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美國
證券交易委員會
華盛頓特區20549


表格 10-Q

☑根據1934年證券交易法第13或15(d)條款的季度報告

截至季度結束日期： 2024年9月30日
或者
☐根據1934年證券交易法第13或15(d)條款的過渡報告

在從_______________到_______________的過渡期間
佣金檔案號：1-13447

nlya11.jpg

annaly capital management
（依據其憲章指定的註冊名稱）

馬里蘭州
22-3479661
（設立或組織的其他管轄區域）（內部稅務服務僱主識別號碼）
  
美洲大道1211號 
紐約
紐約
10036
，（主要行政辦公地址）(郵政編碼)
(212) 696-0100
(註冊人電話號碼，包括區號)

在法案第12(b)條的規定下注冊的證券：
每種類別的證券交易標誌名稱爲每個註冊的交易所:
普通股，每股面值0.01美元NLY請使用moomoo賬號登錄查看New York Stock Exchange
6.95%系列F固定至浮動利率可贖回優先股NLY.F請使用moomoo賬號登錄查看New York Stock Exchange
6.50% G系列固定至浮動利率累積可贖回優先股NLY.G請使用moomoo賬號登錄查看New York Stock Exchange
6.75% I系列固定至浮動利率累積可贖回優先股NLY.I請使用moomoo賬號登錄查看New York Stock Exchange







請用勾號勾選以下內容：（1）在過去的12個月內（或者c註冊人所需要提交此類報告的更短期限內），c註冊人已經提交了根據1934年證券交易法第13或第15（d）條規定需要提交的全部報告；和（2）c註冊人在過去的90天內一直需要遵守此類提交要求。是 ☑沒有 ☐

請勾選一個框，表示在過去的12個月內（或註冊者要求遞交此類文件的較短期間內），是否已經遞交了根據S-T規則405條和本章232.405條所要求遞交的每個交互式數據文件。是 ☑沒有 ☐

請勾選標記以說明註冊人是大型快速申報人、加速申報人、非加速申報人、較小的報告公司還是新興成長型公司。請查看《交易所法》第120億.2條中「大型快速申報人」、「加速申報人」、「較小的報告公司」和「新興成長型公司」的定義。
大型加速報告人☑加速
申報人		☐非加速文件提交人☐較小的報告公司☐新興成長公司☐

如果是新興成長型企業，請勾選複選標記，表明註冊者已選擇不使用延長過渡期來符合根據證券交易法第13(a)條規定提供的任何新財務會計準則。 ☐

請在複選框中打勾，表明公司是否爲外殼公司（根據法案第120億.2條規定定義）。  是 ☑ 否☐沒有 ☑

2024年10月25日，註冊人的普通股股數是 560,548,148.


網站和社交媒體披露
我們使用我們的網站 (www.annaly.com) 和LinkedIn帳戶 (www.linkedin.com/company/annaly-capital-management) 作爲公司信息分發的渠道。我們通過這些渠道發佈的信息可能被視爲重要信息。因此，投資者應該監視這些渠道，除了關注我們的新聞發佈、SEC提交和公開電話會議與網絡直播。另外，當您在我們的網站「投資者」部分註冊您的電子郵箱地址時，您可能會自動收到關於Annaly的電子郵件提醒和其他信息，您只需點擊「投資者資源」，然後選擇「電子郵件提醒」來完成電子郵件通知表格。我們的網站、任何提醒和社交媒體渠道均未納入此季度10-Q表格。


安納利資本管理公司。
10-Q表格
目錄
  
 


農利資本管理公司及其子公司
項目1.財務報表
第一部分 - 財務信息
項目1.基本報表
農利資本管理公司及其子公司
財務狀況陳述合併報表
（以千美元計，每股數據除外）
 2020年9月30日12月31日
2024
2023 (1)
(未經審計)
資產  
現金及現金等價物（包括已抵押資產的變量爲$1,235,942 和 $1,136,298） (2)
$1,560,159 $1,412,148 
證券（包括資產的質押$65,983,918 和 $65,400,248） (3)
71,700,177 69,613,565 
貸款淨額（包括資產的質押$1,957,860 和 $2,082,419） (4)
2,305,613 2,353,084 
抵押貸款服務權（包括已質押資產爲$1,842,510 和 $1,781,279）
2,693,057 2,122,196 
資產已轉讓或質押給證券化工具21,044,007 13,307,622 
衍生工具資產59,071 162,557 
未結算交易應收款766,341 2,710,224 
應收本金和利息1,060,991 1,222,705 
無形資產, 淨額10,088 12,106 
其他316,491 311,029 
總資產$101,515,995 $93,227,236 
負債和股東權益  
負債  
回購協議$64,310,276 $62,201,543 
其他擔保融資600,000 500,000 
通過證券化工具發行的債務18,709,118 11,600,338 
發行的參與份額467,006 1,103,835 
尚未購買的美國國債已出售2,043,519 2,132,751 
衍生工具負債102,628 302,295 
未結算交易的應付款項1,885,286 3,249,389 
應付利息276,397 287,937 
分紅派息應付款362,731 325,052 
其他負債219,085 179,005 
負債合計88,976,046 81,882,145 
股東權益  
優先股，面值$0.01每股股票價格爲63,500,000 已授權，已發行和已流通
1,536,569 1,536,569 
普通股，每股面值 $，授權股數：百萬股；發行股數：分別爲2024年6月30日和2023年12月31日：百萬股；流通股數：分別爲2024年6月30日和2023年12月31日：百萬股0.01每股股票價格爲1,468,250,000已授權，1618250已發行。558,047,743和頁面。500,080,287分別發行和流通
5,580 5,001 
額外實收資本24,851,604 23,672,391 
累計其他綜合收益(虧損)(712,203)(1,335,400)
累積赤字(13,238,288)(12,622,768)
股東權益總額12,443,262 11,255,793 
非控制權益96,687 89,298 
股東權益總計12,539,949 11,345,091 
負債和所有者權益總額$101,515,995 $93,227,236 
(1)基於2023年12月31日審計的合併財務報表。
(2)包括2024年9月30日和2023年12月31日的合併可變利益實體（VIEs）的現金共計$2.4萬美元和2.0 分別爲2024年9月30日和2023年12月31日的百萬美元。
(3)不包括已簽訂但尚未開始的租賃支付$的租賃支付。2.0私人股權和其他投資的金額分別爲52.27億美元和53.98億美元，截至2023年7月31日和2023年1月31日。1.5合併VIEs中9月30日和2024年12月31日分別爲Billion美元的非機構抵押貸款支持證券作爲抵押品，並在公司的基本財務報表中予以取消。
(4)其中包括價值爲 0.8萬美元和1.22024年9月30日和2023年12月31日分別持有的待售住房抵押貸款爲數百萬美元。
請參見基本報表註釋。
1

