Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 219

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 1
Chunk 219
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 more when yields rise, due to changes in expected prepayment behavior from the underlying borrower.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 to compute the amount of interest due on a periodic basis.Credit and Counterparty RiskRisk to earnings, capital or business, resulting from an obligor’s or counterparty’s failure to meet the terms of any contract or otherwise failure to perform as agreed. Credit and counterparty risk is present in lending, investing, funding and hedging activities.Credit DerivativesDerivative instruments that have one or more underlyings related to the credit risk of a specified entity (or group of entities) or an index that exposes the seller to potential loss from specified credit-risk related events. An example is credit derivatives referencing the commercial mortgage-backed securities index. Credit Risk Transfer (“CRT”) SecuritiesCredit Risk Transfer securities are risk sharing transactions issued by Fannie Mae and Freddie Mac and similarly structured transactions arranged by third party market participants. The securities issued in the CRT sector are designed to synthetically transfer mortgage credit risk from Fannie Mae, Freddie Mac and/or third parties to private investors.Current FaceThe current remaining monthly principal on a mortgage security. Current face is computed by multiplying the original face value of the security by the current principal balance factor.DDealerPerson or organization that underwrites, trades and sells securities, e.g., a principal market-maker in securities.Default RiskPossibility that a bond issuer will fail to pay principal or interest when due.DerivativeA financial product that derives its value from the price, price fluctuations and price expectations of an underlying instrument, index or reference pool (e.g. futures contracts, options, interest rate swaps, interest rate swaptions and certain to-be-announced securities).

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

Discount PriceWhen the dollar price is below face value, it is said to be selling at a discount.DurationThe weighted maturity of a fixed-income investment’s cash flows, used in the estimation of the price sensitivity of fixed-income securities for a given change in interest rates.EEarnings available for distribution (“EAD”) and Earnings available for distribution Per Average Common Share Non-GAAP financial measure defined as the sum of (a) economic net interest income, (b) TBA dollar roll income, (c