Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 71

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 7
Chunk 71
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 securities that are being financed.CMBXThe CMBX index is a synthetic tradable index referencing a basket of 25 CMBS of a particular rating and vintage. The CMBX index allows investors to take a long position (referred to as selling protection) or short position (referred to as purchasing protection) on the respective basket of CMBS securities and is structured as a “pay-as-you-go” contract whereby the protection seller receives and the protection buyer pays a standardized running coupon on the contracted notional amount. Additionally, the protection seller is obligated to pay to the protection buyer the amount of principal losses and/or coupon shortfalls on the underlying CMBS securities as they occur.CollateralSecurities, cash or property pledged by a borrower or party to a derivative contract to secure payment of a loan or derivative. If the borrower fails to repay the loan or defaults under the derivative contract, the secured party may take ownership of the collateral.Collateralized Loan Obligation (“CLO”)A securitization collateralized by loans and other debt instruments.Collateralized Mortgage Obligation (“CMO”)A multiclass bond backed by a pool of mortgage pass-through securities or mortgage loans.Commodity Futures Trading Commission (“CFTC”)An independent U.S. federal agency established by the Commodity Futures Trading Commission Act of 1974. The CFTC regulates the swaps, commodity futures and options markets. Its goals include the promotion of competitive and efficient futures markets and the protection of investors against manipulation, abusive trade practices and fraud.Commercial Mortgage-Backed Security (“CMBS” or “Commercial Securities”)Securities collateralized by a pool of mortgages on commercial real estate in which all principal and interest from the mortgages flow to certificate holders in a defined sequence or manner.Constant Prepayment Rate (“CPR”)The percentage of outstanding mortgage loan principal that prepays in one year, based on the annualization of the Single Monthly Mortality, which reflects the outstanding mortgage loan principal that prepays in one month.ConvexityA measure of the change in a security’s duration with respect to changes in interest rates. The more convex a security is, the more its duration will change with interest rate changes.Corporate DebtNon-government debt instruments issued by corporations. Long-term corporate debt can be issued as bonds or loans.CounterpartyOne of two entities in a transaction. For example, in the bond market a counterparty can be a state or local government, a broker-dealer or a corporation.CouponThe interest rate on a bond that is used