安納利資本管理公司及其附屬公司
項目1。基本報表
安納里資本管理公司及其附屬公司
綜合損益表
(千元美元，每股資料除外)
(未經查核)
 截至九月三十日止三個月截至九月三十日止九個月
 2024202320242023
淨利息收益  
利息收入$1,229,341 $1,001,485 $3,501,154 $2,741,229 
利息費用1,215,940 1,046,819 3,440,646 2,799,063 
淨利息收益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（損失）
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 
貸款損失（預備）逆轉— — — 219 
其他，淨額27,438 26,250 75,596 50,853 
其他財務收益（損失）(2,859)(559,446)290,058 (1,267,287)
總部及行政費用
薪酬支出34,453 30,064 96,448 90,090 
其他一般及管理費用9,468 9,845 30,934 33,562 
總一般和行政費用43,921 39,909 127,382 123,652 
稅前收入（虧損）76,216 (556,692)543,545 (1,209,523)
所得稅(6,135)12,392 4,853 37,702 
凈利潤（損失）82,351 (569,084)538,692 (1,247,225)
凈利潤（損失）歸屬於非控制權益15,906 (6,879)18,838 (7,797)
歸於安納利的凈利潤（損失）66,445 (562,205)519,854 (1,239,428)
優先股股息41,628 36,854 115,847 104,495 
可供普通股股東使用的凈利潤（損失）$24,817 $(599,059)$404,007 $(1,343,923)
每股可供普通股股東使用的凈利潤（損失）  
基礎$0.05 $(1.21)$0.80 $(2.73)
稀釋$0.05 $(1.21)$0.80 $(2.73)
加權平均股本收益數量  
基礎515,729,658 494,330,361 505,800,723 492,744,997 
稀釋516,832,152 494,330,361 506,618,143 492,744,997 
其他全面收益（損失）  
凈利潤（損失）$82,351 $(569,084)$538,692 $(1,247,225)
可供出售證券的未實現收益（損失）428,955 (825,286)92,843 (443,957)
重新分類調整，包括在凈利潤（損失）中的凈（收益）損失15,769 513,041 530,354 1,458,077 
其他全面收益（損失）444,724 (312,245)623,197 1,014,120 
綜合收益（損失）527,075 (881,329)1,161,889 (233,105)
非控股利益（損失）歸屬於非控股股東15,906 (6,879)18,838 (7,797)
歸因於安納利的綜合收益（損失）511,169 (874,450)1,143,051 (225,308)
優先股股息41,628 36,854 115,847 104,495 
歸屬於普通股股東的綜合損益$469,541 $(911,304)$1,027,204 $(329,803)
參閱基本報表附註。


2

安納里資本管理公司及其附屬公司
項目1。基本報表
安納里資本管理公司及其附屬公司
股東權益合併報表
(千元美元，每股資料除外)
(未經查核)
截至九月三十日止三個月截至九月三十日止九個月
2024202320242023
優先股
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 
發行
570 9 576 262 
股票授予活動
— — 3 3 
期末$5,580 $4,948 $5,580 $4,948 
資本公積額額外增資
期初
$23,694,663 $23,550,346 $23,672,391 $22,981,320 
發行
1,148,881 17,500 1,159,774 579,838 
股票獎勵活動
8,060 5,150 19,439 11,838 
期末$24,851,604 $23,572,996 $24,851,604 $23,572,996 
其他綜合損益（損失）累積額
期初
$(1,156,927)$(2,382,531)$(1,335,400)$(3,708,896)
可供出售證券的未實現收益（損失）
428,955 (825,286)92,843 (443,957)
重新分類調整，包括在凈利潤（損失）中的凈（收益）損失15,769 513,041 530,354 1,458,077 
期末$(712,203)$(2,694,776)$(712,203)$(2,694,776)
累積虧損
期初$(12,898,191)$(10,933,044)$(12,622,768)$(9,543,233)
歸於安納利的凈利潤（損失）
66,445 (562,205)519,854 (1,239,428)
優先股宣布的分紅派息 (1)
(41,628)(36,854)(115,847)(104,495)
普通股股息和股份獎勵股息的宣布 (1)
(364,914)(323,164)(1,019,527)(968,111)
期末$(13,238,288)$(11,855,267)$(13,238,288)$(11,855,267)
股東權益總額$12,443,262 $10,564,470 $12,443,262 $10,564,470 
非控制權益
期初
$81,780 $111,066 $89,298 $98,983 
凈利潤（損失）歸屬於非控制權益
15,906 (6,879)18,838 (7,797)
股權貢獻來自（分配給）非控股利益
(999)8,400 (11,449)21,401 
期末$96,687 $112,587 $96,687 $112,587 
總股本$12,539,949 $10,677,057 $12,539,949 $10,677,057 
(1) 有關每個類別股股息每股，請參閱“資本股”附註。
參閱基本報表附註。



3

安納里資本管理公司及其附屬公司
項目1。基本報表
安納里資本管理公司及其附屬公司
綜合現金流量表
（以千美元計）
(未經查核)
 截至九月三十日止九個月
 20242023
來自經營活動的現金流量  
凈利潤（損失）$538,692 $(1,247,225)
調整以將凈利潤（虧損）調解為營運活動提供的凈現金（使用）
投資的利息溢價和折價攤銷合計95,697 132,558 
證券化債務的折價、溢價及遞延融資成本攤銷7,127 10,724 
折舊、攤銷及其他非現金費用23,180 19,348 
投資和衍生工具的淨（利潤）損失731,542 2,524,035 
從未合併合資企業的收益（損失）(3,119)(1,508)
貸款減值準備（轉讓）— (219)
購買待售貸款的支付金額(37,978)— 
銷售及償還待售貸款的收益38,063 1,336 
美國國庫券所得6,083,273 — 
美國國庫券付款(6,181,017)— 
衍生工具的淨收（付）款(967,289)1,230,848 
淨變動  
其他資產(8,787)(116,687)
應收利息176,430 (521,322)
應付利息(11,540)(127,196)
其他負債17,910 83,989 
營運活動之淨現金提供（使用）量502,184 1,988,681 
投資活動產生的現金流量  
購買證券款項(22,984,768)(29,960,271)
證券銷售收益17,254,884 18,705,788 
證券本金支付4,875,202 4,706,936 
購買和提供貸款款項(9,304,025)(3,446,835)
貸款銷售收益414,706 — 
貸款本金支付1,625,155 773,928 
購買MRS時的付款(701,418)(398,664)
出售MRS所得款項66,269 — 
逆回購協議所得款項442,510,370 46,800,024 
逆回購協議支付款項(442,510,370)(46,800,024)
超過未合併聯合企業累計收益的分配款項19,264 — 
投資活動提供的（使用的）淨現金(8,734,731)(9,619,118)
財務活動中的現金流量  
透過回購協議及其他有擔保融資所得款項4,316,726,746 3,993,811,505 
回購協議和其他一樞融資款的支付(4,314,490,574)(3,988,383,706)
發行證券化債務所得8,236,251 3,116,654 
證券化債務的本金支付(1,478,171)(673,729)
購買證券化債務支付— (2,504)
支付推遲融資成本(2,783)(214)
發行的參與證券化所得2,984,799 1,182,639 
銷售的參與證券化支付(3,605,523)(1,160,902)
參與證券化的本金支付(40,805)(30,866)
來自(對)非控制利益的凈貢獻(分配)(11,449)21,401 
來自股票發行、直接購買和股利再投資的凈收益1,160,350 580,100 
履行支付稅款需求的股票獎勵結算(6,157)(6,661)
分紅派息(1,092,126)(1,158,872)
籌資活動提供的淨現金8,380,558 7,294,845 
現金及現金等價物的淨（減少）增加額148,011 (335,592)
現金及現金等價物，包括作為抵押品的現金，期初1,412,148 1,576,714 
現金及現金等價物，包括作為抵押品的現金，期末$1,560,159 $1,241,122 
現金流額外披露  
收取之利息$2,787,729 $2,400,942 
支付的利息（不包括利率互換支付的利息）$2,907,352 $2,673,922 
利率互換交易產生的淨利息（支付）$1,353,022 $891,649 
收取（支付）的稅款$(1,127)$1,290 
非現金投資和籌資活動
未結交易應收款項$766,341 $1,047,566 
未結交易應付款項$1,885,286 $2,214,319 
可供出售證券未實現收益（損失）變動淨額，重分類調整後淨額$623,197 $1,014,120 
已宣布但尚未支付的股息$362,731 $321,629 
參閱基本報表附註。
4

