71 unchanged sentences
Treasury securities sold, not yet purchased divided by total equity.
−Removed: Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced (“TBA”) and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity.
−Removed: Recourse debt consists of repurchase agreements, other secured financing (excluding certain non-recourse credit facilities), and U.S.
+Added: Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced (“TBA”) derivatives outstanding, and net forward purchases (sales) of investments divided by total equity.
+Added: Recourse debt consists of repurchase agreements, other secured financing, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S.
Treasury securities sold, not yet purchased.
−Removed: Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, and participations issued are non-recourse to us and are excluded from economic leverage.
+Added: Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage.
(2) GAAP capital ratio is computed as total equity divided by total assets.
Economic capital ratio is computed as total equity divided by total economic assets.
−Removed: Total economic assets include the implied market value of TBA derivatives and net of debt issued by securitization vehicles.
+Added: Total economic assets include the implied market value of TBA derivatives and net of debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued.
(3) Net interest margin represents our interest income less interest expense divided by the average interest earning assets.
7 unchanged sentences
Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities.
−Removed: Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and, beginning with the quarter ended June 30, 2024, net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
−Removed: Prior period results have not been adjusted in accordance with this change as the impact is not material.
−Removed: Net interest on variation margin related to interest rate swaps was previously and is currently included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss) for all periods presented.
+Added: Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
+Added: Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).
(6 ) Excludes dividends on preferred stock.
Net income (loss) was $2.1 billion, which includes $24.4 million attributable to noncontrolling interests, or $2.92 per average basic common share, for the year ended December 31, 2025 compared to $1.0 billion, which includes $9.9 million attributable to noncontrolling interests, or $1.62 per average basic common share, for the same period in 2024.
−Removed: We attribute the majority of the change in net income (loss) to a favorable change in net gains (losses) on derivatives, net interest income, net gains (losses) on investments and other, and net servicing income.
−Removed: Net gains (losses) on derivatives for the year ended December 31, 2024 was $2.3 billion compared to $400.1 million for the same period in 2023.
−Removed: Net interest income for the year ended December 31, 2024 was $247.8 million compared to ($111.4) million for the same period in 2023.
+Added: We attribute the majority of the change in net income (loss) to a favorable change in net gains (losses) on investments and other, net interest income, and net servicing income, partially offset by an unfavorable change in net gains (losses) on derivatives.
Net gains (losses) on investments and other for the year ended December 31, 2025 was $1.7 billion compared to ($1.8) billion for the same period in 2024.
+Added: Net interest income for the year ended December 31, 2025 was $1.1 billion compared to $247.8 million for the same period in 2024.
Net servicing income for the year ended December 31, 2025 was $519.3 million compared to $435.9 million for the same period in 2024.
+Added: Net gains (losses) on derivatives for the year ended December 31, 2025 was ($1.2) billion compared to $2.3 billion for the same period in 2024.
Refer to the section titled “Other income (loss)” located within this Item 7 for additional information related to these changes.
Earnings available for distribution were $2.0 billion, or $2.92 per average common share, for the year ended December 31, 2025, compared to $1.6 billion, or $2.70 per average common share, for the same period in 2024.
−Removed: The change in earnings available for distribution for the year ended December 31, 2024 compared to the same period in 2023 was primarily due to higher coupon income, resulting from higher residential mortgage loan balances and purchasing securities higher up in the coupon stack, and higher net servicing income.
−Removed: This change was almost entirely offset by higher interest expense from an increase in average borrowing rates and average interest bearing liabilities, and an unfavorable change in the net interest component of interest rate swaps.
+Added: The change in earnings available for distribution for the year ended December 31, 2025 compared to the same period in 2024 was primarily due to higher coupon income, resulting from higher residential mortgage loan and securities balances, and higher net servicing income.
+Added: This change was partially offset by higher interest expense resulting from higher securitized debt balances from new securitizations and higher average rates, partially offset by lower interest expense on repurchase agreements from lower average rates despite higher average repurchase agreement balances, and an unfavorable change in the net interest component of interest rate swaps as the average net receive swap rate decreased on similar average balances for the year ended December 31, 2025 compared to the same period in 2024.
ANNALY CAPITAL MANAGEMENT, INC.
45 unchanged sentences
Loan loss provision (reversal) — — (219)
−Removed: — (219) (22,923)
−Removed: Business divestiture-related (gains) losses — — 40,258
Other adjustments
1 unchanged sentence
Non-EAD (income) loss allocated to equity method investments (3)
−Removed: 506 354 (15,499)
Transaction expenses and non-recurring items (4)
21 unchanged sentences
(2) The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution.
−Removed: The net interest component of interest rate swaps totaled $1.2 billion, $1.6 billion and $366.2 million for the years ended December 31, 2024, 2023 and 2022, respectively.
−Removed: (3) Includes $0.0 million, $0.0 million, and ($2.3) million of loss provision (reversal) on unfunded loan commitments for the years ended December 31, 2024, 2023 and 2022, respectively, which is reported in Other, net in the Consolidated Statements of Comprehensive Income (Loss).
+Added: The net interest component of interest rate swaps totaled $716.5 million, $1.2 billion and $1.6 billion for the years ended December 31, 2025, 2024 and 2023, respectively.
(3) Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).
44 unchanged sentences
To maintain our desired capital profile, we utilize a mix of debt and equity funding.
−Removed: Debt funding may include the use of repurchase agreements, loans, securitizations, participations issued, lines of credit, asset backed lending facilities, corporate bond issuance, convertible bonds, mortgages payable or other liabilities.
+Added: Debt funding may include the use of repurchase agreements, loans, securitizations, participations issued, lines of credit, asset backed lending facilities, corporate bond issuance, convertible bonds or other liabilities.
Equity capital primarily consists of common and preferred stock.
−Removed: Our economic leverage ratio is computed as the sum of recourse debt, cost basis of TBA and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity.
−Removed: Recourse debt consists of repurchase agreements, other secured financing and U.S Treasury securities sold, not yet purchased.
−Removed: Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from economic leverage.
−Removed: The following table presents a reconciliation of GAAP debt to economic debt for purposes of calculating our economic leverage ratio for the periods presented:
+Added: Our economic leverage ratio is computed as the sum of recourse debt, cost basis of TBA derivatives outstanding, and net forward purchases (sales) of investments divided by total equity.
+Added: Recourse debt consists of repurchase agreements, other secured financing, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S.
+Added: Treasury securities sold, not yet purchased.
+Added: Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage.
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
+Added: The following table presents a reconciliation of GAAP debt to economic debt for purposes of calculating our economic leverage ratio for the periods presented:
December 31, 2025
19 unchanged sentences
Plus / (Less):
−Removed: Cost basis of TBA and CMBX derivatives
−Removed: 3,158,058 (555,221)
+Added: Cost basis of TBA derivatives 3,252,601 3,158,058
Payable for unsettled trades 2,059,386 308,282
6 unchanged sentences
Refer to the disclosure within this section above for additional information on non-GAAP financial measures.
+Added: (1) Non-recourse debt excludes debt issued by securitization vehicles related to structured repurchase transactions.
