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美国
证券交易委员会
华盛顿特区20549


表格 10-Q

☑根据1934年证券交易法第13或15(d)条款的季度报告

截至季度結束日期： 2024年9月30日
或者
☐根据1934年证券交易法第13或15(d)条款的过渡报告

在从_______________到_______________的过渡期间
佣金档案号：1-13447

nlya11.jpg

annaly capital management
（依据其宪章指定的注册名称）

马里兰州
22-3479661
（设立或组织的其他管辖区域）（内部税务服务雇主识别号码）
  
美洲大道1211号 
纽约
纽约
10036
，（主要行政办公地址）(邮政编码)
(212) 696-0100
(注册人电话号码，包括区号)

在法案第12(b)条的规定下注册的证券：
每种类别的证券交易标志名称为每个注册的交易所:
普通股，每股面值0.01美元NLY请使用moomoo账号登录查看New York Stock Exchange
6.95%系列F固定至浮动利率可赎回优先股NLY.F请使用moomoo账号登录查看New York Stock Exchange
6.50% G系列固定至浮动利率累积可赎回优先股NLY.G请使用moomoo账号登录查看New York Stock Exchange
6.75% I系列固定至浮动利率累积可赎回优先股NLY.I请使用moomoo账号登录查看New York Stock Exchange







请用勾号勾选以下内容：（1）在过去的12个月内（或者c注册人所需要提交此类报告的更短期限内），c注册人已经提交了根据1934年证券交易法第13或第15（d）条规定需要提交的全部报告；和（2）c注册人在过去的90天内一直需要遵守此类提交要求。是 ☑没有 ☐

请勾选一个框，表示在过去的12个月内（或注册者要求递交此类文件的较短期间内），是否已经递交了根据S-T规则405条和本章232.405条所要求递交的每个交互式数据文件。是 ☑没有 ☐

请勾选标记以说明注册人是大型快速申报人、加速申报人、非加速申报人、较小的报告公司还是新兴成长型公司。请查看《交易所法》第120亿.2条中“大型快速申报人”、“加速申报人”、“较小的报告公司”和“新兴成长型公司”的定义。
大型加速报告人☑加速
申报人		☐非加速文件提交人☐较小的报告公司☐新兴成长公司☐

如果是新兴成长型企业，请勾选复选标记，表明注册者已选择不使用延长过渡期来符合根据证券交易法第13(a)条规定提供的任何新财务会计准则。 ☐

请在复选框中打勾，表明公司是否为外壳公司（根据法案第120亿.2条规定定义）。  是 ☑ 否☐没有 ☑

2024年10月25日，注册人的普通股股数是 560,548,148.


网站和社交媒体披露
我们使用我们的网站 (www.annaly.com) 和LinkedIn账户 (www.linkedin.com/company/annaly-capital-management) 作为公司信息分发的渠道。我们通过这些渠道发布的信息可能被视为重要信息。因此，投资者应该监视这些渠道，除了关注我们的新闻发布、SEC提交和公开电话会议与网络直播。另外，当您在我们的网站“投资者”部分注册您的电子邮箱地址时，您可能会自动收到关于Annaly的电子邮件提醒和其他信息，您只需点击“投资者资源”，然后选择“电子邮件提醒”来完成电子邮件通知表格。我们的网站、任何提醒和社交媒体渠道均未纳入此季度10-Q表格。


安纳利资本管理公司。
10-Q表格
目录
  
 


农利资本管理公司及其子公司
项目1.财务报表
第一部分 - 财务信息
项目1.基本报表
农利资本管理公司及其子公司
财务状况陈述合并报表
（以千美元计，每股数据除外）
 2020年9月30日12月31日
2024
2023 (1)
(未经审计)
资产  
现金及现金等价物（包括已抵押资产的变量为$1,235,942 和 $1,136,298） (2)
$1,560,159 $1,412,148 
证券（包括资产的质押$65,983,918 和 $65,400,248） (3)
71,700,177 69,613,565 
贷款净额（包括资产的质押$1,957,860 和 $2,082,419） (4)
2,305,613 2,353,084 
抵押贷款服务权（包括已质押资产为$1,842,510 和 $1,781,279）
2,693,057 2,122,196 
资产已转让或质押给证券化工具21,044,007 13,307,622 
衍生工具资产59,071 162,557 
未结算交易应收款766,341 2,710,224 
应收本金和利息1,060,991 1,222,705 
无形资产, 净额10,088 12,106 
其他316,491 311,029 
总资产$101,515,995 $93,227,236 
负债和股东权益  
负债  
回购协议$64,310,276 $62,201,543 
其他担保融资600,000 500,000 
通过证券化工具发行的债务18,709,118 11,600,338 
发行的参与份额467,006 1,103,835 
尚未购买的美国国债已出售2,043,519 2,132,751 
衍生工具负债102,628 302,295 
未结算交易的应付款项1,885,286 3,249,389 
应付利息276,397 287,937 
分红派息应付款362,731 325,052 
其他负债219,085 179,005 
负债合计88,976,046 81,882,145 
股东权益  
优先股，面值$0.01每股股票价格为63,500,000 已授权，已发行和已流通
1,536,569 1,536,569 
普通股，每股面值 $，授权股数：百万股；发行股数：分别为2024年6月30日和2023年12月31日：百万股；流通股数：分别为2024年6月30日和2023年12月31日：百万股0.01每股股票价格为1,468,250,000已授权，1618250已发行。558,047,743和页面。500,080,287分别发行和流通
5,580 5,001 
额外实收资本24,851,604 23,672,391 
累计其他综合收益(亏损)(712,203)(1,335,400)
累积赤字(13,238,288)(12,622,768)
股东权益总额12,443,262 11,255,793 
非控制权益96,687 89,298 
股东权益总计12,539,949 11,345,091 
负债和所有者权益总额$101,515,995 $93,227,236 
(1)基于2023年12月31日审计的合并财务报表。
(2)包括2024年9月30日和2023年12月31日的合并可变利益实体（VIEs）的现金共计$2.4万美元和2.0 分别为2024年9月30日和2023年12月31日的百万美元。
(3)不包括已签订但尚未开始的租赁支付$的租赁支付。2.0私人股权和其他投资的金额分别为52.27亿美元和53.98亿美元，截至2023年7月31日和2023年1月31日。1.5合并VIEs中9月30日和2024年12月31日分别为Billion美元的非机构抵押贷款支持证券作为抵押品，并在公司的基本财务报表中予以取消。
(4)其中包括价值为 0.8万美元和1.22024年9月30日和2023年12月31日分别持有的待售住房抵押贷款为数百万美元。
请参见基本报表注释。
1

安纳利资本管理公司及其附属公司
项目1。基本报表
安纳里资本管理公司及其附属公司
综合损益表
(千元美元，每股资料除外)
(未经查核)
 截至九月三十日止三个月截至九月三十日止九个月
 2024202320242023
净利息收益  
利息收入$1,229,341 $1,001,485 $3,501,154 $2,741,229 
利息费用1,215,940 1,046,819 3,440,646 2,799,063 
净利息收益13,401 (45,334)60,508 (57,834)
净服务收入
服务和相关收入122,583 97,620 358,182 265,683 
服务和相关费用12,988 9,623 37,821 26,433 
净服务收入109,595 87,997 320,361 239,250 
其他收入（损失）
投资及其他方面的净收益（亏损）1,723,713 (2,713,126)160,841 (4,020,362)
衍生工具的净收益（亏损）(1,754,010)2,127,430 53,621 2,702,003 
贷款损失（预备）逆转— — — 219 
其他，净额27,438 26,250 75,596 50,853 
其他财务收益（损失）(2,859)(559,446)290,058 (1,267,287)
总部及行政费用
薪酬支出34,453 30,064 96,448 90,090 
其他一般及管理费用9,468 9,845 30,934 33,562 
总一般和行政费用43,921 39,909 127,382 123,652 
税前收入（亏损）76,216 (556,692)543,545 (1,209,523)
所得税(6,135)12,392 4,853 37,702 
净利润（损失）82,351 (569,084)538,692 (1,247,225)
净利润（损失）归属于非控制权益15,906 (6,879)18,838 (7,797)
归于安纳利的净利润（损失）66,445 (562,205)519,854 (1,239,428)
优先股股息41,628 36,854 115,847 104,495 
可供普通股股东使用的净利润（损失）$24,817 $(599,059)$404,007 $(1,343,923)
每股可供普通股股东使用的净利润（损失）  
基础$0.05 $(1.21)$0.80 $(2.73)
稀释$0.05 $(1.21)$0.80 $(2.73)
加权平均股本收益数量  
基础515,729,658 494,330,361 505,800,723 492,744,997 
稀释516,832,152 494,330,361 506,618,143 492,744,997 
其他全面收益（损失）  
净利润（损失）$82,351 $(569,084)$538,692 $(1,247,225)
可供出售证券的未实现收益（损失）428,955 (825,286)92,843 (443,957)
重新分类调整，包括在净利润（损失）中的净（收益）损失15,769 513,041 530,354 1,458,077 
其他全面收益（损失）444,724 (312,245)623,197 1,014,120 
综合收益（损失）527,075 (881,329)1,161,889 (233,105)
非控股利益（损失）归属于非控股股东15,906 (6,879)18,838 (7,797)
归因于安纳利的综合收益（损失）511,169 (874,450)1,143,051 (225,308)
优先股股息41,628 36,854 115,847 104,495 
归属于普通股股东的综合损益$469,541 $(911,304)$1,027,204 $(329,803)
参阅基本报表附注。


2

安纳里资本管理公司及其附属公司
项目1。基本报表
安纳里资本管理公司及其附属公司
股东权益合并报表
(千元美元，每股资料除外)
(未经查核)
截至九月三十日止三个月截至九月三十日止九个月
2024202320242023
优先股
期初
$1,536,569 $1,536,569 $1,536,569 $1,536,569 
期末$1,536,569 $1,536,569 $1,536,569 $1,536,569 
普通股票
期初
$5,010 $4,939 $5,001 $4,683 
发行
570 9 576 262 
股票授予活动
— — 3 3 
期末$5,580 $4,948 $5,580 $4,948 
资本公积额额外增资
期初
$23,694,663 $23,550,346 $23,672,391 $22,981,320 
发行
1,148,881 17,500 1,159,774 579,838 
股票奖励活动
8,060 5,150 19,439 11,838 
期末$24,851,604 $23,572,996 $24,851,604 $23,572,996 
其他综合损益（损失）累积额
期初
$(1,156,927)$(2,382,531)$(1,335,400)$(3,708,896)
可供出售证券的未实现收益（损失）
428,955 (825,286)92,843 (443,957)
重新分类调整，包括在净利润（损失）中的净（收益）损失15,769 513,041 530,354 1,458,077 
期末$(712,203)$(2,694,776)$(712,203)$(2,694,776)
累积亏损
期初$(12,898,191)$(10,933,044)$(12,622,768)$(9,543,233)
归于安纳利的净利润（损失）
66,445 (562,205)519,854 (1,239,428)
优先股宣布的分红派息 (1)
(41,628)(36,854)(115,847)(104,495)
普通股股息和股份奖励股息的宣布 (1)
(364,914)(323,164)(1,019,527)(968,111)
期末$(13,238,288)$(11,855,267)$(13,238,288)$(11,855,267)
股东权益总额$12,443,262 $10,564,470 $12,443,262 $10,564,470 
非控制权益
期初
$81,780 $111,066 $89,298 $98,983 
净利润（损失）归属于非控制权益
15,906 (6,879)18,838 (7,797)
股权贡献来自（分配给）非控股利益
(999)8,400 (11,449)21,401 
期末$96,687 $112,587 $96,687 $112,587 
总股本$12,539,949 $10,677,057 $12,539,949 $10,677,057 
(1) 有关每个类别股股息每股，请参阅“资本股”附注。
参阅基本报表附注。



3

安纳里资本管理公司及其附属公司
项目1。基本报表
安纳里资本管理公司及其附属公司
综合现金流量表
（以千美元计）
(未经查核)
 截至九月三十日止九个月
 20242023
来自经营活动的现金流量  
净利润（损失）$538,692 $(1,247,225)
调整以将净利润（亏损）调解为营运活动提供的净现金（使用）
投资的利息溢价和折价摊销合计95,697 132,558 
证券化债务的折价、溢价及递延融资成本摊销7,127 10,724 
折旧、摊销及其他非现金费用23,180 19,348 
投资和衍生工具的净（利润）损失731,542 2,524,035 
从未合并合资企业的收益（损失）(3,119)(1,508)
贷款减值准备（转让）— (219)
购买待售贷款的支付金额(37,978)— 
销售及偿还待售贷款的收益38,063 1,336 
美国国库券所得6,083,273 — 
美国国库券付款(6,181,017)— 
衍生工具的净收（付）款(967,289)1,230,848 
净变动  
其他资产(8,787)(116,687)
应收利息176,430 (521,322)
应付利息(11,540)(127,196)
其他负债17,910 83,989 
营运活动之净现金提供（使用）量502,184 1,988,681 
投资活动产生的现金流量  
购买证券款项(22,984,768)(29,960,271)
证券销售收益17,254,884 18,705,788 
证券本金支付4,875,202 4,706,936 
购买和提供贷款款项(9,304,025)(3,446,835)
贷款销售收益414,706 — 
贷款本金支付1,625,155 773,928 
购买MRS时的付款(701,418)(398,664)
出售MRS所得款项66,269 — 
逆回购协议所得款项442,510,370 46,800,024 
逆回购协议支付款项(442,510,370)(46,800,024)
超过未合并联合企业累计收益的分配款项19,264 — 
投资活动提供的（使用的）净现金(8,734,731)(9,619,118)
财务活动中的现金流量  
透过回购协议及其他有担保融资所得款项4,316,726,746 3,993,811,505 
回购协议和其他一枢融资款的支付(4,314,490,574)(3,988,383,706)
发行证券化债务所得8,236,251 3,116,654 
证券化债务的本金支付(1,478,171)(673,729)
购买证券化债务支付— (2,504)
支付推迟融资成本(2,783)(214)
发行的参与证券化所得2,984,799 1,182,639 
销售的参与证券化支付(3,605,523)(1,160,902)
参与证券化的本金支付(40,805)(30,866)
来自(对)非控制利益的净贡献(分配)(11,449)21,401 
来自股票发行、直接购买和股利再投资的净收益1,160,350 580,100 
履行支付税款需求的股票奖励结算(6,157)(6,661)
分红派息(1,092,126)(1,158,872)
筹资活动提供的净现金8,380,558 7,294,845 
现金及现金等价物的净（减少）增加额148,011 (335,592)
现金及现金等价物，包括作为抵押品的现金，期初1,412,148 1,576,714 
现金及现金等价物，包括作为抵押品的现金，期末$1,560,159 $1,241,122 
现金流额外披露  
收取之利息$2,787,729 $2,400,942 
支付的利息（不包括利率互换支付的利息）$2,907,352 $2,673,922 
利率互换交易产生的净利息（支付）$1,353,022 $891,649 
收取（支付）的税款$(1,127)$1,290 
非现金投资和筹资活动
未结交易应收款项$766,341 $1,047,566 
未结交易应付款项$1,885,286 $2,214,319 
可供出售证券未实现收益（损失）变动净额，重分类调整后净额$623,197 $1,014,120 
已宣布但尚未支付的股息$362,731 $321,629 
参阅基本报表附注。
4

安纳里资本管理公司及其附属公司
项目1。基本报表
安纳里资本管理公司及其附属公司
附注 合并基本报表（未经审核）
1. 业务描述
安纳利资本管理公司（以下简称“公司”或“安纳利”）是一家马里兰州公司，于1997年2月18日开展业务。公司是一家领先的多元化资本管理人，投资策略涵盖抵押金融等范畴。公司拥有房地产业相关投资组合，包括抵押证券通过证券、抵押物证券、信用风险转移（“CRT”）证券、其他代表对担保抵押贷款池的利益或债务的证券、住宅抵押贷款和抵押贷款服务权（“MSR”）。公司的主要业务目标是为股东产生净利润并通过审慎管理多元化的投资策略来优化其回报。
安纳利是一家内部管理的公司，它已选择按照1986年修订的《内部税收法典》和根据该法规制定的规定，作为股权房地产投资信托（REIT）进行课税。
在与客户直接聘任有关的某些情况下，如果本公司的费用取决于雇用资源与客户的继续雇用，则在满足此类就业条件之前，收入并不完全认定。 三 投资团体主要由以下组成:
投资集团描述
Annaly Agency 集团投资 Agency 住宅抵押担保证券（MBS），抵押物是由房地美、房地利或吉尼美担保的住宅抵押贷款，以及 Agency 市场内的互补投资，包括 Agency 商业MBS。
Annaly Residential Credit 集团主要投资于非机构住宅抵押全贷款和住宅市场和商业市场内的证券化产品。
Annaly Mortgage Servicing Rights 集团投资房屋贷款服务权（MSR），提供权利来承接住宅抵押贷款的服务，以换取贷款利息支付的部分。

2. 报告基础
本公司附属的综合基本报表及相关附注已按照美国通用会计原则（"GAAP"）编制。
随附之综合基本报表及相关附注未经核数，应与该公司最近一份截至2023年12月31日的年度报告中包含的核数综合基本报表一同阅读（即“2023年10-K形式”）。截至2023年12月31日的综合基本报表资讯来自于包含在该公司2023年10-K形式中的核数综合基本报表。
编制合并基本报表，需要管理层对在基本报表日期载明的资产负债表金额和/或披露，以及报告期间内的收入和费用金额进行估计和假设。实际结果可能与这些估计有实质性差异。
根据管理层的意见，为了对本中期财务资讯做出公正的呈现，已包含所有正常、经常性的调整项目。中期营运结果可能无法代表全年的营运结果。

3. 重大会计政策
本公司的重大会计政策如下所述，或已包含在基本报表附注中。
合并原则 – 综合财务报表包括公司具有控制财务利益的实体的账户。为了判断公司是否具有控制财务利益，首先评估一个实体是投票权实体（"VOE"）还是变量利益实体（"VIE"）。所有公司间的余额和交易在合并中已被消除。
投票权利实体 – VOE是具有足够股本，且股东对其具有控制财务利益的实体。在公司持有该VOE的多数投票权益时，将合并VOE。
变量利益实体 – 一个可变利益实体是指，其权益投资者 (i)不具有控制财务权益的特征，和/或 (ii)不承担足够风险的权益，无法仅依赖其他方提供的次顺位财务支持来为实体融资。可变利益实体需要由其主要受益人合并，主要受益人被定义为既具有 (i)控制对可变利益实体的最重要影响活动的权力
5

安纳里资本管理公司及其附属公司
项目1。基本报表
经济表现和(ii) 承担虚拟投资实体亏损的义务或者有权获得对虚拟投资实体有潜在重大影响的利益。
公司持续对公司与可变特权实体之间的参与情况进行重新评估，以判断是否事实和情况的变化会导致公司的合并结论发生变化。请参阅有关“可变特权实体”的附注以获取更多信息。
权益法投资 - 对于未合并的实体，但是公司对实体的营运或财务决策具有重大影响力的情况，公司根据权益法对投资进行核算。根据权益法核算，公司将在投资方报告收益或亏损的期间确认其投资者份额。公司还考虑是否存在权益法下合资企业非暂时性减值的任何指标。这些投资包括在其他资产中，收入或损失包括在其他。
现金及现金等价物 - 现金及现金等价物包括手头现金、隔夜存放在货币市场基金中的现金和作为抵押品向交易对手承诺的现金。存放在结算机构的现金以成本计量，接近公允价值。 存放在结算机构的现金和作为公司利率掉期和其他衍生工具贴现保证金的抵押品，在2024年9月30日和2023年12月31日分别达到了$1.2 分别于2024年6月30日和2023年12月31日，公司已将持有金额为10亿和20亿的可供出售金融资产作为回购协议的抵押物。参阅附注12-回购协议。1.1十十亿。
公允价值衡量和公允价值选项 – 公司报告各种投资的公允价值，包括某些选择根据公允价值选项（"FVO"）核算的符合条件的金融工具。公司选择选择FVO是为了简化某些金融工具的会计处理。已选择FVO的事项以公允价值呈现在财务状况综合表中，任何公允价值变动均记录在综合损益中的投资净利（损）。有关公司已选择FVO的金融工具的更多信息，请参阅“财务工具”附注中的表格。
请参考「公平价值计量」附注，以获得有关公司估计特定金融工具公平价值的方法论完整讨论。
抵销资产和负债 - 公司选择按照“衍生工具”注解讨论的方式将所有衍生工具以毛额基础报告。如果反向回购和回购协议符合抵消标准，则在合并资产负债表中按净额报告。请参阅“担保融资”注解以进一步讨论。 注：进一步讨论反向回购和回购协议的注意事项。
衍生金融工具 - 衍生工具在综合财务状况表中以公允价值认列为资产或负债，在综合收益（损失）表中按公允价值变动认列，估计公允价值变动的差异呈现在衍生工具的净收益（损失）中。公司的衍生交易中，无一被指定为会计目的的避险工具。请参阅“衍生性工具”附注进一步讨论。
基于股份的薪酬 – 公司按照公平值测量股票奖励的补偿成本，该值通常基于公司普通股的授予日公平值。补偿成本会按照奖励的实现或必要服务期间按比例确认。包含市场条件的股票奖励将使用模型进行估值。
根据每个报告日对于具有表现条件的奖励的预期表现，确认补偿费用；对于具有市场条件的奖励，无论市场条件是否实现，均确认补偿费用，若市场条件未达成则不予撤销。无需未来服务的股票奖励（即，已授权的奖励）立即列支。当出现丧失时，将其记录。该公司通常在交付股票为基础奖励时发行新的普通股。
利息收入 - 公司主要于居住证券（按照“证券”备注定义）、住宅按揭贷款、商业投资及逆回购协议上认列利息收入。已应计但尚未收取的利息在综合财务状况表中作为应收利息予以认列。利息收入在综合损益表中呈现为独立一行。
6

安纳里资本管理公司及其附属公司
项目1。基本报表
就其证券而言，公司根据金融工具的未清偿本金金额和其契约条款，确定利息收入的组成部分-优惠券收入的认列。此外，公司根据其机构抵押支持证券的溢价或折价进行摊销或递增到利息收入（除了仅限利息的证券、多户和反向抵押贷款），在计算有效收益率时考虑对未来本金预付款的估计。当预期和实际的本金预付款之间存在差异时，公司重新计算有效收益率。通过使用第三方模型和市场信息来预测未来现金流以及证券预期残存寿命，确定每种证券的有效利率被应用，就像它从证券收购日期开始一样。然后，证券的摊销成本将被调整为自从收购日期以来应用新有效收益率之后将存在的金额，这导致每个期间的累计溢价摊销调整。对摊销成本的调整将用一笔费用或信用进行抵销，计入利息收入。利率变动和其他市场因素将影响预付款速度预测以及在任何特定期间认可的溢价摊销金额。
Agency利息选择证券的购买溢价或折扣、反向抵押贷款和住宅信贷证券将根据当前预期未来现金流量进行摊销或摊余入利息收入，对收益的任何调整将基于前瞻性进行。
与购买多居家证券相关的保险费或折扣根据其合约支付条款分期摊提或折扣入利息收入。如果预付发生，将调整未偿还本金余额和本期未摊销的保险费或折扣，并继续应用原来的有效收益率。
与购买住宅房屋贷款相关的溢价和折扣，以及转让或抵押予证券化信托的溢价主要按照住宅贷款现金流预估中固有的有效利率摊销或递增至利息收入，并在综合损益表（损失）中的利息收入中呈现。
当贷款的本金或利息收取遇到疑问或贷款已过期90天以上时，不会发生利息收入。对于持有公允价值或待售的非应计状态贷款，利息不会计提，而是以现金基础认列。对于持有摊销成本的非应计状态贷款，若本金收回无疑虑但利息的收回有疑虑，利息收入将以现金方式认列。若本金收回有疑虑，则任何收到的利息将先还款本金，直到剩余余额的收回不再有疑虑为止；在这一点上，任何利息收入将以现金基础认列。通常，当借款人恢复按照约定的完整金额支付，所有应付本金和利息金额合理确保在合理期限内还清，并且借款人有持续的还款表现时，贷款就会恢复为应计状态。
公司已做出会计政策选择，不对应收利息应收款项进行贷款损失准备的衡量。如果应收利息被视为无法收回或在商业贷款的摊销成本下的合约到期日后90天内未收回，则通过逆向计入利息收入来核销。任何核销的利息如获回收，将予以确认为利息收入。
更多关于利息收入和利息支出的讨论，请参阅「利息收入和利息支出」备注。
所得税 – 公司已选择作为REIt纳税，并打算遵守代码的相关规定。作为REIt，公司将不会因向股东派发其应税收入而产生联邦所得税。该公司及其某些直接和间接子公司已作出单独的联合选择，将这些子公司视为应纳税REIt子公司（“TRSs”）。因此，这些TRSs中的每一个在其应税收入的基础上作为国内C型公司纳税，并根据其应税收入而纳税。关于所得税的进一步讨论，请参考“所得税”注。
最近会计宣告
公司考虑所有会计准则更新（"ASUs"）的适用性和影响。公司已提前采纳了ASU 2023-07，即「区隔报告改进」，因为其住宅信贷和MSR营运板块已成为合并结果中更为重要的组成部分。更多信息请参阅「板块」附注。

公司审阅其他最近发布的ASUs后，确定当采纳时不会对公司的合并基本报表产生重大影响，或采纳时对公司的合并基本报表没有重大影响。
7

安纳里资本管理公司及其附属公司
项目1。基本报表
4. 金融工具
以下表格呈现了公司在2024年9月30日和2023年12月31日的部分金融工具特征。
金融工具 (1)
资产负债表项目类型 / 形式计量基础2024年9月30日2023年12月31日
资产（以千美元计）
证券
机构抵押支持证券 (2)
公允价值，通过其他综合收益（损失）的未实现收益$9,579,247 $15,665,352 
证券
机构抵押支持证券 (3)
公允价值，通过收益核算的未实现损益59,571,152 50,643,436 
证券住宅信贷风险转移证券公允价值，通过收益未实现收益（亏损）826,841 974,059 
证券非机构抵押证券公允价值，通过收益未实现收益（亏损）1,616,696 2,108,274 
证券商业房地产债务投资 - CMBS公允价值，通过收益未实现收益（亏损）106,241 222,444 
证券总计71,700,177 69,613,565 
贷款净额住宅按揭贷款公允价值，透过损益未实现收益（亏损）2,305,613 2,353,084 
资产转移或抵押给证券化车辆住宅按揭贷款公允价值，透过损益未实现收益（亏损）21,044,007 13,307,622 
负债
回购协议回购协议摊销成本$64,310,276 $62,201,543 
其他已抵押融资贷款摊销成本600,000 500,000 
由证券化车辆发行的债务证券公允价值，通过盈余的未实现收益（亏损）18,709,118 11,600,338 
已发行的参与权益已发行的参与权益公平价值，通过收益（损失）未实现467,006 1,103,835 
已售出的美国国库证券，但尚未购入证券公平价值，通过收益（损失）未实现2,043,519 2,132,751 
(1) 应收未交易交易款项、应收本金和利息、应付未交易交易款项、应付利息及分红派息按成本核算。
(2) 包括在2022年7月1日之前购买的机构通过证券、抵押抵押担保金融债务证券（“CMO”）和多家庭证券。
(3) 包括只支付利息的证券和反向抵押贷款，以及自2022年7月1日起新购买的代理通过、CMO和多户证券。
5.证券
本公司在证券投资包括代理、信用风险转让、非代理及商业按揭证券。所有债务证券均归类为可供出售。可供出售的债务证券以公平价值持有公平价值，公平价值变动会被记录在其他综合收益中，除非选择公平价值选项，否则公平价值的变动将在合并综合收益（亏损）表中纳入投资净利润（亏损）及其他项目中。由 2022 年 7 月 1 日起，公司选择任何新购买的代理按揭证券公平价值选择，以简化这些证券的会计。截至二零二四年九月三十日和 2023 年九月三十日止的三个月和九个月内，$1.7 亿美元和美元762.8 百万，和（$2.0) 亿和（$）2.4在本公司综合综合收益（亏损）表中，已选择公平价值选项之机构按揭证券的未实现收益（亏损）的数十亿元未实现收益（亏损）。于 2022 年 7 月 1 日前购买的代理按揭证券仍属可售出售，公平价值变动已纳入其他综合收益中。为简化会计，本公司亦选择 CRT 证券、仅利息证券、非代理及商业按揭证券的公平价值选项。正式证券交易于交易日记录，包括符合衍生工具会计外的正规证券范围的待公开证券（「TBA」）。出售证券的收益及亏损会根据具体识别方式于交易日记录。
减损 - 管理层至少每季度评估持有的按公平价值计量但未选择公平价值选项的可供出售证券和持有到期应付债券的减值，当经济或市场条件要求进行此评估时，会更频繁地进行评估。 当可供出售证券的公平价值低于其摊销成本时，将视为该证券已受损。对于已受损的证券，公司将确定是否（1）有意出售该证券，（2）在收回其摊销成本基础之前，更有可能需要出售该证券或（3）不期望收回该证券的整个摊销成本基础。 此外，将对证券进行信用损失分析（预期收集的现金流的现值与摊销成本基础之间的差额）。如果有信用损失，则会
8

安纳里资本管理公司及其附属公司
项目1。基本报表
认可于综合收益（损失）表中作为证券损失提存，并在财务状况综合表中以信贷损失准备的形式反映为证券的损失，而与其他因素相关的损失余额将被认定为其他综合收益（损失）的一部分。当持有至到期证券的公平价值低于成本时，公司会进行分析来判断是否预期能收回证券的整个成本基础。
机构按揭抵押证券 - 本公司投资于按揭过户证书、抵押证券和其他代表或由住宅或多户住宅按揭贷款和证书组成的资产支撑证券。许多基础贷款和证券获得美国政府国家按揭协会（“Ginnie Mae”）、联邦房屋贷款抵押公司（“Freddie Mac”）或联邦住宅贷款协会（“Fannie Mae”）（统称为“机构按揭支持证券”）的担保。
代理机构抵押支持证券可能包括对应未来合约，用来购买或出售通用资产池的代理机构抵押支持证券，采取待告知基础。无意接受交割的TBA证券（“TBA衍生工具”）作为衍生工具进行会计处理，如“衍生工具”注释所述。
CRt证券 - CRt证券是由房利美和房地美发行的风险共享工具，以及第三方市场参与者安排的类似结构交易。 CRt证券旨在将房利美和房地美的抵押信用风险合成地转移给私人投资者。
非机构抵押贷款支持证券 - 公司投资非机构抵押贷款支持证券，例如优质贷款、大额贷款、Alt-A 贷款、次级贷款、不良贷款（“NPL”）和回收贷款（“RPL”）证券化。
机构抵押支持证券、非机构抵押支持证券和居民CRt证券在本文件中被称为「居住证券」。尽管公司通常打算持有大部分的居住证券至到期日，但公司有时会出售其中任何一项居住证券，作为整体投资组合管理的一部分。
商业按揭支持证券（“商业证券”） - 本公司投资于商业证券，如购物中心证券、信贷微特证券、单一资产单一借款人证券和抵押贷款债券。
以下表格展示了截至2024年9月30日为止的九个月内公司证券活动的资料变化：
机构
证券		住宅信贷证券商业
证券		总计
（以千美元计）
2024年1月1日期初余额
$66,308,788 $3,082,333 $222,444 $69,613,565 
购买21,102,716 515,189 — 21,617,905 
销售额
(15,307,569)(737,702)(107,464)(16,152,735)
本金偿还(4,338,657)(541,052)(10,685)(4,890,394)
（分期付款）/ 净增值(92,290)1,672 535 (90,083)
公平价值调整1,477,411 123,097 1,411 1,601,919 
2024年9月30日期末余额
$69,150,399 $2,443,537 $106,241 $71,700,177 












