Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 200

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 1
Chunk 200
---
3%)(2.1%)(0.8%)-50 Basis points(0.1%)(0.7%)(0.1%)-25 Basis points—%—%0.2%+25 Basis points(0.1%)(0.6%)(0.7%)+50 Basis points(0.2%)(1.7%)(1.9%)+75 Basis points(0.4%)(3.1%)(3.6%)MBS Spread Shock (1)Estimated Change inPortfolio Market Value (2)Estimated Change as a % on NAV (2)(3) -25 Basis points1.4%10.2% -15 Basis points0.9%6.1% -5 Basis points0.3%2.0% +5 Basis points(0.3%)(2.0%) +15 Basis points(0.8%)(6.0%) +25 Basis points(1.4%)(9.9%) (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates.(2) Scenarios include securities, residential mortgage loans, MSR and derivative instruments.(3) NAV represents book value of equity.(4) Scenarios include securities, residential mortgage loans, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).

Credit Risk Management

Key risk parameters have been established to specify our credit risk appetite. We seek to manage credit risk by making investments which conform to the firm’s specific investment policy parameters and optimize risk-return attributes.

While we do not expect to encounter credit risk in our Agency mortgage-backed securities, we face credit risk on the non-Agency mortgage-backed securities and CRT securities in our portfolio. In addition, we are also exposed to credit risk on residential mortgage loans and commercial real estate investments. MSR values may also be impacted through reduced servicing fees and higher costs to service the underlying mortgage loans due to borrower performance. Generally, we are subject to risk of loss if an issuer or borrower fails to perform its contractual obligations. We have established policies and procedures for mitigating credit risk, including establishing and reviewing limits for credit exposure. In the case