The following table presents a reconciliation of GAAP total assets to economic total assets for purposes of calculating our economic capital ratio for the periods presented:
7 unchanged sentences
(28,651,989) (19,540,678)
+Added: Participations issued (1,932,655) (1,154,816)
Implied market value of TBA derivatives
7 unchanged sentences
(1) Included in Derivative assets in the Consolidated Statements of Financial Condition.
+Added: (2) Excludes debt issued by securitization vehicles related to structured repurchase transactions.
(3) Economic capital ratio is computed as total equity divided by total economic assets.
2 unchanged sentences
We believe this measure provides management and investors with additional detail to enhance their understanding of our operating results and trends by excluding the component of premium amortization expense representing the cumulative effect of quarter-over-quarter changes in estimated long-term prepayment speeds related to our Agency MBS (other than interest-only securities, multifamily and reverse mortgages), which can obscure underlying trends in the performance of the portfolio.
−Removed: Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps (which includes net interest on variation margin related to interest rate swaps) and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
−Removed: We use interest rate swaps to manage our exposure to changing interest rates on repurchase agreements by economically hedging cash flows associated with these borrowings.
−Removed: Accordingly, adding the net interest component of interest rate swaps to interest expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
−Removed: additional information about the cost of our financing strategy.
+Added: Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
+Added: Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).
+Added: We use interest rate swaps to manage our exposure to changing interest rates on repurchase agreements by economically hedging cash flows associated with these borrowings.
+Added: Accordingly, adding the net interest component of interest rate swaps to interest expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with additional information about the cost of our financing strategy.
We may use market agreed coupon (“MAC”) interest rate swaps in which we may receive or make a payment at the time of entering into such interest rate swap to compensate for the off-market nature of such interest rate swap.
15 unchanged sentences
Net Interest Component
−Removed: of Interest Rate Swaps Economic
+Added: of Interest Rate Swaps and Net Interest on Initial Margin Economic
Income * Add:
6 unchanged sentences
Refer to disclosures within this section above for additional information on non-GAAP financial measures.
−Removed: (1) Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and, beginning with the quarter ended June 30, 2024, net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
−Removed: Prior period results have not been adjusted in accordance with this change as the impact is not material.
−Removed: Net interest on variation margin related to interest rate swaps was previously and is currently included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss) for all periods presented.
+Added: (1) Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
+Added: Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).
Experienced and Projected Long-Term CPR
2 unchanged sentences
The following table presents the weighted average experienced CPR and weighted average projected long-term CPR on our Agency MBS portfolio as of and for the periods presented.
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Management’s Discussion and Analysis
Experienced CPR (1)
6 unchanged sentences
(2) At December 31, 2025, 2024 and 2023, respectively.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Management’s Discussion and Analysis
Average Yield on Interest Earning Assets (excluding PAA), Net Interest Spread (excluding PAA), Net Interest Margin (excluding PAA) and Average Economic Cost of Interest Bearing Liabilities
2 unchanged sentences
Net Interest Spread (excluding PAA)
−Removed: Average Interest Earning
+Added: Average Interest Earning Assets (1)
Interest Income (excluding PAA) * Average Yield on Interest Earning Assets (excluding PAA) * Average Interest Bearing Liabilities Economic Interest Expense * (2)
10 unchanged sentences
Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities.
−Removed: Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and, beginning with the quarter ended June 30, 2024, net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
−Removed: Prior period results have not been adjusted in accordance with this change as the impact is not material.
−Removed: Net interest on variation margin related to interest rate swaps was previously and is currently included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss) for all periods presented.
+Added: Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
+Added: Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).
Net Interest Margin (excluding PAA)
10 unchanged sentences
CMBX coupon income totaled $0.0 million, $0.0 million and $1.5 million for the years ended December 31, 2025, 2024 and 2023, respectively.
−Removed: (2) Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and, beginning with the quarter ended June 30, 2024, net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
−Removed: Prior period results have not been adjusted in accordance with this change as the impact is not material.
−Removed: Net interest on variation margin related to interest rate swaps was previously and is currently included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss) for all periods presented.
+Added: (2) Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
+Added: Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).
ANNALY CAPITAL MANAGEMENT, INC.
23 unchanged sentences
Refer to the “Non-GAAP Financial Measures” section for additional information.
−Removed: (1) Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and, beginning with the quarter ended June 30, 2024, net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
−Removed: Prior period results have not been adjusted in accordance with this change as the impact is not material.
−Removed: Net interest on variation margin related to interest rate swaps was previously and is currently included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss) for all periods presented.
+Added: (1) Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
+Added: Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).
2025 Compared with 2024
−Removed: Economic interest expense increased by $1.1 billion for the year ended December 31, 2024 compared to the same period in 2023.
−Removed: The change was primarily due to higher average interest bearing liabilities from an increase in securitized debt balances due to the 21 securitizations closed during the year ended December 31, 2024 combined with higher repurchase agreement balances and higher borrowing rates.
−Removed: This was partially offset by the change in the net interest component of interest rate swaps, which was $1.2 billion for the year ended December 31, 2024 compared to $1.6 billion for the same period in 2023.
+Added: Economic interest expense increased by $717.7 million for the year ended December 31, 2025 compared to the same period in 2024.
+Added: The change was primarily due to change in the net interest component of interest rate swaps, which was $716.5 million for the year ended December 31, 2025 compared to $1.2 billion for the same period in 2024 combined with higher average interest bearing liabilities from an increase in securitized debt balances due to the 29 securitizations closed during the year ended December 31, 2025.
We do not manage our portfolio to have a pre-designated amount of borrowings at quarter or year end.
15 unchanged sentences
Net Gains (Losses) on Investments and Other
−Removed: Net gains (losses) on disposal of investments and other was ($1.1) billion for the year ended December 31, 2024 compared with ($2.9) billion for the same period in 2023.
+Added: Net gains (losses) on disposal of investments and other was ($391.4) million for the year ended December 31, 2025 compared with ($1.1) billion for the same period in 2024.
For the year ended December 31, 2025, we disposed of Residential Securities with a carrying value of $15.0 billion for an aggregate net loss of ($99.6) million.
−Removed: For the same period in 2023, we disposed of Residential Securities with a carrying value of $36.4 billion for an aggregate net loss of ($2.9) billion.
−Removed: Net unrealized gains (losses) on instruments measured at fair value through earnings was ($764.5) million for the year ended December 31, 2024 compared to $797.6 million for the same period in 2023, primarily due to unfavorable changes in unrealized gains (losses) on Agency MBS of ($1.8) billion, securitized residential whole loans of consolidated VIEs of ($231.0) million, residential whole loans of ($159.1) million, and CRT securities of ($71.9) million, partially offset by favorable changes in residential securitized debt of consolidated VIEs of $308.7 million, U.S.
−Removed: Treasury securities sold, not yet purchased of $293.5 million, participations issued of $71.8 million and MSR of $44.8 million.
+Added: For the same period in 2024, we disposed of Residential Securities with a carrying value of $21.4 billion for an aggregate net loss of ($886.0) million.