9

安纳里资本管理公司及其附属公司
项目1。基本报表
以下表格显示公司在2024年9月30日和2023年12月31日以公平价值计量的证券组合：
 2024年9月30日
 校长 /
名义		尚余保费剩余折扣摊销后成本
成本		未实现收益
收益		未实现收益
亏损		预估公允价值
机构（以千美元计）
固定利率通过$64,672,312 $1,321,720 $(1,166,717)$64,827,315 $895,219 $(929,577)$64,792,957 
可调利率通过164,775 12,563 (44)177,294 2,266 (10,226)169,334 
首席营销官89,286 1,481 — 90,767 — (11,363)79,404 
仅支付利息2,878,756 455,715 — 455,715 33,559 (109,636)379,638 
多居家(1)
23,793,890 484,760 (9,626)3,659,198 73,978 (30,916)3,702,260 
反向按揭贷款25,499 2,725 — 28,224 — (1,418)26,806 
机构证券总额$91,624,518 $2,278,964 $(1,176,387)$69,238,513 $1,005,022 $(1,093,136)$69,150,399 
住宅信贷       
信用风险转移$772,924 $1,712 $(3,707)$770,929 $56,019 $(107)$826,841 
Alt-A172,368 36 (1,810)170,594 4,357 (6,656)168,295 
优 (2)
1,462,881 15,842 (10,302)32,195 3,304 (536)34,963 
次级287,667 13 (30,510)257,170 9,785 (9,163)257,792 
不良贷款/回收转让账款996,780 5,380 (6,252)995,908 5,265 (7,925)993,248 
高级珍宝餐饮集团（≥2010年系列） (3)
10,000,947 82,250 (30,577)144,628 21,551 (3,781)162,398 
总住宅信用证券$13,693,567 $105,233 $(83,158)$2,371,424 $100,281 $(28,168)$2,443,537 
总住宅证券$105,318,085 $2,384,197 $(1,259,545)$71,609,937 $1,105,303 $(1,121,304)$71,593,936 
商业
商业证券$106,044 $143 $(7)$106,180 $96 $(35)$106,241 
证券总计$105,424,129 $2,384,340 $(1,259,552)$71,716,117 $1,105,399 $(1,121,339)$71,700,177 
 2023年12月31日
 首席 /
名义		剩余保费剩余折扣摊销后成本
成本		未实现收益
收益		未实现收益
亏损		预估公允价值
机构（以千美元计）
固定利率通过式传递$63,444,987 $1,448,886 $(1,318,948)$63,574,925 $477,242 $(1,853,226)$62,198,941 
调节利率按揭证券188,996 15,834 (51)204,779 1,663 (14,953)191,489 
首席营销官94,448 1,612 — 96,060 — (13,088)82,972 
仅利息2,010,697 416,955 — 416,955 4,729 (157,679)264,005 
多重家庭 (1)
17,130,045 400,781 (9,752)3,552,217 52,055 (59,744)3,544,528 
反向抵押贷款26,183 3,193 — 29,376 — (2,523)26,853 
机构投资总额$82,895,356 $2,287,261 $(1,328,751)$67,874,312 $535,689 $(2,101,213)$66,308,788 
住宅信贷       
信用风险转移$924,729 $2,240 $(4,358)$922,611 $51,984 $(536)$974,059 
Alt-A164,384 9 (3,922)160,471 2,135 (12,371)150,235 
优 (2)
1,076,497 8,590 (21,163)207,077 1,704 (28,134)180,647 
Subprime272,955 — (31,751)241,204 5,622 (11,221)235,605 
NPL/RPL1,237,531 8,336 (9,224)1,236,643 4,578 (43,666)1,197,555 
Prime jumbo (>=2010 vintage) (3)
9,425,280 71,960 (49,859)365,676 10,696 (32,140)344,232 
Total residential credit securities$13,101,376 $91,135 $(120,277)$3,133,682 $76,719 $(128,068)$3,082,333 
Total residential securities$95,996,732 $2,378,396 $(1,449,028)$71,007,994 $612,408 $(2,229,281)$69,391,121 
商业
商业证券$224,597 $15 $(822)$223,790 $19 $(1,365)$222,444 
证券总计$96,221,329 $2,378,411 $(1,449,850)$71,231,784 $612,427 $(2,230,646)$69,613,565 
(1) 本金/名义金额包括截至2024年9月30日和2023年12月31日分别的亿美元的机构多房利息-only证券。20.6十数亿美元14.0本金/名义金额包括截至2024年9月30日和2023年12月31日分别的亿美元的机构多房利息-only证券。
(2) 本金/名义金额包括截至2024年9月30日和2023年12月31日分别的亿美元的Prime利息-only证券。1.4十数亿美元0.9本金/名义金额包括截至2024年9月30日和2023年12月31日分别的亿美元的Prime利息-only证券。
(3) 本金/名义金额包括截至2024年9月30日和2023年12月31日期间的10亿美元的优质珍宝餐饮集团利息-only证券。9.9十数亿美元9.1十亿两个点要素：2024年9月30日和2023年12月31日期间的10亿美元的高端珍宝餐饮集团利息-only证券。


10

安纳里资本管理公司及其附属公司
项目1。基本报表
以下表格显示了公司房屋贷款支持证券投资组合，在2024年9月30日和2023年12月31日按发行机构划分：
2024年9月30日2023年12月31日
投资类型（以千美元计）
房利美$64,332,620 $60,477,303 
房地美4,711,281 5,778,809 
Ginnie Mae106,498 52,676 
总计$69,150,399 $66,308,788 
公司持有的住宅证券的实际到期期限通常比合同规定的到期期限短，因为投资组合的实际到期期限受到基础抵押贷款本金的定期支付和预付款的影响。
以下表格摘要显示了公司于2024年9月30日和2023年12月31日的住宅证券，根据其估计的加权平均寿命分类：
 2024年9月30日2023年12月31日
预估公允价值摊销后成本
成本		预估公允价值摊销后成本
成本
估计的加权平均寿命（以千美元计）
一年以下$372,457 $373,090 $254,753 $257,170 
超过一年至五年14,058,665 13,842,110 5,159,969 5,213,575 
超过五年至十年55,842,923 56,074,367 62,158,711 63,662,144 
超过十年1,319,891 1,320,370 1,817,688 1,875,105 
总计$71,593,936 $71,609,937 $69,391,121 $71,007,994 
上表显示的住宅证券截至2024年9月30日和2023年12月31日的预估加权平均寿命是基于预测的本金预付率。 实际的住宅证券加权平均寿命可能比预测的更长或更短。
以下表格显示公司代理住宅按揭证券的总未实现亏损和估计公允价值，这些证券按照可供出售的方式计算，其中在未选择公允价值选项的情况下，在2024年9月30日和2023年12月31日一直处于持续未实现亏损位置的时间长度。
 2024年9月30日2023年12月31日
 
估计公平价值 (1)
未实现净损失 (1)
证券数量 (1)
估计公平价值 (1)
未实现净损失 (1)
证券数量 (1)
 （以千美元计）
少于12个月$13,122 $(638)11 $35,453 $(418)16 
12个月或更长时间9,390,134 (717,707)1,429 15,455,118 (1,340,032)1,747 
总计$9,403,256 $(718,345)1,440 $15,490,571 $(1,340,450)1,763 
(1) 不包括只限于利息的抵押支持证券和逆向抵押贷款，而自2022年7月1日起，新购买的机构通过、资本抵押证券（“CMO”）和多住宅证券。
这些证券价值下降完全是由于市场环境，而不是资产的品质。绝大部分的机构按揭支持的证券具有实际或隐含的信用评级，与美国政府相同。公司未因这些投资产生的价值下降而承认损失，因为这种价值下降与信用质量无关，公司目前尚未决定出售这些证券，也未有证据表明在回收之前需要出售这些证券。
截至2024年9月30日止的三个月和九个月期间，公司分别处置了居住证券的摊销成本基础$2.8 分别于2024年6月30日和2023年12月31日，公司已将持有金额为10亿和20亿的可供出售金融资产作为回购协议的抵押物。参阅附注12-回购协议。16.0 十亿，分别为2023年9月30日止的三个月和九个月期间，公司分别处置了摊销成本基础为十亿的居住证券。6.9 分别于2024年6月30日和2023年12月31日，公司已将持有金额为10亿和20亿的可供出售金融资产作为回购协议的抵押物。参阅附注12-回购协议。20.5 十亿，分别是2023年9月30日止的三个月和九个月期间，公司分别处置了摊销成本基础为十亿的居住证券。 以下表格呈现了公司在2024年和2023年9月30日结束的三个和九个月期间从处置居住证券中获得的净利润（亏损），该数据包含在综合收益表的投资净利润（亏损）项下。
11

安纳里资本管理公司及其附属公司
项目1。基本报表
 已实现获利已实现亏损净实现利益（损失）
截至三个月结束时（以千美元计）
2024年9月30日$26,983 $(35,258)$(8,275)
2023年9月30日$10,048 $(612,665)$(602,617)
截至九个月结束时
2024年9月30日$67,209 $(888,683)$(821,474)
2023年9月30日$23,813 $(1,747,514)$(1,723,701)

6. 贷款
本公司投资于住宅贷款。贷款分为持有供投资或持有供售分类。贷款可选择采用公平价值选项计量。若贷款选择公平价值选项，则按公平价值计量，公平价值变动于收入中确认。否则，持有供投资的贷款按成本减损后计量，持有供售的贷款按成本或市价较低者计量。
截至2024年9月30日和2023年12月31日，该公司在未移转或抵押给证券化机构的贷款方面， 购买贷款的选择已达到，分别为数十亿。 $2.3亿美元。 $2.4公司打算卖出或证券化贷款，并且预期证券化机构不会被并入，这些贷款被归类为持有待售。 任何起始费用和成本或购买溢价或折扣都将延迟支付，并在出售时确认。 公司根据单独的贷款来确定持有待售贷款的公平价值。 公司持有待售的住宅贷款的携带价值为$0.8 百万美元和1.2 百万美元。
以下表格呈现了公司截至2024年9月30日结束的九个月内，除了转让或抵押给证券化车辆的贷款投资活动：
住宅贷款
（以千美元计）
2024年1月1日期初余额
$2,353,084 
购买/发放9,329,964 
销售和转让 (1)
(9,287,090)
本金付款(103,691)
收益/(亏损)25,189 
（分期付款）/ 净增值(11,843)
2024年9月30日期末余额
$2,305,613 
(1) 包括将带有25亿美元摊销价值的住宅贷款转移至证券化工具。8.8在2024年9月30日结束的九个月期间，转移了金额为10亿美元的住宅贷款。

住宅
该公司的住宅按揭贷款主要由履行调整利率和固定利率的整笔贷款组成。该公司的住宅贷款以公允价值选择权计量，公允价值变动反映在综合收益（损失）的投资净收益和其他处。该公司还将保留证券的证券化信托纳入合并综合损益表中的其他处，因为该公司还具有指导此类信托活动的某些权力和权利。有关该公司合并的住宅按揭贷款信托的进一步信息，请参阅“变量利益实体”附注。
按照首要抵押品，主要是一至四人家庭住宅物业的顺位抵押贷款的安全性。公司的子公司已经委托第三方担任其保管人、代理人和保管物，目的是为了接收和保管与其购买的住宅抵押贷款相关的某些文件、文件和文件。根据保管协议，保管人将分离并持续保管子公司所拥有的每笔抵押贷款的所有有关抵押件的文件，并将其置于安全和耐火设施中，并以谨慎抵押贷款文件保管人所采用的标准方式进行管理。在任何住宅抵押贷款的资金到位之前，根据我们的抵押贷款购买协议的条款，相关的卖方必须将包括抵押注记、抵押和其他相关贷款文件在内的抵押贷款文件交付予保管人。此外，在购买日期之前，必须向子公司提供相关抵押和借款人的完整信用档。
以下表格显示了2024年9月30日和2023年12月31日的住宅按揭贷款组合的公允价值和未偿还本金余额，包括转让或抵押给证券化车辆的贷款：
12

安纳里资本管理公司及其附属公司
项目1。基本报表
2024年9月30日2023年12月31日
 （以千美元计）
公允价值$23,349,620 $15,660,706 
未偿还本金余额$23,711,456 $16,611,204 
以下表格提供了截至2024年9月30日和2023年9月30日三个月和九个月的合并综合收益（损失）报表中认可的项目和金额相关的信息。
截至三个月结束截至年终前九个月
2024年9月30日2023年9月30日2024年9月30日2023年9月30日
 （以千美元计）
利息收入$346,031 $181,965 $899,867 $491,397 
投资处置净收益（亏损） (1)
1,535 (1,087)(1,810)(3,358)
标记为公允价值透过应计净损益计量的金融工具评价不实现净收益（亏损） (1)
558,161 (418,776)469,462 (326,096)
净利润中包含的总数$905,727 $(237,898)$1,367,519 $161,943 
(1) 这些金额呈报于「公允价值变动收入及其他投资之亏益（收益）」一节，详见综合损益表。
以下表格提供了截至2024年9月30日和2023年12月31日的未偿本金余额基于房屋按揭贷款的地理集中情况，包括转让或抵押给证券化车辆的贷款：
居住房屋贷款的地理集中分布
2024年9月30日2023年12月31日
物业位置余额百分比物业位置余额百分比
加利福尼亚州38.3%加利福尼亚州40.1%
纽约10.9%佛罗里达10.6%
佛罗里达10.6%纽约10.5%
德克萨斯州5.6%德克萨斯州5.6%
所有板块（单一板块不超过5%）34.6%所有板块（单一板块不超过5%）33.2%
总计100.0%100.0%
以下表格提供了有关公司房屋按揭贷款的额外数据，包括2024年9月30日和2023年12月31日转让或抵押给证券化机构的贷款：
 2024年9月30日2023年12月31日
 
投资组合
区间
投资组合加权
平均价格
投资组合
区间
投资组合加权平均
 （以千美元计）
未偿还本金余额
$1 - $4,396
$475
$1 - $4,396
$477
利率
2.00% - 18.00%
6.31%
2.00% - 13.25%
5.63%
到期7/1/2029 - 10/1/206411/4/20527/1/2029 - 12/1/20634/22/2052
贷款起始时的FICO分数
549 - 850
758
549 - 850
758
贷款起始时的贷款价值比率
3% - 100%
68%
3% - 100%
68%
于2024年9月30日及2023年12月31日，本公司住宅按揭贷款的摊销价值分别约为 152024年6月30日和2023年12月31日的时间点，公司从Thrivel Earlier Detection Corporation（“Thrive”），Ashion Analytics，LLC（“Ashion”）和OmicEra的收购中记录的关于监管和产品开发里程碑的待定支付负债的公允价值总和为2.779亿和2.887亿美元。公司使用概率加权情境折现现金流模型评估预期的待定支付负债和相应的与监管和产品开发里程碑相关的负债的公允价值，该方法与预期待定支付负债的初始计量一致。每个潜在情境应用成功概率，然后通过现值因子计算折扣，得出相应的现值。时间的流逝以及草拟的里程碑实现时间，现值因子，实现度（如适用）和成功概率的变化可能导致公允价值测量的调整。与监管和产品开发里程碑相关的待定支付负债的公允价值是以2024年6月30日和2023年12月31日的加权平均成功概率和现值因子计算的，成功概率分别为%和%，现值因子分别为%和%。付款范围的预测财政年度范围为2025年至2031年。所使用的不可观察的输入值按待定支付负债的相对公允价值加权。 11的可调利率，包括转让或质押给证券化车辆的贷款。


7. 抵押服务权利
MSR代表与服务居住房抵押贷款包组相关的权利和义务。 公司及其子公司不会来源或直接提供居住房抵押贷款的服务。 相反，这些活动是由持有适当牌照的分期服务机构执行的，他们就为MSR基础贷款提供几乎所有的服务功能。 公司通常打算将MSR持有作为投资，并选择按公允价值记账其MSR投资。 因此，它们以公允价值在附带的财务状况综合收益（损失）表中予以认列，估计公平价值变动则作为综合收益（损失）附录中各项投资和其他之一部分呈现。
13

安纳里资本管理公司及其附属公司
项目1。基本报表
以下表格显示了2024年和2023年9月30日结束时与MSR相关的活动：
抵押贷款服务权结束于三个月的期间九个月结束了
2024年9月30日2023年9月30日2024年9月30日2023年9月30日
 （以千美元计）
期初公允价值$2,785,614 $2,018,896 $2,122,196 $1,748,209 
购买 (1)
64,750 185,299 701,377 399,450 
销售额(68,635)— (69,703)— 
利率期货意外变动原因：
估值输入或假设的变化 (2)
(42,752)62,315 63,286 172,845 
其他变动，包括实现预期现金流量(45,920)(31,697)(124,099)(85,691)
期末公允价值$2,693,057 $2,234,813 $2,693,057 $2,234,813 
(1) 包括因提前偿还、违约，或交付但被视为不可接受的贷款而导致原始购入价格的调整。
(2) 主要代表估值模型中使用的折扣率和预付速度输入的变化，主要是因为利率期货变化。

8. 变量利益实体
公司对其可变利实体的义务风险通常仅限于2024年9月30日公司对可变利实体的资产投资为美元2.1 资产的可变利实体仅可用于清偿可变利实体的义务。可变利实体的债权人无权对公司一般信用提出异议。公司无法合约要求并且也没有向可变利实体提供任何形式的财务支持。合并现有可变利实体时未认列任何收益或损失。利息收入和费用采用有效利息方法进行认列。
住宅证券化
公司亦投资于由VIE机构发行的居民按揭担保证券，因为这些机构没有足够的风险资本去为其活动提供资金，需要从其他方面获得附带财务支持。公司并非主要受益人，因为它没有权力指导最重要影响VIE经济绩效的活动。对于这些机构，公司对损失的最大风险是所拥有证券的摊销成本基础，并且不提供任何流动性安排、保证或对这些VIE机构的其他承诺。有关居民证券的详细信息，请参阅“证券”附注。
OBX信托
住宅证券由一般被合称为“OBX信托”的实体发行。这些证券代表提供给公司的无追索权融资交易，并以公司购买的住宅抵押贷款作为抵押品。截至2024年9月30日结束的住宅证券包括在以下表格中：
证券化收盘日期收盘时面值
（以千美元计）
OBX 2024-NQM12024年1月$413,581 
OBX 2024-NQM22024年1月$495,980 
OBX 2024-HYB12024年2月$412,084 
OBX 2024-NQM32024年2月$439,904 
OBX 2024-NQM42024年3月$592,448 
OBX 2024-HYB22024年3月$397,787 
OBX 2024-NQM52024年4月$574,553 
OBX 2024-NQM62024年4月$441,421 
OBX 2024-NQM72024年5月$551,759 
OBX 2024-NQM82024年5月$723,086 
OBX 2024-NQM92024年6月$532,126 
OBX 2024-NQM102024年7月$482,526 
OBX 2024-NQM112024年7月$602,981 
OBX 2024-NQM122024年8月$532,193 
OBX 2024-NQM132024年9月$582,213 
OBX 2024-J12024年9月$357,801 
OBX 2024-NQM142024年9月$600,909 
14

安纳里资本管理公司及其附属公司
项目1。基本报表
截至2024年9月30日和2023年12月31日，第三方持有的债券总携带价值分别为$18.7十数亿美元11.6十亿和公司自留的资产质押证券分别为$2.1十数亿美元1.4十亿，这些证券资产在合并财务报表中已被消除。由于公司具有指导最能影响OBX Trusts表现的活动的权力，并持有可能对这些VIEs具有重大影响的变量利益，因此该公司被视为主要受益方并合并了OBX Trusts。自2022年8月1日起，在新证券化实体初次合并时，公司选择应用合并资押金融实体的测量替代办法，以简化会计和估值过程。这些证券化实体的负债被认为更为可观察，用以衡量资产的公允价值。公司在截至2024年9月30日及2023年间的三个月内分别产生了$5.0 百万美元和1.9 百万的成本。14.0百万和$5.9在截至2024年和2023年9月30日的九个月内，与这些证券化相关的成本分别为百万美元，以发生即支出。由第三方持有的OBX Trusts债务的合约本金金额分别为＄19.3十数亿美元12.6分别为2024年9月30日和2023年12月31日，OBX Trusts的债务由第三方持有的合同本金金额为十亿美元。在截至2024年和2023年9月30日的三个月内，公司分别记录了（＄430.4分别为2023年6月30日和2024年结束的三个月，净所得税（收益）支出分别为 $294.9百万美元，以及（＄339.6分别为2023年6月30日和2024年结束的三个月，净所得税（收益）支出分别为 $213.5 百万美元，在截至2024年和2023年9月30日的九个月内，由OBX Trusts发行的第三方持有的债务的未实现收益（亏损），报告于公司的综合收益（损失）表中的投资和其他中。
尽管房屋按揭贷款已出售以进行破产和州法目的，但将房屋按揭贷款转移至OBX信托并不符合销售会计，因此被记录为跨公司担保借款，在合并后予以消除。
住宅信贷基金
公司管理一个基金，投资于住宅抵押贷款的参与权。由于实体没有足够的风险资本，不能在没有其他次级财务支持的情况下进行活动，该住宅信贷基金被视为一个VIE，该次财务支持可以由任何方提供，包括股东，因为资本承诺不被视为风险资本。公司不是主要受益人，也不将该住宅信贷基金纳入合并报表中，因为公司对基金唯一的利益是其所赚取的管理和表现费用，这些费用被视为该实体的变量利益。截至2024年9月30日和2023年12月31日，公司分别持有住宅抵押贷款参与利益总额为$0.5十数亿美元1.1亿美元。这些转让不符合出售会计标准，因此被视为担保借款，因此，住宅贷款被报告为贷款净额，相应的负债被报告为在财务状况表中发行的参与权。公司选择对发行的参与权采用公允价值选择权，公允价值的变动反映在投资及其他的净收益（亏损）中，以更准确地反映转让的经济效应，因为基础贷款按公平价值计入收益。

9. 金融衍生工具
金融衍生工具包括但不限于利率互换、进入利率互换的选择权（swaptions）、TBA 衍生工具、美国国债和过夜拆款利率（SOFR）期货合约以及特定的未来购买承诺。公司还可能进入其他类型的按揭衍生品，例如仅利息证券、参照商业按揭支持证券指数的信用衍生品和合成总回报掉期。
为了公司的投资/市场利率风险管理策略，公司透过与利率互换、Swaptions 和期货合约等衍生金融工具进行经济对冲，部分对利率风险进行对冲。公司也可能进行TBA衍生品、美国国库期货合约、特定的未来购买承诺和信贷衍生品，以经济对冲其对市场风险的敞口。使用衍生品的目的在于管理整体投资组合风险，同时有潜力为股东产生额外收入供分配。这些衍生品会受到市场价值变动的影响，其原因可能是利率、波动性、机构担保的抵押证券价差与美国国库券以及市场流动性的变化。使用衍生品还会造成信贷风险敞口，因为如果这些工具的交易对手未能履行合约下的义务，可能会产生损失。此外，公司可能需要以现金或资产作为衍生品交易的抵押品，其金额可能根据衍生合约的市场价值和条款而变动。在市场约定的利息（MAC）利率互换中，公司可能在进行此类利率互换时支付或收取款项，以弥补此类利率互换的市值不符合市场行情。从这些利率互换的开始日至今后的公允价值变动，将反映在综合损益表中的衍生品净利（损）。与其他利率互换一样，公司可能需要以现金或资产作为MAC利率互换交易的抵押品。 如果交易对手发生违约，公司可能会出现难以取得已抵押抵押品以及按照衍生合约条款收取款项的情况。
15

安纳里资本管理公司及其附属公司
项目1。基本报表
衍生工具在财务状况表中被确认为资产或负债，以公允价值计算，在综合收益（损失）表中确认公允价值变动，估计公允价值变动呈现于衍生工具净利（损）上。公司的衍生交易中，尚未有任何被指定为避险工具以进行会计目的。
本公司亦与其利率交换及其他衍生工具的对手持有保证金的现金形式的抵押品。根据结算机构的规则手册，本公司呈报集中结算利率交换的公平价值，除扣除该等交易所承担或收到的变动保证金。二零二四年九月三十日和二零二三年十二月三十一日，（美元）1.8) 亿和（$）2.4) 以公平价值计算，分别报告数十亿元的差价保证金作为调整利率交换。初始保证金以现金及现金等值表于合并财务状况报表中报告。
利率期货互换协议 - 利率期货互换协议是用来减轻利率风险的主要工具。特别是，公司使用利率期货互换协议来管理其在回购协议上面对利率变化的敞口，通过经济避险来应对与这些借款相关的现金流。公司可能持有债务回购协议利率互换协议，其中浮动腿与SOFR、隔夜指数掉期利率或其他指数相关联。利率期货互换协议可能通过衍生品结算组织（“DCO”）进行结算，也可能未进行结算。未结算的利率互换协议使用内部定价模型进行公平值评估，并与对手市值进行比较。中央结算的利率互换协议，包括MAC利率互换协议，通常使用DCO的市值进行公平值评估。如果一项利率互换协议被终止，则该利率互换协议的实现收益（损失）将等于收到或支付现金与公平价值之间的差额。
选择权控制项 — 控制项是为了减轻利率期货上升或下降的潜在影响而购买或出售。利率控制项提供了进入利率互换协议的选择权，拥有预定名义金额、规定期限以及在未来支付和收取的利率。公司的控制项未被中央结算。控制项的已支付或已收取保费被报告为资产或负债列在综合财务状况表中。如果一个控制项到期未行使，则控制项的实现收益（亏损）将等于已收到的或已支付的保费。如果公司出售或行使控制项，则控制项的实现收益（亏损）将等于已收到的现金或收到的基础利率互换的公正价值与已支付的保费之间的差额。控制项的公平价值是使用内部定价模型估计的，并与交易对手市场价值进行比较。
TBA美元转优势卷 – TBA美元转优势卷交易以一系列衍生品交易形式来记录。 TBA衍生品的公允价值基于类似于衡量机构按揭支持证券的方法。
期货合约 － 期货合约是追踪特定资产或基准利率价格的衍生品。卖空期货合约有助于减轻利率变动对投资组合表现的潜在影响。公司维持每日与期货佣金经纪（「FCMs」）结算的保证金账户。保证金要求根据持仓市值和账户中保留的股权而有所不同。期货合约根据交易所价格进行公平估值。
履约购买承诺 - 公司可能与对手方签订履约购买承诺，根据该承诺，公司将购买特定价格的住宅按揭贷款，前提是住宅按揭贷款与对手方完成交易。对手方应该以「尽最大努力」的方式交付已承诺的贷款。
信用衍生品指数 - 公司可能参与涉及商业抵押支援证券指数（如CMBX指数）和合成总回报掉期的信用衍生品。











16

安纳里资本管理公司及其附属公司
项目1。基本报表
下表汇总了截至2024年9月30日和2023年12月31日的公司衍生资产和负债的公允价值信息:
衍生工具2024年9月30日2023年12月31日
资产（以千美元计）
利率掉期$3,094 $26,344 
利率掉期期权13,068 105,883 
TBA衍生品2,869 20,689 
期货合约23,256 — 
采购承诺16,784 9,641 
总衍生品资产$59,071 $162,557 
负债 
利率掉期$59,297 $83,051 
TBA 衍生品8,601 39,070 
期货合约32,117 179,835 
采购承诺2,613 339 
总衍生品负债$102,628 $302,295 
    

以下表格概述了公司在2024年9月30日和2023年12月31日的利率互换的某些特征：
2024年9月30日
到期
目前名义金额 (1)
加权平均支付利率加权平均收取利率
加权平均到期年限 (2)
（以千美元计）
0 - 3 年
$19,961,229 3.33 %4.95 %1.05
3 - 6 年
13,510,021 3.10 %4.94 %4.62
6 - 10 年
20,114,937 2.77 %4.95 %7.97
大于 10 年
1,559,384 3.44 %4.84 %23.50
总计 / 加权平均$55,145,571 3.05 %4.94 %5.08
2023年12月31日
到期
目前名义金额 (1)
加权平均
支付率		加权平均收款率
加权平均到期年限 (2)
（以千美元计）
0 - 3 年
$21,397,358 3.17 %5.26 %1.23
3 - 6 年
12,461,799 3.09 %5.37 %4.75
6 - 10 年
22,949,150 2.85 %5.34 %8.02
大于 10 年
2,021,247 3.53 %5.27 %22.71
总计/加权平均$58,829,554 3.04 %5.31 %5.36
(1) 截至2024年9月30日， 72024年6月30日和2023年12月31日的时间点，公司从Thrivel Earlier Detection Corporation（“Thrive”），Ashion Analytics，LLC（“Ashion”）和OmicEra的收购中记录的关于监管和产品开发里程碑的待定支付负债的公允价值总和为2.779亿和2.887亿美元。公司使用概率加权情境折现现金流模型评估预期的待定支付负债和相应的与监管和产品开发里程碑相关的负债的公允价值，该方法与预期待定支付负债的初始计量一致。每个潜在情境应用成功概率，然后通过现值因子计算折扣，得出相应的现值。时间的流逝以及草拟的里程碑实现时间，现值因子，实现度（如适用）和成功概率的变化可能导致公允价值测量的调整。与监管和产品开发里程碑相关的待定支付负债的公允价值是以2024年6月30日和2023年12月31日的加权平均成功概率和现值因子计算的，成功概率分别为%和%，现值因子分别为%和%。付款范围的预测财政年度范围为2025年至2031年。所使用的不可观察的输入值按待定支付负债的相对公允价值加权。 93公司利率掉期的%分别连结到联邦基金利率和SOFR。截至2023年12月31日， 62024年6月30日和2023年12月31日的时间点，公司从Thrivel Earlier Detection Corporation（“Thrive”），Ashion Analytics，LLC（“Ashion”）和OmicEra的收购中记录的关于监管和产品开发里程碑的待定支付负债的公允价值总和为2.779亿和2.887亿美元。公司使用概率加权情境折现现金流模型评估预期的待定支付负债和相应的与监管和产品开发里程碑相关的负债的公允价值，该方法与预期待定支付负债的初始计量一致。每个潜在情境应用成功概率，然后通过现值因子计算折扣，得出相应的现值。时间的流逝以及草拟的里程碑实现时间，现值因子，实现度（如适用）和成功概率的变化可能导致公允价值测量的调整。与监管和产品开发里程碑相关的待定支付负债的公允价值是以2024年6月30日和2023年12月31日的加权平均成功概率和现值因子计算的，成功概率分别为%和%，现值因子分别为%和%。付款范围的预测财政年度范围为2025年至2031年。所使用的不可观察的输入值按待定支付负债的相对公允价值加权。 94公司利率掉期的%分别连结到联邦基金利率和SOFR。
(2) 付款利率掉期的加权平均到期年限，会被收款利率掉期的加权平均到期年限抵消。因此，每个到期年限区间的净加权平均到期年限可能会超出所列的范围。







