Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 109

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 109
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 they are recognized at fair value in the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

The following table presents activity related to MSR for the three and nine months ended September 30, 2025 and 2024:   Mortgage Servicing RightsThree Months EndedNine Months EndedSeptember 30, 2025September 30, 2024September 30, 2025September 30, 2024 (dollars in thousands)Fair value, beginning of period$3,281,190 $2,785,614 $2,909,134 $2,122,196 Purchases (1)283,437 64,750 719,468 701,377 Sales— (68,635)— (69,703)Change in fair value due to:Changes in valuation inputs or assumptions (2)(28,647)(42,752)12,585 63,286 Other changes, including realization of expected cash flows(59,799)(45,920)(165,006)(124,099)Fair value, end of period$3,476,181 $2,693,057 $3,476,181 $2,693,057 (1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.(2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.

8. VARIABLE INTEREST ENTITIESThe Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $3.0 billion at September 30, 2025. Assets of the VIEs may only be used to settle obligations of the VIEs. Creditors of the VIEs have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the VIEs. No gains or losses were recognized upon consolidation of existing VIEs. Interest income and expense are recognized using the effective interest method.Residential SecuritizationsThe Company also invests in residential mortgage-backed securities issued by entities that are VIEs because they do not have sufficient equity at risk for the entities