Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 188

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 188
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57

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 2. Management’s Discussion and Analysis 

The following table summarizes certain characteristics of our Residential Securities (excluding interest-only mortgage-backed securities) and interest-only mortgage-backed securities at September 30, 2025 and December 31, 2024.        

 September 30, 2025December 31, 2024Residential Securities (1)(dollars in thousands)  Principal amount$83,915,079 $70,783,559 Net premium80,312 110,212 Amortized cost83,995,391 70,893,771 Amortized cost / principal amount100.10%100.16%Carrying value83,836,013 68,717,038 Carrying value / principal amount99.91%97.08%Weighted average coupon rate5.09%5.02%Weighted average yield5.02%4.96%Adjustable-rate Residential Securities (1)Principal amount$495,051 $951,400 Weighted average coupon rate8.14%8.41%Weighted average yield7.72%7.59%Weighted average term to next adjustment (2)5 Months6 MonthsWeighted average lifetime cap (3)9.46%9.33%Principal amount at period end as % of total residential securities0.59%1.34%Fixed-rate Residential Securities (1)Principal amount$83,420,028 $69,832,159 Weighted average coupon rate5.07%4.97%Weighted average yield5.00%4.93%Principal amount at period end as % of total residential securities99.41%98.66%Interest-only Residential SecuritiesNotional amount$47,634,258 $38,352,812 Net premium1,279,518 1,091,361 Amortized cost1,279,518 1,091,361 Amortized cost / notional amount2.69%2.85%Carrying value1,226,712 965,131 Carrying value / notional amount2.58%2.52%Weighted average coupon rate0.57%0.46%Weighted average yield3.74%2.40%(1) Excludes interest-only MBS.(2) Excludes non-Agency MBS