Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 136

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 1
Chunk 136
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OMC’s balance sheet policy, the Fed announced that it will slow the pace of decline of its securities holdings by reducing the monthly redemption cap on Treasury securities from $25 billion to $5 billion, while maintaining the monthly redemption cap on Agency mortgage-backed securities at $35 billion. Considering these developments, we now expect the Fed to continue to attempt to reduce its balance sheet over a longer period than initially anticipated.

Given the FOMC maintaining its on-hold status and the market awaiting further information on the fiscal front, Treasury yields were relatively rangebound in the first quarter. Interest rate volatility moved lower across the curve, and swap spreads – the difference between swap rates and Treasury rates of the same maturities – widened. The 10-year U.S. Treasury yield fell from 4.57% on December 31, 2024 to 4.21% on March 31, 2025. Despite lower rates and reduced volatility, the mortgage basis, or the spread between the 30-year Agency MBS coupon and 10-year U.S. Treasury rate, widened slightly from 126 basis points at the end of 2024 to 130 basis points at the end of the first quarter.

The following table presents interest rates and spreads at each date presented:

38

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 2. Management’s Discussion and Analysis 

 March 31, 2025December 31, 2024March 31, 202430-Year mortgage current coupon5.51%5.83%5.60%Mortgage basis130 bps126 bps140 bps10-Year U.S. Treasury rate4.21%4.57%4.20%OIS SOFR Swaps1-Month4.32%4.32%5.32%6-Month4.18%4.25%5.24%

Results of Operations

The results of our operations are affected by various factors, many of which are beyond our control. Certain of such risks and uncertainties are described herein (see “Special Note Regarding Forward-Looking Statements” above) and in Part I, Item 1A. “Risk Factors” of our most recent Annual Report on Form 10-K and in Part II, Item 1A. “Risk Factors” in this Quarterly Report on Form 10-Q.

This Management Discussion and Analysis section contains analysis and discussion of financial results computed in accordance with U.S. generally accepted accounting principles (“GAAP”) and