17

安纳里资本管理公司及其附属公司
项目1。基本报表
以下表格概括了截至2024年9月30日和2023年12月31日公司掉期的某些特征：
2024年9月30日
目前基础名义金额加权平均基础固定利率加权平均基础浮动利率加权平均基础到期年限加权平均到期月份
（以千美元计）
长期支付$250,0002.40%SOFR5.030.23
2023年12月31日
当前基底名义金额加权平均基底固定利率加权平均基底浮动利率加权平均基底到期年限加权平均到期月份
（以千美元计）
长期支付$1,250,0002.21%SOFR7.698.21
长期收取$500,0001.65%SOFR10.303.53

以下表格总结了公司2024年9月30日和2023年12月31日TBA衍生品的某些特征：
2024年9月30日
衍生性TBA的购买和销售合同名义隐含成本基础隐含市值净携带价值
（以千美元计）
购买合同$3,319,000 $3,333,873 $3,328,141 $(5,732)
净TBA衍生品$3,319,000 $3,333,873 $3,328,141 $(5,732)
2023年12月31日
衍生TBA的购买和销售合同名义隐含成本基础隐含市值净携带价值
（以千美元计）
购买合同$988,000 $920,626 $915,790 $(4,836)
销售合同(1,491,000)(1,475,847)(1,489,392)(13,545)
净TBA衍生品$(503,000)$(555,221)$(573,602)$(18,381)
以下表格概述公司在2024年9月30日和2023年12月31日的期货衍生工具的某些特征： 
2024年9月30日
 名义 - 多头
职位		名义 - 空头
职位		加权平均
到期年数
 （以千美元计）
美国的国库期货 - 2 年
$— $(16,793,200)1.94
美国的国库期货 - 5 年
3,346,000 — 4.39
美国的国库期货 - 10 年期及以上
621,300 (2,285,500)12.41
总计$3,967,300 $(19,078,700)3.62
2023年12月31日
 名义金额 - 做多
职位		名义金额 - 做空
职位		加权平均
到期年数
 （以千美元计）
美国国库期货 - 2 年
$— $(5,001,400)1.97
美国国库期货 - 10 年期及以上
— (1,733,600)14.26
总计$— $(6,735,000)5.13
公司在财务状况表中以毛基础呈现衍生合约。衍生合约可能包含法律上可强制执行的条款，允许与每个交易对手进行应收款项和应付款项的净额或抵销。
18

安纳里资本管理公司及其附属公司
项目1。基本报表
以下表格提供了有关衍生金融资产和负债的资讯，这些资产和负债受到相应条款的约束，并可在2024年9月30日和2023年12月31日的公司综合财务状况表中进行抵销。
2024年9月30日
 可抵销金额 
 总金额金融工具现金担保净金额
资产（以千美元计）
利率掉期，以公平值计算$3,094 $— $— $3,094 
利率掉期选择权，以公平值计算13,068 — (11,100)1,968 
TBA衍生品，以公平值计算2,869 (2,660)— 209 
期货合约，以公平值计算23,256 (20,305)— 2,951 
采购承诺16,784 — — 16,784 
负债 
利率掉期，以公平值计算$59,297 $(48,713)$— $10,584 
TBA衍生品，以公平值计算8,601 (6,972)— 1,629 
期货合约，按公平价值32,117 (20,305)(11,812)— 
采购承诺2,613 — — 2,613 
2023年12月31日
 可抵消金额 
 总金额金融工具现金担保净金额
资产（以千美元计）
利率互换，以公允价值计量$26,344 $(21,505)$— $4,839 
利率掉期期权，以公允价值计量105,883 (45,930)(57,320)2,633 
TBA衍生品，以公允价值计量20,689 (13,282)— 7,407 
采购承诺9,641 — — 9,641 
负债 
利率互换，以公允价值计量$83,051 $(72,844)$— $10,207 
待公布的衍生品，以公允价值衡量39,070 (34,525)— 4,545 
期货合约，以公允价值衡量179,835 — (179,835)— 
采购承诺339 — — 339 
利率互换对综合收益/损益表的影响如下：
综合损益表上的位置
 
利率互换的净利息成分 (1)
利率互换终止产生的实现利益（损失） (1)
利率互换产生的未实现利益（损失） (1)
截至三个月结束时（以千美元计）
2024年9月30日$317,483 $(94,016)$(1,582,495)
2023年9月30日$394,677 $16,416 $1,475,547 
截至九个月结束时
2024年9月30日$946,004 $(96,532)$(584,109)
2023年9月30日$1,205,676 $(81,255)$1,360,977 
(1) 包含在综合损益表（损失）中的衍生工具净收益（损失）。







19

安纳里资本管理公司及其附属公司
项目1。基本报表
在公司综合损益表中，其他衍生合约的影响如下：
2024年9月30日结束的三个月
衍生工具​未实现收益（损失）净亏损中认列的其他衍生工具损益金额
（以千美元计）
净TBA衍生品$40,561 $(18,181)$22,380 
净利率掉期(21,180)(113,792)(134,972)
期货(362,660)71,146 (291,514)
采购承诺— 9,124 9,124 
总计
$(394,982)
2023年9月30日结束的三个月
衍生工具​未实现收益（损失）其他衍生工具损益中认列的收益/(损失)金额
（以千美元计）
净TBA衍生品$(81,964)$(41,777)$(123,741)
净利率掉期期权(27,860)(51,041)(78,901)
期货 (1)
309,397 131,578 440,975 
采购承诺— 2,457 2,457 
总计$240,790 
(1) 截至2023年9月30日的三个月中，包括 $13.2 百万的未实现收益和 ($18.9) 百万的实现亏损，涉及到SOFR期货期权。
2024年9月30日结束的九个月
衍生工具​未实现收益（损失）其他衍生工具损益中确认的收益/(亏损)金额
（以千美元计）
净TBA衍生品$15,694 $12,649 $28,343 
利率掉期交换的净利率(33,511)(59,304)(92,815)
期货 (1)
(323,113)170,973 (152,140)
采购承诺— 4,870 4,870 
总计$(211,742)
(1) 截至2024年9月30日止的九个月，包含与SOFR期权相关的已实现亏损（$6.8）百万，是期货期权的亏损。
2023年9月30日结束的九个月
衍生工具​未实现收益（损失）其他衍生工具损益中认列的收益/(损失)金额
（以千美元计）
净TBA衍生品$(136,452)$12,710 $(123,742)
净利率掉期期权(25,538)(43,627)(69,165)
期货 (1)
185,716 229,940 415,656 
采购承诺— (122)(122)
信用衍生品(19,282)13,260 (6,022)
总计$216,605 
(1) 截至2023年9月30日的九个月，包括3百万美元的未实现损失($5.6 美元)。18.9) 百万的实现亏损，涉及到SOFR期货期权。
公司的某些衍生合同受到国际掉期和衍生品协会主协议或其他类似协议的约束，这些合同可能包含条款，凭借某些事件发生即赋予交易对手某些权利，例如（i）股东权益下降超过指定阈值或一段时间内的指定金额，（ii）公司未能保持其REIT地位，（iii）公司未能遵守保证金比率的限制，以及（iv）公司的股票被从纽约证券交易所摘牌。
20

安纳里资本管理公司及其附属公司
项目1。基本报表
在任一(i)至(iv)事项发生，或协议下其他违约情况时，适用协议的对方有权根据协议条款终止协议。前述特征之衍生工具的总公平价值在2024年9月30日处于净负债位，为$。42.2百万美元，代表公司在终止时可能需要支付的最大金额。这个金额已被充分抵押。

10. 公允价值衡量
本公司遵循GAAP的公允价值指引，来核算根据公允价值核算的金融工具和MSR。金融工具和MSR的公允价值是在测量日期市场参与者之间进行有序交易时将收到的金额，或支付以转让负债的金额。
根据GAAP要求，将财务工具和MSR分类为三级层级，基于用于估值技术的输入的优先顺序。公平价值层次给予具有相同资产或负债的活跃市场的报价价格最高 priority（第1级） ，对不可观察的输入赋予最低 priority（第3级）。
如果用于衡量财务工具和MSR的输入位于层次结构的不同层级内，则分类将基于对该工具的公平价值衡量具有重要影响的最低优先输入。记录在财务状况合并报表中公允价值的金融资产和负债，或在相关附注中披露的金融资产和负债，将根据估值技术的输入进行分类，如下所示：
1级 - 资产估值方法的输入是在活跃市场中未调整的相同资产和负债的报价价格。
2级 - 资产估值方法的输入包括在活跃市场中相似资产和负债的报价价格，以及对于该资产或负债可观察的输入，无论是直接或间接地，在金融工具的整个期限内。
三级 - 估值方法的输入是不可观察且对整体公平价值具有重大影响。
公司根据证券的种类以及公司的意图和能力将其证券指定为交易、可供出售或持有至到期。作为可供出售和交易分类的证券会定期按公平价值报告。
以下是用于记载以公允价值计量的工具的估值方法的描述。这些方法适用于资产和负债，涵盖三级公允价值层次，在输入可观察性确定适当层次。
期货合约和美国国库证券的价值是使用在活跃市场上相同工具的报价价格来进行分类，并被归类为第一级。
住宅证券、利率掉期、掉期期权和其他衍生工具的价值是使用报价价格或内部估计类似资产的价格使用内部模型进行评估。 公司采用常见的市场定价方法，包括对国库曲线的价差衡量，以及特定证券的基本特征，包括票面利率、预偿速度、周期性和年限上限、利率重设期和证券预期寿命等，以估计公平价值。 住宅抵押贷款的公平价值估计是通过贴现现金流模型生成，主要基于可观察的市场价值输入，包括折现率、预偿速度、拖欠水平和信用损失。 管理层通过将其内部模型衍生的公平价值估计与经营商提供的独立价格或第三方定价服务提供的价格进行比较，来审查并间接证实其公平价值估计结果。某些流动资产类别，如机构固定利率过户，可能使用独立来源价格，例如对TBA证券的报价价格来定价。
住宅证券、住宅按揭贷款、利率掉期和swaption市场以及TBA衍生品都被视为活跃市场，参与者进行频繁且具有足够成交量的交易，以便不断提供透明的定价资讯。住宅证券、住宅按揭贷款、利率掉期、swaptions和TBA衍生品市场的流动性以及公司证券与活跃交易证券的相似性使公司能够观察市场上的报价并利用这些价格作为制定公允价值计量的依据。因此，公司已将住宅证券、住宅按揭贷款、利率掉期、swaptions和TBA衍生品归类为第2级。
商业按揭证券作为可供出售的公平价值是根据最近市场交易中类似资产的报价价格来确定的，并且由于底层抵押品的不同而需要运用判断。因此，以公平价值计量的商业按揭证券被归类为二级。
21

安纳里资本管理公司及其附属公司
项目1。基本报表
有关于证券化车辆发行的债务公平值，请参阅“变量利益实体”附注以获取更多资讯。
公司已将其投资于MSR的分类为第3级。这些投资的公平价值估计来自使用其估值中的重要不可观察输入的模型。这些估值主要使用折现现金流量模型，这些模型包含不可观察的市场数据输入，包括折现率、预付款率、逾期率和服务成本。然后将模型估值与从第三方价格提供者获得的估值进行比较。管理层审查从第三方价格提供者获得的估值并将其用作与建模值比较的参考基准。 MSR的估值需要管理层和第三方价格提供者的重要判断。对于缺乏可观察输入的假设可能会对最终公平价值产生重大影响，进而影响公司的基本报表。 
以下表格显示截至2024年9月30日和2023年12月31日，金融工具和MSR的估计公平价值，均按公允价值进行重复计量。在呈现期间内，未发生公平价值层级之间的转移。
2024年9月30日
 一级二级等级 3总计
资产（以千美元计）
证券
机构抵押支持证券$— $69,150,399 $— $69,150,399 
信用风险转移证券— 826,841 — 826,841 
非机构抵押贷款证券— 1,616,696 — 1,616,696 
商业抵押贷款证券— 106,241 — 106,241 
贷款
住宅按揭贷款— 2,305,613 — 2,305,613 
按揭服务权— — 2,693,057 2,693,057 
资产转移或抵押给证券化车辆— 21,044,007 — 21,044,007 
衍生金融资产
利率掉期— 3,094 — 3,094 
其他衍生品23,256 32,721 — 55,977 
资产总额$23,256 $95,085,612 $2,693,057 $97,801,925 
负债
由证券化车辆发行的债务$— $18,709,118 $— $18,709,118 
已发行的参与权益— 467,006 — 467,006 
已售出的美国国库证券，但尚未购入2,043,519 — — 2,043,519 
衍生负债
利率掉期— 59,297 — 59,297 
其他衍生品32,117 11,214 — 43,331 
总负债$2,075,636 $19,246,635 $— $21,322,271 
22

安纳里资本管理公司及其附属公司
项目1。基本报表
2023年12月31日
 一级二级等级 3总计
资产（以千美元计）
证券
机构抵押支持证券$— $66,308,788 $— $66,308,788 
信用风险转移证券— 974,059 — 974,059 
非机构抵押资产支援证券— 2,108,274 — 2,108,274 
商业抵押资产支援证券— 222,444 — 222,444 
贷款
住宅按揭贷款— 2,353,084 — 2,353,084 
按揭服务权— — 2,122,196 2,122,196 
资产转移或抵押给证券化车辆— 13,307,622 — 13,307,622 
衍生金融资产
利率掉期— 26,344 — 26,344 
其他衍生性金融工具— 136,213 — 136,213 
资产总额$— $85,436,828 $2,122,196 $87,559,024 
负债
由证券化车辆发行的债务$— $11,600,338 $— $11,600,338 
已发行的参与权益— 1,103,835 — 1,103,835 
已售出的美国国库证券，但尚未购入2,132,751 — — 2,132,751 
衍生负债
利率掉期— 83,051 — 83,051 
其他衍生品179,835 39,409 — 219,244 
总负债$2,312,586 $12,826,633 $— $15,139,219 

关于三级公允价值衡量的定性和定量资讯
公司认为，不可观察的输入是指市场资料不可用的输入，并且是使用我们可得到的有关市场参与者在定价资产时可能采用的最佳资讯而编制的。相关输入会因评定公平价值的工具性质而异。描述重要不可观察输入的敏感性，以及重要不可观察输入之间的相互关系及其对公平价值测量的影响如下所述。在以下的敏感性分析中，某特定假设的变动被视为独立于其他任何假设变动。实际上，假设同时变动可能并不总是对以下所讨论的输入产生线性效应。可观察和不可观察输入之间也可能存在相互关系。这样的关系并未包含在下文中的讨论中。在下面描述的每个个别关系中，反向关系通常也适用。对于抵押资产服务的公平价值，通常而言，折扣率、预付款或逾期率以及年度服务成本的增加各自独立地会导致较低的公平价值评估。利率下降可能导致与公司投资抵押资产服务相关的抵押贷款超出预期的提前偿还，这反过来可能导致抵押资产服务的估计公平价值下降。有关详细资讯，请参阅「抵押资产服务权」附注，包括动态变化。
以下表格介绍了为Level 3 MSR进行重复公平价值衡量时使用的重要不可观察输入信息。 该表格不考虑公司的风险管理实践，这些实践可能抵消这些Level 3投资所固有的风险。
无法观察的输入 (1)
区间（加权平均） (2)
2024年9月30日2023年12月31日
贴现率
1.8% - 11.2% (7.6%)
7.0% - 12.0% (8.6%)
预付速度
5.1% - 31.3% (6.1%)
4.8% - 11.0% (5.6%)
逾期率
0.2% - 4.0% (1.2%)
0.2% - 4.2% (1.3%)
服务成本
$83 - $108 ($91)
$84 - $111 ($94)
(1) 代表公司认为市场参与者在评估这些资产价值时将使用的利率、估计和假设。
(2) 根据MSR公平价值计算的加权平均折扣率，加权平均预付款率、拖欠率和基于MSR底层贷款未支付本金余额的服务成本。

23

安纳里资本管理公司及其附属公司
项目1。基本报表
以下表格汇总了2024年9月30日和2023年12月31日未按公允价值计量的金融资产和负债的预估公允价值。
 二零二四年九月三十日二零三年十二月三十一日
 携带
价值		公平
价值		携带
价值		公平
价值
财务负债
回购协议$64,310,276$64,310,276$62,201,543$62,201,543
其他安全融资600,000600,000500,000500,000
 
回购协议和短期其他有价证券融资的携带价值大致等于公允价值，被视为二级公允价值衡量。长期其他有价证券融资则使用二级输入进行估值。

11. 无形资产
无形资产，扣除累计摊销
有限生命无形资产按其预期有用寿命进行摊销。作为公司的内部管理交易的一部分，交易于2020年6月30日结束，公司根据公司收购的编制劳动力的取代成本约数百万美元确认了一项无形资产。41.2 根据公司收购的员工群体取代成本，公司确定了约数百万美元的无形资产。
以下表格展示了截至2024年9月30日的九个月有限寿命无形资产的活动。
无形资产，净值
（以千美元计）
2024年1月1日期初余额
$12,106 
减少：摊提开支(2,018)
2024年9月30日期末余额
$10,088 

12. 资产财务
逆回购和回购协议 – 公司用回购协议资助其资产的一大部分。在每笔交易的开端，公司评估ASC 860中的每个指定准则， 转让和服务并确定每项融资协议都应视为一项有担保资金。
公司进行反向回购协议，以赚取超额现金余额的收益。为了减轻信用风险，公司监控这些证券的市场价值，并根据这些证券的市场价值变化交付或获得额外担保品。一般情况下，公司收到或发布的担保品的公平价值大致等于或大于已担保融资的价值。
在控制项的财务状况合并报表中，具有相同交易对手和相同到期日的逆回购协议和回购协议符合允许抵销的标准时，将以净值呈现。公司在合并现金流量表中将回购协议的现金流入报告为融资活动，逆回购协议的现金流入报告为投资活动。
公司拥有杰出的$64.3十数亿美元62.2亿美元的回购协议，加权平均剩余到期日为 34 天和 44 天，加权平均利率分别为 5.232024年6月30日和2023年12月31日的时间点，公司从Thrivel Earlier Detection Corporation（“Thrive”），Ashion Analytics，LLC（“Ashion”）和OmicEra的收购中记录的关于监管和产品开发里程碑的待定支付负债的公允价值总和为2.779亿和2.887亿美元。公司使用概率加权情境折现现金流模型评估预期的待定支付负债和相应的与监管和产品开发里程碑相关的负债的公允价值，该方法与预期待定支付负债的初始计量一致。每个潜在情境应用成功概率，然后通过现值因子计算折扣，得出相应的现值。时间的流逝以及草拟的里程碑实现时间，现值因子，实现度（如适用）和成功概率的变化可能导致公允价值测量的调整。与监管和产品开发里程碑相关的待定支付负债的公允价值是以2024年6月30日和2023年12月31日的加权平均成功概率和现值因子计算的，成功概率分别为%和%，现值因子分别为%和%。付款范围的预测财政年度范围为2025年至2031年。所使用的不可观察的输入值按待定支付负债的相对公允价值加权。 5.70%，分别在2024年9月30日和2023年12月31日。与其住宅按揭贷款相关，公司已与交易对手达成特选协议，进行$3.5 亿美元的回购协议，剩余容量为$2.2 2024年9月30日，市值达到了数十亿美元。





24

安纳里资本管理公司及其附属公司
项目1。基本报表
截至2024年9月30日和2023年12月31日，回购协议剩余到期期限和抵押品类型如下：
2024年9月30日
 机构抵押担保证券CRTs非机构抵押担保证券住宅抵押贷款商业抵押担保证券总回购协议
 （以千美元计）
1 天$24,998,317 $175,637 $41,503 $— $— $25,215,457 
2 至 29 天655,425 275,927 846,860 221,231 95,291 2,094,734 
30 至 59 天34,198,599 — 589,802 26,404 — 34,814,805 
60 至 89 天2,594,869 142,486 611,235 452,799 — 3,801,389 
90 至 119 天1,675 47,353 82,050 — — 131,078 
超过 119 天 (1)
— — 364,920 566,773 — 931,693 
总计$62,448,885 $641,403 $2,536,370 $1,267,207 $95,291 $66,989,156 
根据净额安排抵销的金额。(2,678,880)
再购协议的净金额如在财务状况表中呈现。$64,310,276 
2023年12月31日
 机构抵押支持证券CRTs非机构抵押支持证券住宅抵押贷款商业抵押支持证券总回购协议
 （以千美元计）
1 天$— $— $— $— $— $— 
2 至 29 天33,492,952 555,568 840,400 — 191,276 35,080,196 
30 至 59 天18,090,265 — 528,341 — — 18,618,606 
60 至 89 天6,479,206 139,952 579,611 — — 7,198,769 
90 至 119 天— — 39,714 207,592 — 247,306 
超过 119 天 (1)
2,511,003 — 169,697 644,259 — 3,324,959 
总计$60,573,426 $695,520 $2,157,763 $851,851 $191,276 $64,469,836 
按照清算安排抵销的金额。(2,268,293)
在财务状况合并报表中呈现的回购协议净金额。$62,201,543 
(1) 少于 1在2024年9月30日，超过1年到期的回购协议金额占比少于%。 没有 在2023年12月31日，有超过1年到期的回购协议金额。
下表总结了2024年9月30日和2023年12月31日财务状况合并报表中呈现的逆回购协议和回购协议的总金额，根据抵销安排进行抵减的金额以及回购协议和逆回购协议的净金额。请参阅「衍生金融工具」附注，以了解抵销安排对公司衍生金融工具的影响。
 2024年9月30日2023年12月31日
 逆回购协议参见附注12-回购协议，公司已分别于2024年6月30日和2023年12月31日，将持有名义价值为10亿美元和20亿美元的可供出售金融资产作为回购协议的抵押品。逆回购协议参见附注12-回购协议，公司已分别于2024年6月30日和2023年12月31日，将持有名义价值为10亿美元和20亿美元的可供出售金融资产作为回购协议的抵押品。
 （以千美元计）
总金额$2,678,880 $66,989,156 $2,268,293 $64,469,836 
抵销金额(2,678,880)(2,678,880)(2,268,293)(2,268,293)
网络金额$— $64,310,276 $— $62,201,543 
截至2024年9月30日，与逆回购协议相关的所收担保品公允价值为$2.7　十亿，其中公司出售了$2.0　十亿。截至2023年12月31日，与逆回购协议相关的所收担保品公允价值为$2.3　十亿，其中公司出售了$2.1　十亿。出售的担保品金额在公司综合财务状况表中以未购回的美国国库券的公允价值报告。
其他已确保的融资 - 截至2024年9月30日，公司拥有总额为$的承诺信贷额，用于部分MSR投资组合的融资。截至2024年9月30日，该信贷额的未偿余额为$1.3亿美元。这设施下的未偿款项截至2024年9月30日为$ million，到期日期从600.0 以百万美元为范围 四个月 天从发票日期计算，被视为商业合理。 一年。借款的加权平均利率为
25

安纳里资本管理公司及其附属公司
项目1。基本报表
8.05截至2024年9月30日为止，借款额报告在公司资产负债表的其他担保融资项下。
请查看2023年12月31日有关公司其他已抵押融资安排的「变量利益实体」备注以获得更多信息。
根据担保融资安排及利率互换，已承诺作为抵押品的投资，不包括合并VIE的住宅按揭贷款，在2024年9月30日估计的公允价值和应计利息为美元69.3 分别于2024年6月30日和2023年12月31日，公司已将持有金额为10亿和20亿的可供出售金融资产作为回购协议的抵押物。参阅附注12-回购协议。304.7 分别为1000万美元，在2024年9月30日；及1000万美元，在2023年12月31日。68.2十数亿美元279.5分别为1000万美元，在2024年9月30日；及1000万美元，在2023年12月31日。

13. 资本股
(A) 普通股
以下表格摘要了2024年9月30日和2023年12月31日公司已授权、已发行并流通的普通股。
授权股份已发行及流通股数
2024年9月30日2023年12月31日2024年9月30日2023年12月31日帐面价值
普通股票
1,468,250,000 1,468,250,000 558,047,743 500,080,287 $0.01
在2022年1月，公司宣布其董事会（“董事会”）授权回购最多$1.5十分至百分位重复根本通过至十二月三十一日，2024年（“Share Repurchase Program”），三个和九个月分别结束于2024年和2023年的九月三十日， 无 股票已按照Share Repurchase Program进行回购。
于2020年8月6日，公司分别与巴克莱银行股份有限公司、美国银行证券有限公司、花旗全球市场公司、高盛及Co. LLC、凯菲・布鲁耶特及伍兹有限公司、摩根大通证券有限责任公司、加拿大皇家银行资本市场有限责任公司、瑞银证券有限责任公司、以及富国证券有限责任公司（统称“上述前售代理人”）订立独立修订及重订发行代理协议（通过2021年8月6日修订的修订及重订发行代理协议第1号，以及2022年11月3日修订的修订及重订发行代理协议第2号，总称“前销售协议”）。根据前述销售协议，公司向其共同股股份提供及出售股份，总计最高1,000,000,000美元的发行价格。1.5亿美元，不时透过任何前售代理人（“前市场销售计划”）进行。
于2024年9月20日，公司与巴克莱银行、法国巴黎银行股份有限公司、美国美林证券公司、Citizens JMP证券有限责任公司、高盛合伙及有限公司、摩根大通证券有限责任公司、Keefe、布雷特和伍德斯有限公司、摩根士丹利共同合作社有限公司、RBC资本市场有限责任公司、瑞银证券有限责任公司和富国证券有限责任公司（统称「销售代理」）订立了新的分销代理协议（总称「销售协议」），终止并取代先前的销售协议。根据销售协议的条款，公司可透过任何一家销售代理不时发行及卖出其普通股，总发行价值最高可达10亿美元1.5 十亿美元，并且可能顺应时事不时进行（「当前市场即时销售计划」，连同先前的市场即时销售计划，合称为「即时市场销售计划」）。
在截至2024年9月30日止的三个月和九个月内，在市场销售计划下，公司发行了 57.0百万股和 57.6百万股，总收益为1.1十数亿美元1.2十亿美元，分别扣除佣金和费用。在截至2023年9月30日止的三个月和九个月内，在市场销售计划下，公司发行了 0.9百万股和 26.2百万股，总收益为17.8百万和$580.5分别为百万和千万美元，扣除佣金和费用后。

(B) 优先股
以下是截至2024年9月30日和2023年12月31日公司累积可赎回优先股的摘要。在公司清算或解散的情况下，公司当时的优先股拥有优先于普通股的地位，就分红派息和资产分配而言。
26

安纳里资本管理公司及其附属公司
项目1。基本报表
已授权的股份已发行并未上市的股份携带价值合约利率
最早赎回日期 (1)
浮动利率股息期限的生效日期
浮动年利率 (2)
2024年9月30日2023年12月31日2024年9月30日2023年12月31日2024年9月30日2023年12月31日
固定到浮动利率
F系列28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95%9/30/20229/30/2022
300万美元Term SOFR + 4.993%
G系列17,000,000 17,000,000 17,000,000 17,000,000 411,335 411,335 6.50%3/31/20233/31/2023
300万Term SOFR + 4.172%
Series I17,700,000 17,700,000 17,700,000 17,700,000 428,324 428,324 6.75%6/30/20246/30/2024
300万Term SOFR + 4.989%
总计63,500,000 63,500,000 63,500,000 63,500,000 $1,536,569 $1,536,569 
(1) 在有限情况下，受限于公司在早期赎回优先股以确保其合格作为房地产投资信托或与公司控制权有限情况下相关的情况下。
(2) 对于每一系列的固定利率至浮动利率可赎回优先股，每年的利率计算为3个月的cme Term SOFR（加上一个差价调整为 0.26161％）再加上招股书中指定的差价。
每一系列的优先股面值为$0.01 每股赎回价和清算价为$25.00，再加上截至赎回日期为止未清偿的累积股息。截至2024年9月30日，公司已宣布并支付了所有需要的季度分红派息给公司的优先股。
F系列固定利率至浮动利率累积可赎优先股、G系列固定利率至浮动利率累积优先股和I系列固定利率至浮动利率累积优先股，在公司的普通股之前享有优先地位。
于2022年11月3日，公司董事会批准了一项回购计划，用于回购其所有现有的优先股（如下所定义的「优先股回购计划」）。根据该计划，公司被授权回购最多总计 63,500,000 优先股股份，包括最多（i） 28,800,000 股份，以及（ii） 6.95%系列F固定浮动利率累积可赎回优先股，面值每股$0.01 （「F系列优先股」），（iii） 17,000,000 股份，以及（iv） 6.50%系列G固定浮动利率累积可赎回优先股，面值每股$0.01 （「G系列优先股」），以及（iii） 17,700,000 其所持有的股票份额 6.75%系列I固定浮动利率优先股，面值为$0.01 每股（“I系列优先股”，以及F系列优先股和G系列优先股合称“优先股”）。截至2022年11月3日，按照优先股回购计划，公司可回购的优先股的总清算价值约为$1.6十亿美元。优先股回购计划于2022年11月3日生效，并于2024年12月31日到期。 没有 在截至2024年9月30日的三个月和九个月内，有关优先股回购计划已回购的股份数为
(C) 股东分派
下表概述了公司过去一段时间内的股息分配活动。
 截至三个月结束
截至年终前九个月
 2024年9月30日2023年9月30日2024年9月30日2023年9月30日
 (千元美元，每股资料除外)
宣布对普通股和基于股份的奖励支付的分红派息及分红派息等值$364,914 $323,164 $1,019,527 $968,111 
每股普通股宣告的派息额：$0.65 $0.65 $1.95 $1.95 
期末结束后支付给普通股股东的分红派息$362,731 $321,629 $362,731 $321,629 
期末结束后每普通股支付的分红派息$0.65 $0.65 $0.65 $0.65 
期末结束后支付给普通股股东的分红派息日期2024年10月31日2023年10月31日2024年10月31日2023年10月31日
向F系列优先股持有人宣布分红派息$19,055 $18,956 $57,142 $54,732 
每股F系列优先股宣布的分红$0.662 $0.658 $1.984 $1.900 
向G系列优先股持有人宣布分红派息$10,606 $10,431 $31,804 $27,362 
每股G系列优先股宣布的分红$0.624 $0.614 $1.871 $1.610 
向I系列优先股持有人宣布分红派息$11,967 $7,467 $26,901 $22,401 
每股I系列优先股宣布的分红$0.676 $0.422 $1.520 $1.266 


