Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 32

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 2
Chunk 32
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812 Net premium1,173,717 1,091,361 Amortized cost1,173,717 1,091,361 

52

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

Amortized cost / notional amount2.76 %2.85 %Carrying value1,088,976 965,131 Carrying value / notional amount2.56 %2.52 %Weighted average coupon rate0.45 %0.46 %Weighted average yield2.74 %2.40 %(1) Excludes interest-only MBS.(2) Excludes non-Agency MBS 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 March 31, 2025.

Payment StructureInvestment Characteristics (1)ProductEstimated Fair ValueSeniorSubordinateCouponCredit Enhancement60+Delinquencies3M VPR (2)(dollars in thousands)Credit risk transfer$521,059 $— $521,059 9.01 %1.60 %1.11 %4.47 %Alt-A197,554 — 197,554 7.13 %9.05 %4.50 %14.10 %Prime46,697 34,448 12,249 4.17 %0.77 %1.83 %3.81 %Subprime216,702 33,212 183,490 7.07 %21.40 %14.46 %12.16 %Re-performing loan securitizations547,185 348,598 198,587 6.72 %27.59 %17.04 %20.45 %Non-performing loan securitizations283,090 235,890 47,200 6.69 %32.51 %74.23 %6.79 %Prime jumbo (>=2010 vintage)160,296 91,685 68,611 5.04 %1.06 %1.00 %5.33 %Total/weighted average$1,972,583 $743,833 $1,