Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 261

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 8
Chunk 261
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” Note for additional information.The Company has classified its investments in MSR as Level 3. Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including discount rates, prepayment rates, delinquency rates and costs to service. Model valuations are then compared to valuations obtained from third party pricing providers. Management reviews the valuations received from third party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSR requires significant judgment by management and the third party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements.The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis as of June 30, 2025 and December 31, 2024. There were no transfers between levels of the fair value hierarchy during the periods presented.

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

June 30, 2025 Level 1Level 2Level 3TotalAssets(dollars in thousands)SecuritiesAgency mortgage-backed securities$— $71,756,638 $— $71,756,638 Credit risk transfer securities— 414,047 — 414,047 Non-Agency mortgage-backed securities— 1,329,941 — 1,329,941 LoansResidential mortgage loans— 3,722,272 — 3,722,272 Mortgage servicing rights— — 3,281,190 3,281,190 Assets transferred or pledged to securitization vehicles— 27,021,790 — 27,021,790 Derivative assetsInterest rate swaps— 5,003 — 5,003 Other derivatives34,258 110,429 — 144,687 Total assets$34,258 $104,360,120 $3,281,190 $107,675,568 LiabilitiesDebt issued by securitization vehicles$— $24,107,249 $— $24,107,249 Participations issued— 1,556,900 — 1,556,900 U.S. Treasury securities sold,