27

安纳里资本管理公司及其附属公司
项目1。基本报表
14. 利息收入和利息支出
请参考有关财务报表的「重大会计政策」附注，了解公司有关证券和贷款利息净收入的会计政策详情。
下表总结了住宅证券利息收入确认方法：
 收益利率方法论
机构 
固定利率资产直接传递 (1)
有效收益率 (3)
浮动利率资产直接传递 (1)
有效收益率 (3)
多重家庭 (1)
合约现金流量
CMO (1)
有效收益率 (3)
担保反向按揭 (2)
未来的
只付利息 (2)
未来的
住宅信贷 
CRt (2)
前瞻性
替代-A (2)
前瞻性
优 (2)
前瞻性
次级 (2)
前瞻性
NPL/RPL (2)
前瞻性的
主要珍宝餐饮集团 (2)
前瞻性的
(1) 截至2022年7月1日购入的证券，公布综合收益（损失）合并损益表中承认公允价值变动。自2022年7月1日起，新购证券的公允价值变动在公布综合收益（损失）合并损益表中承认为投资及其他净收益（损失）。
(2) 投资及其他净收益（损失）合并损益表中承认公允价值变动。
(3) 对估计与实际预先付款之间的差异重新计算有效收益率，并调整摊销成本，仿佛新的有效收益率自一开始应用。

以下表格显示了截至2024年和2023年9月30日三个月和九个月的公司利息收入和利息支出的元件。
 截至三个月结束
截至年终前九个月
 2024年9月30日2023年9月30日2024年9月30日2023年9月30日
利息收入（以千美元计）
机构证券$789,403 $753,007 $2,331,698 $2,043,021 
住宅信贷证券49,863 57,229 156,754 167,451 
住宅按揭贷款 (1)
346,031 181,965 899,867 491,398 
商业投资组合 (1)
2,240 5,812 8,235 24,009 
反向回购协议41,804 3,472 104,600 15,350 
利息收入总额$1,229,341 $1,001,485 $3,501,154 $2,741,229 
利息费用  
回购协议$942,780 $917,997 $2,722,304 $2,457,996 
由证券化车辆发行的债务234,299 116,962 596,128 307,715 
已发行的参与权益17,834 11,860 57,841 33,352 
已售出的美国国库证券，但尚未购入21,027 — 64,373 — 
总利息费用1,215,940 1,046,819 3,440,646 2,799,063 
净利息收益$13,401 $(45,334)$60,508 $(57,834)
(1) 包括转让或抵押给证券化工具的资产。




28

安纳里资本管理公司及其附属公司
项目1。基本报表
15.  净利润（损失）每普通股份
以下表格显示截至2024年9月30日和2023年三个月和九个月的净利润（损失）及用于计算基本和稀释每股净利润（损失）的股份调解。
 截至三个月结束
截至年终前九个月
 2024年9月30日2023年9月30日2024年9月30日2023年9月30日
 (千元美元，每股资料除外)
净利润（损失）$82,351 $(569,084)$538,692 $(1,247,225)
净利润（损失）归属于非控制权益15,906 (6,879)18,838 (7,797)
归属于安那利的净利润（损失） 66,445 (562,205)519,854 (1,239,428)
优先股股息41,628 36,854 115,847 104,495 
可供普通股股东使用的净利润（损失）$24,817 $(599,059)$404,007 $(1,343,923)
基本股票帐面上的加权平均股份515,729,658 494,330,361 505,800,723 492,744,997 
添加：股票奖励的影响，如果具蛋糕性1,102,494 — 817,420 — 
基本股票帐面上的加权平均股份-稀释516,832,152 494,330,361 506,618,143 492,744,997 
每股可供（有关）普通股的盈利（损失）
基础$0.05 $(1.21)$0.80 $(2.73)
稀释$0.05 $(1.21)$0.80 $(2.73)
2024年9月30日结束的三个月和九个月的净利润（亏损）每股值并不包括普通股相关的稀释后每股价值。 0 和 2 分别为千和，而2023年9月30日结束的三个月和九个月的净利润（亏损）每股值并不包括。 1.9 百万和 1.8 分别为百万，因为它们的影响将会对稀释产生反作用，所以2023年9月30日结束的三个月和九个月的潜在稀释限制和绩效股票单位并不包括。

16. 所得税
截至2024年9月30日三个月止，公司有资格按照代码第856至860条被税收作为REIT。作为REIT，该公司将不会承担联邦所得税，只要将其应税收入分配给股东。为了保持REIT的资格，公司必须将其年度REIT应税收入的至少90%分配给股东，并符合与其可能拥有的资产、可产生的收入以及其股东组成等其他要求。通常，公司的政策是分配 100%的REIT应税收入。在年底如有任何未分配的REIT应税收入，公司会在允许的情况下在隔年内分配此不足部分，依据代码。
本公司及其直接及间接附属公司，包括Annaly TRS, Inc.以及合资公司的某些子公司，已作出独立联合选择将这些子公司视为TRS。因此，这些TRS中的每个都应纳税为国内C型公司，并根据其应税收入而应纳联邦、州和地方所得税。
ASC 740《所得税 (Income Taxes)》，澄清在基本报表认列之所得税不确定性的会计处理，并对于在未举报的不确定性税务立场订定认列阈值和度量属性。ASC 740亦要求在基本报表认列与未承认的税务利益相关的利息和罚款。公司确定不具有会影响其财务状况的未承认税务利益。因此，预估于2024年9月30日和2023年12月31日认列罚款和利息。 不 确定不具有会影响其财务状况的未承认税务利益。因此，预估于2024年9月30日和2023年12月31日认列罚款和利息。 无 确定不具有会影响其财务状况的未承认税务利益。因此，预估于2024年9月30日和2023年12月31日认列罚款和利息。
公司所受税务申报义务的州和地方税务管辖区承认公司作为REIT的身份，因此，公司通常不需在这些司法管辖区支付所得税。然而，公司可能需缴纳某些最低的州和地方税务申报费，以及某些消费税、特许税或业务税。公司的TRS受联邦、州和地方税收的管辖。
截至2024年9月30日的三个月和九个月内，公司记录了分别属于其TRSs的所得税费用（利益）为（$6.1分别为2023年6月30日和2024年结束的三个月，净所得税（收益）支出分别为 $4.9 百万，2023年9月30日的三个月和九个月内，公司记录了分别属于其TRSs的所得税费用为$12.4 百万美元和37.7 百万。公司的2020年及以后的联邦、州和地方税收申报表仍然开放供审查。



29

安纳里资本管理公司及其附属公司
项目1。基本报表
17.  节段
公司业务包括高性能材料与元件 (HPMC)，以及先进合金与解决方案 (AA&S)。营业收入由全球多元市场、主要地理市场和多元产品在这些业务中分解。 三 报告节段进一步描述于业务描述附注。应用于各节段的会计政策与摘要中描述的重要会计政策相同，仅在关于净利息收益和其他全面收益（损失）的节段间分配，反映在其他收益（损失）中，以及关于投资结余之间的节段间分配，以关联融资呈现在总资产中。这些分配是为了反映各不同营运节段内投资之间的经济避险关系而进行的。未能直接归因或未分配给任何当前营运节段的活动（例如投资于商业按揭支持证券、优先股股息和企业存续成本）将报告为企业与其他项目，作为调整项目纳入公司的合并财务报表。下表概述了按节段提供给公司的营运主管（CODM），即公司营运委员会的业务及总资产的营运主管结果。全面收益是按照衡量合并财务报表中对应金额的衡量原则确定的节段利润或亏损，并且是该公司经济回报的主要指标（计算方法为变化归属于普通股股东权益除以前期归属于普通股股东权益的普通股股息宣告的股东权益的变化），这是CODM用于评估节段结果的指标之一，也是在确定资本分配中各节段之间考虑的因素之一。 三 当前营运节段（例如投资于商业按揭支持证券、优先股股息和企业存续成本等）无法直接归因或未分配的活动将报告为公司合并财务报表的企业及其他调整项目。下表概述了按营运主管（CODM），即公司营运委员会，提供的营运各节段业务和总资产的结果。全面收益是按照衡量合并财务报表中对应数额的衡量原则确定的节段利润或亏损，并是确定公司经济回报的关键决定因素（计算方法为变化归属于普通股股东权益加普通股股息宣告除以前期归属于普通股股东权益的股东权益），这是CODM用于评估节段结果并是根据合并财务报表中对应数额所使用的衡量原则的经济回报的一个重要衡量指标，评估节段结果的一个重要因素，并是在确定各节段间资本分配中考虑的要素之一。
以下的表格呈现了截至2024年和2023年9月30日止三个月和九个月之间与公司营运业务相关的可报告营运部门。
2024年9月30日结束的三个月
 机构Resi-credit数据驱动分析企业及其他合并
（以千美元计）
利息收入$830,407 $396,694 $— $2,240 $1,229,341 
利息费用885,982 328,440 — 1,518 1,215,940 
净利息收益(55,575)68,254 — 722 13,401 
服务和相关收入— — 122,583 — 122,583 
服务和相关费用— — 12,988 — 12,988 
净服务收入— — 109,595 — 109,595 
其他收入（损失）(6,658)36,028 (33,967)1,738 (2,859)
少：总行政及管理开支16,154 13,868 8,876 5,023 43,921 
税前收入（亏损）(78,387)90,414 66,752 (2,563)76,216 
所得税23 (8,263)2,126 (21)(6,135)
净利润（损失）(78,410)98,677 64,626 (2,542)82,351 
扣减：归属于非控股利益的净利润（损失）— 15,906 — — 15,906 
归于安纳利的净利润（损失）(78,410)82,771 64,626 (2,542)66,445 
优先股股息— — — 41,628 41,628 
可供普通股股东使用的净利润（损失）(78,410)82,771 64,626 (44,170)24,817 
可供出售证券的未实现收益（损失）428,955 — — — 428,955 
重新分类调整，包括在净利润（损失）中的净（收益）损失15,769 — — — 15,769 
其他全面收益（损失）444,724 — — — 444,724 
综合收益（损失）366,314 98,677 64,626 (2,542)527,075 
非控股利益（损失）归属于非控股股东— 15,906 — — 15,906 
归因于安纳利的综合收益（损失）$366,314 $82,771 $64,626 $(2,542)$511,169 
非现金投资和筹资活动：
未结交易应收款项727,124 — 39,217 — 766,341 
未结交易应付款项1,811,196 — 74,090 — 1,885,286 
可供出售证券未实现收益（损失）变动净额，重分类调整后净额444,724 — — — 444,724 
已宣布但尚未支付的股息— — — 362,731 362,731 
资产总额
资产总额$71,699,019 $26,235,097 $3,371,113 $210,766 $101,515,995 
30

安纳里资本管理公司及其附属公司
项目1。基本报表
2023年9月30日结束的三个月
 机构Resi-credit数据驱动分析企业及其他合并
（以千美元计）
利息收入$756,479 $239,194 $— $5,812 $1,001,485 
利息费用849,422 193,271 — 4,126 1,046,819 
净利息收益(92,943)45,923 — 1,686 (45,334)
服务和相关收入— — 97,620 — 97,620 
服务和相关费用— — 9,623 — 9,623 
净服务收入— — 87,997 — 87,997 
其他收入（损失）(528,640)(12,974)(21,870)4,038 (559,446)
减少：总行政及管理开支14,576 12,195 7,657 5,481 39,909 
税前收入（亏损）(636,159)20,754 58,470 243 (556,692)
所得税727 5,985 5,858 (178)12,392 
净利润（损失）(636,886)14,769 52,612 421 (569,084)
扣减：归属于非控股利益的净利润（损失）— (6,879)— — (6,879)
归于安纳利的净利润（损失）(636,886)21,648 52,612 421 (562,205)
优先股股息— — — 36,854 36,854 
可供普通股股东使用的净利润（损失）(636,886)21,648 52,612 (36,433)(599,059)
可供出售证券的未实现收益（损失）(825,286)— — — (825,286)
重新分类调整，包括在净利润（损失）中的净（收益）损失513,041 — — — 513,041 
其他全面收益（损失）(312,245)— — — (312,245)
综合收益（损失）(949,131)14,769 52,612 421 (881,329)
非控股利益（损失）归属于非控股股东— (6,879)— — (6,879)
归因于安纳利的综合收益（损失）$(949,131)$21,648 $52,612 $421 $(874,450)
非现金投资和筹资活动：
未结交易应收款项1,039,173 — 8,393 — 1,047,566 
未结交易应付款项2,144,692 1,546 38,231 29,850 2,214,319 
可供出售证券未实现收益（损失）变动净额，重分类调整后净额(312,245)— — — (312,245)
已宣布但尚未支付的股息— — — 321,629 321,629 
资产总额
资产总额$70,047,768 $16,616,765 $2,647,052 $336,838 $89,648,423 
31

安纳里资本管理公司及其附属公司
项目1。基本报表
2024年9月30日结束的九个月
 机构居民信贷数据驱动分析企业及其他合并
（以千美元计）
利息收入$2,433,672 $1,059,247 $— $8,235 $3,501,154 
利息费用2,563,077 872,118 — 5,451 3,440,646 
净利息收益(129,405)187,129 — 2,784 60,508 
服务和相关收入— — 358,182 — 358,182 
服务和相关费用— — 37,821 — 37,821 
净服务收入— — 320,361 — 320,361 
其他收入（损失）109,384 189,851 (12,513)3,336 290,058 
减：总管理及行政费用47,604 39,690 25,977 14,111 127,382 
税前收入（亏损）(67,625)337,290 281,871 (7,991)543,545 
所得税748 (9,966)14,195 (124)4,853 
净利润（损失）(68,373)347,256 267,676 (7,867)538,692 
扣减：归属于非控股利益的净利润（损失）— 18,838 — — 18,838 
归于安纳利的净利润（损失）(68,373)328,418 267,676 (7,867)519,854 
优先股股息— — — 115,847 115,847 
可供普通股股东使用的净利润（损失）(68,373)328,418 267,676 (123,714)404,007 
可供出售证券的未实现收益（损失）92,843 — — — 92,843 
重新分类调整，包括在净利润（损失）中的净（收益）损失530,354 — — — 530,354 
其他全面收益（损失）623,197 — — — 623,197 
综合收益（损失）554,824 347,256 267,676 (7,867)1,161,889 
非控股利益（损失）归属于非控股股东— 18,838 — — 18,838 
归因于安纳利的综合收益（损失）$554,824 $328,418 $267,676 $(7,867)$1,143,051 
非现金投资和筹资活动：
未结交易应收款项727,124 — 39,217 — 766,341 
未结交易应付款项1,811,196 — 74,090 — 1,885,286 
可供出售证券未实现收益（损失）变动净额，重分类调整后净额623,197 — — — 623,197 
已宣布但尚未支付的股息— — — 362,731 362,731 
资产总额
资产总额$71,699,019 $26,235,097 $3,371,113 $210,766 $101,515,995 


32

安纳里资本管理公司及其附属公司
项目1。基本报表
截至二零二三年九月三十日止九个月
 代理机构重新信用MSR企业及其他合并
（千美元）
利息收入$2,058,371 $658,849 $— $24,009 $2,741,229 
利息支出2,279,586 504,011 — 15,466 2,799,063 
净利息收入(221,215)154,838 — 8,543 (57,834)
服务及相关收入— — 265,683 — 265,683 
服务及相关费用— — 26,433 — 26,433 
服务收入净额— — 239,250 — 239,250 
其他收入（亏损）(1,415,438)91,439 61,314 (4,602)(1,267,287)
较少：一般和行政费用总额44,401 36,757 22,210 20,284 123,652 
所得税前的收入（亏损）(1,681,054)209,520 278,354 (16,343)(1,209,523)
所得税1,213 14,034 22,706 (251)37,702 
净收入（亏损）(1,682,267)195,486 255,648 (16,092)(1,247,225)
减：非控股权益应占净收入（亏损）— (7,797)— — (7,797)
安娜利应占净收入（亏损）(1,682,267)203,283 255,648 (16,092)(1,239,428)
优先股股息— — — 104,495 104,495 
普通股东可用（相关）净收入（亏损）(1,682,267)203,283 255,648 (120,587)(1,343,923)
可供出售证券的未实现收益（亏损）(443,957)— — — (443,957)
净收入（亏损）中包含的净（收益）亏损重新分类调整1,458,077 — — — 1,458,077 
其他综合收益（亏损）1,014,120 — — — 1,014,120 
综合收益（亏损）(668,147)195,486 255,648 (16,092)(233,105)
非控股权益应占全面收益（亏损）— (7,797)— — (7,797)
安娜利应占全面收益（亏损）$(668,147)$203,283 $255,648 $(16,092)$(225,308)
非现金投资及融资活动：
未结算交易的应收款项1,039,173 — 8,393 — 1,047,566 
未结算交易须缴付2,144,692 1,546 38,231 29,850 2,214,319 
可供出售证券未实现收益（亏损）净变动（除重新分类调整）1,014,120 — — — 1,014,120 
股息申报，尚未支付— — — 321,629 321,629 
总资产
总资产$70,047,768 $16,616,765 $2,647,052 $336,838 $89,648,423 

18. 风险管理
公司面临的主要风险包括流动性和资金风险、投资/市场风险、信用风险和运营风险。利率期货对许多因素高度敏感，包括政府货币和税收政策、国内外经济和政治考量以及公司无法控制的其他因素。一般利率水平的变化可能会影响净利息收入，透过影响带来利息收入的资产和与载息负债相关的利息费用之间的差额，以此影响利息收入的资产和载息负债之间的差距。利率水平的变化也可能影响利息收入资产的价值和公司实现从销售这些资产获利的能力。作为质押用途，用于回购协议和衍生合约的利息收入资产价值下降可能导致合约对手要求额外资金担保或清算部分现有担保以减少借款水平。
公司可能会通过参与利率协议，例如利率互换、利率掉期选择权和其他避险工具，以减轻这些风险可能带来的财务影响。
抵押市场疲弱、殖利率曲线形态、未来利率波动预期变化和一般金融情况恶化等因素可能对公司投资的绩效和市场价值产生负面影响。这可能会对公司的账面价值产生负面影响。此外，如果公司的许多贷方不愿意或无法提供额外融资，公司可能被迫在价格抑压时期卖出其投资，这可能耽误良机。公司已建立风险缓解政策和程序，包括进行情景和敏感性分析，并使用一系列对冲策略。
33

安娜利资本管理股份有限公司和子公司
项目一。财务报表
房地美的抵押支援证券的本息支付（不包括由房地美发行的CRt证券）由该等机构保证，而吉尼梅的抵押支援证券的本金和利息支付则由美国政府的完全信赖和信用支持。
公司面临信用风险的部分投资组合并非由相应机构担保或由美国政府的完全信誉担保。公司在商业按揭证券、住宅按揭贷款、CRt证券和其他非机构按揭证券上承担信用风险。随著借款人拖欠贷款的风险上升，MSR（按揭服务权）价值也可能受到不利影响，这将减少服务收入并增加维持基础按揭贷款的整体成本。若发行人、借款人或交易对手未按契约条款履行其义务，公司将面临损失的风险。公司已建立了减轻信用风险的政策和程序，包括审查和确定信用风险暴露的限额，限制与特定交易对手的交易，购前尽职审查，保留符合标准的抵押品，持续评估发行人、借款人和交易对手的信用状况，信用评级监控和积极的服务商监督。
本公司依赖第三方服务提供商执行与其业务相关的各种业务流程，包括按揭贷款服务提供商和子服务商。 公司的供应商管理政策建立了与第三方供应商进行接触、入职和监控其表现的程序。 对于按揭贷款服务提供商和子服务商，这些程序包括评估供应商的财务状况以及监督其遵守适用法律和法规、网络安全概念和业务持续计划以及个人身份信息的安全。

19. 租赁承诺和潜在义务
公司的营运租赁主要包括剩余租期约为的企业办公室租赁 一年 和 三年企业办公室租约包括划定的最长可延续期 五年后，但延伸期限并未纳入营运租赁负债计算中。初期不超过12个月的租约未纳入资产负债表。公司根据租约期限按照直线基础承认这些租约的租赁费用。截至2024年和2023年9月30日的三个和九个月的租赁费用为$0.8 百万美元和2.5 1180万美元。当物业被确定为HFS时，根据适用情况，将该物业减值至公正价值减去预估销售费用。自2023年12月31日以来，HFS物业的增加主要反映了在2024年第一季度决定出售某些区域物业，以通过将员工合并到现有的替代物业来优化我们的房地产组合。0.8 百万美元和2.4 百万。
2024年9月30日及截至该日止九个月的租赁相关补充资讯如下：
营运租赁分类2024年9月30日
资产（以千美元计）
营运租赁权使用资产其他资产$3,660 
负债
营业租赁负债 (1)
其他负债$4,585 
租赁期限和折扣率
租赁约剩余平均期限加权值1.4 年
加权折现率加权值 (1)
3.4%
支付租赁负债的现金
营运租赁带来的营运现金流量$3,080 
(1) 对于公司没有提供隐含利率的租赁合同，公司将根据采纳日期可得到的资讯，使用增量借贷利率来确定租金支付的现值。
以下表格提供了有关租赁负债到期的详细资料:
租赁负债到期
截至十二月三十一日止年份（千美元）
2024 年（剩余）$1,027 
20253,149 
2026261 
2027269 
202822 
后几年— 
租赁付款总额$4,728 
减少计算利息143 
租赁负债现值$4,585 

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安纳里资本管理公司及其附属公司
项目1。基本报表
应变。
公司不时涉及在业务常规运作中发生的各种索赔和诉讼。管理层认为这些事项的最终处置不会对公司的合并基本报表产生实质影响。 截至2024年6月30日和2023年，分别有 无 2024年9月30日和2023年12月31日的重大应变状况。

20. 后续事件
2024年10月，公司达成了一笔3000万美元的设施协议，用以融资其MSR投资。300百万设施，用于融资其MSR投资。
在2024年10月，公司完成并结束了住宅抵押贷款的证券化：OBX 2024-NQM15，面额为$635.8 百万。此证券化代表提供给公司的一项融资交易，由公司购买的住宅抵押贷款作为抵押品提供给公司的无追索权融资。
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安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
项目2. 管理层对财务状况及经营成果之讨论及分析
关于前瞻性声明的特别说明
本季度报告中包含的某些声明，以及我们将来提交给证券交易委员会（“SEC”或“委员会”）的某些声明，在我们的新闻稿中或在我们的其他公共或股东通信中含有或参照了某些前瞻性声明，这些声明是基于各种前提条件（其中一些超出我们的控制范围），可能通过对未来时期或时期的引用或使用前瞻性术语来识别，例如“可能”，“将”，“相信”，“期望”，“预期”，“继续”或类似术语或这些术语的变化或这些术语的否定形式。此类声明包括与公司未来表现、宏观前景、利率和信用环境、税收改革和未来机遇有关的声明。由于各种因素，实际结果可能与前瞻性声明中设定的结果有很大差异，包括但不限于利率变动；收益曲线变动；预支付率变动；用于购买的抵押支持证券（“MBS”）和其他证券的可用性；融资的可用性以及如果可用，任何融资的条件；公司资产市值的变动；业务条件和整体经济的变动；公司扩大住宅信贷业务的能力；公司扩大其按揭服务权业务的能力；与公司对信用风险转移证券和居住抵押支持证券以及相关居住抵押信用资产的投资有关的信用风险；与按揭服务权投资相关的风险；公司实现任何拟议投资机会的能力；政府法规或政策的变动影响公司业务；公司保持其作为REIT符合美国联邦所得税目的的资格的能力；公司保持其根据1940年投资公司法豁免的能力以及我们或关键第三方的运营风险或风险管理失败，包括网络安全概念事件。有关可能导致实际结果与前瞻性声明不符的风险和不确定性的讨论，请参阅我们最近的年度报告第10-k表中的“风险因素”和任何随后的第10-q季度报告。公司不担保并明确否认对于公开发布对任何前瞻性声明可能做出的任何修订结果以反映预期或意外事件或情况发生的情况的任何责任，除非法律要求。
此财务状况及营运结果的管理层讨论与分析应与我们最近的年度10-k表格报告一同阅读。所有对"安纳利(Annaly)", "我们", "我们", 或"我们的"的提及均指安纳利资本管理公司(Annaly Capital Management, Inc.)及我们所拥有的所有实体，除非明确指明该术语仅表示母公司。请参考本第2项内容结束时位于「术语词汇表」部分以查看此10-Q季度报告中常用术语的定义。


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安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
指数指向第2项。管理层对财务状况和业务营运结果的讨论和分析。
  页面
可供派息的收益, 可供派息的收益 归属于普通股东的 可供派息的收益 每普通股平均份额的及平均股本年化EAD回报率
未实现的收益和损失 - 可供出售的投资
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安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
概览
我们是一家领先的多元化资本管理公司，投资策略涵盖抵押金融。我们的主要业务目标是为我们的股东创造分配用的净利润，并通过谨慎管理我们多元化的投资策略来优化回报。我们是一家内部管理的马里兰州公司，成立于1997年，选择按REIT的身份纳税。我们的普通股在纽约证券交易所上市，标的为"NLY"。
我们利用自有资本以及借贷的资金主要投资于房地产业相关的投资，从我们资产的收益和借款以及对冲活动的成本之间的利差中获利。
有关我们业务的完整讨论，请参阅我们最近的年度报告第10-k表格中标题为“业务概况”的部分。

业务环境
固收市场在第三季度（“2024年第三季”）受益于两个积极趋势。美联储（“美联储”）开始降低联邦基金目标利率，降至较不限制性水平，而美国经济一般保持强劲增长的步伐。官员在9月份的联邦公开市场委员会（“FOMC”）会议上将联邦基金目标利率下调50个基点，这是自2023年7月的FOMC会议以来首次降低短期利率。美联储官员表示，他们打算随著现行政策仍然具限制性，逐步放松货币政策，放松的速度和程度将取决于即将到来的经济数据。美联储的降息周期将致力于将利率降至促进健康稳定的劳动力市场的水平，同时保持通胀率接近其2%的目标。目前短期利率市场将这一“中立利率”定价为3.25％，尽管近几周的估计有所不同。
货币政策的变化是由劳动市场驱动的，随著对工人的需求减少和招聘速度放缓，过去三年劳动供需大致平衡。在大部分后疫情期间，对劳动的强烈需求超过了可用供应，导致工资增长加快，并可能出现价格上涨和工资上扬之间的负面反馈循环。根据9月FOMC会议纪要，联邦储备委员会官员判断这样的反馈循环风险似乎已经减少。通胀继续正常化，个人消费支出中排除食品和能源(“核心PCE”)预计2024年Q3年化增长率仅略高于2%。
市场对降息预期的定价导致收益曲线变得较陡，进一步提高了固收资产的吸引力，尤其是机构抵押债券。此外，利率波动性继续下降至自2023年三月区域银行危机以来的最低水平，虽然仍高于疫情前的历史平均水平。这些发展支持了我们多元化业务模式，在季度中表现出色。我们在2024年第三季度实现了经济回报率达4.9％，我们的盈利超过了可分配的普通股股利。即使经济杠杆率轻微下降至5.7倍，我们的投资组合仍具有持续强劲的收益能力，这使我们获得了这些成果。
我们的优秀表现和支持性背景，使我们能够透过我们的市场即时销售计划，在这季度筹集超过11亿美金的增值普通股。部署资本的环境依然有吸引力，因为我们所有三个业务板块的市值都在季度内不断增加。
就本季我们的投资组合活动而言，在筹集的资本的影响下，我们的Agency MBS投资按名义值增加了超过40亿美元，其余市值增加主要归因于价格上涨。尽管固收市场背景积极，但Agency MBS的表现在不同票面利率上有所分化。低票面利率得益于强势货币管理者需求，而抵押贷款利率下降引发对高票面利率提前偿还行为的担忧，导致这些票面利率未能与相应的利率保值工具表现一致。鉴于这种相对表现，我们提高了对5.0%票面利率及更高票面利率的配置，因为相对于中间和较低票面利率，这些票面利率更具吸引力。这标志著我们在过去两年里有系统地向上调整了票面利率层级，专注高质量资产池的筛选。例如，6.0%票面利率及更高票面利率约占我们投资组合的四分之一，尽管这些较高票面利率的大部分持有是以特定资产池形式持有，以提供充分保护不受较高提前偿还速度的影响。
我们对Agency MBS板块的前景依然看好。值得注意的是，供需技术因素，过去几年常常是一大阻力，目前正持续改善，因为净供应量呈下降趋势，很可能会降至2023年总量以下。与此同时，固收资金流有助于提高今年的资金管理者需求，目前运行速度几乎是去年预估速度的两倍。此外，随著联邦利率期货的正常化，预计银行和境外投资者的需求将增加，带动MBS收益和存款利率之间的差额扩大，同时也降低了货币套息成本。
我们在整个季度保持了保守的利率敞口，同时受益于针对于最终发生在该季度的收益率曲线陡峭化的立场。随著2024年第三季度的利率水平下降，
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安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
我们积极管理我们的利率期货敞口，随著抵押贷款期限缩短而调整避险策略。展望未来，我们预计由即将举行的选举、地缘政治风险和财政赤字走势驱动的利率期货持续波动，导致利率水平存在不确定性。
与此同时，我们的住宅信贷投资组合在2024年第三季增加约$53500万至经济市值$65亿，专用资本$23亿，占公司股本的18%。成长仍由我们的对应平台带动，我们的住宅整额贷款和保留Onslow Bay（“OBX”）证券化投资组合。
藉著第一季信用价差稳定在约10个基点的区间，我们完成了总额32亿美元未还本金的六项证券化交易。自2024年初以来，我们已定价18宗总额94亿美元的证券化交易，使Onslow Bay成为住宅信贷市场最大的非银行证券化赞助商，亦是总体第二大的。本季再次创下记录，锁定和资金投放分别达到44亿和29亿美元。我们对风险评估与主动资产管理的努力专注，使OBX 非Qm 证券化成为市场前十大发行者中逾期率最低的。住宅信贷业务由于我们不断扩大的通信渠道选择性以及在各种利差环境下制造高收益资产的能力而处于有利位置。
我们持有的按揭服务权益（MSR）持续增加至28亿美元市值，我们承诺购买一笔市值12500万美元的大宗交易，预计在2024年年底前完成。由于按揭利率出现相对大幅下降的80个基点，投组的标记在该季度略有下降，凸显了投组的持续性。该投资组合的平均再融资激励水平比当前按揭利率低300个基点，基本绩效保持强劲，投组的3个月年化预付贷款速度为3.9%，严重拖欠款项占基点45，存款收入保持较高水平，考虑到收益曲线的形状，次级服务市场的竞争加剧有利于像我们这样的金融参与者。
在战略层面，关于MSR，我们长期以来在组建附加价值合作伙伴方面的丰富历史再度展现，因为我们在十月初宣布与Rocket Mortgage（"Rocket"）建立了一个次级服务伙伴关系。我们的规模和资本稳定性有助于发展这种关系，我们很高兴成为Rocket的首家机构MSR次级服务客户。Rocket预计将在12月初为我们提供贷款服务，这个合作伙伴关系应该让我们从Rocket的回收能力中受益，我们预计这将提高我们在购买新的MSR时的竞争力。与我们现有的次级服务协议类似，我们的Rocket协议使我们能够有效地参与由我们回收合作伙伴转账的贷款出售所产生的收益，有助于维护和保护我们的投资组合。
可分配收益和经济杠杆是非美国通用会计准则财务指标。查阅「非美国通用会计准则财务指标」以获取更多信息，包括与最直接可比的美国通用会计准则结果的调和。