+Added: Net unrealized gains (losses) on instruments measured at fair value through earnings was $2.1 billion for the year ended December 31, 2025 compared to ($764.5) million for the same period in 2024, primarily due to favorable changes in unrealized gains (losses) on Agency MBS of $3.2 billion, securitized residential whole loans of consolidated VIEs of $515.1 million, and residential whole loans of $40.3 million, partially offset by unfavorable changes in residential securitized debt of consolidated VIEs of ($374.0) million, U.S.
+Added: Treasury securities sold, not yet purchased of ($218.8) million, MSR of ($152.5) million, non-Agency MBS of ($83.6) million, and CRT securities of ($36.5) million.
Net Gains (Losses) on Derivatives
−Removed: Net gains (losses) on interest rate swaps for the year ended December 31, 2024 was $2.1 billion compared to $694.7 million for the same period in 2023, attributable to favorable changes in unrealized gains (losses) on interest rate swaps and realized gains (losses) on termination or maturity of interest rate swaps, partially offset by the change in the net interest component of interest rate swaps.
−Removed: Unrealized gains (losses) on interest rate swaps was $1.0 billion for the year ended December 31, 2024 compared to ($815.6) million for the same period in 2023.
−Removed: Realized gains (losses) on termination or maturity of interest rate swaps was ($60.5) million resulting from the termination or maturity of interest rate swaps with a notional amount of $13.7 billion for the year ended December 31, 2024 compared to ($74.8) million resulting from the termination of interest rate swaps with a notional amount of $12.7 billion for the same period in 2023.
−Removed: Net interest component of interest rate swaps was $1.2 billion for the year ended December 31, 2024 compared to $1.6 billion for the same period in 2023 due to a decrease in average net receive rate.
+Added: Net gains (losses) on interest rate swaps for the year ended December 31, 2025 was ($716.8) million compared to $2.1 billion for the same period in 2024, attributable to unfavorable changes in unrealized gains (losses) on interest rate swaps, the net interest component of interest rate swaps, and realized gains (losses) on termination or maturity of interest rate swaps.
+Added: Unrealized gains (losses) on interest rate swaps was ($1.4) billion for the year ended December 31, 2025 compared to $1.0 billion for the same period in 2024.
+Added: Net interest component of interest rate swaps was $716.5 million for the year ended December 31, 2025 compared to $1.2 billion for the same period in 2024.
+Added: Realized gains (losses) on termination or maturity of interest rate swaps was ($77.0) million, compared to ($60.5) million for the same period in 2024, which reflected our termination or maturity of fixed-rate payer and receiver interest rate swaps with notional amounts of $18.6 million and $3.2 million, respectively, compared to $9.6 billion and $4.1 billion notional amounts of fixed-rate payer and receiver interest rate swaps for the same period in 2024.
Net gains (losses) on other derivatives was ($490.4) million for the year ended December 31, 2025 compared to $124.9 million for the same period in 2024.
−Removed: The change in net gains (losses) on other derivatives was primarily due to favorable changes in net gains (losses) on futures contracts, which was $257.5 million for the year ended December 31, 2024 compared to ($6.8) million for the same period in 2023, net gains (losses) on TBA derivatives, which was ($16.7) million for the year ended December 31, 2024 compared to ($140.8) million for the same period in 2023, and net gains (losses) on interest rate swaptions, which was ($105.9) million for the year ended December 31, 2024 compared to ($148.8) million for the same period in 2023, partially offset by an unfavorable change in net gains (losses) on purchase commitments, which was ($10.0) million for the year ended December 31, 2024 compared to $7.9 million for the same period in 2023.
−Removed: Other, net includes brokerage and commission fees, due diligence costs, securitization expenses, and interest on custodial balances.
−Removed: We also report in Other, net items whose amounts, either individually or in the aggregate, would not, in the opinion of management, be meaningful to readers of the financial statements.
+Added: The change in net gains (losses) on other derivatives was primarily due to unfavorable changes in net gains (losses) on futures contracts, which was ($619.5) million for the year ended December 31, 2025 compared to $257.5 million for the same period in 2024, partially offset by favorable changes in net gains (losses) on TBA derivatives, which was $135.7 million for the year ended December 31, 2025 compared to ($16.7) million for the same period in 2024, net gains (losses) on interest rate swaptions, which was ($10.0) million for the year ended December 31, 2025 compared to ($105.9) million for the same period in 2024, and net gains (losses) on purchase commitments, which was $3.4 million for the year ended December 31, 2025 compared to ($10.0) million for the same period in 2024.
+Added: Other, net includes brokerage and commission fees, due diligence costs, securitization expenses, interest on custodial balances and items whose amounts, either individually or in the aggregate, would not, in the opinion of management, be meaningful to readers of the financial statements.
Given the nature of certain components of this line item, balances may fluctuate from period to period.
−Removed: Other, net was $94.9 million for the year ended December 31, 2024 compared to $73.7 million for the same period in 2023, primarily attributable to an increase in interest on custodial balances, partially offset by an increase in MSR financing expenses.
+Added: Other, net was $51.1 million for the year ended December 31, 2025 compared to $94.9 million for the same period in 2024, primarily attributable to an increase in MSR financing expenses, a decrease in net interest income on initial margin related to interest rate swaps, an increase in securitization related costs, and an increase in trading activity related expenses, a decrease in other interest and a decrease in earnings from unconsolidated joint ventures.
+Added: This was partially offset by an increase in interest on custodial balances, advisory income, and conduit transaction fees.
General and Administrative Expenses
1 unchanged sentence
The following table shows our total G&A expenses as compared to average total assets and average equity for the periods presented.
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Management’s Discussion and Analysis
G&A Expenses and Operating Expense Ratios
4 unchanged sentences
December 31, 2023 $ 162,553 0.18 % 1.42 %
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Management’s Discussion and Analysis
2025 Compared with 2024
G&A expenses increased $28.3 million to $199.6 million for the year ended December 31, 2025 compared to the same period in 2024.
−Removed: The change in the period was primarily due to an increase in compensation expense, partially offset by lower expenses related to technology and professional fees.
+Added: The change in the period was primarily due to an increase in compensation expense and higher expenses related to professional fees, rent, and technology.
Return on Average Equity
28 unchanged sentences
The fair value of these securities being less than amortized cost at December 31, 2025 is solely due to market conditions and not the quality of the assets.
−Removed: Substantially all of the Agency MBS have an actual or implied credit rating that is the same as that of the U.S.
−Removed: The investments do not require an allowance for credit losses because we currently have the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that we will be required to sell the investments before recovery of the amortized cost bases, which may be maturity.
−Removed: Also, we are guaranteed payment of the principal and interest amounts of the securities by the respective issuing Agency.
+Added: Substantially all of the Agency MBS have an actual or implied credit rating that is the same as that
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
+Added: The investments do not require an allowance for credit losses because we currently have the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that we will be required to sell the investments before recovery of the amortized cost bases, which may be maturity.
+Added: Also, we are guaranteed payment of the principal and interest amounts of the securities by the respective issuing Agency.
