Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 262

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 8
Chunk 262
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 not yet purchased2,528,167 — — 2,528,167 Derivative liabilitiesInterest rate swaps— 23,547 — 23,547 Other derivatives401,113 1,333 — 402,446 Total liabilities$2,929,280 $25,689,029 $— $28,618,309 December 31, 2024 Level 1Level 2Level 3TotalAssets(dollars in thousands)SecuritiesAgency mortgage-backed securities$— $67,434,068 $— $67,434,068 Credit risk transfer securities— 754,915 — 754,915 Non-Agency mortgage-backed securities— 1,493,186 — 1,493,186    Commercial mortgage-backed securities— 74,278 — 74,278 LoansResidential mortgage loans— 3,546,902 — 3,546,902 Mortgage servicing rights— — 2,909,134 2,909,134 Assets transferred or pledged to securitization vehicles— 21,973,188 — 21,973,188 Derivative assetsInterest rate swaps— 21,226 — 21,226 Other derivatives190,980 13,145 — 204,125 Total assets$190,980 $95,310,908 $2,909,134 $98,411,022 LiabilitiesDebt issued by securitization vehicles$— $19,540,678 $— $19,540,678 Participations issued— 1,154,816 — 1,154,816 U.S. Treasury securities sold, not yet purchased2,470,629 — — 2,470,629 Derivative liabilitiesInterest rate swaps— 7,212 — 7,212 Other derivatives16,650 35,724 — 52,374 Total liabilities$2,487,279 $20,738,430 $— $23,225,709 

Qualitative and Quantitative Information about Level 3 Fair Value MeasurementsThe Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on