经济环境
美国实际经济增长在第三季度仍表现稳健，国内生产总值按季节调整后以2.8%的年率增长，与今年上半年平均增长率持平。消费方面的指标显示，上升的真实家庭收入已带动消费者保持消费力，第三季度的消费支出以3.7%的年率增长。然而，消费者似乎越来越谨慎，因为高企的短期利率、低储蓄率、就业市场放缓和信心下降似乎会对未来的消费行为产生影响。非住宅投资活动在该季度似乎表现强劲，尤其是在设备和无形资产方面，但住宅投资仍保持疲弱，受到严格的货币政策和恶劣天气对住宅施工的影响。
劳动力的供求关系继续向更好的平衡发展。根据劳工统计局的统计，经季节调整后的总非农业就业人数增幅超过上一季度，第三季度平均每月新增186,000名工人，高于第二季度的177,000名。失业率在季末下降至4.1%，7月的失业率曾升至4.3%，为自2021年第四季以来最高的月度数字，因为有更多人进入劳动力市场，但最终未能找到工作。与此同时，通过平均小时工资年增率来衡量的薪资增长，在9月份上升至4.0%，较6月的3.8%有所提高。
以年度变化率衡量的消费者个人支出链条价格指数（“PCE”）的通胀读数仍高于美联储的2%通胀目标，并且通胀压力解除措施的进展似乎在本年初偏高的读数后已经恢复。截至9月的12个月总PCE价格下降至2.1%，而相同指标在6月记录了2.4%，核心PCE通胀率（不包括波动较大的食品和能源价格）从6月的2.6%略微上升至9月的2.7%。几项服务的价格压力有所减缓，包括交通和娱乐服务，因航空票价和现场活动定价压力继续减轻。住房通货膨胀是家庭中最大开支之一，因此在消费者价格指数中所占权重最大，持续以不规则的速度放缓，季度内每月读数呈现高度波动。总体通胀进一步放缓的可能性很大，特别是如果住房通货膨胀进一步放缓，这是普遍预期的。
39

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
美联储拥有双重使命的货币政策：实现充分就业和确保价格稳定。鉴于通胀减少的重大进展，FOMC参与者认为实现双重使命的风险已经平衡，并且开始认为适当开始缓和政策姿态。在九月的FOMC会议上，委员会将联邦基金利率目标范围降至4.75 – 5.0％，并预测到年底再进一步下调50个基点。FOMC得出结论，调整政策姿态使其更接近观察到的中立利率将有助于维持经济的强劲发展，同时继续促进通胀进展。同时，关于FOMC的资产负债表政策，开始于2022年的证券组合减少在第三季度持续，速度是每月国库券量250亿美元和每月MBS量350亿美元。
利率水平在第三季度下降，因为市场参与者对联邦政策利率路径的下行进行定价。最为明显的变化出现在短期利率上，导致国库收益率曲线变陡。利率波动的测量保持较高水准，眼前政策不确定性明显上升。10年期美国国库券收益率从2024年6月30日的4.40％下降至9月30日的3.78％。与此同时，抵押贷款基准，即30年期机构MBS票券收益率与10年期美国国库券收益率之间的差额，在同一时期从147个基点缩小到118个基点。
以下表格显示每个日期所呈现的利率期货和利差：
 2024年9月30日2023年12月31日2023年9月30日
30年期按揭目前票息4.96%5.25%6.36%
按揭基础118个基本点137个基本点179个基本点
10年美国国债利率3.78%3.88%4.57%
OIS SOFR掉期
1个月4.86%5.35%5.32%
6个月4.31%5.15%5.45%
 
营运业绩结果
我们业务的结果受各种因素影响，其中许多因素超出我们的控制范围。这些风险和不确定因素中的某些在此处有所描述（参见上文“前瞻性陈述特别提示”）以及我们最近的年度报告表格10-k的第I部分第1A项“风险因素”，以及本季度报告表格10-Q的第II部分第1A项“风险因素”。
本管理层讨论和分析部分包括根据美国通用会计准则（"GAAP"）和非GAAP测量所计算的财务结果的分析和讨论。为了补充我们按照GAAP准则编制和呈报的合并财务报表，我们提供非GAAP财务指标，以增强投资者对我们期间运营绩效和业务趋势的理解，以及评估我们的表现与行业同行相比。
请参阅“非依照通用会计准则之财务指标”部分以获取更多资讯。













40

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
净利润（损失）摘要
以下表格呈现截至2024年和2023年9月30日三个月和九个月的营运成果相关的财务资讯。
 
截至九月三十日三个月结束，
截至九月三十日九个月结束，
 2024202320242023
 (千元美元，每股资料除外)
利息收入$1,229,341 $1,001,485 $3,501,154 $2,741,229 
利息费用1,215,940 1,046,819 3,440,646 2,799,063 
净利息收益13,401 (45,334)60,508 (57,834)
服务和相关收入122,583 97,620 358,182 265,683 
服务和相关费用12,988 9,623 37,821 26,433 
净服务收入109,595 87,997 320,361 239,250 
其他收入（损失）(2,859)(559,446)290,058 (1,267,287)
减：总管理及行政费用43,921 39,909 127,382 123,652 
税前收入（亏损）76,216 (556,692)543,545 (1,209,523)
所得税(6,135)12,392 4,853 37,702 
净利润（损失）82,351 (569,084)538,692 (1,247,225)
减：归属非控制权益的净利润（净亏损）15,906 (6,879)18,838 (7,797)
归于安纳利的净利润（损失）66,445 (562,205)519,854 (1,239,428)
减：优先股股息分红41,628 36,854 115,847 104,495 
可供普通股股东使用的净利润（损失）$24,817 $(599,059)$404,007 $(1,343,923)
每股可供普通股股东使用的净利润（损失）
基础$0.05 $(1.21)$0.80 $(2.73)
稀释$0.05 $(1.21)$0.80 $(2.73)
加权平均股本收益数量
基础515,729,658 494,330,361 505,800,723 492,744,997 
稀释516,832,152 494,330,361 506,618,143 492,744,997 
其他资讯
期末投资组合$97,742,854 $85,339,029 $97,742,854 $85,339,029 
平均总资产$97,592,286 $89,489,450 $94,973,839 $86,915,407 
平均股东权益$11,901,427 $11,282,201 $11,661,014 $11,460,715 
期末的GAAP杠杆 (1)
6.9:17.1:16.9:17.1:1
期末的GAAP资本比率 (2)
12.4 %11.9 %12.4 %11.9 %
年化平均总资产收益（损失）0.34 %(2.54 %)0.76 %(1.91 %)
年化平均股东权益收益（损失） (3)
2.77 %(20.18 %)6.16 %(14.51 %)
净利息收益率 (4)
0.06 %(0.20 %)0.09 %(0.09 %)
资产收益平均收益率 (5)
5.16 %4.49 %5.07 %4.25 %
按照GAAP标准计算的轴承负债成本 (6)

5.42 %5.27 %5.42 %4.95 %
净利息差(0.26 %)(0.78 %)(0.35 %)(0.70 %)
期间内加权平均CPR体验值7.6 %7.3 %7.0 %6.6 %
期末预期长期加权平均CPR11.9 %7.1 %11.9 %7.1 %
每股普通股帐面价值$19.54 $18.25 $19.54 $18.25 
非GAAP指标*
利息收入（不含PAA）$1,250,706 $995,423 $3,512,200 $2,723,735 
经济利息费用 (6)
$882,244 $652,142 $2,459,504 $1,593,387 
经济净利息收益（不含PAA）$368,462 $343,281 $1,052,696 $1,130,348 
保费摊销调整成本（利益）$21,365 $(6,062)$11,046 $(17,494)
可供分配收益 (7)
$382,509 $361,979 $1,117,610 $1,178,584 
每股普通股的可供分配收益$0.66 $0.66 $1.98 $2.18 
年化EAD股东平均权益回报（不含PAA）12.95 %12.96 %12.88 %13.84 %
期末的经济杠杆 (1)
5.7:16.4:15.7:16.4:1
期末经济资本比率 (2)
14.6 %13.1 %14.6 %13.1 %
净利息收益率（不含PAA） (4)
1.52 %1.48 %1.51 %1.63 %
收益资产平均收益率（不包括平均资产养护品） (5)
5.25 %4.46 %5.09 %4.22 %
融通负债的平均经济成本 (6)
3.93 %3.28 %3.87 %2.82 %
净利息价差（不包括平均资产养护品）1.32 %1.18 %1.22 %1.40 %
 
41

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
* 代表非 GAAP 财务指标。如需其他资讯，请参阅「非 GAAP 财务指标」一节。
(1) GAAP 杠杆计算为回购协议、其他有抵押融资、证券化工具发行的债务、已发行的参与和未购买的美国国库证券的总和除以总权益。经济杠杆的计算方式是借贷债务、待公布的成本基础（「TBA」）和未偿还的 CMBX 衍生品，以及投资的远期购买（销售）净额除以总股权计算。索偿债务包括回购协议、其他有抵押融资以及已售出但尚未购买的美国国库证券。由证券化工具发行的债务和发行的股份不适用于我们，并不受经济杠杆范围之外。
(2) GAAP 资本比率计算为总权益除以总资产。经济资本比率计算为总权益除以总经济资产。经济资产总计包括 TBA 衍生产品的隐含市值，以及证券化工具发行的债务净值。
(3) 平均股权的年度 GAAP 回报（亏损）将实现和未实现收益及亏损年度化，可能不代表全年表现表现，平均股本的非年度 GAAP 回报（亏损）分别为 0.69%，截至 2024 年 9 月 30 日和 2023 年 9 月 30 日止三个月分别为 4.62% 和（10.88%）。
(4) 净利率代表我们的利息收入减息费用除以平均利息收入资产。净利率保证金不包括利率交换的净利息组成部分。净利率保证金（不包括 PAA）代表我们的利息收入（不包括 PAA）加上 TBA 美元卷收入和 CMBX 合并的总和n 收入减去经济利息费用分割d 以平均利息收入资产加平均未偿还 TBA 合约和 CMBX 余额的总和。
(5) 利息赚取资产的平均收益率代表年利息收入除以平均利息收入资产。平均利息收入资产反映了本公司期间投资的平均摊销成本。利息赚取资产的平均收益率（不包括 PAA）是使用年利息收入（不包括 PAA）来计算。
(6) 带息负债的平均 GAAP 成本代表年利息费用除以平均带息负债。平均带息负债反映期间的平均余额。带息负债的平均经济成本表示年度经济利息费用除以平均带息负债。经济利息支出包括 GAAP 利息开支、利率交换的净利息组成，以及截至 2024 年 6 月 30 日止季度开始，利率交换有关的初始保证金净利息组成，该利率净利息在公司综合综合收益（亏损表）中报告于其他内。前期业绩未根据此变化进行调整，因为影响并非重大。 与利率交换相关的变动保证金净利息之前已包括在公司所呈报期间的综合综合收益（亏损）报表中，并目前已列入利率交换的净利息元件中。
(7) 不包括优先股股息。

GAAP
净利润（净亏损）为8240万美元，其中包括为非控股权益拥有人所摊分的1590万美元，或每股基本普通股平均0.05美元，截至2024年9月30日的三个月，相对于2023年同期的(5.691)亿美元，其中包括(0.69)亿美元归属于非控股权益拥有人，或每股基本普通股平均-1.21美元。我们将净利润（净亏损）变动的主要原因归因于投资和其他项目的净利益（亏损）以及其他的有利变动，利息收入和净服务收入，部分抵销了衍生工具的净利益（亏损）的不利变动。截至2024年9月30日的三个月，投资和其他项目的净利益（亏损）为17亿美元，相对于2023年同期的(27)亿美元。利息收入截至2024年9月30日的三个月为1340万美元，相对于2023年同期的(4.53)亿美元。截至2024年9月30日的三个月的净服务收入为10960万美元，相对于2023年同期的8800万美元。截至2024年9月30日的三个月，衍生工具的净利益（亏损）为(18)亿美元，相对于2023年同期的21亿美元。
净利润（损失）为$53870万，包括$1880万归属于非控股权益，或每股基本普通股平均$0.80，在2024年9月30日结束的九个月同比2023年同期的净亏损$12亿，包括$7700万归属于非控股权益，或每股基本普通股平均$2.73。我们认为净利润（损失）的变化主要来自于投资和其他方面净利润（损失）增加、净利息收入和净服务收入增加，部分抵销净衍生工具收益（损失）的不利变化。截至2024年9月30日结束的九个月，投资和其他净收益为$16080万，2023年同期为$40亿。截至2024年9月30日结束的九个月，净利息收入为$6050万，2023年同期为$5780万。截至2024年9月30日结束的九个月，净服务收入为$32040万，2023年同期为$23930万。截至2024年9月30日结束的九个月，衍生工具净收益为$5360万，2023年同期为$27亿。有关这些变化的详细信息，请参阅本项目2中标题为“其他收入（损失）”的部分。
非美国通用会计准则
截至2024年9月30日结束的三个月，可供分配的收益为38250万美元，每股普通股平均为0.66美元，相较于2023年同期的36200万美元，每股普通股平均为0.66美元。可供分配的收益在2024年9月30日结束的三个月内相较于2023年同期的变化，主要是由于较高的优惠券收入，这是由于居住性抵押贷款和反向回购协议余额增加以及购买较高优惠券堆叠中的证券，以及较高的净服务收入所致。这种变化部分被平均借款利率和平均利息负债增加以及利率掉期的净利息部分不利变化导致的更高利息支出部分抵销。
截至2024年9月30日的九个月，可供分配收益为11亿美元，每股普通股平均1.98美元，相较于2023年同期的12亿美元，每股普通股平均2.18美元。 2024年9月30日结束的九个月中，与2023年同期相比，可供分配收益的变化为
42

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
主要是由于平均借款利率和平均利息轴承负债增加，以及利率互换的净利息组成中不利的变化造成的较高利息支出。这一变化部分被较高的优惠券收入所抵销，其原因是由于增加的住宅按揭贷款余额、购买较高层次的证券、较低的高级优惠摊销费用（不包含PAA）和较高的净服务收入。
非通用会计原则财务指标
为补充我们按照GAAP准则编制并呈现的合并基本报表，我们提供以下非GAAP财务指标：
•可供分配的收益（“EAD”）；
•归属于普通股股东的可供分配收益；
•每股平均普通股的可供分配收益；
•年化的平均权益回报率；
•经济杠杆；
•经济资本比率；
•利息收入（不含PAA）；
•经济利息支出；
•经济净利息收益（不含PAA）;
•利息赚取资产平均收益率（不含PAA）;
•利息负债平均经济成本;
•净利息收益率（不含PAA）; 和
•净利息差距（不含PAA）。

这些措施不应被视为取代符合GAAP标准计算的财务指标，也不应被视为优于它。虽然旨在提供对我们的结果和运营更全面的理解，但非GAAP财务指标也有限制。例如，我们可能计算我们的非GAAP指标（如可供分配收益或PAA）与我们的同行有所不同，进行比较分析较困难。此外，对于排除PAA的非GAAP指标，在未来期间摊销费用中排除PAA的金额，不一定代表未来摊销期间的金额，也不代表我们将摊销剩余的未摊销保费的期间。实际和预估的预付款变更将影响保费摊销的时间和金额，因此，无论是GAAP还是非GAAP结果都将受到影响。
这些非依据通用会计原则计算的数据提供额外详细资讯，以增进投资者对我们逐期营运绩效和业务趋势的理解，以及评估我们的表现与同行业板块相比的能力。有关我们使用这些非依据通用会计原则计算的财务指标的更多资讯，包括讨论每个指标如何对投资者有用，以及与其最直接可比依据通用会计原则计算的结果之调和，在以下予以提供。

可供分派收益，可供分派收益归属于普通股股东，每平均普通股可供分派收益及年度平均股东权益可供分派收益率
我们的主要业务目标是为了为我们的股东产生净利润并通过谨慎管理我们多元化的投资策略来优化我们的回报。我们通过赚取投资组合的净利息差来产生净利润，该差额是指从我们的投资组合获得的利息收入减去融资、对冲和运营成本。可用于分配的收益被定义为(a) 经济净利息收入、(b) TBA美元回抛收入和CMBX票息收入、(c) 减去已实现的MSR摊销的净服务收入、(d) 其他收入（损失）(不包括无形资产摊销、分配给权益法投资的非EAD收入和其他非EAD组成的其他收入（损失）)、(e) 一般和行政费用 (不包括交易费用和非经常性项目) 以及 (f) 所得税 (不包括非EAD收入（损失）项目的所得税影响)，并排除 (g) 代表在我们的机构抵押支持证券相关的长期预付速度估计季度对季度变化的累计影响，但不包括当前期间的PAA，经由管理层使用，我们相信，分析师和投资者使用它来衡量我们在实现主要业务目标方面的进展。
我们寻求通过各种因素来实现我们的主要业务目标，包括组合构建、市场风险敞口程度及相关对冲配置、杠杆使用和形式，所有这些在我们资本配置政策和风险治理框架的参数范围内运作。
我们认为这些非依照通用会计准则（GAAP）计算的指标，为管理层和投资者提供了关于我们基础营运业绩和投资组合趋势的额外细节，具体表现在(i)调整以考虑换算率变化的不一致报告，其中某些工具反映在GAAP净利润（亏损）中，而其他工具则反映在其他综合收益（损失）中，以及(ii)排除某些未实现的、非现金的或偶发性元件以便于净利润（亏损）按照GAAP计算时。
43

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
提供对我们投资组合营运表现的额外透明度。此外，经济潜能增值(EAD)对于投资者评估我们的表现和支付分红派息的能力是一个有用的指标。以平均股东权益计算的年化EAD收益，为投资者提供有关我们投资的权益资本产生的可分配收益的更多细节。
以下表格将GAAP财务结果与所呈现期间的非GAAP盈利进行调和：
 
截至9月30日三个月的数据：
截至九月三十日止九个月内
 2024202320242023
 (千元美元，每股资料除外)
GAAP净利润（损失）$82,351 $(569,084)$538,692 $(1,247,225)
调整以排除已报告实现和未实现（收益）损失
投资和其他项目的净（收益）损失 (1)
(1,724,051)2,710,208 (161,057)4,025,333 
衍生品的净（收益）损失 (2)
2,071,493 (1,732,753)892,383 (1,496,327)
贷款减值准备（转让）— — — (219)
其他调整
无形资产摊销673 2,384 2,019 3,900 
分红派息投资分配的非EAD（收入）损失 (3)
1,465 (140)1,158 157 
交易费用和非经常性项目 (4)
4,966 1,882 14,032 5,890 
非EAD收入（损失）项目的所得税影响(9,248)9,444 (2,150)30,086 
TBA美元滚动收入和CMBX票券收入 (5)
(1,132)(1,016)729 18,901 
MSR摊销 (6)
(62,480)(49,073)(169,201)(133,793)
归属于非控制股权的EAD(2,893)(3,811)(10,041)(10,625)
保费摊销调整成本（利益）21,365 (6,062)11,046 (17,494)
可供分配收益 *
382,509 361,979 1,117,610 1,178,584 
优先股股息41,628 36,854 115,847 104,495 
归属于普通股股东的可分配收益 *
$340,881 $325,125 $1,001,763 $1,074,089 
普通股的每股GAAP净利润（亏损）$0.05 $(1.21)$0.80 $(2.73)
每股可供派息的盈利 *
$0.66 $0.66 $1.98 $2.18 
年化的依据会计准则的平均权益回报（损失） (7)
2.77 %(20.18 %)6.16 %(14.51 %)
年化对平均股东权益的EAD回报率 *
12.95 %12.96 %12.88 %13.84 %
* 代表非依照通用会计准则之财务指标。有关非依照通用会计准则之财务指标的更多信息，请参阅本节上方的披露。
(1) 这包括在公司综合损益表（损失）的其他净额一栏报告的减损或回收。
(2) 增加汇算净（利得）损失的调整不包括利率掉期的利息成分，该成分反映在可供分配收益中。利率掉期的利息成分分别为2024和2023年9月30日结束的三个月分别为$31750 million和$39470 million，九个月分别为2024和2023年9月30日结束的$94600 million和$12 billion。
(3) 在一组MSR的权益中分摊以其他净额的形式出现的未实现（利得）损失。
(4) 代表与住宅整额贷款证券化相关的成本支出。
(5) TBA美元转借收入和CMBX票利收入各自代表综合损益表（损失）中衍生工具净额（利得）的一部分。CMBX票利收入分别为2024和2023年9月30日结束的三个月分别为$0和$0，九个月分别为2024和2023年9月30日结束的$0和$150 million。
(6) MSR摊销利用购买日现金流假设和实际未支付本金余额进行计算，计算方法为预计MSR收益收益与该时期净服务收益之间的差额。
(7) 年化通用会计准则下的平均权益回报（损失）实现和未实现利得和（损失）年化，可能不代表全年表现，未年化通用会计准则下的平均权益回报（损失）分别为0.69％和（5.04％），分别为2024和2023年9月30日结束的三个月，分别为4.62％和（10.88％），分别为2024和2023年9月30日结束的九个月。

不时我们进行TBA远期合约，作为在投资和融资机构MBS方面的替代手段。 TBA合同是一项协议，用于未来交割，购买或卖出具有指定发行人、期限和票面利率的机构MBS。 TBA美元卷代表一笔交易，同时购买和出售具有相同条款但不同结算日期的TBA合同。通常，较后月份结算的TBA合同价格会打折于较早月份合同，其价格差被常称为“价差”。这个价差反映了投资于类似机构MBS并折算隐含融资成本的预期净利息收入，即与较早月份相比，折算的合同在较后月份结算将放弃的收益。当前结算月份价格和后续结算月份价格间的价差是因为在TBA美元卷市场中，提供融资的一方将保留在融资期间所应计的所有本金和利息支付。因此，TBA美元卷收入通常代表了在基础机构MBS上获得的净利息收入的经济等价值，减去隐含的融资成本。
44

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
TBA美元回拆交易在GAAP下按衍生品交易进行结算。TBA衍生品的公允价值基于类似评估机制评估机制，类似于对机构MBS的价值评估。我们在财务状况表中以公允价值记录TBA衍生品，在我们的综合收益（损失）表中承认公允价值的周期性变动，其中包括衍生品的未实现和实现收益和损失。
TBA美元转手收益是指相同条款但不同结算日期的两份TBA合约之价格差额，乘以TBA合约的名义金额所计算出来的。尽管在会计上属于衍生品，TBA美元转手收益捕捉到基础机构MBS上的净利息收入或持有成本（利息收入减去财务成本的隐含成本）。TBA美元转手收益在综合损益表中作为衍生工具的净收入（损失）的组成部分报告。
CMBX指数是一个合成可交易指数，参考一篮共25档特定评级和年份的商业按揭支援证券。CMBX指数允许投资者在相应的商业按揭支援证券篮上采取多头（称为卖出保护）或空头（称为购买保护）立场，并被结构为“按时间付款”的合约，保护卖方按合约名义金额收取标准化运行票息，而保护买方支付。此外，保护卖方有责任根据发生的基础商业按揭支援证券的本金损失和/或票息差额支付给保护买方。我们在综合损益表中报告CMBX持仓的收入（费用）以及衍生工具的净收益（亏损）。CMBX持仓上的票息支付或收取等同于利息收入（费用），因此包括在可供分配的收益中。

保费摊销费用
根据GAAP，我们将利率期货中的债券贴现或折价摊销入利息收入中，不包括仅限利息型证券、多户和逆向按揭，考虑到未来本金预先还款的估计，依据计算有效收益率。我们重新计算有效收益率，以反映预期和实际预先还款之间的差异。使用第三方模型和市场信息来预测未来现金流和证券预期剩余寿命，为每个证券确定的有效利率被应用为假设自证券收购日期以来一直存在。然后将证券的摊销成本调整为如果新的有效收益率自收购日期以来一直应用则所应存在的金额。对摊销成本的调整与利息收入相抵，通过向上/下调整利息收入。利率变动和其他市场因素将影响预先还款速度预测和在任何给定期间认可的贴现摊销金额。
我们的GAAP指标包括与此方法相关的耗尽和逐步增加的未调整影响。我们某些非GAAP指标排除了PAA的影响，该指标 quantifies 保险费摊销的组件，代表对先前期间的累计影响，但不包括当期，因治变变的估计长期固定提前还款利率（“CPR”）。
下表显示了PAA对我们住宅证券投资组合期间展示的偿付权益产生的影响：
 
截至9月30日三个月的数据：
截至九月三十日止九个月内
 2024202320242023
 （以千美元计）
溢价摊销费用$53,448 $24,272 $90,617 $113,911 
减少：PAA成本（利益）21,365 (6,062)11,046 (17,494)
溢价摊销费用（不包括PAA）$32,083 $30,334 $79,571 $131,405 
经济杠杆和经济资本比率
我们利用资本连同借来的资金，主要投资于与房地产相关的投资，从资产的收益和借款成本以及避险活动的差额中获利。我们的资本结构旨在提供一个有效的资金来源组合，以产生对股东有利的风险调整收益，同时保持足够的流动性以支持我们的业务，在市场压力下履行我们的金融义务。为了维持我们所需的资本结构，我们利用债务和股权筹资的混合方式。债务筹资可能包括回购协议的使用、贷款、证券化、参与发行、信用额度、资产支持的放款设施、公司债券发行、可转债或其他负债。股本主要包括普通股和优先股。
45

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
我们的经济杠杆比率是由追索债务总额、TBA衍生工具成本基础和净远期投资（销售）额加总后，除以总权益计算而得。 追索债务包括回购协议、其他获得担保融资和出售但尚未购回的美国国库券。 由证券化车辆发行的债务和发行的参与权益对我们无追索权，因此不计入经济杠杆比率。
以下表格呈现了将GAAP债务与经济债务进行调解，以计算所呈现期间我们的经济杠杆比率。
截至日期
2024年9月30日2023年9月30日
经济杠杆比率调解
（以千美元计）
回购协议
$64,310,276 $64,693,821 
其他已抵押融资
600,000 500,000 
由证券化车辆发行的债务
18,709,118 9,983,847 
已发行的参与权益
467,006 788,442 
已售出的美国国库证券，但尚未购入2,043,519 — 
总GAAP债务
$86,129,919 $75,966,110 
减去非追索债务：
由证券化车辆发行的债务
$(18,709,118)$(9,983,847)
已发行的参与权益
(467,006)(788,442)
总追索债务$66,953,795 $65,193,821 
加上/（减去）：
TBA衍生品的成本基础
3,333,873 1,965,117 
未结交易应付款项1,885,286 2,214,319 
未结交易应收款项(766,341)(1,047,566)
经济债务 *
$71,406,613 $68,325,691 
总股本
$12,539,949 $10,677,057 
经济杠杆比率 *
5.7:16.4:1
* 代表一项非普遍会计准则财务指标。有关非普遍会计准则财务指标的其他资讯，请参阅本节内的披露。
以下表格呈现了为了计算我们经济资本比率而将GAAP总资产调节为经济总资产的和解表:
截至日期
2024年9月30日2023年9月30日
经济资本比率对帐调节
（以千美元计）
总GAAP资产
$101,515,995 $89,648,423 
扣除：
TBA衍生工具的未实现总收益 (1)
(2,869)(7,232)
由证券化车辆发行的债务
(18,709,118)(9,983,847)
加上：
TBA衍生品的隐含市值
3,328,141 1,925,614 
总经济资产 *
$86,132,149 $81,582,958 
总股本
$12,539,949 $10,677,057 
经济资本比率 (2) *
14.6%13.1%
* 代表一个非GAAP财务指标。请参考本节内的披露以获取有关非GAAP财务指标的额外信息。
(1) 包含在财务状况合并报表的衍生资产中。
(2) 经济资本比率是以总权益除以总经济资产来计算。

利息收入（不包括PAA）、经济利息费用和经济净利息收入（不包括PAA）
利息收入（不包括PAA）代表除掉保费摊销调整影响的利息收入，并作为计算净利息收益率（不包括PAA）、利息差（不包括PAA）和净利息收益率（不包括PAA）的基础，下面将讨论这些。我们认为这个指标能够通过排除代表我们机构抵押支持证券（除了仅计息证券、多户和反向按揭）预估长期偿还速度的逐季变化的累计影响的保费摊销费用来提供管理层和投资者额外的细节，以增进他们对我们营运业绩和趋势的理解，因为这能够遮蔽投资组合表现中的潜在趋势。
46

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
经济利息费用包括GAAP利息费用、利率互换合约的净利息组成（其中包括与利率互换合约相关的变动保证金的净利息和与利率互换合约相关的初始保证金的净利息），该费用在公司综合损益表中的其他净额中汇报。我们使用利率互换合约来管理我们对回购协议上变动利率的风险，通过经济上对这些借款相关的现金流进行对冲。因此，将利率互换合约的净利息组成添加到按照GAAP计算的利息费用中，反映了总合同利息费用，因此为投资者提供了有关我们融资策略成本的额外信息。我们可能使用市场协定的优惠券（“MAC”）利率互换合约，我们可能在进入此类利率互换合约时收到或支付款项，以补偿此类利率互换合约的非市价特性。根据GAAP，与MAC利率互换合约相关的预付款不反映在利率互换合约的净利息组成中，该部分呈现于综合损益表的衍生工具净收益（损失）。
同样地，经济净利息收入（不包括PAA），如下所计算的，为投资者提供额外资讯，以增进他们对我们主要业务运营的净经济状况的理解。
以下表格展示了根据GAAP计算的利息收入和利息支出与非GAAP利息收入（不包括PAA）、经济利息支出和经济净利息收入（不包括PAA）的调解，分别为所呈现的期间：
利息收入（不包括PAA）
 按照美国绩效财务报告准则计算的利息收入PAA成本
(利益)
利息收入（不包括PAA） *
截至三个月结束时（以千美元计）
2024年9月30日$1,229,341 $21,365 $1,250,706 
2023年9月30日$1,001,485 $(6,062)$995,423 
截至九个月结束时
2024年9月30日$3,501,154 $11,046 $3,512,200 
2023年9月30日$2,741,229 $(17,494)$2,723,735 
* 代表一项非普通会计原则财务指标。有关非普通会计原则财务指标的更多信息，请参阅本部分上方的披露。
经济利息费用及经济净利息收入（不含PAA）
 GAAP
利息
费用		添加：利率互换的净利息组件和初始保证金的净利息经济利益
支出 *		GAAP净损
利息
收入		减少：净利息组件
利率掉期的利息交换和初始保证金的净利息		经济
净利息
收入*		添加：PAA
成本
(利益)		经济净利息收入（不含PAA）*
截至三个月结束时（以千美元计）
2024年9月30日$1,215,940 $(333,696)$882,244 $13,401 $(333,696)$347,097 $21,365 $368,462 
2023年9月30日$1,046,819 $(394,677)$652,142 $(45,334)$(394,677)$349,343 $(6,062)$343,281 
截至九个月结束时
2024年9月30日$3,440,646 $(981,142)$2,459,504 $60,508 $(981,142)$1,041,650 $11,046 $1,052,696 
2023年9月30日$2,799,063 $(1,205,676)$1,593,387 $(57,834)$(1,205,676)$1,147,842 $(17,494)$1,130,348 
* 代表一个非根据美国一般会计准则的财务指标。请参阅本节上方有关非根据美国一般会计准则的财务指标的披露。