安納里資本管理公司及其附屬公司
項目1。基本報表
安納里資本管理公司及其附屬公司
附註 合併基本報表（未經審核）
1. 業務描述
安納利資本管理公司（以下簡稱“公司”或“安納利”）是一家馬里蘭州公司，於1997年2月18日開展業務。公司是一家領先的多元化資本管理人，投資策略涵蓋抵押金融等範疇。公司擁有房地產業相關投資組合，包括抵押證券通過證券、抵押物證券、信用風險轉移（“CRT”）證券、其他代表對擔保抵押貸款池的利益或債務的證券、住宅抵押貸款和抵押貸款服務權（“MSR”）。公司的主要業務目標是為股東產生凈利潤並通過審慎管理多元化的投資策略來優化其回報。
安納利是一家內部管理的公司，它已選擇按照1986年修訂的《內部稅收法典》和根據該法規制定的規定，作為股權房地產投資信托（REIT）進行課稅。
在與客戶直接聘任有關的某些情況下，如果本公司的費用取決於雇用資源與客戶的繼續雇用，則在滿足此類就業條件之前，收入並不完全認定。 三 投資團體主要由以下組成:
投資集團描述
Annaly Agency 集團投資 Agency 住宅抵押擔保證券（MBS），抵押物是由房地美、房地利或吉尼美擔保的住宅抵押貸款，以及 Agency 市場內的互補投資，包括 Agency 商業MBS。
Annaly Residential Credit 集團主要投資於非機構住宅抵押全貸款和住宅市場和商業市場內的證券化產品。
Annaly Mortgage Servicing Rights 集團投資房屋貸款服務權（MSR），提供權利來承接住宅抵押貸款的服務，以換取貸款利息支付的部分。

2. 報告基礎
本公司附屬的綜合基本報表及相關附註已按照美國通用會計原則（"GAAP"）編製。
隨附之綜合基本報表及相關附註未經核數，應與該公司最近一份截至2023年12月31日的年度報告中包含的核數綜合基本報表一同閱讀（即“2023年10-K形式”）。截至2023年12月31日的綜合基本報表資訊來自於包含在該公司2023年10-K形式中的核數綜合基本報表。
編製合併基本報表，需要管理層對在基本報表日期載明的資產負債表金額和/或披露，以及報告期間內的收入和費用金額進行估計和假設。實際結果可能與這些估計有實質性差異。
根據管理層的意見，為了對本中期財務資訊做出公正的呈現，已包含所有正常、經常性的調整項目。中期營運結果可能無法代表全年的營運結果。

3. 重大會計政策
本公司的重大會計政策如下所述，或已包含在基本報表附註中。
合併原則 – 綜合財務報表包括公司具有控制財務利益的實體的賬戶。為了判斷公司是否具有控制財務利益，首先評估一個實體是投票權實體（"VOE"）還是變量利益實體（"VIE"）。所有公司間的餘額和交易在合併中已被消除。
投票權利實體 – VOE是具有足夠股本，且股東對其具有控制財務利益的實體。在公司持有該VOE的多數投票權益時，將合併VOE。
變量利益實體 – 一個可變利益實體是指，其權益投資者 (i)不具有控制財務權益的特徵，和/或 (ii)不承擔足夠風險的權益，無法僅依賴其他方提供的次順位財務支持來為實體融資。可變利益實體需要由其主要受益人合併，主要受益人被定義為既具有 (i)控制對可變利益實體的最重要影響活動的權力
5

安納里資本管理公司及其附屬公司
項目1。基本報表
經濟表現和(ii) 承擔虛擬投資實體虧損的義務或者有權獲得對虛擬投資實體有潛在重大影響的利益。
公司持續對公司與可變特權實體之間的參與情況進行重新評估，以判斷是否事實和情況的變化會導致公司的合併結論發生變化。請參閱有關“可變特權實體”的附註以獲取更多信息。
權益法投資 - 對於未合併的實體，但是公司對實體的營運或財務決策具有重大影響力的情況，公司根據權益法對投資進行核算。根據權益法核算，公司將在投資方報告收益或虧損的期間確認其投資者份額。公司還考慮是否存在權益法下合資企業非暫時性減值的任何指標。這些投資包括在其他資產中，收入或損失包括在其他。
現金及現金等價物 - 現金及現金等價物包括手頭現金、隔夜存放在貨幣市場基金中的現金和作為抵押品向交易對手承諾的現金。存放在結算機構的現金以成本計量，接近公允價值。 存放在結算機構的現金和作為公司利率掉期和其他衍生工具貼現保證金的抵押品，在2024年9月30日和2023年12月31日分別達到了$1.2 分別於2024年6月30日和2023年12月31日，公司已將持有金額為10億和20億的可供出售金融資產作為回購協議的抵押物。參閱附註12-回購協議。1.1十十億。
公允價值衡量和公允價值選項 – 公司報告各種投資的公允價值，包括某些選擇根據公允價值選項（"FVO"）核算的符合條件的金融工具。公司選擇選擇FVO是為了簡化某些金融工具的會計處理。已選擇FVO的事項以公允價值呈現在財務狀況綜合表中，任何公允價值變動均記錄在綜合損益中的投資淨利（損）。有關公司已選擇FVO的金融工具的更多信息，請參閱“財務工具”附註中的表格。
請參考「公平價值計量」附註，以獲得有關公司估計特定金融工具公平價值的方法論完整討論。
抵銷資產和負債 - 公司選擇按照“衍生工具”註解討論的方式將所有衍生工具以毛額基礎報告。如果反向回購和回購協議符合抵消標準，則在合併資產負債表中按淨額報告。請參閱“擔保融資”註解以進一步討論。 註：進一步討論反向回購和回購協議的注意事項。
衍生金融工具 - 衍生工具在綜合財務狀況表中以公允價值認列為資產或負債，在綜合收益（損失）表中按公允價值變動認列，估計公允價值變動的差異呈現在衍生工具的凈收益（損失）中。公司的衍生交易中，無一被指定為會計目的的避險工具。請參閱“衍生性工具”附註進一步討論。
基於股份的薪酬 – 公司按照公平值測量股票獎勵的補償成本，該值通常基於公司普通股的授予日公平值。補償成本會按照獎勵的實現或必要服務期間按比例確認。包含市場條件的股票獎勵將使用模型進行估值。
根據每個報告日對於具有表現條件的獎勵的預期表現，確認補償費用；對於具有市場條件的獎勵，無論市場條件是否實現，均確認補償費用，若市場條件未達成則不予撤銷。無需未來服務的股票獎勵（即，已授權的獎勵）立即列支。當出現喪失時，將其記錄。該公司通常在交付股票為基礎獎勵時發行新的普通股。
利息收入 - 公司主要於居住證券（按照“證券”備註定義）、住宅按揭貸款、商業投資及逆回購協議上認列利息收入。已應計但尚未收取的利息在綜合財務狀況表中作為應收利息予以認列。利息收入在綜合損益表中呈現為獨立一行。
6