Financial Condition
Total assets were $135.6 billion and $103.6 billion at December 31, 2025 and 2024, respectively.
−Removed: The change was primarily due to increases in residential mortgage loans, including securitized residential whole loans of consolidated VIEs, of $9.9 billion and MSR of $0.8 billion, partially offset by decreases in receivable for unsettled trades of $0.5 billion.
+Added: The change was primarily due to increases in securities of $21.5 billion, securitized residential whole loans of consolidated VIEs of $10.1 billion, residential mortgage loans of $1.5 billion, and mortgage servicing rights of $736.7 million, partially offset by decreases in receivable for unsettled trades of $2.2 billion, principal and interest receivable of $142.4 million, and derivative assets of $109.8 million.
Our portfolio composition, net equity allocation and debt-to-net equity ratio by asset class were as follows at December 31, 2025:
28 unchanged sentences
The weighted average projected long-term prepayment speed on our Agency MBS portfolio as of December 31, 2025 and 2024 was 10.8% and 8.6%, respectively.
−Removed: Given our current portfolio composition, if mortgage principal prepayment rates were to increase over the life of our mortgage-backed securities, all other factors being equal, our net interest income would decrease during the life of these mortgage-backed securities as we would be required to amortize our net premium balance into income over a shorter time period.
−Removed: Similarly, if mortgage principal prepayment rates were to decrease over the life of our mortgage-backed securities, all other factors being equal, our net interest income would increase during the life of these mortgage-backed securities as we would amortize our net premium balance over a longer time period.
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
+Added: Given our current portfolio composition, if mortgage principal prepayment rates were to increase over the life of our mortgage-backed securities, all other factors being equal, our net interest income would decrease during the life of these mortgage-backed securities as we would be required to amortize our net premium balance into income over a shorter time period.
+Added: Similarly, if mortgage principal prepayment rates were to decrease over the life of our mortgage-backed securities, all other factors being equal, our net interest income would increase during the life of these mortgage-backed securities as we would amortize our net premium balance over a longer time period.
The following table presents our Residential Securities that were carried at fair value at December 31, 2025 and December 31, 2024.
11 unchanged sentences
Credit risk transfer $ 213,800 $ 754,915
−Removed: Alt-A 164,892 150,235
+Added: Non-QM 336,152 164,892
Prime 114,275 102,117
−Removed: Subprime 245,583 235,605
+Added: SBC 176,978 233,572
NPL/RPL 447,817 682,440
+Added: RTL 192,626 151,852
Prime jumbo (>= 2010 vintage) 177,328 158,313
2 unchanged sentences
The following table summarizes certain characteristics of our Residential Securities (excluding interest-only mortgage-backed securities) and interest-only mortgage-backed securities at December 31, 2025 and December 31, 2024.
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Management’s Discussion and Analysis
December 31, 2025 December 31, 2024
31 unchanged sentences
Weighted average coupon rate 0.49 % 0.46 %
−Removed: Weighted average yield 2.40 % NM
+Added: Weighted average yield 5.42 % 2.40 %
(1) Excludes interest-only MBS.
1 unchanged sentence
(3) Excludes non-Agency MBS and CRT securities as this attribute is not applicable to these asset classes.
−Removed: NM Not meaningful.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Management’s Discussion and Analysis
The following tables summarize certain characteristics of our Residential Credit portfolio at December 31, 2025.
4 unchanged sentences
Credit risk transfer $ 213,800 $ — $ 213,800 8.74 % 1.52 % 1.31 % 5.89 %
−Removed: Alt-A 164,892 — 164,892 7.08 % 9.98 % 4.35 % 16.68 %
+Added: Non-QM 336,152 — 336,152 6.95 % 7.80 % 3.60 % 16.88 %
Prime 114,275 90,999 23,276 5.82 % 13.38 % 1.84 % 13.17 %
−Removed: Subprime 245,583 54,598 190,985 7.18 % 24.04 % 13.48 % 13.88 %
−Removed: Re-performing loan securitizations 586,731 361,769 224,962 6.54 % 27.36 % 17.31 % 19.90 %
−Removed: Non-performing loan securitizations 291,877 261,524 30,353 6.85 % 35.15 % 72.48 % 8.65 %
+Added: SBC 176,978 19,639 157,339 7.20 % 26.19 % 15.06 % 12.68 %
+Added: NPL/RPL 447,817 94,917 352,900 7.45 % 19.61 % 52.65 % 6.41 %
+Added: RTL 192,626 137,035 55,591 7.11 % 17.85 % 3.89 % 64.26 %
Prime jumbo (>=2010 vintage) 177,328 106,451 70,877 4.91 % 1.08 % 0.75 % 6.36 %
2 unchanged sentences
(2) Represents the 3 month voluntary prepayment rate (“VPR”).
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Management’s Discussion and Analysis
Product ARM Fixed Floater Interest-Only Estimated Fair Value
1 unchanged sentence
Credit risk transfer $ — $ — $ 213,800 $ — $ 213,800
−Removed: Alt-A 1,261 163,631 — — 164,892
+Added: Non-QM 1,327 334,825 — — 336,152
Prime — 83,121 — 31,154 114,275
−Removed: Subprime — 226,354 19,158 71 245,583
−Removed: Re-performing loan securitizations — 586,731 — — 586,731
−Removed: Non-performing loan securitizations — 291,877 — — 291,877
+Added: SBC — 170,171 6,807 — 176,978
+Added: NPL/RPL — 437,035 10,732 50 447,817
+Added: RTL — 192,626 — — 192,626
Prime jumbo (>=2010 vintage) — 51,986 18,891 106,451 177,328
27 unchanged sentences
During the year ended December 31, 2024, we received $6.8 billion from principal repayments and $21.1 billion in cash from disposal of Securities.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Management’s Discussion and Analysis
Commitments and Contractual Obligations with Unconsolidated Entities
8 unchanged sentences
“Risk Factors” of this annual report on Form 10-K.
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Management’s Discussion and Analysis
Capital requirements are based on maintaining levels above approved thresholds, ensuring the quality of our capital appropriately reflects our asset mix, market and funding structure.
7 unchanged sentences
6.75% Series I fixed-to-floating rate cumulative redeemable preferred stock 428,324 428,324
+Added: 8.875% Series J fixed-rate cumulative redeemable preferred stock 265,911 —
Common stock 7,070 5,784
7 unchanged sentences
The Current Common Stock Repurchase Program replaced the Prior Common Stock Repurchase Program.
−Removed: During the years ended December 31, 2024 and 2023, no shares were repurchased under the Prior Common Stock Repurchase Program.
+Added: During the years ended December 31, 2025 and 2024, no shares were repurchased under the Current Common Stock Repurchase Program or the Prior Common Stock Repurchase Program, respectively.
Purchases made pursuant to the Current Common Stock Repurchase Program will be made in either the open market or in privately negotiated transactions from time to time as permitted by securities laws and other legal requirements.
3 unchanged sentences
1 to the Amended and Restated Distribution Agency Agreements on August 6, 2021, and Amendment No.