已经达到并预测长期CPR
预付速度（由CPR和利率期货反映）根据投资类型、金融市场条件、竞争以及其他因素而变化，这些因素都无法确定性地预测。一般而言，随著我们机构MBS投资组合的预付速度和预期预付速度增加，相关的购买溢价摊销也会增加，从而降低该等资产的收益率。以下表格显示了我们机构MBS投资组合截至并按照所呈交的期间的加权平均CPR和加权平均预期长期CPR。
47

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
 
经验丰富的CPR (1)
预计长期CPR (2)
截至三个月结束时
2024年9月30日7.6 %11.9 %
2023年9月30日7.3 %7.1 %
截至九个月结束时
2024年9月30日7.0 %11.9 %
2023年9月30日6.6 %7.1 %
(1) 截至2024年和2023年9月30日三个月和九个月的期间分别为。
(2) 分别为2024年和2023年9月30日。

利息收入资产（不包括PAA）的平均收益率、净利息差（不包括PAA）、净利息收益率（不包括PAA）和融资负债的平均经济成本
净利息收益率(不包括PAA)，即利息收益资产(不包括PAA)平均收益率与利息负债平均经济成本之间的差额，代表了年化经济利息费用除以平均利息负债，而净利息收益率(不包括PAA)则是由利息收入(不包括PAA)加上TBA dollar roll收入和CMBX优惠券收入减去经济利息费用除以平均利息资产加平均TBA合约和CMBX余额之和计算而得，为管理层提供了业绩监控所依赖的额外盈利性衡量指标。
对以下所呈现的这些措施的披露，为投资者提供了有关管理层如何评估我们表现的额外细节。
净利息差（不包括PAA）
 
平均利息收入
资产 (1)
利息收入（不包括PAA） *
平均收益率（不含PAA的利息收入资产) *
平均利息轴承负债 (2)
经济利息支出 * (2)
利息负债的平均经济成本* (2)
经济净利息收入（不含PAA) *
净利息融通（不包括PAA） *
截至三个月结束时（以千美元计）
2024年9月30日$95,379,071 $1,250,706 5.25 %$87,819,655 $882,244 3.93 %$368,462 1.32 %
2023年9月30日$89,300,922 $995,423 4.46 %$77,780,989 $652,142 3.28 %$343,281 1.18 %
截至九个月结束时
2024年9月30日$92,042,244 $3,512,200 5.09 %$83,467,666 $2,459,504 3.87 %$1,052,696 1.22 %
2023年9月30日$86,066,958 $2,723,735 4.22 %$74,613,728 $1,593,387 2.82 %$1,130,348 1.40 %
* 代表一项非依照通用会计原则的财务指标。详细资讯请参阅《非依照通用会计原则的财务指标》部分。
(1) 基于摊销成本。
(2) 平均利息负债余额反映了该期间的平均余额。 利息载借费用的经济成本代表以平均利息负债除以年化经济利息费用。 经济利息费用包括依照通用会计原则的利息费用、利率互换的净利息组成部分，以及从2024年6月30日完结的季度起，与利率互换相关的初始保证金的净利息，该费用列报在公司综合损益表（损失）的其他项目中。 与此次变动相符的往期结果未依据此变动调整，因其影响并不重要。 利率互换相关变动保证金的净利息以前和目前已包含在公司综合损益表（损失）中的利率互换的净利息中，并适用于所呈报的所有期间。

净利息收益率（不含PAA）
 
利息收入（不包括PAA） *
TBA美元转优化及CMBX票息收入 (1)
经济利息费用 *小计平均利息收入资产平均TBA合约及CMBX余额小计净利息收益率 (不包括PAA) *
截至三个月结束时（以千美元计）
2024年9月30日$1,250,706 (1,132)(882,244)$367,330 $95,379,071 973,713 $96,352,784 1.52 %
2023年9月30日$995,423 (1,016)(652,142)$342,265 $89,300,922 2,960,081 $92,261,003 1.48 %
截至九个月结束时
2024年9月30日$3,512,200 729 (2,459,504)$1,053,425 $92,042,244 707,431 $92,749,675 1.51 %
2023年9月30日$2,723,735 18,901 (1,593,387)$1,149,249 $86,066,958 7,737,723 $93,804,681 1.63 %
* 代表一项非依照普遍会计原则之财务指标。请参阅「非依照普遍会计原则之财务指标」部分以获取更多资讯。
(1) TBA美元回滚收入和CMBX优惠券收入各代表利息收益率上的一个组成部分。截至2024年9月30日和2023年，CMBX优惠券收入分别为0美元和0美元。截至2024年9月30日和2023年，CMBX优惠券收入分别为0美元和150万美元。
48

安纳里资本管理公司及其附属公司
项目 2. 管理层讨论及分析
经济利息支出和利息负债的平均经济成本
通常，我们最大的支出是利息负债的成本和利率掉期的净利息成分。以下的表格显示了我们平均的利息负债和利息负债的平均经济成本，与所呈现期间的平均一个月和平均六个月的SOFR进行比较。
利息载息负债的平均经济成本
 平均价格
带利息
负债		Interest Bearing Liabilities at
期末
经济
利息
Expense * (1)
平均经济轴承
成本
利息
轴承
负债 *
平均价格
公司一-
月份
SOFR利率 		平均价格
六-
月份
SOFR词汇		平均价格
一个月期SOFR利率
相对于
六个月期平均SOFR
六个月期SOFR 		平均经济成本
利息的计算
轴承
负债
相对于
一个月期平均
每月期SOFR		平均经济成本
利息的计算
轴承
负债
相对于
平均六个月期SOFR
截至三个月结束时
2024年9月30日$87,819,655 $85,529,919 $882,244 3.93 %5.22 %4.82 %0.40 %(1.29 %)(0.89 %)
2023年9月30日$77,780,989 $75,466,110 $652,142 3.28 %5.29 %5.44 %(0.15 %)(2.01 %)(2.16 %)
截至九个月结束时
2024年9月30日$83,467,666 $85,529,919 $2,459,504 3.87 %5.29 %5.10 %0.19 %(1.42 %)(1.23 %)
2023年9月30日$74,613,728 $75,466,110 $1,593,387 2.82 %4.98 %5.17 %(0.19 %)(2.16 %)(2.35 %)
* 代表一项非依照通用会计准则记录的财务衡量指标。有关详细信息，请参阅“非依照通用会计准则记录的财务衡量指标”部分。
(1) 经济利息费用由通用会计准则的利息费用、利率互换的净利息组成，以及从2024年6月30日结束的季度开始，与利率互换相关的初始保证金的净利息，该项费用列示在公司综合损益表中的其他项目中。从这一变更开始已结束的季度开始到报告期结束并未依照这一变更进行调整，因影响并未造成实质性变动。与利率互换相关的抵押变动保证金的净利息在过往的各期间中，以前和目前已包括在公司综合损益表的利率互换的净利息组成中。

Economic interest expense increased by $230.1 million for the three months ended September 30, 2024, compared to the same period in 2023, primarily due to higher interest expense on securitized debt and repurchase agreements reflecting higher borrowing rates and higher average interest bearing liabilities, as well as the reduction in the net interest component of interest rate swaps, which was $317.5 million for the three months ended September 30, 2024, compared to $394.7 million for the same period in 2023.
Economic interest expense increased by $866.1 million for the nine months ended September 30, 2024 compared to the same period in 2023, primarily due to higher interest expense on securitized debt and repurchase agreements reflecting higher borrowing rates and higher average interest bearing liabilities as well as the reduction in the net interest component of interest rate swaps, which was $946.0 million for the nine months ended September 30, 2024 compared to $1.2 billion for the same period in 2023.
We do not manage our portfolio to have a pre-designated amount of borrowings at quarter or year end. Our borrowings at period end are a snapshot of our borrowings as of a date, and this number may differ from average borrowings over the period for a number of reasons. The mortgage-backed securities we own pay principal and interest towards the end of each month and the mortgage-backed securities we purchase are typically settled during the beginning of the month. As a result, depending on the amount of mortgage-backed securities we have committed to purchase, we may retain the principal and interest we receive in the prior month, or we may use it to pay down our borrowings. Moreover, we generally use interest rate swaps, swaptions and other derivative instruments to hedge our portfolio, and as we pledge or receive collateral under these agreements, our borrowings on any given day may be increased or decreased. Our average borrowings during a quarter may differ from period end borrowings as we implement our portfolio management strategies and risk management strategies over changing market conditions by increasing or decreasing leverage. Additionally, these numbers may differ during periods when we conduct equity capital raises, as in certain instances we may purchase additional assets and increase leverage in anticipation of an equity capital raise. Since our average borrowings and period end borrowings can be expected to differ, we believe our average borrowings during a period provide a more accurate representation of our exposure to the risks associated with leverage than our period end borrowings.
At September 30, 2024 and December 31, 2023, the majority of our debt represented repurchase agreements and other secured financing arrangements collateralized by a pledge of our Residential Securities, residential mortgage loans, and MSR. All of our Residential Securities are currently accepted as collateral for these borrowings. However, we limit our borrowings, and thus our potential asset growth, in order to maintain unused borrowing capacity and maintain the liquidity and strength of our balance sheet.
49

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

Other Income (Loss)
For the Three Months Ended September 30, 2024 and 2023

Net Gains (Losses) on Investments and Other
Net gains (losses) on disposal of investments was ($169.1) million for the three months ended September 30, 2024, compared to ($616.5) million for the same period in 2023. For the three months ended September 30, 2024, we disposed of Residential Securities with a carrying value of $2.8 billion for an aggregate net gain (loss) of ($8.3) million. For the same period in 2023, we disposed of Residential Securities, with a carrying value of $6.9 billion for an aggregate net gain (loss) of ($602.6) million.
Realized gains (losses) on U.S. Treasury securities sold, not yet purchased was ($117.1) million for the three months ended September 30, 2024, compared to $0 for the same period in 2023.
Net unrealized gains (losses) on instruments measured at fair value through earnings was $1.9 billion for the three months ended September 30, 2024, compared to ($2.1) billion for the same period in 2023, primarily due to favorable changes in unrealized gains (losses) on Agency MBS of $3.8 billion, securitized residential whole loans of consolidated VIEs of $953.6 million, residential credit securities of $61.6 million, U.S. Treasury securities sold, not yet purchased of $29.1 million, and residential whole loans of $23.3 million, partially offset by unfavorable changes in residential securitized debt of consolidated VIEs of ($725.3) million, MSR of ($114.2) million, and CRT securities of ($19.4) million.
Net Gains (Losses) on Derivatives
Net gains (losses) on interest rate swaps for the three months ended September 30, 2024 was ($1.4) billion compared to $1.9 billion for the same period in 2023, primarily attributable to unfavorable changes in unrealized gains (losses) on interest rate swaps, realized gains (losses) on interest rate swaps and net interest component of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($1.6) billion for the three months ended September 30, 2024, compared to $1.5 billion for the same period in 2023. Realized gains (losses) on termination of interest rate swaps was ($94.0) million for the three months ended September 30, 2024, compared to $16.4 million for the same period in 2023, which reflected our termination of fixed-rate payer interest rate swaps with notional amounts of $5.1 billion, compared to notional amounts of $1.1 billion and $300.0 million of fixed-rate payer and receiver interest rate swaps for the same period in 2023. Net interest component on interest rate swaps was $317.5 million for the three months ended September 30, 2024, compared to $394.7 million for the same period in 2023.
Net gains (losses) on other derivatives was ($395.0) million for the three months ended September 30, 2024, compared to $240.8 million for the same period in 2023. The change in net gains (losses) on other derivatives was primarily due to unfavorable changes in net gains (losses) on futures, which was ($291.5) million for the three months ended September 30, 2024, compared to $441.0 million for the same period in 2023, and net gains (losses) on interest rate swaptions, which was ($135.0) million for the three months ended September 30, 2024, compared to ($78.9) million for the same period in 2023, partially offset by a favorable change in net gains (losses) on TBA derivatives, which was $22.4 million for the three months ended September 30, 2024, compared to ($123.7) million for the same period in 2023.

Other, Net
Other, net includes brokerage and commission fees, due diligence costs, securitization expenses, and interest on custodial balances. 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. Given the nature of certain components of this line item, balances may fluctuate from period to period. Other, net for the three months ended September 30, 2024 was $27.4 million compared to $26.3 million for the same period in 2023, primarily attributable to an increase in interest on custodial balances and decrease in asset write-downs, partially offset by an increase in securitization related costs and MSR financing expenses.

For the Nine Months Ended September 30, 2024 and 2023

Net Gains (Losses) on Investments and Other
Net gains (losses) on disposal of investments and other was ($1.1) billion for the nine months ended September 30, 2024 compared to ($1.7) billion for the same period in 2023. For the nine months ended September 30, 2024, we disposed of Residential Securities with a carrying value of $16.0 billion for an aggregate net gain (loss) of ($821.5) million. For the same
50

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
period in 2023, we disposed of Residential Securities with a carrying value of $20.5 billion for an aggregate net gain (loss) of ($1.7) billion.
Realized gains (losses) on U.S. Treasury securities sold, not yet purchased was ($126.0) million for the nine months ended September 30, 2024, compared to $0 for the same period in 2023.
Net unrealized gains (losses) on instruments measured at fair value through earnings was $1.2 billion for the nine months ended September 30, 2024 compared to ($2.3) billion for the same period in 2023, primarily due to favorable changes on Agency MBS of $3.2 billion, securitized residential whole loans of consolidated VIEs of $831.3 million, U.S. Treasury securities sold, not yet purchased of $117.5 million, non-Agency MBS of $109.7 million, and participations issued of $24.3 million partially offset by unfavorable changes in unrealized gains (losses) on securitized debt of consolidated VIEs of ($553.1) million, mortgage servicing rights of ($131.1) million, CRT securities of ($56.9) million, and residential whole loans of ($35.7) million.

Net Gains (Losses) on Derivatives
Net gains (losses) on interest rate swaps for the nine months ended September 30, 2024 was $265.4 million compared to $2.5 billion for the same period in 2023, attributable to unfavorable changes in unrealized gains (losses) on interest rate swaps, the change in the net interest component of interest rate swaps and realized gains (losses) on termination of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($584.1) million for the nine months ended September 30, 2024 compared to $1.4 billion for the same period in 2023. Net interest component on interest rate swaps was $946.0 million for the nine months ended September 30, 2024 compared to $1.2 billion for the same period in 2023. Realized gains (losses) on termination of interest rate swaps was ($96.5) million for the nine months ended September 30, 2024, compared to ($81.3) million for the same period in 2023, which reflected our termination of fixed-rate payer and receiver interest rate swaps with notional amounts of $7.7 billion and $3.3 billion, compared to fixed-rate payer and receiver interest rate swaps with notional amounts of $4.2 billion and $6.6 billion for the same period in 2023.
Net gains (losses) on other derivatives was ($211.7) million for the nine months ended September 30, 2024 compared to $216.6 million for the same period in 2023. The change in net gains (losses) on other derivatives was primarily due to unfavorable changes in net gains (losses) on futures, which was ($152.1) million for the nine months ended September 30, 2024 compared to $415.7 million for the same period in 2023, and net gains (losses) on interest rate swaptions, which was ($92.8) million for the nine months ended September 30, 2024 compared to ($69.2) million for the same period in 2023, partially offset by a favorable change in TBA derivatives, which was $28.3 million for the nine months ended September 30, 2024 compared to ($123.7) million for the same period in 2023.

Other, Net
Other, net for the nine months ended September 30, 2024 was $75.6 million compared to $50.9 million for the same period in 2023, primarily attributable to an increase in interest on custodial balances and decrease in asset write-downs, partially offset by an increase in securitization related costs and MSR financing expenses.
General and Administrative Expenses
General and administrative (“G&A”) expenses consist of compensation and other expenses. The following table shows our total G&A expenses as compared to average total assets and average equity for the periods presented.
G&A Expenses and Operating Expense Ratios
 Total G&A
Expenses 		Total G&A Expenses/Average AssetsTotal G&A Expenses/Average Equity
For the three months ended(dollars in thousands)
September 30, 2024$43,921 0.18 %1.48 %
September 30, 2023$39,909 0.18 %1.41 %
For the nine months ended
September 30, 2024$127,382 0.18 %1.46 %
September 30, 2023$123,652 0.19 %1.44 %

G&A expenses were $43.9 million for the three months ended September 30, 2024, an increase of $4.0 million compared to the same period in 2023. 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.
51

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
G&A expenses were $127.4 million for the nine months ended September 30, 2024, an increase of $3.7 million compared to the same period in 2023. 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.

Return on Average Equity
The following table shows the components of our annualized return on average equity for the periods presented.
Components of Annualized Return on Average Equity
 
Economic Net Interest Income/ Average Equity (1)
Net Servicing Income/Average Equity
Other Income (Loss)/Average Equity (2)
G&A Expenses/ Average EquityIncome
Taxes/ Average Equity		Return on
Average Equity
For the three months ended      
September 30, 202411.12 %3.68 %(10.76 %)(1.48 %)0.21 %2.77 %
September 30, 202312.39 %3.12 %(33.84 %)(1.41 %)(0.44 %)(20.18 %)
For the nine months ended
      
September 30, 202411.51 %3.66 %(7.49 %)(1.46 %)(0.06 %)6.16 %
September 30, 202313.35 %2.78 %(28.76 %)(1.44 %)(0.44 %)(14.51 %)
(1) Economic net interest income includes 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 Statement of Comprehensive Income (Loss).
(2) Other income (loss) excludes the net interest component of interest rate swaps.

Unrealized Gains and Losses - Available-for-Sale Investments
The unrealized fluctuations in market values of our available-for-sale Agency MBS, for which the fair value option is not elected, do not impact our GAAP net income (loss) but rather are reflected on our balance sheet by changing the carrying value of the asset and stockholders’ equity under accumulated other comprehensive income (loss). As a result of this fair value accounting treatment, our book value and book value per share are likely to fluctuate far more than if we used amortized cost accounting. As a result, comparisons with companies that use amortized cost accounting for some or all of their balance sheet may not be meaningful.
The following table shows cumulative unrealized gains and losses on our available-for-sale investments reflected in the Consolidated Statements of Financial Condition.
 September 30, 2024December 31, 2023
 (dollars in thousands)
Unrealized gain$6,142 $5,051 
Unrealized loss(718,345)(1,340,451)
Accumulated other comprehensive income (loss)$(712,203)$(1,335,400)
Unrealized changes in the estimated fair value of available-for-sale investments may have a direct effect on our potential earnings and dividends: positive changes will increase our equity base and allow us to increase our borrowing capacity while negative changes tend to reduce borrowing capacity. A very large negative change in the net fair value of our available-for-sale Residential Securities might impair our liquidity position, requiring us to sell assets with the potential result of realized losses upon sale.
The fair value of these securities being less than amortized cost at September 30, 2024 is solely due to market conditions and not the quality of the assets. Substantially all of the Agency MBS have an actual or implied credit rating that is the same as that of the U.S. government. 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. Also, we are guaranteed payment of the principal and interest amounts of the securities by the respective issuing Agency.

Financial Condition
Total assets were $101.5 billion and $93.2 billion at September 30, 2024 and December 31, 2023, respectively. The change was primarily due to increases in securitized residential whole loans of consolidated VIEs of $7.7 billion, securities of $2.1 billion, mortgage servicing rights of $570.9 million, and cash and cash equivalents of $148.0 million, partially offset by decreases in
52

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
receivables for unsettled trades of $1.9 billion and principal and interest receivable of $161.7 million. Our portfolio composition, net equity allocation and debt-to-net equity ratio by asset class were as follows at September 30, 2024.
 Agency MBS
Residential Credit (1)
MSRTotal
Assets(dollars in thousands)
Fair value$69,150,399 $25,899,398 $2,693,057 $97,742,854 
Implied market value of derivatives (2)
3,328,141 — — 3,328,141 
Debt
Repurchase agreements59,828,936 4,481,340 — 64,310,276 
Implied cost basis of derivatives (2)
3,333,873 — — 3,333,873 
Other secured financing— — 600,000 600,000 
Debt issued by securitization vehicles— 18,709,118 — 18,709,118 
Participations issued— 467,006 — 467,006 
U.S. Treasury securities sold, not yet purchased2,016,681 57,927 (31,089)2,043,519 
Net forward purchases1,084,072 — 34,873 1,118,945 
Other
Net other assets / liabilities1,387,305 204,559 459,827 2,051,691 
Net equity allocated$7,602,283 $2,388,566 $2,549,100 $12,539,949 

Net equity allocated (%)61 %18 %21 %100 %
Debt/net equity ratio (3)
7.9:19.9:10.2:16.9:1
(1) Fair value includes residential loans held for sale, commercial assets and liabilities and assets and liabilities associated with non-controlling interests.
(2) Derivatives include TBA contracts under Agency MBS.
(3) Represents the debt/net equity ratio as determined using amounts in the Consolidated Statements of Financial Condition.

Residential Securities
Substantially all of our Agency MBS at September 30, 2024 and December 31, 2023 were backed by single-family residential mortgage loans and were secured with a first lien position on the underlying single-family properties. Our mortgage-backed securities were largely Fannie Mae, Freddie Mac, or Ginnie Mae pass through certificates or CMOs, which have an actual or implied credit rating that is the same as that of the U.S. government. We carry all of our Agency MBS at fair value in the Consolidated Statements of Financial Condition.
We accrete discount balances as an increase to interest income over the expected life of the related interest earning assets and we amortize premium balances as a decrease to interest income over the expected life of the related interest earning assets. At September 30, 2024 and December 31, 2023, we had in our Consolidated Statements of Financial Condition a total of $1.3 billion and $1.4 billion, respectively, of unamortized discount (which is the difference between the remaining principal value and current amortized cost of our Residential Securities acquired at a price below principal value) and a total of $2.4 billion and $2.4 billion, respectively, of unamortized premium (which is the difference between the remaining principal value and the current amortized cost of our Residential Securities acquired at a price above principal value).
The weighted average experienced prepayment speed on our Agency MBS portfolio for the three months ended September 30, 2024 and 2023 was 7.6% and 7.3%, respectively. The weighted average projected long-term prepayment speed on our Agency MBS portfolio as of September 30, 2024 and 2023 was 11.9% and 7.1%, respectively.
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. 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.





53

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
The following table presents our Residential Securities that were carried at fair value at September 30, 2024 and December 31, 2023.
 September 30, 2024December 31, 2023
 Estimated Fair Value
Agency
Fixed-rate pass-through$64,792,957 $62,198,941 
Adjustable-rate pass-through169,334 191,489 
CMO79,404 82,972 
Interest-only379,638 264,005 
Multifamily3,702,260 3,544,528 
Reverse mortgages26,806 26,853 
Total agency securities$69,150,399 $66,308,788 
Residential credit 
Credit risk transfer$826,841 $974,059 
Alt-A168,295 150,235 
Prime34,963 180,647 
Subprime257,792 235,605 
NPL/RPL993,248 1,197,555 
Prime jumbo (>= 2010 vintage)162,398 344,232 
Total residential credit securities$2,443,537 $3,082,333 
Total Residential Securities$71,593,936 $69,391,121 
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, 2024 and December 31, 2023.
 September 30, 2024December 31, 2023
Residential Securities (1)
(dollars in thousands)  
Principal amount$70,485,285 $70,078,626 
Net premium112,585 63,902 
Amortized cost70,597,870 70,142,528 
Amortized cost / principal amount100.16 %100.09 %
Carrying value70,658,101 68,701,769 
Carrying value / principal amount100.25 %98.04 %
Weighted average coupon rate5.00 %4.68 %
Weighted average yield4.92 %4.64 %
Adjustable-rate Residential Securities (1)
Principal amount$1,026,575 $1,206,700 
Weighted average coupon rate8.96 %8.79 %
Weighted average yield8.04 %8.09 %
Weighted average term to next adjustment (2)
7 Months8 Months
Weighted average lifetime cap (3)
9.33 %9.34 %
Principal amount at period end as % of total residential securities1.46 %1.72 %
Fixed-rate Residential Securities (1)
Principal amount$69,458,710 $68,871,926 
Weighted average coupon rate4.94 %4.61 %
Weighted average yield4.87 %4.58 %
Principal amount at period end as % of total residential securities98.54 %98.28 %
Interest-only Residential Securities
Notional amount$34,832,800 $25,918,105 
Net premium1,012,067 865,467 
Amortized cost1,012,067 865,467 
Amortized cost / notional amount2.91 %3.34 %
Carrying value935,835 689,352 
Carrying value / notional amount2.69 %2.66 %
Weighted average coupon rate0.49 %0.43 %
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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
Weighted average yield0.03 %NM
(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.
NM Not meaningful.
The following tables summarize certain characteristics of our Residential Credit portfolio at September 30, 2024.
Payment Structure
Investment Characteristics (1)
ProductEstimated Fair ValueSeniorSubordinateCouponCredit Enhancement60+
Delinquencies
3M VPR (2)
(dollars in thousands)
Credit risk transfer$826,841 $— $826,841 9.75 %1.71 %0.89 %5.57 %
Alt-A168,295 — 168,295 7.08 %9.54 %3.38 %14.16 %
Prime34,963 22,371 12,592 4.17 %0.75 %1.75 %4.58 %
Subprime257,792 60,988 196,804 7.32 %23.71 %13.09 %11.88 %
Re-performing loan securitizations605,931 388,225 217,706 6.02 %27.75 %27.77 %19.19 %
Non-performing loan securitizations387,317 356,504 30,813 6.39 %37.16 %76.82 %9.69 %
Prime jumbo (>=2010 vintage)162,398 90,565 71,833 5.28 %1.03 %0.58 %4.60 %
Total/weighted average$2,443,537 $918,653 $1,524,884 7.49 %17.54 %21.89 %10.93 %
(1) Investment characteristics exclude the impact of interest-only securities.
(2) Represents the 3 month voluntary prepayment rate (“VPR”).
Bond Coupon
ProductARMFixedFloaterInterest-OnlyEstimated Fair Value
(dollars in thousands)
Credit risk transfer$— $— $826,841 $— $826,841 
Alt-A1,311 166,984 — — 168,295 
Prime— 19,068 — 15,895 34,963 
Subprime— 237,485 20,232 75 257,792 
Re-performing loan securitizations— 605,931 — — 605,931 
Non-performing loan securitizations— 387,317 — — 387,317 
Prime jumbo (>=2010 vintage)— 51,901 19,931 90,566 162,398 
Total$1,311 $1,468,686 $867,004 $106,536 $2,443,537 

Contractual Obligations
The following table summarizes the effect on our liquidity and cash flows from contractual obligations at September 30, 2024. The table does not include the effect of net interest rate payments on our interest rate swap agreements. The net swap payments will fluctuate based on monthly changes in the receive rate. At September 30, 2024, the interest rate swaps had a net fair value of ($56.2) million.
 Within One
Year		One to Three
Years		Three to Five
Years		More than
Five Years		Total
 (dollars in thousands)
Repurchase agreements$63,976,259 $334,017 $— $— $64,310,276 
Interest expense on repurchase agreements (1)
317,215 12,422 — — 329,637 
Other secured financing225,000 375,000 — — 600,000 
Interest expense on other secured financing (1)
36,423 5,632 — — 42,055 
Debt issued by securitization vehicles (principal)— — — 19,307,363 19,307,363 
Interest expense on debt issued by securitization vehicles1,017,718 2,035,436 2,035,436 31,485,371 36,573,961 
Participations issued (principal)— — — 448,907 448,907 
Interest expense on participations issued32,992 65,983 65,983 819,176 984,134 
Long-term operating lease obligations4,113 525 90 — 4,728 
Total$65,609,720 $2,829,015 $2,101,509 $52,060,817 $122,601,061 
(1) Interest expense on repurchase agreements and other secured financing calculated based on rates at September 30, 2024.
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Item 2. Management’s Discussion and Analysis
In the coming periods, we expect to continue to finance our Residential Securities in a manner that is largely consistent with our current operations via repurchase agreements. We may use securitization structures, credit facilities, or other term financing structures to finance certain of our assets. During the nine months ended September 30, 2024, we received $4.9 billion from principal repayments and $17.3 billion in cash from disposal of Securities. During the nine months ended September 30, 2023, we received $4.7 billion from principal repayments and $18.7 billion in cash from disposal of Securities.
Commitments and Contractual Obligations with Unconsolidated Entities
We do not have any commitments or contractual obligations arising from arrangements with unconsolidated entities that have or are reasonably likely to have a material effect on our financial condition, revenues or expenses, results of operations, liquidity, cash requirements or capital resources.

Capital Management

Maintaining a strong balance sheet that can support the business even in times of economic stress and market volatility is of critical importance to our business strategy. A strong and robust capital position is essential to executing our investment strategy. Our capital strategy is predicated on a strong capital position, which enables us to execute our investment strategy regardless of the market environment. Our capital policy defines the parameters and principles supporting a comprehensive capital management practice.
The major risks impacting capital are liquidity and funding risk, investment/market risk, credit risk, counterparty risk, operational risk and compliance, regulatory and legal risk. For further discussion of the risks we are subject to, please see Part I, Item 1A. “Risk Factors” in our most recent Annual Report on Form 10-K and in Part II, Item 1A. “Risk Factors” in this Quarterly Report on Form 10-Q.
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. In the event we fall short of our internal thresholds, we will consider appropriate actions which may include asset sales, changes in asset mix, reductions in asset purchases or originations, issuance of capital or other capital enhancing or risk reduction strategies.

Stockholders’ Equity
The following table provides a summary of total stockholders’ equity at September 30, 2024 and December 31, 2023:
 September 30, 2024December 31, 2023
Stockholders’ equity(dollars in thousands)
6.95% Series F fixed-to-floating rate cumulative redeemable preferred stock696,910 696,910 
6.50% Series G fixed-to-floating rate cumulative redeemable preferred stock411,335 411,335 
6.75% Series I fixed-to-floating rate cumulative redeemable preferred stock428,324 428,324 
Common stock5,580 5,001 
Additional paid-in capital24,851,604 23,672,391 
Accumulated other comprehensive income (loss)(712,203)(1,335,400)
Accumulated deficit(13,238,288)(12,622,768)
Total stockholders’ equity$12,443,262 $11,255,793 

Capital Stock
Common Stock
In January 2022, we announced that our Board authorized the repurchase of up to $1.5 billion of our outstanding shares of common stock through December 31, 2024 (the “Share Repurchase Program”). During the three and nine months ended September 30, 2024 and 2023, no shares were purchased under the Share Repurchase Program.

