Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 123

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 123
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 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 September 30, 2025 and December 31, 2024. There were no transfers between levels of the fair value hierarchy during the periods presented.September 30, 2025 Level 1Level 2Level 3TotalAssets(dollars in thousands)SecuritiesAgency mortgage-backed securities$— $83,317,819 $— $83,317,819 Credit risk transfer securities— 330,647 — 330,647 Non-Agency mortgage-backed securities— 1,414,259 — 1,414,259 LoansResidential mortgage loans— 4,008,299 — 4,008,299 Mortgage servicing rights— — 3,476,181 3,476,181 Interests in MSR— — 35,833 35,833 Assets transferred or pledged to securitization vehicles— 29,512,309 — 29,512,309 Derivative assetsInterest rate swaps— 4,198 — 4,198 Other derivatives10,232 33,469 — 43,701 Total assets$10,232 $118,621,000 $3,512,014 $122,143,246 LiabilitiesDebt issued by securitization vehicles$— $26,601,790 $— $26,601,790 Participations issued— 1,831,657 — 1,831,657 U.S. Treasury securities sold, not yet purchased2,442,570 — — 2,442,570 Derivative liabilitiesInterest rate swaps— 25,350 — 25,350 Other derivatives157,255 16,495 — 173,750 Total liabilities$2,599,825 $28,