−Removed: 2 to the Amended and Restated Distribution Agency Agreements on November 3, 2022, collectively, the “Prior Sales Agreements”) with each of Barclays Capital Inc., BofA Securities, Inc., Citigroup Global Markets Inc., Goldman Sachs & Co.
+Added: 2 to the Amended and Restated Distribution Agency Agreements on November 3, 2022, collectively, the “2020 Sales Agreements”) with each of Barclays Capital Inc., BofA Securities, Inc., Citigroup Global Markets Inc., Goldman Sachs & Co.
+Added: Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “2020 Sales Agents”).
+Added: Pursuant to the 2020 Sales Agreements, we offered and sold shares of our common stock, having an aggregate offering price of up to $1.5 billion, from time to time through any of the 2020 Sales Agents (the “2020 At-The-Market Sales Program”).
+Added: On September 20, 2024, we entered into separate Distribution Agency Agreements (collectively, the “2024 Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., Citizens JMP Securities, LLC, Goldman Sachs & Co.
+Added: Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co., LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “2024 Sales Agents”), which terminated and replaced the 2020 Sales Agreements.
+Added: Under the terms of the 2024 Sales Agreements, we offered and sold shares of our common stock, having an aggregate offering price of up to $1.5 billion, from time to time through any of the 2024 Sales Agents (the “2024 At-The-Market Sales Program”).
+Added: On May 8, 2025, we entered into separate Distribution Agency Agreements (collectively, the “Prior Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., BTIG, LLC, Citizens JMP Securities, LLC, Goldman Sachs & Co.
+Added: Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co., LLC, Piper Sandler & Co., RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (the “Sales Agents”), which
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
−Removed: Bruyette & Woods, Inc., J.P.
−Removed: Morgan Securities LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Prior Sales Agents”).
−Removed: Pursuant to the Prior Sales Agreements, we offered and sold shares of common stock, having an aggregate offering price of up to $1.5 billion, from time to time through any of the Prior Sales Agents (the “Prior At-the-Market Sales Program”).
−Removed: On September 20, 2024, we entered into new Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., Citizens JMP Securities, LLC, Goldman Sachs & Co.
−Removed: Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co., LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Sales Agents”), which terminated and replaced the Prior Sales Agreements.
−Removed: Under the terms of the Sales Agreements, we may offer and sell shares of our common stock, having an aggregate offering price of up to $1.5 billion, from time to time through any of the Sales Agents (the “Current At-the-Market Sales Program” and, together with the Prior At-the-Market Sales Program, the “at-the-market sales program”).
+Added: terminated and replaced the 2024 Sales Agreements.
+Added: Under the terms of the Prior Sales Agreements, the Company offered and sold shares of our common stock, having an aggregate offering price of up to $2.0 billion (the “Shares”), from time to time through any of the Sales Agents (the "Prior At-The-Market Sales Program").
+Added: On December 22, 2025, we entered into separate Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of the Sales Agents, which terminated and replaced the Prior Sales Agreements.
+Added: Under the terms of the Sales Agreements, we may offer and sell shares of our common stock, having an aggregate offering price of up to $2.5 billion (the “Shares”), from time to time through any of the Sales Agents (the "Current At-The-Market Sales Program" and, together with the 2020 At-The-Market Sales Program, the 2024 At-The-Market Sales Program and the Prior At-The-Market Sales Program, the "at-the-market sales program").
During the year ended December 31, 2025, under the at-the-market sales program, we issued 127.9 million shares for proceeds of $2.6 billion, net of commissions and fees.
11 unchanged sentences
The Current Preferred Stock Repurchase Program became effective on January 1, 2025, and will expire on December 31, 2029.
+Added: No shares were repurchased with respect to the Current Preferred Stock Repurchase Program during the year ended December 31, 2025.
Purchases made pursuant to the Current Preferred Stock Repurchase Program will be made in either the open market or in privately negotiated transactions from time to time as permitted by securities laws and other legal requirements.
1 unchanged sentence
The authorization does not obligate us to acquire any particular amount of Preferred Stock and the program may be suspended or discontinued at our discretion without prior notice.
+Added: During the year ended December 31, 2025, we issued 11,000,000 shares of our Series J Preferred Stock, which included the exercise by the underwriters of their option to purchase an additional 1,000,000 shares of Series J Preferred Stock solely to cover over-allotments, for gross proceeds of $275 million before deducting the underwriting discount and other estimated offering expenses.
Leverage and Capital
3 unchanged sentences
Our actual economic leverage ratio varies from time to time based upon various factors, including our management’s opinion of the level of risk of our assets and liabilities, our liquidity position, our level of unused borrowing capacity, the availability of credit, over-collateralization levels required by lenders when we pledge assets to secure borrowings and our assessment of domestic and international market conditions.
−Removed: Our GAAP leverage ratio at December 31, 2024 and 2023 was 7.1:1 and 6.8:1, respectively.
−Removed: Our economic leverage ratio, which is computed as the sum of Recourse Debt, cost basis of TBA and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity was 5.5:1 and 5.7:1, at December 31, 2024 and 2023, respectively.
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
−Removed: GAAP capital ratio at December 31, 2024 and 2023 was 12.3% and 12.2%, respectively.
−Removed: Our economic capital ratio, which represents our ratio of stockholders’ equity to total economic assets (inclusive of the implied market value of TBA derivatives and net of debt issued by securitization vehicles), was 14.6% and 14.0% at December 31, 2024 and 2023, respectively.
+Added: Our GAAP leverage ratio at December 31, 2025 and 2024 was 7.2:1 and 7.1:1, respectively.
+Added: Our economic leverage ratio, which is computed as the sum of Recourse Debt, cost basis of TBA derivatives outstanding, and net forward purchases (sales) of investments divided by total equity was 5.6:1 and 5.5:1, at December 31, 2025 and 2024, respectively.
+Added: Our GAAP capital ratio at December 31, 2025 and 2024 was 11.9% and 12.3%, respectively.
+Added: Our economic capital ratio, which represents our ratio of stockholders’ equity to total economic assets (inclusive of the implied market value of TBA derivatives and net of debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued), was 14.9% and 14.8% at December 31, 2025 and 2024, respectively.
Economic leverage ratio and economic capital ratio are non-GAAP financial measures.
26 unchanged sentences
The Audit Committee is responsible for oversight of the quality and integrity of our accounting, internal controls and financial reporting practices, including independent auditor selection, evaluation and review, and oversight of the internal audit function.
−Removed: The Risk Committee and the Audit Committee jointly oversee practices and policies related to cybersecurity and receive regular reports from management throughout the year on cybersecurity and related risks.
−Removed: The Management Development and Compensation Committee is responsible for oversight of risk related to our compensation policies and practices and other human capital matters such as succession and culture.
−Removed: The Nominating/Corporate Governance Committee assists the Board in its oversight of our corporate governance framework and the annual self-evaluation of the Board, and the Corporate Responsibility Committee assists the Board in its oversight of any matters that may present reputational or ESG risk to us.
