Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 144

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 144
---
 of securities and approximately $391.9 million of debt issued by securitization vehicles and recognized a realized gain of $33.4 million, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Residential SecuritizationsThe Company also invests in residential mortgage-backed securities issued by entities that are VIEs 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 during the year are included in the table below.

F-16

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESFinancial Statements

SecuritizationDate of ClosingFace Value at Closing(dollars in thousands)OBX 2024-NQM1January 2024$413,581 OBX 2024-NQM2January 2024$495,980 OBX 2024-HYB1February 2024$412,084 OBX 2024-NQM3February 2024$439,904 OBX 2024-NQM4March 2024$592,448 OBX 2024-HYB2March 2024$397,787 OBX 2024-NQM5April 2024$574,553 OBX 2024-NQM6April 2024$441,421 OBX 2024-NQM7May 2024$551,759 OBX 2024-NQM8May 2024$723,086 OBX 2024-NQM9June 2024$532,126 OBX 2024-NQM10July 2024$482,526 OBX 202