Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 157

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 157
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 SUBSIDIARIESFinancial Statements

The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis as of December 31, 2024 and December 31, 2023. There were no transfers between levels of the fair value hierarchy during the periods presented.December 31, 2024 Level 1Level 2Level 3TotalAssets(dollars in thousands)SecuritiesAgency mortgage-backed securities$— $67,434,068 $— $67,434,068 Credit risk transfer securities— 754,915 — 754,915 Non-Agency mortgage-backed securities— 1,493,186 — 1,493,186    Commercial mortgage-backed securities— 74,278 — 74,278 LoansResidential mortgage loans— 3,546,902 — 3,546,902 Mortgage servicing rights— — 2,909,134 2,909,134 Assets transferred or pledged to securitization vehicles— 21,973,188 — 21,973,188 Derivative assetsInterest rate swaps— 21,226 — 21,226 Other derivatives190,980 13,145 — 204,125 Total assets$190,980 $95,310,908 $2,909,134 $98,411,022 LiabilitiesDebt issued by securitization vehicles$— $19,540,678 $— $19,540,678 Participations issued— 1,154,816 — 1,154,816 U.S. Treasury securities sold, not yet purchased2,470,629 — — 2,470,629 Derivative liabilitiesInterest rate swaps— 7,212 — 7,212 Other derivatives16,650 35,724 — 52,374 Total liabilities$2,487,279 $20,738,430 $— $23,225,709 December 31, 2023 Level 1Level 2Level 3TotalAssets(dollars in thousands)SecuritiesAgency mortgage-backed securities$— $66,308,788 $— $66,308,788 Credit risk transfer securities— 974,059 — 974,059 Non-Agency mortgage-backed securities—