−Removed: The full Board has overall
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
−Removed: responsibility for ESG oversight, and the Corporate Responsibility Committee meets jointly with other Committees from time to time in order to review areas of shared responsibility.
+Added: Committee and the Audit Committee jointly oversee practices and policies related to cybersecurity and receive regular reports from management throughout the year on cybersecurity and related risks.
+Added: The Management Development and Compensation Committee is responsible for oversight of risk related to our compensation policies and practices and other human capital matters such as succession and culture.
+Added: The Nominating/Corporate Governance Committee assists the Board in its oversight of our corporate governance framework and the annual self-evaluation of the Board, and the Corporate Responsibility Committee assists the Board in its oversight of any matters that may present reputational or environmental sustainability risk to us.
+Added: The full Board has overall responsibility for this oversight, and the Corporate Responsibility Committee meets jointly with other Committees from time to time in order to review areas of shared responsibility.
Risk assessment and risk management are the responsibility of our management.
82 unchanged sentences
Total $ 82,940,723 4.05 % 100.0 %
−Removed: (1) Less than 1% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year.
+Added: (1) Approximately 1% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year.
We also finance our investments in residential mortgage loans through the issuance of securitization transactions sponsored by our wholly-owned subsidiary Onslow Bay Financial LLC (“Onslow Bay”) under the Onslow Bay private-label securitization program.
In order to increase financing optionality for our Onslow Bay platform we closed new warehouse facilities and upsized existing warehouse facilities.
−Removed: These included expanded product offerings for residential whole loans, including a component not subject to margin calls, and a two-year facility for OBX retained securities not subject to margin calls.
+Added: These included expanded product offerings for residential whole loans, including a component not subject to margin calls.
The following table presents our outstanding debt balances and associated weighted average rates and days to maturity at December 31, 2025:
13 unchanged sentences
Total indebtedness $ 114,125,413
+Added: (1) Rates for repurchase agreements and other secured financing are determined by the weighted-average stated interest rates while debt issued by securitization vehicles and participations issued are determined by the weighted-average yield.
(2) Determined based on estimated weighted-average lives of the underlying debt instruments.
−Removed: (2) Non-recourse to Annaly.
+Added: (3) Non-recourse to Annaly which excludes structured repurchase transactions.
Excess Liquidity
8 unchanged sentences
Cash and cash equivalents $ 1,683,059 $ 354,779 $ 2,037,838
+Added: Reverse repurchase agreements (1)
+Added: 34,389 — 34,389
Investments, at carrying value (2)
2 unchanged sentences
Non-agency mortgage-backed securities 740,019 705,157 1,445,176
−Removed: Commercial mortgage-backed securities 74,278 — 74,278
Residential mortgage loans (3)
1 unchanged sentence
MSR 3,541,414 104,451 3,645,865
+Added: Interests in MSR — 28,626 28,626
Other assets (4)
1 unchanged sentence
Total financial assets $ 124,362,514 $ 7,816,227 $ 132,178,741
+Added: (1) The collateral received in connection with reverse repurchase agreements was repledged as of December 31, 2025.
(2) The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported in the Consolidated Statements of Financial Condition.
(3) Includes assets transferred or pledged to securitization vehicles.
−Removed: (3) Includes commercial real estate investments and interests in certain joint ventures.
+Added: (4) Includes commercial real estate investments.
We maintain liquid assets in order to satisfy our current and future obligations in normal and stressed operating environments.
12 unchanged sentences
Residential Securities (2)
−Removed: Commercial mortgage-backed securities 74,278
Residential mortgage loans (3)
7 unchanged sentences
(4) Denominator is computed based on the carrying amount of encumbered and unencumbered financial assets, excluding assets transferred or pledged to securitization vehicles, of $32.1 billion.
−Removed: Maturity Profile
−Removed: We consider the profile of our assets, liabilities and derivatives when managing both liquidity risk as well as investment/market risk employing a measurement of both the maturity gap and interest rate sensitivity gap.
+Added: Maturity Profile and Interest Rate Sensitivity
+Added: We consider the profile of our assets, liabilities and derivatives when managing both liquidity risk as well as investment/market risk.
We determine the amount of liquid assets that are required to be held by monitoring several liquidity metrics.
22 unchanged sentences
Cash and cash equivalents $ 2,037,838 $ — $ — $ — $ 2,037,838
+Added: Reverse repurchase agreements — — — 34,389 34,389
Agency mortgage-backed securities (principal) — 86 23,177 87,669,248 87,692,511
3 unchanged sentences
Total securities 121,293 184,656 522,005 88,437,108 89,265,062
−Removed: Residential mortgage loans (principal) — — — 3,485,717 3,485,717
−Removed: Total loans — — — 3,485,717 3,485,717
+Added: Loans (principal) — — — 4,891,764 4,891,764
Assets transferred or pledged to securitization vehicles (principal) — — — 32,141,816 32,141,816
32 unchanged sentences
Changes in the level of interest rates can affect our net interest income, which is the difference between the income we earn on our interest earning assets and the interest expense incurred from interest bearing liabilities and derivatives.
−Removed: Changes in the level of interest rates and spreads can also affect the value of our assets and potential realization of gains or losses from the sale of these assets.
−Removed: We may utilize a variety of financial instruments, including interest rate swaps, swaptions, options, futures and other hedges, in order to limit the adverse effects of
+Added: Changes in the level of interest rates and spreads can also affect the
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
−Removed: interest rates on our results.
+Added: value of our assets and potential realization of gains or losses from the sale of these assets.
+Added: We may utilize a variety of financial instruments, including interest rate swaps, swaptions, options, futures and other hedges, in order to limit the adverse effects of interest rates on our results.
In the case of interest rate swaps, we utilize contracts linked to SOFR but may also enter into interest rate swaps where the floating leg is linked to the overnight index swap rate or another index.
34 unchanged sentences
+25 Basis points (1.2%) (8.6%)
−Removed: (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals.
+Added: (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with internally derived inputs, analysis, and adjustments.
+Added: Models are periodically updated to help better capture market risks and conditions.
+Added: Such updates are completed by third parties and through the Company's calibration of external models.
+Added: Any model updates that occur are reflected in the period in which they occur.
Actual results could differ materially from these estimates.
10 unchanged sentences
Generally, we are subject to risk of loss if an issuer or borrower fails to perform its contractual obligations.
−Removed: We have established policies and procedures for mitigating credit risk, including establishing and reviewing limits for credit exposure.
−Removed: In the case of residential mortgage loans and MSR, we may engage a third party to perform due diligence on a sample of loans that we believe sufficiently represents the entire pool.
−Removed: Once an investment is made, our ongoing surveillance process includes regular reviews,
+Added: We have established policies and
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
−Removed: analysis and oversight of investments by our investment personnel and appropriate committee.
+Added: procedures for mitigating credit risk, including establishing and reviewing limits for credit exposure.
+Added: In the case of residential mortgage loans and MSR, we may engage a third party to perform due diligence on a sample of loans that we believe sufficiently represents the entire pool.
