Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 249

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 8
Chunk 249
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 Securities: Interest Income MethodologyAgency Fixed-rate pass-through (1)Effective yield (3)Adjustable-rate pass-through (1)Effective yield (3)Multifamily (1)Contractual Cash FlowsCMO (1)Effective yield (3)Reverse mortgages (2)ProspectiveInterest-only (2)ProspectiveResidential credit CRT (2)ProspectiveAlt-A (2)ProspectivePrime (2)ProspectiveSubprime (2)ProspectiveNPL/RPL (2)ProspectivePrime jumbo (2)Prospective(1) Changes in fair value are recognized in Other comprehensive income (loss) in the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022. Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities.(2) Changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss).(3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.The following table presents the components of the Company’s interest income and interest expense for the three months ended March 31, 2025 and 2024. For the Three Months Ended March 31, 2025March 31, 2024Interest income(dollars in thousands)Agency securities$820,182 $751,516 Residential credit securities40,207 55,996 Residential mortgage loans (1)426,055 252,016 Commercial investment portfolio (1)1,055 3,554 Reverse repurchase agreements29,609 31,406 Total interest income$1,317,108 $1,094,488 Interest expense  Repurchase agreements$760,783 $897,598 Debt issued by securitization vehicles283,592 161,017 Participations issued27,044 20,251 U.S. Treasury securities sold, not yet purchased25,718 22,073 Total interest expense1,097,137 1,100,939 Net interest income$219,971 $(6,451)(1) Includes assets transferred or pledged to securitization vehicles