On August 6, 2020, we entered into separate Amended and Restated Distribution Agency Agreements (as amended by Amendment No. 1 to the Amended and Restated Distribution Agency Agreements on August 6, 2021, and Amendment No. 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. LLC, Keefe, Bruyette & Woods, Inc., J.P. Morgan Securities LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Prior Sales Agents”). Pursuant to the Prior Sales Agreements, we offered and sold shares of
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Item 2. Management’s Discussion and Analysis
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”).
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. LLC, J.P. 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. Under the terms of the Sales Agreements, we may offer and sell shares of its 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").
During the three and nine months ended September 30, 2024, under the at-the-market sales program, we issued 57.0 million and 57.6 million shares for proceeds of $1.1 billion and $1.2 billion, respectively, each net of commissions and fees. During the three and nine months ended September 30, 2023, under the at-the-market sales program, we issued 0.9 million and 26.2 million shares for proceeds of $17.8 million and $580.5 million, respectively, each net of commissions and fees. Refer to the “Capital Stock” Note located within Item 1 for additional information related to the at-the-market sales program.
Preferred Stock
On November 3, 2022, our Board approved a repurchase plan for all of our existing outstanding Preferred Stock (as defined below, the “Preferred Stock Repurchase Program”). Under the terms of the plan, we are authorized to repurchase up to an aggregate of 63,500,000 shares of Preferred Stock, comprised of up to (i) 28,800,000 shares of our 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series F Preferred Stock”), (ii) 17,000,000 shares of our 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series G Preferred Stock”), and (iii) 17,700,000 shares of our 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series I Preferred Stock”, and together with Series F Preferred Stock and Series G Preferred Stock, the “Preferred Stock”). The aggregate liquidation value of the Preferred Stock that may be repurchased by us pursuant to the Preferred Stock Repurchase Program, as of November 3, 2022, was approximately $1.6 billion. The Preferred Stock Repurchase Program became effective on November 3, 2022, and shall expire on December 31, 2024. No shares were repurchased with respect to the Preferred Stock Repurchase Program during the three and nine months ended September 30, 2024.
Purchases made pursuant to the 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. The timing, manner, price and amount of any repurchases will be determined by us in our discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. 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.


Leverage and Capital
We believe that it is prudent to maintain conservative GAAP leverage ratios and economic leverage ratios as there may be continued volatility in the mortgage and credit markets. Our capital policy governs our capital and leverage position including setting limits. Based on the guidelines, we generally expect to maintain an economic leverage ratio of less than 10:1. 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.
Our GAAP leverage ratio at September 30, 2024 and December 31, 2023 was 6.9:1 and 6.8:1, respectively. 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 5.7:1 and 5.7:1, at September 30, 2024 and December 31, 2023, respectively. Our GAAP capital ratio at September 30, 2024 and December 31, 2023 was 12.4% and 12.2%, respectively. 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 September 30, 2024 and December 31, 2023, respectively. Economic leverage ratio and economic capital ratio are non-GAAP financial measures. Refer to the “Non-GAAP Financial Measures” section for additional information, including reconciliations to their most directly comparable GAAP results.
 
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Item 2. Management’s Discussion and Analysis
Risk Management
We are subject to a variety of risks in the ordinary conduct of our business. The effective management of these risks is of critical importance to the overall success of Annaly. The objective of our risk management framework is to identify, measure and monitor these risks.
Our risk management framework is intended to facilitate a holistic, enterprise-wide view of risk. We believe we have built a strong and collaborative risk management culture throughout Annaly focused on awareness which supports appropriate understanding and management of our key risks. Each employee is accountable for identifying, monitoring and managing risk within their area of responsibility.



Risk Appetite
We maintain a firm-wide risk appetite statement which 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. We engage in risk activities based on our core expertise that aim to enhance value for our stockholders. Our activities focus on income generation and capital preservation through proactive portfolio management, supported by a conservative liquidity and leverage posture.
The risk appetite statement asserts the following key risk parameters to guide our investment management activities:
Risk ParameterDescription
Portfolio CompositionWe will maintain a portfolio comprised of target assets approved by our Board and in accordance with our capital allocation policy.
LeverageWe generally expect to maintain an economic leverage ratio no greater than 10:1 considerate of our overall capital allocation framework.
Liquidity RiskWe will seek to maintain an unencumbered asset portfolio sufficient to meet our liquidity needs under adverse market conditions.
Interest Rate RiskWe will seek to manage interest rate risk to protect the portfolio from adverse rate movements utilizing derivative instruments targeting both income and capital preservation.
Credit RiskWe will seek to manage credit risk by making investments which conform to our specific investment policy parameters and optimize risk-adjusted returns.
Capital PreservationWe will seek to protect our capital base through disciplined risk management practices.
Operational RiskWe will seek to limit impacts to our business through disciplined operational risk management practices addressing areas including but not limited to, management of key third party relationships (i.e. originators, sub-servicers), human capital management, cybersecurity and technology related matters, business continuity and financial reporting risk.
Compliance, Regulatory and LegalWe will seek to comply with regulatory requirements needed to maintain our REIT status and our exemption from registration under the Investment Company Act and the licenses and approvals of our regulated and licensed subsidiaries.

Governance
Risk management begins with our Board, through the review and oversight of the risk management framework, and executive management, through the ongoing formulation of risk management practices and related execution in managing risk. The Board exercises its oversight of risk management primarily through the Risk Committee and Audit Committee with support from the other Board Committees. The Risk Committee is responsible for oversight of our risk governance structure, risk management (operational and market risk) and risk assessment guidelines and policies and our risk appetite. 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. 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. 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. 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, social, and governance (“ESG”) risk to us. The full Board has overall 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.
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Item 2. Management’s Discussion and Analysis
Risk assessment and risk management are the responsibility of our management. A series of management committees has oversight or decision-making responsibilities for risk management activities. Membership of these committees is reviewed regularly to ensure the appropriate personnel are engaged in the risk management process. Three primary management committees have been established to provide a comprehensive framework for risk management. The management committees responsible for our risk management include the Enterprise Risk Committee (“ERC”), Asset / Liability Committee (“ALCO”) and the Financial Reporting and Disclosure Committee (“FRDC”). Each of these committees reports to our management Operating Committee, which is responsible for oversight and management of our operations, including oversight and approval authority over all aspects of our enterprise risk management. 
Audit Services is an independent function with reporting lines to the Audit Committee. Audit Services is responsible for performing our internal audit activities, which includes independently assessing and validating key controls within the risk management framework.
Our compliance group is responsible for oversight of our regulatory compliance. Our Chief Compliance Officer has reporting lines to the Audit Committee.
Description of Risks
We are subject to a variety of risks due to the business we operate. Risk categories are an important component of a robust enterprise-wide risk management framework.
We have identified the following primary categories that we utilize to identify, assess, measure and monitor risk.
RiskDescription
Liquidity and Funding RiskRisk to earnings, capital or business resulting from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding.
Investment/Market RiskRisk to earnings, capital or business resulting in the decline in value of our assets or an increase in the costs of financing caused by changes in market variables, such as interest rates, which affect the values of investment securities and other investment instruments.
Credit RiskRisk to earnings, capital or business resulting from an obligor’s failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in lending and investing activities.
Counterparty RiskRisk to earnings, capital or business resulting from a counterparty’s failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in funding, hedging and investing activities.
Operational RiskRisk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems (including business continuity planning), human factors or external events. This risk also applies to our use of proprietary and third party models, software vendors and data providers, and oversight of third party service providers such as sub-servicers, due diligence firms etc.
Compliance, Regulatory and Legal RiskRisk to earnings, capital, reputation or conduct of business arising from violations of, or nonconformance with internal and external applicable rules and regulations, losses resulting from lawsuits or adverse judgments, or from changes in the regulatory environment that may impact our business model.

Liquidity and Funding Risk Management
Our liquidity and funding risk management strategy is designed to ensure the availability of sufficient resources to support our business and meet our financial obligations under both normal and adverse market and business environments. Our liquidity and funding risk management practices consist of the following primary elements:
ElementDescription
FundingAvailability of diverse and stable sources of funds.
Excess LiquidityExcess liquidity primarily in the form of unencumbered assets and cash.
Maturity ProfileDiversity and tenor of liabilities and modest use of leverage.
Stress TestingScenario modeling to measure the resiliency of our liquidity position.
Liquidity Management PoliciesComprehensive policies including monitoring, risk limits and an escalation protocol.

Funding
Our primary financing sources are repurchase agreements provided through counterparty arrangements and through our wholly-owned subsidiary, Arcola Securities, Inc. (“Arcola”), other secured financing, debt issued by securitization vehicles, mortgages,
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Item 2. Management’s Discussion and Analysis
credit facilities, note sales and various forms of equity. We maintain excess liquidity by holding unencumbered liquid assets that could be either used to collateralize additional borrowings or sold.
We seek to conservatively manage our repurchase agreement funding position through a variety of methods including diversity, breadth and depth of counterparties and maintaining a staggered maturity profile.
Arcola provides direct access to third party funding as a FINRA member broker-dealer. Arcola borrows funds through the General Collateral Finance Repo service offered by the FICC, with FICC acting as the central counterparty. In addition, Arcola may borrow funds through direct repurchase agreements.
To reduce our liquidity risk we maintain a laddered approach to our repurchase agreements. At September 30, 2024 and December 31, 2023, the weighted average days to maturity was 34 days and 44 days, respectively.
Our repurchase agreements generally provide that in the event of a margin call we must provide additional securities or cash on the same business day that a margin call is made. Should prepayment speeds on the mortgages underlying our Agency and Residential mortgage-backed securities and/or market interest rates or other factors move suddenly and cause declines in the market value of assets posted as collateral, resulting margin calls may cause an adverse change in our liquidity position. We have continued to diversify our financing profile adding new non-mark-to-market facilities and financing options under existing facilities for our Residential Credit operating segment. The non-mark-to-market facilities have margin call features that adjust on factors other than the changes in the market value of pledged collateral. We remain active and flexible in our liquidity structure.
At September 30, 2024, we had total financial assets and cash pledged against existing liabilities of $68.7 billion. The weighted average haircut was approximately 3% on repurchase agreements. The quality and character of the Residential Securities that we pledge as collateral under the repurchase agreements and interest rate swaps did not materially change at September 30, 2024, compared to the same period in 2023, and our counterparties did not materially alter any requirements, including required haircuts, related to the collateral we pledge under repurchase agreements and interest rate swaps during the three months ended September 30, 2024.
The following table presents our quarterly average and quarter-end repurchase agreement and reverse repurchase agreement balances outstanding for the periods presented:
 Repurchase AgreementsReverse Repurchase Agreements
 Average Daily
Amount Outstanding		Ending Amount OutstandingAverage Daily
Amount Outstanding		Ending Amount Outstanding
For the three months ended(dollars in thousands)
September 30, 2024$67,092,629 $64,310,276 $3,041,120 $— 
June 30, 202463,043,218 60,787,994 2,322,479 — 
March 31, 202464,027,388 58,975,232 2,323,485 — 
December 31, 202361,924,576 62,201,543 1,340,204 — 
September 30, 202366,020,036 64,693,821 257,097 — 
June 30, 202364,591,463 61,637,600 600,968 — 
March 31, 202360,477,833 60,993,018 371,429 — 
December 31, 202259,946,810 59,512,597 102,025 — 
September 30, 202256,354,310 54,160,731 139,991 — 
Our committed facility warehouse lines provide financing for our MSR portfolio for liquidity purposes. We maintain a conservative approach to these facilities, generally over-collateralizing the lines against margin calls.
The following table provides information on our repurchase agreements and other secured financing by maturity date at September 30, 2024. The weighted average remaining maturity on our repurchase agreements and other secured financing was 36 days at September 30, 2024:
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Item 2. Management’s Discussion and Analysis
 September 30, 2024
 Principal BalanceWeighted Average Rate% of Total
 (dollars in thousands)
1 day$22,536,577 5.22 %34.7 %
2 to 29 days2,094,734 6.11 %3.2 %
30 to 59 days34,814,805 5.11 %53.6 %
60 to 89 days3,801,389 5.37 %5.9 %
90 to 119 days131,078 5.90 %0.2 %
Over 119 days (1)
1,531,693 7.36 %2.4 %
Total$64,910,276 5.25 %100.0 %
(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 a new warehouse facility and expanded an existing facility. Both facilities include expanded product offerings with a committed component for residential whole loans.
The following table presents our outstanding debt balances and associated weighted average rates and days to maturity at September 30, 2024:
  Weighted Average Rate  
 Principal BalanceAs of Period EndFor the Quarter
Weighted Average
Days to Maturity (1)
 (dollars in thousands)
Repurchase agreements$64,310,276 5.23 %5.50 %34
Other secured financing600,000 7.95 %8.05 %317
Debt issued by securitization vehicles (2)
19,307,363 5.27 %5.17 %12,937
Participations issued (2)
448,907 7.35 %7.01 %10,888
Total indebtedness$84,666,546    
(1) Determined based on estimated weighted-average lives of the underlying debt instruments.
(2) Non-recourse to Annaly.
Excess Liquidity
Our primary source of liquidity is the availability of unencumbered assets which may be provided as collateral to support additional funding needs. We target minimum thresholds of available, unencumbered assets to maintain excess liquidity. The following table illustrates our asset portfolio available to support potential collateral obligations and funding needs.
Assets are considered encumbered if pledged as collateral against an existing liability, and therefore are no longer available to support additional funding. An asset is considered unencumbered if it has not been pledged or securitized. The following table also provides the carrying amount of our encumbered and unencumbered financial assets at September 30, 2024:
 Encumbered AssetsUnencumbered AssetsTotal
Financial assets(dollars in thousands)
Cash and cash equivalents$1,235,942 $324,217 $1,560,159 
Investments, at carrying value (1)
Agency mortgage-backed securities63,728,087 4,351,762 68,079,849 
Credit risk transfer securities823,416 3,425 826,841 
Non-agency mortgage-backed securities1,326,174 290,522 1,616,696 
Commercial mortgage-backed securities106,241 — 106,241 
Residential mortgage loans (2)
22,755,806 593,814 23,349,620 
MSR1,842,510 850,547 2,693,057 
Other assets (3)
— 53,291 53,291 
Total financial assets$91,818,176 $6,467,578 $98,285,754 
(1) 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.
(2) Includes assets transferred or pledged to securitization vehicles.
(3) Includes commercial real estate investments and interests in certain joint ventures.

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Item 2. Management’s Discussion and Analysis
We maintain liquid assets in order to satisfy our current and future obligations in normal and stressed operating environments. These are held as the primary means of liquidity risk mitigation. The composition of our liquid assets is also considered and is subject to certain parameters. The composition is monitored for concentration risk, including in respect of our deposits of our cash and cash equivalents, and asset type. We believe the assets we consider liquid can be readily converted into cash, through liquidation or by being used as collateral in financing arrangements (including as additional collateral to support existing financial arrangements). Our balance sheet also generates liquidity on an on-going basis through mortgage principal and interest repayments and net earnings held prior to payment of dividends. The following table presents our liquid assets as a percentage of total assets at September 30, 2024:
Carrying Value (1)
 Liquid assets(dollars in thousands)
Cash and cash equivalents$1,560,159 
Residential Securities (2)
70,523,311 
Commercial mortgage-backed securities106,241 
Residential mortgage loans (3)
2,305,613 
Total liquid assets$74,495,324 
Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets (4)
96.46 %
(1) Carrying value approximates the market value of assets. The assets listed in this table include $68.7 billion of assets that have been pledged as collateral against existing liabilities at September 30, 2024. Please refer to the Encumbered and Unencumbered Assets table for related information.
(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) Excludes securitized residential mortgage loans transferred or pledged to consolidated VIEs carried at fair value of $21.0 billion.
(4) Denominator is computed based on the carrying amount of encumbered and unencumbered financial assets, excluding assets transferred or pledged to securitization vehicles, of $21.1 billion.

Maturity Profile
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. We determine the amount of liquid assets that are required to be held by monitoring several liquidity metrics. We utilize several modeling techniques to analyze our current and potential obligations including the expected cash flows from our assets, liabilities and derivatives. The following table illustrates the expected final maturities and cash flows of our assets, liabilities and derivatives. The table is based on a static portfolio and assumes no reinvestment of asset cash flows and no future liabilities are entered into. In assessing the maturity of our assets, liabilities and off-balance sheet obligations, we use the stated maturities, or our prepayment expectations for assets and liabilities that exhibit prepayment characteristics. Cash and cash equivalents are included in the ‘Less than 3 Months’ maturity bucket, as they are typically held for a short period of time.
With respect to each maturity bucket, our maturity gap is considered negative when the amount of maturing liabilities exceeds the amount of maturing assets. A negative gap increases our liquidity risk as we must enter into future liabilities.
Our interest rate sensitivity gap is the difference between interest earning assets and interest bearing liabilities maturing or re-pricing within a given time period. Unlike the calculation of maturity gap, interest rate sensitivity gap includes the effect of our interest rate swaps. A gap is considered positive when the amount of interest-rate sensitive assets exceeds the amount of interest-rate sensitive liabilities. A gap is considered negative when the amount of interest-rate sensitive liabilities exceeds interest-rate sensitive assets. During a period of rising interest rates, a negative gap would tend to adversely affect net interest income, while a positive gap would tend to result in an increase in net interest income. During a period of falling interest rates, a negative gap would tend to result in an increase in net interest income, while a positive gap would tend to affect net interest income adversely. Because different types of assets and liabilities with the same or similar maturities may react differently to changes in overall market rates or conditions, changes in interest rates may affect net interest income positively or negatively even if assets and liabilities were perfectly matched in each maturity category. The amount of assets and liabilities utilized to compute our interest rate sensitivity gap was determined in accordance with the contractual terms of the assets and liabilities, except that adjustable-rate loans and securities are included in the period in which their interest rates are first scheduled to adjust and not in the period in which they mature. The effects of interest rate swaps, whereby we generally pay a fixed rate and receive a floating rate and effectively lock in our financing costs for a longer term, are also reflected in our interest rate sensitivity gap.
The interest rate sensitivity of our assets and liabilities in the following table at September 30, 2024 could vary substantially based on actual prepayment experience.
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Item 2. Management’s Discussion and Analysis
 Less than 3
Months		3-12
 Months		More than 1 Year to 3 Years3 Years and OverTotal
Financial assets(dollars in thousands)
Cash and cash equivalents$1,560,159 $— $— $— $1,560,159 
    Agency mortgage-backed securities (principal)— 136 826,070 67,309,730 68,135,936 
    Residential credit risk transfer securities (principal)— 5,131 70 767,723 772,924 
    Non-agency mortgage-backed securities (principal)157,180 210,738 461,598 746,909 1,576,425 
    Commercial mortgage-backed securities (principal)34,355 71,689 — — 106,044 
Total securities191,535 287,694 1,287,738 68,824,362 70,591,329 
    Residential mortgage loans (principal)— — — 2,217,988 2,217,988 
Total loans— — — 2,217,988 2,217,988 
Assets transferred or pledged to securitization vehicles (principal)— — — 21,493,468 21,493,468 
Total financial assets - maturity1,751,694 287,694 1,287,738 92,535,818 95,862,944 
    Effect of utilizing reset dates (1)
21,254,696 578,925 384,863 (22,218,484)— 
Total financial assets - interest rate sensitive$23,006,390 $866,619 $1,672,601 $70,317,334 $95,862,944 
Financial liabilities
    Repurchase agreements$63,247,505 $728,754 $334,017 $— $64,310,276 
    Debt issued by securitization vehicles (principal)
— — — 19,307,363 19,307,363 
    Participations issued (principal)— — — 448,907 448,907 
U.S. Treasury securities sold, not yet purchased2,043,519 — — — 2,043,519 
Total financial liabilities - maturity65,291,024 728,754 334,017 19,756,270 86,110,065 
    Effect of utilizing reset dates (1)(2)
(54,099,825)8,549,429 11,079,994 34,470,402 — 
Total financial liabilities - interest rate sensitive$11,191,199 $9,278,183 $11,414,011 $54,226,672 $86,110,065 
Maturity gap$(63,539,330)$(441,060)$953,721 $72,779,548 $9,752,879 
Cumulative maturity gap$(63,539,330)$(63,980,390)$(63,026,669)$9,752,879 
Interest rate sensitivity gap$11,815,191 $(8,411,564)$(9,741,410)$16,090,662 $9,752,879 
Cumulative rate sensitivity gap$11,815,191 $3,403,627 $(6,337,783)$9,752,879 
(1)Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable.
(2)Includes effect of interest rate swaps.
The methodologies we employ for evaluating interest rate risk include an analysis of our interest rate “gap,” measurement of the duration and convexity of our portfolio and sensitivities to interest rates and spreads.

Stress Testing
We utilize liquidity stress testing to ensure we have sufficient liquidity under a variety of scenarios and stresses. These stress tests assist with the management of our pool of liquid assets and influence our current and future funding plans. The stresses applied include market-wide and firm-specific stresses.

Liquidity Management Policies
We utilize a comprehensive liquidity policy structure to inform our liquidity risk management practices including monitoring and measurement, along with well-defined key risk indicators. Both quantitative and qualitative targets are utilized to measure the ongoing stability and condition of the liquidity position, and include the level and composition of unencumbered assets, as well as the sustainability of the funding composition under stress conditions.
We also monitor early warning metrics designed to measure the quality and depth of liquidity sources based upon both company-specific and market conditions. The metrics assist in assessing our liquidity conditions and are integrated into our escalation protocol.




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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
Investment/Market Risk Management
One of the primary risks we are subject to is investment/market risk. 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. 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. 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. In addition, we may use MAC interest rate swaps in which we may receive or make a payment at the time of entering such interest rate swap to compensate for the off-market nature of such interest rate swap. MAC interest rate swaps offer price transparency, flexibility and more efficient portfolio administration through compression which is the process of reducing the number of unique interest rate swap contracts and replacing them with fewer contracts containing market defined terms. Our portfolio and the value of our portfolio, including derivatives, may be adversely affected as a result of changing interest rates and spreads.
We simulate a wide variety of interest rate scenarios in evaluating our risk. Scenarios are run to capture our sensitivity to changes in interest rates, spreads and the shape of the yield curve. We also consider the assumptions affecting our analysis such as those related to prepayments. In addition to predefined interest rate scenarios, we utilize Value-at-Risk measures to estimate potential losses in the portfolio over various time horizons utilizing various confidence levels. The following tables estimate the potential changes in economic net interest income over a twelve month period and the immediate effect on our portfolio market value (inclusive of derivative instruments), should interest rates instantaneously increase or decrease by 25, 50 or 75 basis points, and the effect of portfolio market value if mortgage option-adjusted spreads instantaneously increase or decrease by 5, 15 or 25 basis points (assuming shocks are parallel and instantaneous). All changes to income and portfolio market value are measured as percentage changes from the projected net interest income and portfolio value at the base interest rate scenario. The net interest income simulations incorporate the interest expense effect of rate resets on liabilities and derivatives as well as the amortization expense and reinvestment of principal based on the prepayments on our securities, which varies based on the level of rates. The results assume no management actions in response to the rate or spread changes. The following table presents estimates at September 30, 2024. Actual results could differ materially from these estimates.
Change in Interest Rate (1)
Estimated Percentage Change in Portfolio Value (2)
Estimated Change as a
% on NAV (2)(3)
Projected Percentage Change in Economic Net Interest Income (4)
-75 Basis points(0.2%)(1.5%)4.6%
-50 Basis points—%(0.3%)3.4%
-25 Basis points—%0.2%1.9%
+25 Basis points(0.1%)(0.8%)(2.3%)
+50 Basis points(0.3%)(2.3%)(5.0%)
+75 Basis points(0.6%)(4.2%)(8.3%)
MBS Spread Shock (1)
Estimated Change in
Portfolio Market Value (2)
Estimated Change as a
 % on NAV (2)(3)
 
-25 Basis points1.2%9.1% 
-15 Basis points0.7%5.5% 
-5 Basis points0.2%1.8% 
+5 Basis points(0.2%)(1.8%) 
+15 Basis points(0.7%)(5.4%) 
+25 Basis points(1.2%)(8.9%) 
(1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates.
(2) Scenarios include securities, residential mortgage loans, MSR and derivative instruments.
(3) NAV represents book value of equity.
(4) Scenarios include securities, residential mortgage loans, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes 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 Statement of Comprehensive Income (Loss).

Credit Risk Management
Key risk parameters have been established to specify our credit risk appetite. We seek to manage credit risk by making investments which conform to the firm’s specific investment policy parameters and optimize risk-return attributes.
While we do not expect to encounter credit risk in our Agency mortgage-backed securities, we face credit risk on the non-Agency mortgage-backed securities and CRT securities in our portfolio. In addition, we are also exposed to credit risk on residential mortgage loans and commercial real estate investments. MSR values may also be impacted through reduced
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Item 2. Management’s Discussion and Analysis
servicing fees and higher costs to service the underlying mortgage loans due to borrower performance. Generally, we are subject to risk of loss if an issuer or borrower fails to perform its contractual obligations. We have established policies and procedures for mitigating credit risk, including establishing and reviewing limits for credit exposure. 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. 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. Our management monitors the overall portfolio risk and determines estimates of provision for loss. Additionally, ALCO has oversight of our credit risk exposure.
Our portfolio composition, based on balance sheet values, at September 30, 2024 and December 31, 2023 was as follows:
September 30, 2024December 31, 2023
Category
Agency mortgage-backed securities70.7 %75.9 %
Credit risk transfer securities0.8 %1.1 %
Non-agency mortgage-backed securities1.7 %2.4 %
Residential mortgage loans (1)
23.9 %17.9 %
Mortgage servicing rights2.8 %2.4 %
Commercial real estate0.1 %0.3 %
(1) Includes assets transferred or pledged to securitization vehicles.

Counterparty Risk Management
Our use of repurchase and derivative agreements and trading activities create exposure to counterparty risk relating to potential losses that could be recognized if the counterparties to these agreements fail to perform their obligations under the contracts. In the event of default by a counterparty, we could have difficulty obtaining our assets pledged as collateral. A significant portion of our investments are financed with repurchase agreements by pledging our Residential Securities as collateral to the applicable lender. The collateral we pledge generally exceeds the amount of the borrowings under each agreement. If the counterparty to the repurchase agreement defaults on its obligations and we are not able to recover our pledged asset, we are at risk of losing the over-collateralization or haircut. 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.
We also use interest rate swaps and other derivatives 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.
If a counterparty were to default on its obligations, we would be exposed to a loss to a derivative counterparty to the extent that the amount of our securities or cash pledged exceeded the unrealized loss on the associated derivative and we were not able to recover the excess collateral. Additionally, we would be exposed to a loss to a derivative counterparty to the extent that our unrealized gains on derivative instruments exceeded the amount of the counterparty’s securities or cash pledged to us.
We monitor our exposure to counterparties across several dimensions including by type of arrangement, collateral type, counterparty type, ratings and geography. Additionally, ALCO has oversight of our counterparty exposure. The following table summarizes our exposure to counterparties by geography at September 30, 2024:
Number of Counterparties
Secured Financing (1)
Interest Rate Swaps at Fair Value
Exposure (2)
Geography(dollars in thousands)
North America22 $48,236,776 $(38,734)$3,222,723 
Europe9 12,533,116 (17,469)785,439 
Japan4 4,140,384 — 436,191 
Total35 $64,910,276 $(56,203)$4,444,353 
(1) Includes repurchase agreements and other secured financing.
(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.



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Item 2. Management’s Discussion and Analysis
Operational Risk Management
We are subject to operational risk in each of our business and support functions. Operational risk may arise from internal or external sources including human error, fraud, systems issues, process change, vendors, business interruptions and other external events. We manage operational risk through a variety of tools including processes, policies and procedures that cover topics such as business continuity, personal conduct, cybersecurity and vendor management. Other tools include Risk and Control Self Assessment (“RCSA”) testing, including disaster recovery/testing; systems controls, including access controls; training, including phishing exercises and cybersecurity awareness training; and monitoring, which includes the use of key risk indicators. Our Operational Risk Management team conducts a disaster recovery exercise on an annual basis and periodically conducts other operational risk tabletop exercises. Employee-level lines of defense against operational risk include proper segregation of incompatible duties, activity-level internal controls over financial reporting, the empowerment of business units to identify and mitigate operational risk sources, testing by our internal audit staff, and our overall governance framework.
Operational Risk Management responsibilities are overseen by the ERC. The ERC is responsible for supporting the Operating Committee in the implementation, ongoing monitoring, and evaluation of the effectiveness of the enterprise-wide risk management framework. This oversight authority includes review of the strategies, processes, policies, and practices established by management to identify, assess, measure, and manage enterprise-wide risk.
Cybersecurity is part of our enterprise-wide risk management framework. 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. We periodically engage penetration testing companies and law firms to assist in these processes. When we do so, we hire reputable companies, limit their access to only information necessary for the specific purpose and maintain security controls around confidential information, including personally identifiable information. We also maintain a Cybersecurity Incident Response Plan (“Response Plan”) with processes to identify, contain, mitigate and escalate cybersecurity incidents, utilizing cross-functional expertise and external resources as needed. 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.
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. Our vendor management policy establishes procedures for engaging, onboarding and monitoring the performance of third party vendors. 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 personally identifiable information. We also have processes to evaluate and classify cybersecurity risk related to sensitive data held by key third party service providers on their systems.
The Cybersecurity Committee has primary responsibility for these processes to manage cybersecurity risks, under the oversight of the ERC. Daily monitoring of cybersecurity defenses is performed by the IT Infrastructure Team and any issues are escalated to the Cybersecurity Committee as needed. 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.
The Cybersecurity Committee includes representatives from Operational Risk Management, Information Technology, Legal, Mortgage Operations 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. Our Head of IT Infrastructure has completed the “Cybersecurity: 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. The Audit and Risk Committees jointly oversee processes, practices and policies related to cybersecurity and receive joint and individual presentations from management and external experts on cyber-technology-related risks. Two members of our Board have completed the Carnegie Mellon/NACD Cyber-Risk Oversight Program and earned the CERT Certificate in Cybersecurity Oversight and one member of our Board has completed the NACD Master Class: Cyber-Risk Oversight Program.
To date, we have not detected any risks from cybersecurity threats that have materially affected us. However, even though we take steps to employ reasonable cybersecurity efforts, not every cybersecurity incident can be prevented or detected. We also may be held responsible for cybersecurity threats affecting our third party service providers, including servicers and sub-
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Item 2. Management’s Discussion and Analysis
servicers. Therefore, while we believe there are currently no risks from any potential threat or cybersecurity incident that are reasonably likely to have a material effect on our business strategy, results of operations or financial condition, the likelihood or severity of such risks are difficult to predict. 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 any failure of these systems or networks could materially and adversely affect our business” and “Cyberattacks or other information security breaches could adversely affect our business, reputation and financial condition” in Part I, Item 1A. “Risk Factors” of our most recent Annual Report on Form 10-K and in Part II, Item 1A. “Risk Factors” in this Quarterly Report on Form 10-Q.

