Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 37

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 37
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 balance into income over a shorter time period. Similarly, if mortgage principal prepayment rates were to decrease over the life of our mortgage-backed securities, all other factors being equal, our net interest income would increase during the life of these mortgage-backed securities as we would amortize our net premium balance over a longer time period.

The following table presents our Residential Securities that were carried at fair value at June 30, 2025 and December 31, 2024. 

 June 30, 2025December 31, 2024 Estimated Fair ValueAgencyFixed-rate pass-through$66,218,850 $63,049,674 Adjustable-rate pass-through134,142 162,238 CMO2,842 73,684 Interest-only546,213 380,732 Multifamily4,830,294 3,741,765 Reverse mortgages24,297 25,975 Total agency securities$71,756,638 $67,434,068 Residential credit Credit risk transfer$414,047 $754,915 Non-QM215,213 164,892 Prime104,091 102,117 SBC195,037 233,572 NPL/RPL485,254 682,440 RTL170,647 151,852 Prime jumbo (>= 2010 vintage)159,699 158,313 Total residential credit securities$1,743,988 $2,248,101 Total Residential Securities$73,500,626 $69,682,169 

54

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

The following table summarizes certain characteristics of our Residential Securities (excluding interest-only mortgage-backed securities) and interest-only mortgage-backed securities at June 30, 2025 and December 31, 2024.        

 June 30, 2025December 31, 2024Residential Securities (1)(dollars in thousands)  Principal amount$73,239,975 $70,783,559 Net premium(23,140)110,212 Amortized cost73,216,835 70,893,771 Amortized cost / principal amount99.97%100.16%Carrying value72,320,981 68,717,038 Carrying value / principal amount98.75%97.08