Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 187

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 187
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 price above principal value).

The weighted average experienced prepayment speed on our Agency MBS portfolio for the three months ended September 30, 2025 and 2024 was 8.6% and 7.6%, respectively. The weighted average experienced prepayment speed on our Agency MBS portfolio for the nine months ended September 30, 2025 and 2024 was 8.1% and 7.0%, respectively. The weighted average projected long-term prepayment speed on our Agency MBS portfolio as of September 30, 2025 and 2024 was 10.4% and 11.9%, respectively. 

Given our current portfolio composition, if mortgage principal prepayment rates were to increase over the life of our mortgage-backed securities, all other factors being equal, our net interest income would decrease during the life of these mortgage-backed securities as we would be required to amortize our net premium balance into income over a shorter time period. Similarly, if mortgage principal prepayment rates were to decrease over the life of our mortgage-backed securities, all other factors being equal, our net interest income would increase during the life of these mortgage-backed securities as we would amortize our net premium balance over a longer time period.

The following table presents our Residential Securities that were carried at fair value at September 30, 2025 and December 31, 2024. 

 September 30, 2025December 31, 2024 Estimated Fair ValueAgencyFixed-rate pass-through$76,702,561 $63,049,674 Adjustable-rate pass-through127,286 162,238 CMO2,743 73,684 Interest-only574,325 380,732 Multifamily5,910,904 3,741,765 Reverse mortgages— 25,975 Total agency securities$83,317,819 $67,434,068 Residential credit Credit risk transfer$330,647 $754,915 Non-QM312,108 164,892 Prime130,471 102,117 SBC183,348 233,572 NPL/RPL435,368 682,440 RTL174,755 151,852 Prime jumbo (>= 2010 vintage)178,209 158,313 Total residential credit securities$1,744,906 $2,248,101 Total Residential Securities$85,062,725 $69,