安納里資本管理公司及其附屬公司
項目1。基本報表
就其證券而言，公司根據金融工具的未清償本金金額和其契約條款，確定利息收入的組成部分-優惠券收入的認列。此外，公司根據其機構抵押支持證券的溢價或折價進行攤銷或遞增到利息收入（除了僅限利息的證券、多戶和反向抵押貸款），在計算有效收益率時考慮對未來本金預付款的估計。當預期和實際的本金預付款之間存在差異時，公司重新計算有效收益率。通過使用第三方模型和市場信息來預測未來現金流以及證券預期殘存壽命，確定每種證券的有效利率被應用，就像它從證券收購日期開始一樣。然後，證券的攤銷成本將被調整為自從收購日期以來應用新有效收益率之後將存在的金額，這導致每個期間的累計溢價攤銷調整。對攤銷成本的調整將用一筆費用或信用進行抵銷，計入利息收入。利率變動和其他市場因素將影響預付款速度預測以及在任何特定期間認可的溢價攤銷金額。
Agency利息選擇證券的購買溢價或折扣、反向抵押貸款和住宅信貸證券將根據當前預期未來現金流量進行攤銷或摊余入利息收入，對收益的任何調整將基於前瞻性進行。
與購買多居家證券相關的保險費或折扣根據其合約支付條款分期攤提或摺扣入利息收入。如果預付發生，將調整未償還本金餘額和本期未攤銷的保險費或折扣，並繼續應用原來的有效收益率。
與購買住宅房屋貸款相關的溢價和折扣，以及轉讓或抵押予證券化信託的溢價主要按照住宅貸款現金流預估中固有的有效利率攤銷或遞增至利息收入，並在綜合損益表（損失）中的利息收入中呈現。
當貸款的本金或利息收取遇到疑問或貸款已過期90天以上時，不會發生利息收入。對於持有公允價值或待售的非應計狀態貸款，利息不會計提，而是以現金基礎認列。對於持有攤銷成本的非應計狀態貸款，若本金收回無疑慮但利息的收回有疑慮，利息收入將以現金方式認列。若本金收回有疑慮，則任何收到的利息將先還款本金，直到剩餘餘額的收回不再有疑慮為止；在這一點上，任何利息收入將以現金基礎認列。通常，當借款人恢復按照約定的完整金額支付，所有應付本金和利息金額合理確保在合理期限內還清，並且借款人有持續的還款表現時，貸款就會恢復為應計狀態。
公司已做出會計政策選擇，不對應收利息應收款項進行貸款損失準備的衡量。如果應收利息被視為無法收回或在商業貸款的攤銷成本下的合約到期日後90天內未收回，則通過逆向計入利息收入來核銷。任何核銷的利息如獲回收，將予以確認為利息收入。
更多關於利息收入和利息支出的討論，請參閱「利息收入和利息支出」備註。
所得稅 – 公司已選擇作為REIt納稅，並打算遵守代碼的相關規定。作為REIt，公司將不會因向股東派發其應稅收入而產生聯邦所得稅。該公司及其某些直接和間接子公司已作出單獨的聯合選擇，將這些子公司視為應納稅REIt子公司（“TRSs”）。因此，這些TRSs中的每一個在其應稅收入的基礎上作為國內C型公司納稅，並根據其應稅收入而納稅。關於所得稅的進一步討論，請參考“所得稅”註。
最近會計宣告
公司考慮所有會計準則更新（"ASUs"）的適用性和影響。公司已提前採納了ASU 2023-07，即「區隔報告改進」，因為其住宅信貸和MSR營運板塊已成為合併結果中更為重要的組成部分。更多信息請參閱「板塊」附註。

公司審閱其他最近發布的ASUs後，確定當採納時不會對公司的合併基本報表產生重大影響，或採納時對公司的合併基本報表沒有重大影響。
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安納里資本管理公司及其附屬公司
項目1。基本報表
4. 金融工具
以下表格呈現了公司在2024年9月30日和2023年12月31日的部分金融工具特徵。
金融工具 (1)
資產負債表項目類型 / 形式計量基礎2024年9月30日2023年12月31日
資產（以千美元計）
證券
機構抵押支持證券 (2)
公允價值，通過其他綜合收益（損失）的未實現收益$9,579,247 $15,665,352 
證券
機構抵押支持證券 (3)
公允價值，通過收益核算的未實現損益59,571,152 50,643,436 
證券住宅信貸風險轉移證券公允價值，通過收益未實現收益（虧損）826,841 974,059 
證券非機構抵押證券公允價值，通過收益未實現收益（虧損）1,616,696 2,108,274 
證券商業房地產債務投資 - CMBS公允價值，通過收益未實現收益（虧損）106,241 222,444 
證券總計71,700,177 69,613,565 
貸款淨額住宅按揭貸款公允價值，透過損益未實現收益（虧損）2,305,613 2,353,084 
資產轉移或抵押給證券化車輛住宅按揭貸款公允價值，透過損益未實現收益（虧損）21,044,007 13,307,622 
負債
回購協議回購協議攤銷成本$64,310,276 $62,201,543 
其他已抵押融資貸款攤銷成本600,000 500,000 
由證券化車輛發行的債務證券公允價值，通過盈餘的未實現收益（虧損）18,709,118 11,600,338 
已發行的參與權益已發行的參與權益公平價值，通過收益（損失）未實現467,006 1,103,835 
已售出的美國國庫證券，但尚未購入證券公平價值，通過收益（損失）未實現2,043,519 2,132,751 
(1) 應收未交易交易款項、應收本金和利息、應付未交易交易款項、應付利息及分紅派息按成本核算。
(2) 包括在2022年7月1日之前購買的機構通過證券、抵押抵押擔保金融債務證券（“CMO”）和多家庭證券。
(3) 包括只支付利息的證券和反向抵押貸款，以及自2022年7月1日起新購買的代理通過、CMO和多戶證券。
5.證券
本公司在證券投資包括代理、信用風險轉讓、非代理及商業按揭證券。所有債務證券均歸類為可供出售。可供出售的債務證券以公平價值持有公平價值，公平價值變動會被記錄在其他綜合收益中，除非選擇公平價值選項，否則公平價值的變動將在合併綜合收益（虧損）表中納入投資淨利潤（虧損）及其他項目中。由 2022 年 7 月 1 日起，公司選擇任何新購買的代理按揭證券公平價值選擇，以簡化這些證券的會計。截至二零二四年九月三十日和 2023 年九月三十日止的三個月和九個月內，$1.7 億美元和美元762.8 百萬，和（$2.0) 億和（$）2.4在本公司綜合綜合收益（虧損）表中，已選擇公平價值選項之機構按揭證券的未實現收益（虧損）的數十億元未實現收益（虧損）。於 2022 年 7 月 1 日前購買的代理按揭證券仍屬可售出售，公平價值變動已納入其他綜合收益中。為簡化會計，本公司亦選擇 CRT 證券、僅利息證券、非代理及商業按揭證券的公平價值選項。正式證券交易於交易日記錄，包括符合衍生工具會計外的正規證券範圍的待公開證券（「TBA」）。出售證券的收益及虧損會根據具體識別方式於交易日記錄。
減損 - 管理層至少每季度評估持有的按公平價值計量但未選擇公平價值選項的可供出售證券和持有到期應付債券的減值，當經濟或市場條件要求進行此評估時，會更頻繁地進行評估。 當可供出售證券的公平價值低於其攤銷成本時，將視為該證券已受損。對於已受損的證券，公司將確定是否（1）有意出售該證券，（2）在收回其攤銷成本基礎之前，更有可能需要出售該證券或（3）不期望收回該證券的整個攤銷成本基礎。 此外，將對證券進行信用損失分析（預期收集的現金流的現值與攤銷成本基礎之間的差額）。如果有信用損失，則會
8

安納里資本管理公司及其附屬公司
項目1。基本報表
認可於綜合收益（損失）表中作為證券損失提存，並在財務狀況綜合表中以信貸損失準備的形式反映為證券的損失，而與其他因素相關的損失餘額將被認定為其他綜合收益（損失）的一部分。當持有至到期證券的公平價值低於成本時，公司會進行分析來判斷是否預期能收回證券的整個成本基礎。
機構按揭抵押證券 - 本公司投資於按揭過戶證書、抵押證券和其他代表或由住宅或多戶住宅按揭貸款和證書組成的資產支撐證券。許多基礎貸款和證券獲得美國政府國家按揭協會（“Ginnie Mae”）、聯邦房屋貸款抵押公司（“Freddie Mac”）或聯邦住宅貸款協會（“Fannie Mae”）（統稱為“機構按揭支持證券”）的擔保。
代理機構抵押支持證券可能包括對應未來合約，用來購買或出售通用資產池的代理機構抵押支持證券，採取待告知基礎。無意接受交割的TBA證券（“TBA衍生工具”）作為衍生工具進行會計處理，如“衍生工具”註釋所述。
CRt證券 - CRt證券是由房利美和房地美發行的風險共享工具，以及第三方市場參與者安排的類似結構交易。 CRt證券旨在將房利美和房地美的抵押信用風險合成地轉移給私人投資者。
非機構抵押貸款支持證券 - 公司投資非機構抵押貸款支持證券，例如優質貸款、大額貸款、Alt-A 貸款、次級貸款、不良貸款（“NPL”）和回收貸款（“RPL”）證券化。
機構抵押支持證券、非機構抵押支持證券和居民CRt證券在本文件中被稱為「居住證券」。儘管公司通常打算持有大部分的居住證券至到期日，但公司有時會出售其中任何一項居住證券，作為整體投資組合管理的一部分。
商業按揭支持證券（“商業證券”） - 本公司投資於商業證券，如購物中心證券、信貸微特證券、單一資產單一借款人證券和抵押貸款債券。
以下表格展示了截至2024年9月30日為止的九個月內公司證券活動的資料變化：
機構
證券		住宅信貸證券商業
證券		總計
（以千美元計）
2024年1月1日期初餘額
$66,308,788 $3,082,333 $222,444 $69,613,565 
購買21,102,716 515,189 — 21,617,905 
銷售額
(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)
公平價值調整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

