Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 74

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 74
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 a Qualified Mortgage. Notional AmountA stated principal amount in a derivative contract on which the contract is based.OOperational RiskRisk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems, human factors or external events.Option ContractA contract in which the buyer has the right, but not the obligation, to buy or sell an asset at a set price on or before a given date. Buyers of call options bet that a security will be worth more than the price set by the option (the strike price), plus the price they pay for the option itself. Buyers of put options bet that the security’s price will drop below the price set by the option. An option is part of a class of financial instruments called derivatives, which means these financial instruments derive their value from the worth of an underlying investment.Original FaceThe face value or original principal amount of a security on its issue date.Out-of-the-MoneyDescription for an option that has no intrinsic value and would be worthless if it expired today; for a call option, this situation occurs when the strike price is higher than the market price of the underlying security; for a put option, this situation occurs when the strike price is less than the market price of the underlying security.Overnight Index Swaps (“OIS”)An interest rate swap in which a fixed rate is exchanged for an overnight floating rate.Over-The-Counter (“OTC”) MarketA securities market that is conducted by dealers throughout the country through negotiation of price rather than through the use of an auction system as represented by a stock exchange.PParPrice equal to the face amount of a security; 100%.Par AmountThe principal amount of a bond or note due at maturity. Also known as par value.Pass-Through SecurityA securitization structure where a GSE or other entity “passes” the amount collected from the borrowers every month to the investor, after deducting fees and expenses.PoolA collection of mortgage loans assembled by an originator or master servicer as the basis for a security. In the case of Ginnie Mae, Fannie Mae, or Freddie Mac mortgage pass-through securities, pools are identified by a number assigned by the issuing agency.PremiumThe amount by which the price of a security exceeds its principal amount. When the dollar price of a bond is above its face value, it is said to be selling at a premium.Premium Amortization Adjustment (“PAA”)The cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term pre