+Added: Once an investment is made, our ongoing surveillance process includes regular reviews, analysis and oversight of investments by our investment personnel and appropriate committee.
We review credit and other risks of loss associated with each investment.
11 unchanged sentences
(1) Includes assets transferred or pledged to securitization vehicles.
+Added: (2) Includes interests in MSR.
Counterparty Risk Management
5 unchanged sentences
The amount of this exposure is the difference between the amount loaned to us plus interest due to the counterparty and the fair value of the collateral pledged by us to the lender including accrued interest receivable on such collateral.
−Removed: We also use interest rate swaps and other derivatives to manage interest rate risk.
+Added: We also use interest rate swaps and other derivatives that are not centrally cleared to manage interest rate risk.
Under these agreements, we pledge securities and cash as collateral or settle variation margin payments as part of a margin arrangement.
14 unchanged sentences
(2) Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement and other secured financing and derivatives for each counterparty.
+Added: Operational Risk Management
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
−Removed: Operational Risk Management
We are subject to operational risk in each of our business and support functions.
11 unchanged sentences
Cybersecurity is part of our enterprise-wide risk management framework.
−Removed: Processes for assessing, identifying and managing cybersecurity risks include cybersecurity risk assessments, use of key risk indicators, vendor cybersecurity risk management, employee training, including phishing exercises and cybersecurity awareness training, penetration testing, evaluation of cybersecurity insurance and periodic engagements by our internal audit department, which determines whether our cybersecurity program and information security practices align with relevant parts of the National Institute of Standards and Technology (“NIST”) framework.
+Added: Processes for assessing, identifying and managing cybersecurity risks include cybersecurity risk assessments, use of key risk indicators, vendor cybersecurity risk management, employee training, including phishing exercises and cybersecurity awareness training, penetration testing, evaluation of cybersecurity insurance and periodic engagements by our internal audit department, which validates whether our cybersecurity program and information security practices align with relevant parts of the National Institute of Standards and Technology (“NIST”) framework.
We periodically engage penetration testing companies and law firms to assist in these processes.
2 unchanged sentences
We conduct periodic tabletop exercises to test our Response Plan and our reaction to various business disruption events, and the results of these tabletop exercises are reported to the Cybersecurity Committee and the ERC.
−Removed: We also have processes in place to oversee and identify material risks from cybersecurity threats associated with our use of third party service providers upon which we depend on to perform various business processes related to our operations, including mortgage loan servicers and sub-servicers.
−Removed: Our vendor management and IT policies establish procedures for engaging, onboarding and monitoring the performance of third party vendors.
+Added: We also have processes in place to oversee and identify material risks from cybersecurity threats associated with our use of third party service providers upon which we depend to perform various business processes related to our operations, including mortgage loan servicers and sub-servicers.
+Added: Our vendor management and IT policies establish procedures for engaging, onboarding and monitoring the performance of third party vendors including tools for ongoing cyber security risks.
For mortgage loan servicers and sub-servicers, these procedures include assessing a vendor’s financial health as well as oversight of its compliance with applicable laws and regulations, cybersecurity and business continuity programs and security of personal information.
3 unchanged sentences
The Cybersecurity Committee regularly meets to discuss both routine oversight of cybersecurity processes, policies and procedures and management of any cyber-specific events, including escalation to the ERC, the executive leadership team and/or the Board, as appropriate.
−Removed: The Cybersecurity Committee includes representatives from Operational Risk Management, Information Technology, Legal, Mortgage Operations and Internal Controls.
+Added: The Cybersecurity Committee includes representatives from Operational Risk Management, Information Technology, Legal, Investment Groups and Internal Controls.
Certain members of the Cybersecurity Committee have relevant qualifications such as extensive work experience implementing data security measures, developing cybersecurity policies and procedures and assessing, managing and reporting cybersecurity risk.
Members also participate in cybersecurity-related professional organizations that discuss industry threats, challenges and solutions to cybersecurity issues.
−Removed: Our Head of IT Infrastructure has completed the “Cybersecurity:
−Removed: Managing Risk in the Information Age” certificate program from Harvard University.
The Cybersecurity Committee regularly discusses cybersecurity risk management and best practices with the ERC and with the Audit and Risk Committees of our Board.
5 unchanged sentences
We also may be held responsible for cybersecurity threats affecting our third party service providers, including servicers and sub-servicers, some of whom have reported breaches in the past.
−Removed: Therefore, while we are not aware of any cybersecurity threats or
+Added: Therefore, while we are not aware of any cybersecurity threats or incidents that are reasonably likely to have a material effect on our business strategy, results of operations, or financial
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
−Removed: incidents that are reasonably likely to have a material effect on our business strategy, results of operations or financial condition, the likelihood and severity of such risks are difficult to predict.
−Removed: For further discussion, please see the risk factors titled “We are highly dependent on information systems and networks, many of which are operated by third parties” and “Cyberattacks or other information security breaches of our Company's, service providers' or counterparties' systems or networks affect our business, reputation and financial condition” in Part I, Item 1A.
+Added: condition the likelihood and severity of such risks are difficult to predict.
+Added: For further discussion, please see the risk factors titled “We are highly dependent on information systems and networks, many of which are operated by third parties” and “Cyberattacks or other information security breaches of our Company's, service providers' or counterparties' systems or network affect our business, reputation and financial condition” in Part I, Item 1A.
“Risk Factors” in this Annual Report on Form 10-K.
14 unchanged sentences
Critical Accounting Estimates
−Removed: The preparation of our consolidated financial statement in accordance with generally accepted accounting principles in the United States requires us to make estimates, judgments and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses.
+Added: The preparation of our consolidated financial statements in accordance with generally accepted accounting principles in the United States requires us to make estimates, judgments and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses.
Actual results may differ materially from these estimates and changes in assumptions could have a significant effect on the consolidated financial statements.
16 unchanged sentences
Our valuations are most sensitive to changes in interest rate, which also impacts prepayment speeds.
−Removed: Refer to the Experienced and Projected Long-Term CPR, Financial Condition – Residential Securities and
+Added: Refer to the Experienced and Projected Long-Term CPR, Financial Condition – Residential Securities and the interest rate sensitivity and interest rate and MBS spread shock analysis and discussions within this Item 7 for further information.
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
−Removed: the interest rate sensitivity and interest rate and MBS spread shock analysis and discussions within this Item 7 for further information.
Residential Mortgage Loans
33 unchanged sentences
Our valuations are most sensitive to changes in interest rate, which also impacts prepayment speeds.
−Removed: See the interest rate sensitivity and interest rate shock analysis and discussions within this Item 7 for further information.
+Added: Refer to the interest rate sensitivity and interest rate shock analysis and discussions within this Item 7 for further information.
ANNALY CAPITAL MANAGEMENT, INC.
89 unchanged sentences
The more convex a security is, the more its duration will change with interest rate changes.
−Removed: Corporate Debt
−Removed: Non-government debt instruments issued by corporations.
−Removed: Long-term corporate debt can be issued as bonds or loans.
+Added: Negative convexity refers to the properties of an MBS in which the relationship between price and yield is not linear.
