Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 110

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 110
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 to finance their activities without additional subordinated financial support from other parties. The Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs’ economic performance. For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these  VIEs. Refer to the “Securities” Note for further information on Residential Securities.OBX TrustsResidential securitizations are issued by entities generally referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions that provide non-recourse financing to the Company and are collateralized by residential mortgage loans purchased by the Company. Residential securitizations closed as of September 30, 2025 are included in the following table:

14

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 1.  Financial Statements

SecuritizationDate of ClosingFace Value at Closing(dollars in thousands)OBX 2025-NQM1January 2025$618,433 OBX 2025-NQM2February 2025$719,218 OBX 2025-NQM3February 2025$577,442 OBX 2025-NQM4March 2025$625,807 OBX 2025-HE1March 2025$216,455 OBX 2025-NQM5March 2025$334,879 OBX 2025-NQM6April 2025$553,236 OBX 2025-NQM7April 2025$572,441 OBX 2025-J1May 2025$325,702 OBX 2025-NQM8May 2025$595,560 OBX 2025-NQM9May 2025$275,711 OBX 2025-NQM10June 2025$623,602 OBX 2025-NQM11June 2025$650,072 OBX 2025-NQM12July 2025$274,468 OBX 2025-NQM13July 2025$662,708 OBX 2025-NQM14August 2025$701,027 OBX 2025-NQM15August 2025$697,303 OBX 2025