安納里資本管理公司及其附屬公司
項目1。基本報表
以下表格顯示公司在2024年9月30日和2023年12月31日以公平價值計量的證券組合：
 2024年9月30日
 校長 /
名義		尚餘保費剩餘折扣攤銷後成本
成本		未實現收益
收益		未實現收益
虧損		預估公允價值
機構（以千美元計）
固定利率通過$64,672,312 $1,321,720 $(1,166,717)$64,827,315 $895,219 $(929,577)$64,792,957 
可調利率通過164,775 12,563 (44)177,294 2,266 (10,226)169,334 
首席營銷官89,286 1,481 — 90,767 — (11,363)79,404 
僅支付利息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 
反向按揭貸款25,499 2,725 — 28,224 — (1,418)26,806 
機構證券總額$91,624,518 $2,278,964 $(1,176,387)$69,238,513 $1,005,022 $(1,093,136)$69,150,399 
住宅信貸       
信用風險轉移$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 
優 (2)
1,462,881 15,842 (10,302)32,195 3,304 (536)34,963 
次級287,667 13 (30,510)257,170 9,785 (9,163)257,792 
不良貸款/回收轉讓賬款996,780 5,380 (6,252)995,908 5,265 (7,925)993,248 
高級珍寶餐飲集團（≥2010年系列） (3)
10,000,947 82,250 (30,577)144,628 21,551 (3,781)162,398 
總住宅信用證券$13,693,567 $105,233 $(83,158)$2,371,424 $100,281 $(28,168)$2,443,537 
總住宅證券$105,318,085 $2,384,197 $(1,259,545)$71,609,937 $1,105,303 $(1,121,304)$71,593,936 
商業
商業證券$106,044 $143 $(7)$106,180 $96 $(35)$106,241 
證券總計$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 /
名義		剩餘保費剩餘折扣攤銷後成本
成本		未實現收益
收益		未實現收益
虧損		預估公允價值
機構（以千美元計）
固定利率通過式傳遞$63,444,987 $1,448,886 $(1,318,948)$63,574,925 $477,242 $(1,853,226)$62,198,941 
調節利率按揭證券188,996 15,834 (51)204,779 1,663 (14,953)191,489 
首席營銷官94,448 1,612 — 96,060 — (13,088)82,972 
僅利息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 
反向抵押貸款26,183 3,193 — 29,376 — (2,523)26,853 
機構投資總額$82,895,356 $2,287,261 $(1,328,751)$67,874,312 $535,689 $(2,101,213)$66,308,788 
住宅信貸       
信用風險轉移$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 
優 (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 
商業
商業證券$224,597 $15 $(822)$223,790 $19 $(1,365)$222,444 
證券總計$96,221,329 $2,378,411 $(1,449,850)$71,231,784 $612,427 $(2,230,646)$69,613,565 
(1) 本金/名義金額包括截至2024年9月30日和2023年12月31日分別的億美元的機構多房利息-only證券。20.6十數億美元14.0本金/名義金額包括截至2024年9月30日和2023年12月31日分別的億美元的機構多房利息-only證券。
(2) 本金/名義金額包括截至2024年9月30日和2023年12月31日分別的億美元的Prime利息-only證券。1.4十數億美元0.9本金/名義金額包括截至2024年9月30日和2023年12月31日分別的億美元的Prime利息-only證券。
(3) 本金/名義金額包括截至2024年9月30日和2023年12月31日期間的10億美元的優質珍寶餐飲集團利息-only證券。9.9十數億美元9.1十億兩個點要素：2024年9月30日和2023年12月31日期間的10億美元的高端珍寶餐飲集團利息-only證券。


10

安納里資本管理公司及其附屬公司
項目1。基本報表
以下表格顯示了公司房屋貸款支持證券投資組合，在2024年9月30日和2023年12月31日按發行機構劃分：
2024年9月30日2023年12月31日
投資類型（以千美元計）
房利美$64,332,620 $60,477,303 
房地美4,711,281 5,778,809 
Ginnie Mae106,498 52,676 
總計$69,150,399 $66,308,788 
公司持有的住宅證券的實際到期期限通常比合同規定的到期期限短，因為投資組合的實際到期期限受到基礎抵押貸款本金的定期支付和預付款的影響。
以下表格摘要顯示了公司於2024年9月30日和2023年12月31日的住宅證券，根據其估計的加權平均壽命分類：
 2024年9月30日2023年12月31日
預估公允價值攤銷後成本
成本		預估公允價值攤銷後成本
成本
估計的加權平均壽命（以千美元計）
一年以下$372,457 $373,090 $254,753 $257,170 
超過一年至五年14,058,665 13,842,110 5,159,969 5,213,575 
超過五年至十年55,842,923 56,074,367 62,158,711 63,662,144 
超過十年1,319,891 1,320,370 1,817,688 1,875,105 
總計$71,593,936 $71,609,937 $69,391,121 $71,007,994 
上表顯示的住宅證券截至2024年9月30日和2023年12月31日的預估加權平均壽命是基於預測的本金預付率。 實際的住宅證券加權平均壽命可能比預測的更長或更短。
以下表格顯示公司代理住宅按揭證券的總未實現虧損和估計公允價值，這些證券按照可供出售的方式計算，其中在未選擇公允價值選項的情況下，在2024年9月30日和2023年12月31日一直處於持續未實現虧損位置的時間長度。
 2024年9月30日2023年12月31日
 
估計公平價值 (1)
未實現淨損失 (1)
證券數量 (1)
估計公平價值 (1)
未實現淨損失 (1)
證券數量 (1)
 （以千美元計）
少於12個月$13,122 $(638)11 $35,453 $(418)16 
12個月或更長時間9,390,134 (717,707)1,429 15,455,118 (1,340,032)1,747 
總計$9,403,256 $(718,345)1,440 $15,490,571 $(1,340,450)1,763 
(1) 不包括只限於利息的抵押支持證券和逆向抵押貸款，而自2022年7月1日起，新購買的機構通過、資本抵押證券（“CMO”）和多住宅證券。
這些證券價值下降完全是由於市場環境，而不是資產的品質。絕大部分的機構按揭支持的證券具有實際或隱含的信用評級，與美國政府相同。公司未因這些投資產生的價值下降而承認損失，因為這種價值下降與信用質量無關，公司目前尚未決定出售這些證券，也未有證據表明在回收之前需要出售這些證券。
截至2024年9月30日止的三個月和九個月期間，公司分別處置了居住證券的攤銷成本基礎$2.8 分別於2024年6月30日和2023年12月31日，公司已將持有金額為10億和20億的可供出售金融資產作為回購協議的抵押物。參閱附註12-回購協議。16.0 十億，分別為2023年9月30日止的三個月和九個月期間，公司分別處置了攤銷成本基礎為十億的居住證券。6.9 分別於2024年6月30日和2023年12月31日，公司已將持有金額為10億和20億的可供出售金融資產作為回購協議的抵押物。參閱附註12-回購協議。20.5 十億，分別是2023年9月30日止的三個月和九個月期間，公司分別處置了攤銷成本基礎為十億的居住證券。 以下表格呈現了公司在2024年和2023年9月30日結束的三個和九個月期間從處置居住證券中獲得的淨利潤（虧損），該數據包含在綜合收益表的投資淨利潤（虧損）項下。
11