+Added: Compared to a comparable duration treasury bond, the price of an MBS security increases less when yields fall and decreases more when yields rise, due to changes in expected prepayment behavior from the underlying borrower.
One of two entities in a transaction.
13 unchanged sentences
Person or organization that underwrites, trades and sells securities, e.g., a principal market-maker in securities.
−Removed: Possibility that a bond issuer will fail to pay principal or interest when due.
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
+Added: Possibility that a bond issuer will fail to pay principal or interest when due.
A financial product that derives its value from the price, price fluctuations and price expectations of an underlying instrument, index or reference pool (e.g.
4 unchanged sentences
Earnings available for distribution (“EAD”) and Earnings available for distribution Per Average Common Share
−Removed: Non-GAAP financial measure defined as the sum of (a) economic net interest income, (b) TBA dollar roll income and CMBX coupon income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding depreciation expense related to commercial real estate and amortization of intangibles, non-EAD income allocated to equity method investments and other non-EAD components of other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non-recurring items), and (f) income taxes (excluding the income tax effect of non-EAD income (loss) items) and excludes (g) the premium amortization adjustment representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to our Agency mortgage-backed securities.
+Added: Non-GAAP financial measure defined as the sum of (a) economic net interest income, (b) TBA dollar roll income and CMBX coupon income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding amortization of intangibles, non-EAD income allocated to equity method investments and other non-EAD components of other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non-recurring items), and (f) income taxes (excluding the income tax effect of non-EAD income (loss) items) and excludes (g) the premium amortization adjustment representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to our Agency mortgage-backed securities.
Earnings available for distribution per average common share is a non-GAAP financial measure calculated by dividing earnings available for distribution by average basic common shares for the period.
7 unchanged sentences
Non-GAAP financial measure that is calculated as total stockholders’ equity divided by total economic assets.
−Removed: Total economic assets includes the implied market value of TBA derivatives and are net of debt issued by securitization vehicles.
+Added: Total economic assets includes the implied market value of TBA derivatives and are net of debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued.
Economic Interest Expense
−Removed: Non-GAAP financial measure that is comprised of GAAP interest expense, the net interest component of interest rate swaps and net interest on initial margin, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
+Added: Non-GAAP financial measure that is comprised of GAAP interest expense, the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
+Added: Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).
Economic Leverage Ratio (Economic Debt-to-Equity Ratio)
−Removed: Non-GAAP financial measure that is calculated as the sum of recourse debt, cost basis of TBA and CMBX derivatives outstanding and net forward purchases (sales) of investments divided by total equity.
−Removed: Recourse debt consists of repurchase agreements, other secured financing and U.S.
+Added: Non-GAAP financial measure that is calculated as the sum of recourse debt, cost basis of TBA derivatives outstanding and net forward purchases (sales) of investments divided by total equity.
+Added: Recourse debt consists of repurchase agreements, other secured financing, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S.
Treasury securities sold, not yet purchased.
−Removed: Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from this measure.
+Added: Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage.
Economic Net Interest Income
4 unchanged sentences
Assets on the company’s balance sheet which have been pledged as collateral against a liability.
−Removed: Environmental, social, and governance.
The par value (i.e., principal or maturity value) of a security appearing on the face of the instrument.
A decimal value reflecting the proportion of the outstanding principal balance of a mortgage security, which changes over time, in relation to its original principal value.
−Removed: Federal National Mortgage Association.
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
+Added: Federal National Mortgage Association.
Federal Deposit Insurance Corporation (“FDIC”)
36 unchanged sentences
Refers to Residential Securities, U.S.
−Removed: Treasury securities, reverse repurchase agreements, commercial real estate debt and preferred equity interests, residential mortgage loans and corporate debt.
+Added: Treasury securities, reverse repurchase agreements, commercial real estate debt and residential mortgage loans.
Average interest earning assets is based on daily balances.
16 unchanged sentences
The swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer.
+Added: Interests in MSR
+Added: Represents agreements to purchase all, or a component of, net servicing cash flows.
International Swaps and Derivatives Association (“ISDA”) Master Agreement
52 unchanged sentences
A loan that is close to defaulting or is in default.
+Added: Non-Qualified Mortgage (“Non-QM”)
+Added: A loan that does not conform to the strict standards set by the Consumer Financial Protection Bureau for a Qualified Mortgage.
Notional Amount
47 unchanged sentences
By contrast, the economic borrower’s obligation to repay non-recourse debt is limited to the value of the pledged collateral.
−Removed: Recourse debt consists of repurchase agreements, other secured financing and U.S.
+Added: Recourse debt consists of repurchase agreements, other secured financing, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S.
Treasury securities sold, not yet purchased.
−Removed: Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from this measure.
+Added: Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from this measure.
Reinvestment Risk
10 unchanged sentences
Refers to Agency mortgage-backed securities, CRT securities and non-Agency mortgage-backed securities.
+Added: Residential Transition Loan (“RTL”)
+Added: A short-term loan primarily for the purpose of financing the construction or renovation of a residential property.
In securitizations, the residual is the tranche that collects any cash flow from the collateral that remains after obligations to the other tranches have been met.
4 unchanged sentences
The buyer of securities effectively provides a collateralized loan to the seller.
−Removed: Risk Appetite Statement
−Removed: Defines the types and levels of risk we are willing to take in order to achieve our business objectives, and reflects our risk management philosophy.
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Management’s Discussion and Analysis
+Added: Risk Appetite Statement
+Added: Defines the types and levels of risk we are willing to take in order to achieve our business objectives, and reflects our risk management philosophy.
Secondary Market
7 unchanged sentences
However, certain securities that mature in up to three years may be considered short-term debt.
+Added: Small Balance Commercial (“SBC”)
+Added: A business-purpose loan secured by commercial or mixed-use real estate or by 1-4 unit residential properties owned for investment purposes.
+Added: The average loan size of SBC securitizations is generally less than $1mm, in contrast to large balance commercial loans which generally start at $40mm and above.
When buying or selling a bond through a brokerage firm, investors will be charged a commission or spread, which is the difference between the market price and cost of purchase, and sometimes a service fee.
Spreads differ based on several factors including liquidity.
−Removed: Target Assets
−Removed: Includes Agency mortgage-backed securities, to-be-announced forward contracts, CRT securities, MSR, non-Agency mortgage-backed securities, residential mortgage loans, and commercial real estate investments.
Tangible Economic Return
Refers to the Company’s change in tangible book value (calculated by summing common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit less intangible assets) plus dividends declared divided by the prior period’s tangible book value.
+Added: Target Assets
+Added: Includes Agency mortgage-backed securities, to-be-announced forward contracts, CRT securities, MSR, non-Agency mortgage-backed securities, residential mortgage loans, and commercial real estate investments.
Taxable REIT Subsidiary (“TRS”)
18 unchanged sentences
these obligations are not explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S.
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Management’s Discussion and Analysis
Value-at-Risk (“VaR”)
2 unchanged sentences
An entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Management’s Discussion and Analysis
Variation Margin
26 unchanged sentences
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.