Compliance, Regulatory and Legal Risk Management
Our business is organized as a REIT, and we seek to continue to meet the requirements for taxation as a REIT. The determination that we are a REIT requires an analysis of various factual matters and circumstances. Accordingly, we closely monitor our REIT status within our risk management program. We also regularly assess our risk management in respect of our regulated and licensed subsidiaries, which include our registered broker-dealer subsidiary Arcola, our subsidiary that is registered with the SEC as an investment adviser under the Investment Advisers Act and our subsidiary that operates as a licensed mortgage aggregator and master servicer.
The financial services industry is highly regulated and receives significant attention from regulators, which may impact both our company and our business strategy. Our investments in residential whole loans and MSR require us to comply with applicable state and federal laws and regulations and maintain appropriate governmental licenses, approvals and exemptions. We proactively monitor the potential impact regulation may have both directly and indirectly on us. We maintain a process to actively monitor both actual and potential legal action that may affect us. Our risk management framework is designed to identify, measure and monitor these risks under oversight of the ERC.
We currently rely on the exemption from registration provided by Section 3(c)(5)(C) of the Investment Company Act, and we seek to continue to meet the requirements for this exemption from registration. The determination that we qualify for this exemption from registration depends on various factual matters and circumstances. Accordingly, in conjunction with our legal department, we closely monitor our compliance with Section 3(c)(5)(C) of the Investment Company Act within our risk management program. Compliance with Section 3(c)(5)(C) of the Investment Company Act is monitored by the FRDC.


Critical Accounting Estimates
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. Actual results may differ materially from these estimates and changes in assumptions could have a significant effect on the consolidated financial statements. Our critical accounting policies that require us to make significant judgments or estimates are described below. For more information on these critical accounting policies and other significant accounting policies, refer to the Note titled “Significant Accounting Policies” in the Notes to the Consolidated Financial Statements included in Item 1. “Financial Statements.”

Valuation of Financial Instruments

Residential Securities
Description: We carry Residential Securities at estimated fair value. There is an active market for our Agency mortgage-backed securities, CRT securities and non-Agency mortgage-backed securities.
Judgments and Uncertainties: Since we primarily invest in securities that can be valued using quoted prices for actively traded assets, there is a high degree of observable inputs and less subjectivity in measuring fair value. Internal fair values are determined using quoted prices from the TBA securities market, the Treasury curve and the underlying characteristics of the individual securities, which may include coupon, periodic and life caps, reset dates and the expected life of the security. While prepayment rates may be difficult to predict and require estimation and judgment in the valuation of Agency mortgage-backed securities, we use several third party models to validate prepayment speeds used in fair value measurements of Residential Securities. All internal fair values are compared to external pricing sources and/or dealer quotes to determine reasonableness. Additionally, securities used as collateral for repurchase agreements are priced daily by counterparties to ensure sufficient collateralization, providing additional verification of our internal pricing.
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Item 2. Management’s Discussion and Analysis
Sensitivity of Estimates to Change: Changes in underlying assumptions used in estimating fair value impact the carrying value of the Residential securities as well as their yield. For example, an increase in CPR would decrease the carrying value and yield of our Agency mortgage-backed securities. Our valuations are most sensitive to changes in interest rate, which also impacts prepayment speeds. 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 2 for further information.

Residential Mortgage Loans
Description: We elected to account for Residential Mortgage Loans at fair value. There is an active market for the residential whole loans in which we invest.
Judgments and Uncertainties: Since we primarily invest in residential loans that can be valued using actively quoted prices for similar assets, there are observable inputs in measuring fair value. Internal fair values are determined using quoted prices for similar market transactions, the swap curve and the underlying characteristics of the individual loans, which may include loan term, coupon, and reset dates. While prepayment rates may be difficult to predict and are a significant estimate requiring judgment in the valuation of residential whole loans, we validate prepayment speeds against those provided by independent pricing analytic providers specializing in residential mortgage loans. Internal fair values are generally compared to external pricing sources to determine reasonableness.
Sensitivity of Estimates to Change: Changes to model assumptions, including prepayment speeds may significantly impact the fair value estimate of residential mortgage loans as well as unrealized gains and losses and yield on these assets. Our valuations are most sensitive to changes in interest rate, which also impacts prepayment speeds. Refer to the interest rate sensitivity and interest rate shock analysis and discussions within this Item 2 for further information.

MSR
Description: We elected to account for MSR at fair value. The market for MSR is considered less active and transparent compared to securities. As such fair value estimates for our investment in MSR are obtained from models, which use significant unobservable inputs in their valuations.
Judgments and Uncertainties: These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to valuations obtained from third party pricing providers. Management reviews the valuations received from third party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSR requires significant judgment by management and the third party pricing providers.
Sensitivity of Estimates to Change: Changes in the underlying assumptions used to estimate the fair value of MSR impact the carrying value as well as the related unrealized gains and losses recognized. For further discussion of the sensitivity of the model inputs refer to the Note titled “Fair Value Measurements” in the Notes to the Consolidated Financial Statements included in Item 1. “Financial Statements.”

Interest Rate Swaps
Description: We are required to account for derivative assets and liabilities at fair value, which may or may not be cleared through a derivative clearing organization. We value our cleared interest rate swaps using the prices provided by the derivatives clearing organization. We value uncleared derivatives using internal models with prices compared to counterparty marks.
Judgments and Uncertainties: We use the overnight indexed swap (“OIS”) curve, the SOFR curve, or SOFR forward rates as an input to value substantially all of our uncleared interest rate swaps. Consistent with market practice, we exchange collateral (also called margin) based on the fair values of our interest rate swaps. Through this margining process, we may be able to compare our recorded fair value with the fair value calculated by the counterparty or derivatives clearing organization, providing additional verification of our recorded fair value of the uncleared interest rate swaps.
Sensitivity of Estimates to Change: Changes in the OIS curve will impact the carrying value of our interest rate swap assets and liabilities. Our valuations are most sensitive to changes in interest rate, which also impacts prepayment speeds. Refer to the interest rate sensitivity and interest rate shock analysis and discussions within this Item 2 for further information.
Revenue Recognition
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Item 2. Management’s Discussion and Analysis
Description: Interest income from coupon payments is accrued based on the outstanding principal amounts of the Residential Securities and their contractual terms. Premiums and discounts associated with the purchase of the Residential Securities are amortized or accreted into interest income over the projected lives of the securities using the interest method. Gains or losses on sales of Residential Securities are recorded on trade date based on the specific identification method.
Judgments and Uncertainties: To aid in determining projected lives of the securities, we use third party model and market information to project prepayment speeds. Our prepayment speed projections incorporate underlying loan characteristics (i.e., coupon, term, original loan size, original loan-to-value ratio, etc.) and market data, including interest rate and home price index forecasts and expert judgment. Prepayment speeds vary according to the type of investment, conditions in the financial markets and other factors and cannot be predicted with any certainty.
Sensitivity of Estimates to Change: Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results. Adjustments are made for actual prepayment activity as it relates to calculating the effective yield. The sensitivity of changes in interest rates to our economic net interest income is included in the interest rate shock analysis and discussions within this Item 2 for further information.

Consolidation of Variable Interest Entities
Description: We are required to determine if it is required to consolidate entities in which it holds a variable interest.
Judgments and Uncertainties: Determining whether an entity has a controlling financial interest in a VIE requires significant judgment related to assessing the purpose and design of the VIE and determination of the activities that most significantly impact its economic performance. We must also identify explicit and implicit variable interests in the entity and consider our involvement in both the design of the VIE and its ongoing activities. To determine whether consolidation of the VIE is required, we must apply judgment to assess whether we have the power to direct the most significant activities of the VIE and whether we have either the rights to receive benefits or the obligation to absorb losses that could be potentially significant to the VIE.

Use of Estimates
The use of GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates.
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Item 2. Management’s Discussion and Analysis
Glossary of Terms
A
Adjustable-Rate Loan / Security
A loan / security on which interest rates are adjusted at regular intervals according to predetermined criteria. The adjustable interest rate is tied to an objective, published interest rate index.

Agency
Refers to a federally chartered corporation, such as the Federal National Mortgage Association, or the Federal Home Loan Mortgage Corporation, or an agency of the U.S. Government, such as the Government National Mortgage Association.

Agency Mortgage-Backed Securities
Refers to residential mortgage-backed securities that are issued or guaranteed by an Agency.

Amortization
Liquidation of a debt through installment payments.  Amortization also refers to the process of systematically reducing a recognized asset or liability (e.g., a purchase premium or discount for a debt security) with an offset to earnings.

Average GAAP Cost of Interest Bearing Liabilities and Average Economic Cost of Interest Bearing Liabilities
Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities is a non-GAAP financial measure that reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities.

Average Life
On a mortgage-backed security, the average time to receipt of each dollar of principal, weighted by the amount of each principal prepayment, based on prepayment assumptions.

Average Yield on Interest Earnings Assets and Average Yield on Interest Earnings Assets (excluding PAA)
Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is a non-GAAP financial measure that is calculated using annualized interest income (excluding PAA).






B
Basis Point (“bp” or “bps”)
One hundredth of one percent, used in expressing differences in interest rates.  One basis point is 0.01% of yield. For example, a bond’s yield that changed from 3.00% to 3.50% would be said to have moved 50 basis points.

Benchmark
A bond or an index referencing a basket of bonds whose terms are used for comparison with other bonds of similar maturity. The global financial market typically looks to U.S. Treasury securities as benchmarks.

Beneficial Owner
One who benefits from owning a security, even if the security’s title of ownership is in the name of a broker or bank.

Board
Refers to the board of directors of Annaly.

Bond
The written evidence of debt, bearing a stated rate or stated rates of interest, or stating a formula for determining that rate, and maturing on a date certain, on which date and upon presentation a fixed sum of money plus interest (usually represented by interest coupons attached to the bond) is payable to the holder or owner. Bonds are long-term securities with an original maturity of greater than one year.

Book Value Per Share
Calculated by summing common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit and dividing that number by the total common shares outstanding.

Broker
Generic name for a securities firm engaged in both buying and selling securities on behalf of customers or its own account.


C
Capital Buffer
Includes unencumbered financial assets which can be either sold or utilized as collateral to meet liquidity needs.

Capital Ratio (GAAP Capital Ratio)
Calculated as total stockholders’ equity divided by total assets. 



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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
Carry
The amount an asset earns over its hedging and financing costs. A positive carry happens when the rate on the securities being financed is greater than the rate on the funds borrowed. A negative carry is when the rate on the funds borrowed is greater than the rate on the securities that are being financed.

CMBX
The CMBX index is a synthetic tradable index referencing a basket of 25 CMBS of a particular rating and vintage. The CMBX index allows investors to take a long position (referred to as selling protection) or short position (referred to as purchasing protection) on the respective basket of CMBS securities and is structured as a “pay-as-you-go” contract whereby the protection seller receives and the protection buyer pays a standardized running coupon on the contracted notional amount. Additionally, the protection seller is obligated to pay to the protection buyer the amount of principal losses and/or coupon shortfalls on the underlying CMBS securities as they occur.

Collateral
Securities, cash or property pledged by a borrower or party to a derivative contract to secure payment of a loan or derivative. If the borrower fails to repay the loan or defaults under the derivative contract, the secured party may take ownership of the collateral.

Collateralized Loan Obligation (“CLO”)
A securitization collateralized by loans and other debt instruments.

Collateralized Mortgage Obligation (“CMO”)
A multiclass bond backed by a pool of mortgage pass-through securities or mortgage loans.

Commodity Futures Trading Commission (“CFTC”)
An independent U.S. federal agency established by the Commodity Futures Trading Commission Act of 1974. The CFTC regulates the swaps, commodity futures and options markets. Its goals include the promotion of competitive and efficient futures markets and the protection of investors against manipulation, abusive trade practices and fraud.

Commercial Mortgage-Backed Security (“CMBS” or “Commercial Securities”)
Securities collateralized by a pool of mortgages on commercial real estate in which all principal and interest from the mortgages flow to certificate holders in a defined sequence or manner.

Constant Prepayment Rate (“CPR”)
The percentage of outstanding mortgage loan principal that prepays in one year, based on the annualization of the Single Monthly Mortality, which reflects the outstanding mortgage loan principal that prepays in one month.


Convexity
A measure of the change in a security’s duration with respect to changes in interest rates. The more convex a security is, the more its duration will change with interest rate changes.

Counterparty
One 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.

Coupon
The interest rate on a bond that is used to compute the amount of interest due on a periodic basis.

Credit and Counterparty Risk
Risk 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 Derivatives
Derivative 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”) Securities
Credit 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 Face
The 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.


D
Dealer
Person or organization that underwrites, trades and sells securities, e.g., a principal market-maker in securities.

Default Risk
Possibility that a bond issuer will fail to pay principal or interest when due.




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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
Derivative
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. futures contracts, options, interest rate swaps, interest rate swaptions and certain to-be-announced securities).

Discount Price
When the dollar price is below face value, it is said to be selling at a discount.

Duration
The 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.


E
Earnings 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 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.

This metric was previously labeled Core Earnings (excluding PAA) and Core Earnings (excluding PAA) Per Average Common Share). The definition of EAD is identical to the definition of Core Earnings (excluding PAA) from prior reporting periods.

Economic Capital
A measure of the risk a firm is subject to.  It is the amount of capital a firm needs as a buffer to protect against risk.  It is a probabilistic measure of potential future losses at a given confidence level over a given time horizon.






Economic Capital Ratio
Non-GAAP financial measure that is calculated as total stockholders’ equity divided by total economic assets. Total economic assets includes the implied market value of TBA derivatives and are net of debt issued by securitization vehicles.

Economic Interest Expense
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 Statement of Comprehensive Income (Loss).

Economic Leverage Ratio (Economic Debt-to-Equity Ratio)
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. Recourse debt consists of repurchase agreements, other secured financing and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from this measure.

Economic Net Interest Income
Non-GAAP financial measure that is composed of GAAP interest income less Economic Interest Expense.

Economic Return
Refers to the Company’s change in book value plus dividends declared divided by the prior period’s book value.

Encumbered Assets
Assets on the company’s balance sheet which have been pledged as collateral against a liability.

ESG
Environmental, social, and governance.


F
Face Amount
The par value (i.e., principal or maturity value) of a security appearing on the face of the instrument.

Factor
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.

Fannie Mae
Federal National Mortgage Association.


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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
Federal Deposit Insurance Corporation (“FDIC”)
An independent agency created by the U.S. Congress to maintain stability and public confidence in the nation’s financial system by insuring deposits, examining and supervising financial institutions for safety and soundness and consumer protection, and managing receiverships.

Federal Funds Rate
The interest rate charged by banks on overnight loans of their excess reserve funds to other banks.

Federal Housing Financing Agency (“FHFA”)
The FHFA is an independent regulatory agency that oversees vital components of the secondary mortgage market including Fannie Mae, Freddie Mac and the Federal Home Loan Banks.

Financial Industry Regulatory Authority, Inc. (“FINRA”)
FINRA is a non-governmental organization tasked with regulating all business dealings conducted between dealers, brokers and all public investors.

Fixed-Rate Mortgage
A mortgage featuring level monthly payments, determined at the outset, which remain constant over the life of the mortgage.

Fixed Income Clearing Corporation (“FICC”)
The FICC is an agency that deals with the confirmation, settlement and delivery of fixed-income assets in the U.S. The agency ensures the systematic and efficient settlement of U.S. Government securities and mortgage-backed security transactions in the market.

Floating Rate Bond
A bond for which the interest rate is adjusted periodically according to a predetermined formula, usually linked to an index.

Floating Rate CMO
A CMO tranche which pays an adjustable rate of interest tied to a representative interest rate index such as the SOFR, the Constant Maturity Treasury or the Cost of Funds Index.

Freddie Mac
Federal Home Loan Mortgage Corporation.











Futures Contract
A legally binding agreement to buy or sell a commodity or financial instrument in a designated future month at a price agreed upon at the initiation of the contract by the buyer and seller. Futures contracts are standardized according to the quality, quantity, and delivery time and location for each commodity. A futures contract differs from an option in that an option gives one of the counterparties a right and the other an obligation to buy or sell, while a futures contract represents an obligation of both counterparties, one to deliver and the other to accept delivery. A futures contract is part of a class of financial instruments called derivatives.


G
GAAP
U.S. generally accepted accounting principles.

Ginnie Mae
Government National Mortgage Association.


H
Hedge
An investment made with the intention of minimizing the impact of adverse movements in interest rates or securities prices.


I
Initial Margin
Cash or securities provided by a party to collateralize its obligations under a transaction that is not based on changes in the value of such transaction since the trade was executed.

In-the-Money
Description for an option that has intrinsic value and can be sold or exercised for a profit; a call option is in-the-money when the strike price (execution price) is below the market price of the underlying security.

Interest Bearing Liabilities
Refers to repurchase agreements, debt issued by securitization vehicles, U.S. Treasury securities sold, not yet purchased and credit facilities. Average interest bearing liabilities is based on daily balances.

Interest Earning Assets
Refers to Residential Securities, U.S. Treasury securities, reverse repurchase agreements, commercial real estate debt and residential mortgage loans. Average interest earning assets is based on daily balances.


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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
Interest-Only (IO) Bond
The interest portion of mortgage, Treasury or bond payments, which is separated and sold individually from the principal portion of those same payments.

Interest Rate Risk
The risk that an investment’s value will change due to a change in the absolute level of interest rates, in the spread between two rates, in the shape of the yield curve or in any other interest rate relationship. As market interest rates rise, the value of current fixed income investment holdings declines. Diversifying, deleveraging and hedging techniques are utilized to mitigate this risk. Interest rate risk is a form of market risk.

Interest Rate Swap
A binding agreement between counterparties to exchange periodic interest payments on some predetermined dollar principal, which is called the notional principal amount. For example, one party will pay fixed and receive a variable rate.

Interest Rate Swaption
Options on interest rate swaps. The buyer of a swaption has the right to enter into an interest rate swap agreement at some specified date in the future. The swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer.
 
International Swaps and Derivatives Association (“ISDA”) Master Agreement
Standardized contract developed by ISDA used as an umbrella under which bilateral derivatives contracts are entered into.

Inverse IO Bond
An interest-only bond whose coupon is determined by a formula expressing an inverse relationship to a benchmark rate, such as SOFR. As the benchmark rate changes, the IO coupon adjusts in the opposite direction. When the benchmark rate is relatively low, the IO pays a relatively high coupon payment, and vice versa.

Investment/Market Risk
Risk to earnings, capital or business resulting in the decline in value of our assets caused from changes in market variables, such as interest rates, which affect the values of Residential Securities and other investment instruments.

Investment Advisers Act
Refers to the Investment Advisers Act of 1940, as amended.

Investment Company Act
Refers to the Investment Company Act of 1940, as amended.


L
Leverage
The use of borrowed money to increase investing power and economic returns.

Leverage Ratio (GAAP Leverage Ratio or Debt-to-Equity Ratio)
Calculated as total debt to total stockholders’ equity. For purposes of calculating this ratio total debt includes repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued, and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us.

LIBOR (London Interbank Offered Rate)
A rate previously used as a benchmark for financial transactions. All tenors of LIBOR relevant to us are either no longer published or are no longer representative.

Liquidity Risk
Risk to earnings, capital or business arising from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding.

Long-Term CPR
Our projected prepayment speeds for certain Agency mortgage-backed securities using third party model and market information. Our prepayment speed projections incorporate underlying loan characteristics (e.g., coupon, term, original loan size, original loan-to-value ratio, etc.) and market data, including interest rate and home price index forecasts.  Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results.

Long-Term Debt
Debt which matures in more than one year.


M
Market Agreed Coupon (“MAC”) Interest Rate Swap
An interest rate swap contract structure with pre-defined, market agreed terms, developed by SIFMA and ISDA with the purpose of promoting liquidity and simplified administration.

Monetary Policy
Action taken by the Federal Open Market Committee of the Federal Reserve System to influence the money supply or interest rates.





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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
Mortgage-Backed Security (“MBS”)
A security representing a direct interest in a pool of mortgage loans. The pass-through issuer or servicer collects the payments on the loans in the pool and “passes through” the principal and interest to the security holders on a pro rata basis.

Mortgage Loan
A mortgage loan granted by a bank, thrift or other financial institution that is based solely on real estate as security and is not insured or guaranteed by a government agency.

Mortgage Servicing Rights (“MSR”)
Contractual agreements constituting the right to service an existing mortgage where the holder receives the benefits and bears the costs and risks of servicing the mortgage.


N
NAV
Net asset value.

Net Interest Income
Represents interest income earned on our portfolio investments, less interest expense paid for borrowings.

Net Interest Margin and Net Interest Margin (excluding PAA)
Net interest margin represents our interest income less interest expense divided by average interest earning assets. Net interest margin (excluding PAA) is a non-GAAP financial measure that represents the sum of our interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less economic interest expense divided by the sum of average interest earning assets plus average outstanding TBA contract and CMBX balances.

Net Interest Spread and Net Interest Spread (excluding PAA)
Net interest spread represents the average yield on interest earning assets less the average GAAP cost of interest bearing liabilities. Net interest spread (excluding PAA) is a non-GAAP financial measure that represents the average yield on interest earning assets (excluding PAA) less the average economic cost of interest bearing liabilities.

Non-Performing Loan (“NPL”)
A loan that is close to defaulting or is in default.

Notional Amount
A stated principal amount in a derivative contract on which the contract is based.





O
Operational Risk
Risk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems, human factors or external events.

Option Contract
A 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 Face
The face value or original principal amount of a security on its issue date.

Out-of-the-Money
Description 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”) Market
A 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.


P
Par
Price equal to the face amount of a security; 100%.

Par Amount
The principal amount of a bond or note due at maturity. Also known as par value.

Pass-Through Security
A 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.




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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
Pool
A 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.

Premium
The 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 prepayment speeds related to our Agency mortgage-backed securities.

Prepayment
The unscheduled partial or complete payment of the principal amount outstanding on a mortgage loan or other debt before it is due.

Prepayment Risk
The risk that falling interest rates will lead to increased prepayments of mortgage or other loans, forcing the investor to reinvest at lower prevailing rates.

Prepayment Speed
The estimated rate at which mortgage borrowers will pay off the mortgages that underlie an MBS.

Primary Market
Market for offers or sales of new bonds by the issuer.

Prime Rate
The indicative interest rate on loans that banks quote to their best commercial customers.
 
Principal and Interest
The term used to refer to regularly scheduled payments or prepayments of principal and payments of interest on a mortgage or other security.


R
Rate Reset
The adjustment of the interest rate on a floating-rate security according to a prescribed formula.

Real Estate Investment Trust (“REIT”)
A special purpose investment vehicle that provides investors with the ability to participate directly in the ownership or financing of real-estate related assets by pooling their capital to purchase and manage mortgage loans and/or income property.


Recourse Debt
Debt on which the economic borrower is obligated to repay the entire balance regardless of the value of the pledged collateral. By contrast, the economic borrower’s obligation to repay non-recourse debt is limited to the value of the pledged collateral. Recourse debt consists of repurchase agreements, other secured financing and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from this measure.

Reinvestment Risk
The risk that interest income or principal repayments will have to be reinvested at lower rates in a declining rate environment.

Re-Performing Loan (“RPL”)
A type of loan in which payments were previously delinquent by at least 90 days but have resumed.

Repurchase Agreement
The sale of securities to investors with the agreement to buy them back at a higher price after a specified time period; a form of short-term borrowing. For the party on the other end of the  transaction (buying the security and agreeing to sell in the future) it is a reverse repurchase agreement.

Residential Credit Securities
Refers to CRT securities and non-Agency mortgage-backed securities.

Residential Securities
Refers to Agency mortgage-backed securities, CRT securities and non-Agency mortgage-backed securities.

Residual
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.

Return on Average Equity
Calculated by taking earnings divided by average stockholders’ equity.

Reverse Repurchase Agreement
Refer to Repurchase Agreement. The buyer of securities effectively provides a collateralized loan to the seller.

Risk Appetite Statement
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.





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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
S
Secondary Market
Ongoing market for bonds previously offered or sold in the primary market.

Secured Overnight Financing Rate (“SOFR”)
Broad measure of the cost of borrowing cash overnight collateralized by Treasury securities and was chosen by the Alternative Reference Rate Committee as the preferred benchmark rate to replace dollar LIBOR.

Settlement Date
The date securities must be delivered and paid for to complete a transaction.

Short-Term Debt
Generally, debt which matures in one year or less. However, certain securities that mature in up to three years may be considered short-term debt.

Spread
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.


T
Target Assets
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.

Taxable REIT Subsidiary (“TRS”)
An entity that is owned directly or indirectly by a REIT and has jointly elected with the REIT to be treated as a TRS for tax purposes. Annaly and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as TRSs.

Term SOFR
The term secured overnight financing rate published by the Chicago Mercantile Exchange, which is used as a benchmark for financial transactions.



To-Be-Announced (“TBA”) Securities
A contract for the purchase or sale of a mortgage-backed security to be delivered at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date but does not include a specified pool number and number of pools.

TBA Dollar Roll Income
TBA dollar roll income is defined as the difference in price between two TBA contracts with the same terms but different settlement dates. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the “drop”. TBA dollar roll income represents the equivalent of interest income on the underlying security less an implied cost of financing.

Total Return
Investment performance measure over a stated time period which includes coupon interest, interest on interest, and any realized and unrealized gains or losses.

Total Return Swap
A derivative instrument where one party makes payments at a predetermined rate (either fixed or variable) while receiving a return on a specific asset (generally an equity index, loan or bond) held by the counterparty.


U
Unencumbered Assets
Assets on our balance sheet which have not been pledged as collateral against an existing liability.

U.S. Government-Sponsored Enterprise (“GSE”) Obligations
Obligations of Agencies originally established or chartered by the U.S. government to serve public purposes as specified by the U.S. Congress, such as Fannie Mae and Freddie Mac; 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. government.


V
Value-at-Risk (“VaR”)
A statistical technique which measures the potential loss in value of an asset or portfolio over a defined period for a given confidence interval.

Variable Interest Entity (“VIE”)
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.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
Variation Margin
Cash or securities provided by a party to collateralize its obligations under a transaction as a result of a change in value of such transaction since the trade was executed or the last time collateral was provided.

Volatility
A statistical measure of the variance of price or yield over time. Volatility is low if the price does not change very much over a short period of time, and high if there is a greater change.

Voting Interest Entity (“VOE”)
An entity that has sufficient equity to finance its activities without additional subordinated financial support from other parties and in which equity investors have a controlling financial interest.


W
Warehouse Lending
A line of credit extended to a loan originator to fund mortgages extended by the loan originators to property purchasers. The loan typically lasts from the time the mortgage is originated to when the mortgage is sold into the secondary market, whether directly or through a securitization.  Warehouse lending can provide liquidity to the loan origination market.

Weighted Average Coupon
The weighted average interest rate of the underlying mortgage loans or pools that serve as collateral for a security, weighted by the size of the principal loan balances.

Weighted Average Life (“WAL”)
The assumed weighted average amount of time that will elapse from the date of a security’s issuance until each dollar of principal is repaid to the investor. The WAL will change as the security ages and depending on the actual realized rate at which principal, scheduled and unscheduled, is paid on the loans underlying the MBS.


Y
Yield-to-Maturity
The expected rate of return of a bond if it is held to its maturity date; calculated by taking into account the current market price, stated redemption value, coupon payments and time to maturity and assuming all coupons are reinvested at the same rate; equivalent to the internal rate of return.











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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Quantitative and qualitative disclosures about market risk are contained within the section titled “Risk Management” of Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations.”

ITEM 4. CONTROLS AND PROCEDURES
Our management, including our Chief Executive Officer (the CEO) and Chief Financial Officer (the CFO), reviewed and evaluated the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) of the Securities Exchange Act) as of the end of the period covered by this report. Based on that review and evaluation, the CEO and CFO have concluded that our current disclosure controls and procedures, as designed, (1) were effective in ensuring that information required to be disclosed by the Company in reports it files or submits under the Securities Exchange Act is accumulated and communicated to our management, including our CEO and CFO, as appropriate to allow timely decisions regarding required disclosure and (2) were effective in ensuring that information required to be disclosed by the Company in reports it files or submits under the Securities Exchange Act is recorded, processed, summarized and reported within the time periods specified by the SEC’s rules and forms. 
There have been no changes in our internal controls over financial reporting that occurred during the three months ended September 30, 2024 that have materially affected, or are reasonably likely to materially affect our internal control over financial reporting.
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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
PART II - OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS
From time to time, we are involved in various claims and legal actions arising in the ordinary course of business. As of September 30, 2024, we were not party to any pending material legal proceedings.

ITEM 1A. RISK FACTORS
There have been no material changes to the risk factors disclosed in Item 1A. “Risk Factors” of our most recent annual report on Form 10-K. The materialization of any risks and uncertainties identified in our Special Note Regarding Forward-Looking Statements contained in this report together with those previously disclosed in our most recent annual report on Form 10-K or those that are presently unforeseen could result in significant adverse effects on our financial condition, results of operations and cash flows. See Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Special Note Regarding Forward-Looking Statements” in this quarterly report or our most recent annual report on Form 10-K.


ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
In January 2022, we announced that our Board authorized the repurchase of up to $1.5 billion of our outstanding common shares through December 31, 2024. No shares were repurchased with respect to this share repurchase program during the quarter ended September 30, 2024. As of September 30, 2024, the maximum dollar value of shares that may yet be repurchased under this program was $1.5 billion.
ITEM 5. OTHER INFORMATION
During the quarter ended September 30, 2024, no director or officer of the Company adopted, modified or terminated any Rule 10b5-1 trading arrangement or non-Rule 10b5-1 trading arrangement.

ITEM 6. EXHIBITS
Exhibits:

The exhibits required by this item are set forth on the Exhibit Index attached hereto. 

Exhibit NumberExhibit Description
   



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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES




101.INS XBRL
The instance document does not appear in the interactive data file because its Extensible Business Reporting Language (XBRL) tags are embedded within the Inline XBRL document. The following documents are formatted in Inline XBRL: (i) Consolidated Statements of Financial Condition at September 30, 2024 (Unaudited) and December 31, 2023 (Derived from the audited Consolidated Statement of Financial Condition at December 31, 2023); (ii) Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the three and nine months ended September 30, 2024 and 2023; (iii) Consolidated Statements of Stockholders’ Equity (Unaudited) for the three and nine months ended September 30, 2024 and 2023; (iv) Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2024 and 2023; and (v) Notes to Consolidated Financial Statements (Unaudited).
101.SCH XBRLTaxonomy Extension Schema Document †
101.CAL XBRLTaxonomy Extension Calculation Linkbase Document †
101.DEF XBRLAdditional Taxonomy Extension Definition Linkbase Document Created †
101.LAB XBRLTaxonomy Extension Label Linkbase Document †
101.PRE XBRLTaxonomy Extension Presentation Linkbase Document †
104
The cover page for the Registrant’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2024 (formatted in Inline XBRL and contained in Exhibit 101).

† Submitted electronically herewith.
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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
 
  ANNALY CAPITAL MANAGEMENT, INC.
   
Dated:October 31, 2024
By: /s/ David L. Finkelstein
  David L. Finkelstein
  Chief Executive Officer, Chief Investment Officer and Director (Principal Executive Officer)
   
Dated:  October 31, 2024
By: /s/ Serena Wolfe
  Serena Wolfe
  Chief Financial Officer (Principal Financial Officer and Principal Accounting Officer)



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