安納里資本管理公司及其附屬公司
項目1。基本報表
 已實現獲利已實現虧損淨實現利益（損失）
截至三個月結束時（以千美元計）
2024年9月30日$26,983 $(35,258)$(8,275)
2023年9月30日$10,048 $(612,665)$(602,617)
截至九個月結束時
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. 貸款
本公司投資於住宅貸款。貸款分為持有供投資或持有供售分類。貸款可選擇採用公平價值選項計量。若貸款選擇公平價值選項，則按公平價值計量，公平價值變動於收入中確認。否則，持有供投資的貸款按成本減損後計量，持有供售的貸款按成本或市價較低者計量。
截至2024年9月30日和2023年12月31日，該公司在未移轉或抵押給證券化機構的貸款方面， 購買貸款的選擇已達到，分別為數十億。 $2.3億美元。 $2.4公司打算賣出或證券化貸款，並且預期證券化機構不會被併入，這些貸款被歸類為持有待售。 任何起始費用和成本或購買溢價或折扣都將延遲支付，並在出售時確認。 公司根據單獨的貸款來確定持有待售貸款的公平價值。 公司持有待售的住宅貸款的攜帶價值為$0.8 百萬美元和1.2 百萬美元。
以下表格呈現了公司截至2024年9月30日結束的九個月內，除了轉讓或抵押給證券化車輛的貸款投資活動：
住宅貸款
（以千美元計）
2024年1月1日期初餘額
$2,353,084 
購買/發放9,329,964 
銷售和轉讓 (1)
(9,287,090)
本金付款(103,691)
收益/(虧損)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) 包括將帶有25億美元攤銷價值的住宅貸款轉移至證券化工具。8.8在2024年9月30日結束的九個月期間，轉移了金額為10億美元的住宅貸款。

住宅
該公司的住宅按揭貸款主要由履行調整利率和固定利率的整筆貸款組成。該公司的住宅貸款以公允價值選擇權計量，公允價值變動反映在綜合收益（損失）的投資淨收益和其他處。該公司還將保留證券的證券化信託納入合併綜合損益表中的其他處，因為該公司還具有指導此類信託活動的某些權力和權利。有關該公司合併的住宅按揭貸款信託的進一步信息，請參閱“變量利益實體”附註。
按照首要抵押品，主要是一至四人家庭住宅物業的順位抵押貸款的安全性。公司的子公司已經委託第三方擔任其保管人、代理人和保管物，目的是為了接收和保管與其購買的住宅抵押貸款相關的某些文件、文件和文件。根據保管協議，保管人將分離並持續保管子公司所擁有的每筆抵押貸款的所有有關抵押件的文件，並將其置於安全和耐火設施中，並以謹慎抵押貸款文件保管人所採用的標準方式進行管理。在任何住宅抵押貸款的資金到位之前，根據我們的抵押貸款購買協議的條款，相關的賣方必須將包括抵押註記、抵押和其他相關貸款文件在內的抵押貸款文件交付予保管人。此外，在購買日期之前，必須向子公司提供相關抵押和借款人的完整信用檔。
以下表格顯示了2024年9月30日和2023年12月31日的住宅按揭貸款組合的公允價值和未償還本金餘額，包括轉讓或抵押給證券化車輛的貸款：
12

安納里資本管理公司及其附屬公司
項目1。基本報表
2024年9月30日2023年12月31日
 （以千美元計）
公允價值$23,349,620 $15,660,706 
未償還本金餘額$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日三個月和九個月的合並綜合收益（損失）報表中認可的項目和金額相關的信息。
截至三個月結束截至年終前九個月
2024年9月30日2023年9月30日2024年9月30日2023年9月30日
 （以千美元計）
利息收入$346,031 $181,965 $899,867 $491,397 
投資處置凈收益（虧損） (1)
1,535 (1,087)(1,810)(3,358)
標記為公允價值透過應計淨損益計量的金融工具評價不實現淨收益（虧損） (1)
558,161 (418,776)469,462 (326,096)
凈利潤中包含的總數$905,727 $(237,898)$1,367,519 $161,943 
(1) 這些金額呈報於「公允價值變動收入及其他投資之虧益（收益）」一節，詳見綜合損益表。
以下表格提供了截至2024年9月30日和2023年12月31日的未償本金餘額基於房屋按揭貸款的地理集中情況，包括轉讓或抵押給證券化車輛的貸款：
居住房屋貸款的地理集中分布
2024年9月30日2023年12月31日
物業位置餘額百分比物業位置餘額百分比
加利福尼亞州38.3%加利福尼亞州40.1%
紐約10.9%佛羅里達10.6%
佛羅里達10.6%紐約10.5%
德克薩斯州5.6%德克薩斯州5.6%
所有板塊（單一板塊不超過5%）34.6%所有板塊（單一板塊不超過5%）33.2%
總計100.0%100.0%
以下表格提供了有關公司房屋按揭貸款的額外數據，包括2024年9月30日和2023年12月31日轉讓或抵押給證券化機構的貸款：
 2024年9月30日2023年12月31日
 
投資組合
區間
投資組合加權
平均價格
投資組合
區間
投資組合加權平均
 （以千美元計）
未償還本金餘額
$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
貸款起始時的FICO分數
549 - 850
758
549 - 850
758
貸款起始時的貸款價值比率
3% - 100%
68%
3% - 100%
68%
於2024年9月30日及2023年12月31日，本公司住宅按揭貸款的攤銷價值分別約為 152024年6月30日和2023年12月31日的時間點，公司從Thrivel Earlier Detection Corporation（“Thrive”），Ashion Analytics，LLC（“Ashion”）和OmicEra的收購中記錄的關於監管和產品開發里程碑的待定支付負債的公允價值總和為2.779億和2.887億美元。公司使用概率加權情境折現現金流模型評估預期的待定支付負債和相應的與監管和產品開發里程碑相關的負債的公允價值，該方法與預期待定支付負債的初始計量一致。每個潛在情境應用成功概率，然後通過現值因子計算折扣，得出相應的現值。時間的流逝以及草擬的里程碑實現時間，現值因子，實現度（如適用）和成功概率的變化可能導致公允價值測量的調整。與監管和產品開發里程碑相關的待定支付負債的公允價值是以2024年6月30日和2023年12月31日的加權平均成功概率和現值因子計算的，成功概率分別為%和%，現值因子分別為%和%。付款範圍的預測財政年度範圍為2025年至2031年。所使用的不可觀察的輸入值按待定支付負債的相對公允價值加權。 11的可調利率，包括轉讓或质押給證券化車輛的貸款。


7. 抵押服務權利
MSR代表與服務居住房抵押貸款包組相關的權利和義務。 公司及其子公司不會來源或直接提供居住房抵押貸款的服務。 相反，這些活動是由持有適當牌照的分期服務機構執行的，他們就為MSR基礎貸款提供幾乎所有的服務功能。 公司通常打算將MSR持有作為投資，並選擇按公允價值記賬其MSR投資。 因此，它們以公允價值在附帶的財務狀況綜合收益（損失）表中予以認列，估計公平價值變動則作為綜合收益（損失）附錄中各項投資和其他之一部分呈現。
13

