Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 159

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 159
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, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSR, which in turn could result in a decline in the estimated fair value of MSR. Refer to the “Mortgage Servicing Rights” Note for additional information, including rollforwards.The following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.Unobservable Input (1)Range (Weighted Average) (2)December 31, 2024December 31, 2023Discount rate7.4% - 12.4% (8.4%)7.0% - 12.0% (8.6%)Prepayment rate4.7% - 17.2% (5.6%)4.8% - 11.0% (5.6%)Delinquency rate0.2% - 4.1% (1.3%)0.2% - 4.2% (1.3%)Cost to service$83 - $99 ($87)$84 - $111 ($94)(1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.(2) Weighted average discount rate computed based on the fair value of MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at December 31, 2024 and 2023. December 31, 2024December 31, 2023 CarryingValueFairValueCarryingValueFairValueFinancial liabilitiesRepurchase agreements$65,688,923$65,688,923$62,201,543$62,201,543Other secured financing750,000750,000500,000500,000

The carrying values of repurchase agreements and short term other secured financing approximate fair value and are considered Level 2 fair value measurements. Long term other secured financing is valued using Level 2 inputs. 

F-26

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESFinancial Statements

12.