Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 86

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 1
Chunk 86
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278 Total securities70,361,364 69,756,447 Loans, netResidential mortgage loansFair value, with unrealized gains (losses) through earnings3,860,555 3,546,902 Assets transferred or pledged to securitization vehiclesResidential mortgage loansFair value, with unrealized gains (losses) through earnings24,464,281 21,973,188 LiabilitiesRepurchase agreementsRepurchase agreementsAmortized cost$61,659,460 $65,688,923 Other secured financingLoansAmortized cost900,000 750,000 Debt issued by securitization vehiclesSecuritiesFair value, with unrealized gains (losses) through earnings21,802,193 19,540,678 Participations issuedParticipations issuedFair value, with unrealized gains (losses) through earnings1,748,273 1,154,816 U.S. Treasury securities sold, not yet purchasedSecuritiesFair value, with unrealized gains (losses) through earnings2,519,125 2,470,629 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost.(2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities purchased prior to July 1, 2022.(3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, CMO and multifamily securities.

5. SECURITIESThe Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt securities are classified as available-for-sale. Available-for-sale debt securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Effective July 1, 2022, the Company elected the fair value option for any newly purchased Agency mortgage-backed securities in order to simplify the accounting for these securities. During the three months ended March 31, 2025 and 2024, $901.6 million and ($674.0) million, respectively, of unrealized gains (losses) on