安納里資本管理公司及其附屬公司
項目1。基本報表
以下表格顯示了2024年和2023年9月30日結束時與MSR相關的活動：
抵押貸款服務權結束於三個月的期間九個月結束了
2024年9月30日2023年9月30日2024年9月30日2023年9月30日
 （以千美元計）
期初公允價值$2,785,614 $2,018,896 $2,122,196 $1,748,209 
購買 (1)
64,750 185,299 701,377 399,450 
銷售額(68,635)— (69,703)— 
利率期貨意外變動原因：
估值輸入或假設的變化 (2)
(42,752)62,315 63,286 172,845 
其他變動，包括實現預期現金流量(45,920)(31,697)(124,099)(85,691)
期末公允價值$2,693,057 $2,234,813 $2,693,057 $2,234,813 
(1) 包括因提前償還、違約，或交付但被視為不可接受的貸款而導致原始購入價格的調整。
(2) 主要代表估值模型中使用的折扣率和預付速度輸入的變化，主要是因為利率期貨變化。

8. 變量利益實體
公司對其可變利實體的義務風險通常僅限於2024年9月30日公司對可變利實體的資產投資為美元2.1 資產的可變利實體僅可用於清償可變利實體的義務。可變利實體的債權人無權對公司一般信用提出異議。公司無法合約要求並且也沒有向可變利實體提供任何形式的財務支持。合併現有可變利實體時未認列任何收益或損失。利息收入和費用採用有效利息方法進行認列。
住宅證券化
公司亦投資於由VIE機構發行的居民按揭擔保證券，因為這些機構沒有足夠的風險資本去為其活動提供資金，需要從其他方面獲得附帶財務支持。公司並非主要受益人，因為它沒有權力指導最重要影響VIE經濟績效的活動。對於這些機構，公司對損失的最大風險是所擁有證券的攤銷成本基礎，並且不提供任何流動性安排、保證或對這些VIE機構的其他承諾。有關居民證券的詳細信息，請參閱“證券”附註。
OBX信託
住宅證券由一般被合稱為“OBX信託”的實體發行。這些證券代表提供給公司的無追索權融資交易，並以公司購買的住宅抵押貸款作為抵押品。截至2024年9月30日結束的住宅證券包括在以下表格中：
證券化收盤日期收盤時面值
（以千美元計）
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

安納里資本管理公司及其附屬公司
項目1。基本報表
截至2024年9月30日和2023年12月31日，第三方持有的債券總攜帶價值分別為$18.7十數億美元11.6十億和公司自留的資產質押證券分別為$2.1十數億美元1.4十億，這些證券資產在合併財務報表中已被消除。由於公司具有指導最能影響OBX Trusts表現的活動的權力，並持有可能對這些VIEs具有重大影響的變量利益，因此該公司被視為主要受益方並合併了OBX Trusts。自2022年8月1日起，在新證券化實體初次合併時，公司選擇應用合併資押金融實體的測量替代辦法，以簡化會計和估值過程。這些證券化實體的負債被認為更為可觀察，用以衡量資產的公允價值。公司在截至2024年9月30日及2023年間的三個月內分別產生了$5.0 百萬美元和1.9 百萬的成本。14.0百萬和$5.9在截至2024年和2023年9月30日的九個月內，與這些證券化相關的成本分別為百萬美元，以發生即支出。由第三方持有的OBX Trusts債務的合約本金金額分別為＄19.3十數億美元12.6分別為2024年9月30日和2023年12月31日，OBX Trusts的債務由第三方持有的合同本金金額為十億美元。在截至2024年和2023年9月30日的三個月內，公司分別記錄了（＄430.4分別為2023年6月30日和2024年結束的三個月，淨所得稅（收益）支出分別為 $294.9百萬美元，以及（＄339.6分別為2023年6月30日和2024年結束的三個月，淨所得稅（收益）支出分別為 $213.5 百萬美元，在截至2024年和2023年9月30日的九個月內，由OBX Trusts發行的第三方持有的債務的未實現收益（虧損），報告於公司的綜合收益（損失）表中的投資和其他中。
儘管房屋按揭貸款已出售以進行破產和州法目的，但將房屋按揭貸款轉移至OBX信託並不符合銷售會計，因此被記錄為跨公司擔保借款，在合併後予以消除。
住宅信貸基金
公司管理一個基金，投資於住宅抵押貸款的參與權。由於實體沒有足夠的風險資本，不能在沒有其他次級財務支持的情況下進行活動，該住宅信貸基金被視為一個VIE，該次財務支持可以由任何方提供，包括股東，因為資本承諾不被視為風險資本。公司不是主要受益人，也不將該住宅信貸基金納入合併報表中，因為公司對基金唯一的利益是其所賺取的管理和表現費用，這些費用被視為該實體的變量利益。截至2024年9月30日和2023年12月31日，公司分別持有住宅抵押貸款參與利益總額為$0.5十數億美元1.1億美元。這些轉讓不符合出售會計標準，因此被視為擔保借款，因此，住宅貸款被報告為貸款淨額，相應的負債被報告為在財務狀況表中發行的參與權。公司選擇對發行的參與權採用公允價值選擇權，公允價值的變動反映在投資及其他的淨收益（虧損）中，以更準確地反映轉讓的經濟效應，因為基礎貸款按公平價值計入收益。

9. 金融衍生工具
金融衍生工具包括但不限於利率互換、進入利率互換的選擇權（swaptions）、TBA 衍生工具、美國國債和過夜拆款利率（SOFR）期貨合約以及特定的未來購買承諾。公司還可能進入其他類型的按揭衍生品，例如僅利息證券、參照商業按揭支持證券指數的信用衍生品和合成總回報掉期。
為了公司的投資/市場利率風險管理策略，公司透過與利率互換、Swaptions 和期貨合約等衍生金融工具進行經濟對沖，部分對利率風險進行對沖。公司也可能進行TBA衍生品、美國國庫期貨合約、特定的未來購買承諾和信貸衍生品，以經濟對沖其對市場風險的敞口。使用衍生品的目的在於管理整體投資組合風險，同時有潛力為股東產生額外收入供分配。這些衍生品會受到市場價值變動的影響，其原因可能是利率、波動性、機構擔保的抵押證券價差與美國國庫券以及市場流動性的變化。使用衍生品還會造成信貸風險敞口，因為如果這些工具的交易對手未能履行合約下的義務，可能會產生損失。此外，公司可能需要以現金或資產作為衍生品交易的抵押品，其金額可能根據衍生合約的市場價值和條款而變動。在市場約定的利息（MAC）利率互換中，公司可能在進行此類利率互換時支付或收取款項，以彌補此類利率互換的市值不符合市場行情。從這些利率互換的開始日至今後的公允價值變動，將反映在綜合損益表中的衍生品淨利（損）。與其他利率互換一樣，公司可能需要以現金或資產作為MAC利率互換交易的抵押品。 如果交易對手發生違約，公司可能會出現難以取得已抵押抵押品以及按照衍生合約條款收取款項的情況。
15

