationsObligations of Agencies originally established or chartered by the U.S. government to serve public purposes as specified by the U.S. Congress, such as Fannie Mae and Freddie Mac; these obligations are not explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government.VValue-at-Risk (“VaR”)A statistical technique which measures the potential loss in value of an asset or portfolio over a defined period for a given confidence interval.Variable Interest Entity (“VIE”)An entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.Variation MarginCash or securities provided by a party to collateralize its obligations under a transaction as a result of a change in value of such transaction since the trade was executed or the last time collateral was provided.

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