Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 38

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 38
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%Weighted average coupon rate5.05%5.02%Weighted average yield5.01%4.96%Adjustable-rate Residential Securities (1)Principal amount$605,411 $951,400 Weighted average coupon rate8.06%8.41%Weighted average yield7.32%7.59%Weighted average term to next adjustment (2)5 Months6 MonthsWeighted average lifetime cap (3)9.40%9.33%Principal amount at period end as % of total residential securities0.83%1.34%Fixed-rate Residential Securities (1)Principal amount$72,634,564 $69,832,159 Weighted average coupon rate5.02%4.97%Weighted average yield4.99%4.93%Principal amount at period end as % of total residential securities99.17%98.66%Interest-only Residential SecuritiesNotional amount$44,459,028 $38,352,812 Net premium1,234,681 1,091,361 Amortized cost1,234,681 1,091,361 Amortized cost / notional amount2.78%2.85%Carrying value1,179,645 965,131 Carrying value / notional amount2.65%2.52%Weighted average coupon rate0.58%0.46%Weighted average yield3.04%2.40%(1) Excludes interest-only MBS.(2) Excludes non-Agency MBS and CRT securities.(3) Excludes non-Agency MBS and CRT securities as this attribute is not applicable to these asset classes.

The following tables summarize certain characteristics of our Residential Credit portfolio at June 30, 2025.

Payment StructureInvestment Characteristics (1)ProductEstimated Fair ValueSeniorSubordinateCouponCredit Enhancement60+Delinquencies3M VPR (2)(dollars in thousands)Credit risk transfer$414,047 $— $414,047 8.97%1.60%1.07%5.33%Non-QM215,213 — 215,213 7.12%9.17%4.38%17.70%Prime104,091 91,667 12,424 6.52%34.29%3.66%10.17%SBC195,037 24,784 170,253 7