Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 145

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 16
Chunk 145
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4-NQM11July 2024$602,981 OBX 2024-NQM12August 2024$532,193 OBX 2024-NQM13September 2024$582,213 OBX 2024-J1September 2024$357,801 OBX 2024-NQM14September 2024$600,909 OBX 2024-NQM15October 2024$635,777 OBX 2024-NQM16November 2024$538,022 OBX 2024-NQM17November 2024$619,309 OBX 2024-NQM18December 2024$478,317 As of December 31, 2024 and 2023, a total carrying value of $19.5 billion and $11.6 billion, respectively, of bonds were held by third parties and the Company retained $2.3 billion and $1.4 billion, respectively, of MBS, which were eliminated in consolidation. The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs. Effective August 1, 2022, upon initial consolidation of new securitization entities, the Company elected to apply the measurement alternative for consolidated collateralized financing entities in order to simplify the accounting and valuation processes. The liabilities of these securitization entities are deemed to be more observable and are used to measure the fair value of the assets. During the years ended December 31, 2024 and 2023, the Company incurred $20.3 million and $8.2 million, respectively, of costs in connection with these securitizations that were expensed as incurred. The contractual principal amount of the OBX Trusts’ debt held by third parties was $20.5 billion and $12.6 billion at December 31, 2024 and 2023, respectively. During the years ended December 31, 2024 and 2023, the Company recorded $3.5 million and ($305.2) million, respectively, of unrealized gains (losses) on debt held by third parties, which is reported in Net gains (losses) on investments and other in the