Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 189

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 189
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 and CRT securities.(3) Excludes non-Agency MBS and CRT securities as this attribute is not applicable to these asset classes.

The following tables summarize certain characteristics of our Residential Credit portfolio at September 30, 2025.

Payment StructureInvestment Characteristics (1)ProductEstimated Fair ValueSeniorSubordinateCouponCredit Enhancement60+Delinquencies3M VPR (2)(dollars in thousands)Credit risk transfer$330,647 $— $330,647 9.27%1.54%1.14%6.25%Non-QM312,108 — 312,108 7.06%7.71%3.30%17.08%Prime130,471 110,013 20,458 6.02%18.84%3.59%5.13%SBC183,348 20,618 162,730 7.26%25.67%14.83%22.16%NPL/RPL435,368 117,239 318,129 7.31%21.06%51.68%6.64%RTL174,755 145,478 29,277 7.19%18.93%4.80%59.25%Prime jumbo (>=2010 vintage)178,209 107,341 70,868 5.05%1.07%0.85%7.34%Total/weighted average$1,744,906 $500,689 $1,244,217 7.40%13.83%17.52%16.35%(1) Investment characteristics exclude the impact of interest-only securities. (2) Represents the 3 month voluntary prepayment rate (“VPR”).

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

Bond CouponProductARMFixedFloaterInterest-OnlyEstimated Fair Value(dollars in thousands)Credit risk transfer$— $— $330,647 $— $330,647 Non-QM1,320 310,788 — — 312,108 Prime— 98,701 — 31,770 130,471 SBC— 176,868 6,480 — 183,348 NPL/RPL— 424,118 11,195 55 435,368 RTL— 174