安納里資本管理公司及其附屬公司
項目1。基本報表
衍生工具在財務狀況表中被確認為資產或負債，以公允價值計算，在綜合收益（損失）表中確認公允價值變動，估計公允價值變動呈現於衍生工具淨利（損）上。公司的衍生交易中，尚未有任何被指定為避險工具以進行會計目的。
本公司亦與其利率交換及其他衍生工具的對手持有保證金的現金形式的抵押品。根據結算機構的規則手冊，本公司呈報集中結算利率交換的公平價值，除扣除該等交易所承擔或收到的變動保證金。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) 億和（$）2.4) 以公平價值計算，分別報告數十億元的差價保證金作為調整利率交換。初始保證金以現金及現金等值表於合併財務狀況報表中報告。
利率期貨互換協議 - 利率期貨互換協議是用來減輕利率風險的主要工具。特別是，公司使用利率期貨互換協議來管理其在回購協議上面對利率變化的敞口，通過經濟避險來應對與這些借款相關的現金流。公司可能持有債務回購協議利率互換協議，其中浮動腿與SOFR、隔夜指數掉期利率或其他指數相關聯。利率期貨互換協議可能通過衍生品結算組織（“DCO”）進行結算，也可能未進行結算。未結算的利率互換協議使用內部定價模型進行公平值評估，並與對手市值進行比較。中央結算的利率互換協議，包括MAC利率互換協議，通常使用DCO的市值進行公平值評估。如果一項利率互換協議被終止，則該利率互換協議的實現收益（損失）將等於收到或支付現金與公平價值之間的差額。
選擇權控制項 — 控制項是為了減輕利率期貨上升或下降的潛在影響而購買或出售。利率控制項提供了進入利率互換協議的選擇權，擁有預定名義金額、規定期限以及在未來支付和收取的利率。公司的控制項未被中央結算。控制項的已支付或已收取保費被報告為資產或負債列在綜合財務狀況表中。如果一個控制項到期未行使，則控制項的實現收益（虧損）將等於已收到的或已支付的保費。如果公司出售或行使控制項，則控制項的實現收益（虧損）將等於已收到的現金或收到的基礎利率互換的公正價值與已支付的保費之間的差額。控制項的公平價值是使用內部定價模型估計的，並與交易對手市場價值進行比較。
TBA美元轉優勢卷 – TBA美元轉優勢卷交易以一系列衍生品交易形式來記錄。 TBA衍生品的公允價值基於類似於衡量機構按揭支持證券的方法。
期貨合約 － 期貨合約是追蹤特定資產或基準利率價格的衍生品。賣空期貨合約有助於減輕利率變動對投資組合表現的潛在影響。公司維持每日與期貨佣金經紀（「FCMs」）結算的保證金賬戶。保證金要求根據持倉市值和賬戶中保留的股權而有所不同。期貨合約根據交易所價格進行公平估值。
履約購買承諾 - 公司可能與對手方簽訂履約購買承諾，根據該承諾，公司將購買特定價格的住宅按揭貸款，前提是住宅按揭貸款與對手方完成交易。對手方應該以「盡最大努力」的方式交付已承諾的貸款。
信用衍生品指數 - 公司可能參與涉及商業抵押支援證券指數（如CMBX指數）和合成總回報掉期的信用衍生品。











16

安納里資本管理公司及其附屬公司
項目1。基本報表
下表彙總了截至2024年9月30日和2023年12月31日的公司衍生資產和負債的公允價值信息:
衍生工具2024年9月30日2023年12月31日
資產（以千美元計）
利率掉期$3,094 $26,344 
利率掉期期權13,068 105,883 
TBA衍生品2,869 20,689 
期貨合約23,256 — 
採購承諾16,784 9,641 
總衍生品資產$59,071 $162,557 
負債 
利率掉期$59,297 $83,051 
TBA 衍生品8,601 39,070 
期貨合約32,117 179,835 
採購承諾2,613 339 
總衍生品負債$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日的利率互換的某些特徵：
2024年9月30日
到期
目前名義金額 (1)
加權平均支付利率加權平均收取利率
加權平均到期年限 (2)
（以千美元計）
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
大於 10 年
1,559,384 3.44 %4.84 %23.50
總計 / 加權平均$55,145,571 3.05 %4.94 %5.08
2023年12月31日
到期
目前名義金額 (1)
加權平均
支付率		加權平均收款率
加權平均到期年限 (2)
（以千美元計）
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
大於 10 年
2,021,247 3.53 %5.27 %22.71
總計/加權平均$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日的時間點，公司從Thrivel Earlier Detection Corporation（“Thrive”），Ashion Analytics，LLC（“Ashion”）和OmicEra的收購中記錄的關於監管和產品開發里程碑的待定支付負債的公允價值總和為2.779億和2.887億美元。公司使用概率加權情境折現現金流模型評估預期的待定支付負債和相應的與監管和產品開發里程碑相關的負債的公允價值，該方法與預期待定支付負債的初始計量一致。每個潛在情境應用成功概率，然後通過現值因子計算折扣，得出相應的現值。時間的流逝以及草擬的里程碑實現時間，現值因子，實現度（如適用）和成功概率的變化可能導致公允價值測量的調整。與監管和產品開發里程碑相關的待定支付負債的公允價值是以2024年6月30日和2023年12月31日的加權平均成功概率和現值因子計算的，成功概率分別為%和%，現值因子分別為%和%。付款範圍的預測財政年度範圍為2025年至2031年。所使用的不可觀察的輸入值按待定支付負債的相對公允價值加權。 93公司利率掉期的%分別連結到聯邦基金利率和SOFR。截至2023年12月31日， 62024年6月30日和2023年12月31日的時間點，公司從Thrivel Earlier Detection Corporation（“Thrive”），Ashion Analytics，LLC（“Ashion”）和OmicEra的收購中記錄的關於監管和產品開發里程碑的待定支付負債的公允價值總和為2.779億和2.887億美元。公司使用概率加權情境折現現金流模型評估預期的待定支付負債和相應的與監管和產品開發里程碑相關的負債的公允價值，該方法與預期待定支付負債的初始計量一致。每個潛在情境應用成功概率，然後通過現值因子計算折扣，得出相應的現值。時間的流逝以及草擬的里程碑實現時間，現值因子，實現度（如適用）和成功概率的變化可能導致公允價值測量的調整。與監管和產品開發里程碑相關的待定支付負債的公允價值是以2024年6月30日和2023年12月31日的加權平均成功概率和現值因子計算的，成功概率分別為%和%，現值因子分別為%和%。付款範圍的預測財政年度範圍為2025年至2031年。所使用的不可觀察的輸入值按待定支付負債的相對公允價值加權。 94公司利率掉期的%分別連結到聯邦基金利率和SOFR。
(2) 付款利率掉期的加權平均到期年限，會被收款利率掉期的加權平均到期年限抵消。因此，每個到期年限區間的淨加權平均到期年限可能會超出所列的範圍。







17

安納里資本管理公司及其附屬公司
項目1。基本報表
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徵：
2024年9月30日
目前基礎名義金額加權平均基礎固定利率加權平均基礎浮動利率加權平均基礎到期年限加權平均到期月份
（以千美元計）
長期支付$250,0002.40%SOFR5.030.23
2023年12月31日
當前基底名義金額加權平均基底固定利率加權平均基底浮動利率加權平均基底到期年限加權平均到期月份
（以千美元計）
長期支付$1,250,0002.21%SOFR7.698.21
長期收取$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衍生品的某些特徵：
2024年9月30日
衍生性TBA的購買和銷售合同名義隱含成本基礎隱含市值淨攜帶價值
（以千美元計）
購買合同$3,319,000 $3,333,873 $3,328,141 $(5,732)
淨TBA衍生品$3,319,000 $3,333,873 $3,328,141 $(5,732)
2023年12月31日
衍生TBA的購買和銷售合同名義隱含成本基礎隱含市值淨攜帶價值
（以千美元計）
購買合同$988,000 $920,626 $915,790 $(4,836)
銷售合同(1,491,000)(1,475,847)(1,489,392)(13,545)
淨TBA衍生品$(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日的期貨衍生工具的某些特徵： 
2024年9月30日
 名義 - 多頭
職位		名義 - 空頭
職位		加權平均
到期年數
 （以千美元計）
美國的國庫期貨 - 2 年
$— $(16,793,200)1.94
美國的國庫期貨 - 5 年
3,346,000 — 4.39
美國的國庫期貨 - 10 年期及以上
621,300 (2,285,500)12.41
總計$3,967,300 $(19,078,700)3.62
2023年12月31日
 名義金額 - 做多
職位		名義金額 - 做空
職位		加權平均
到期年數
 （以千美元計）
美國國庫期貨 - 2 年
$— $(5,001,400)1.97
美國國庫期貨 - 10 年期及以上
— (1,733,600)14.26
總計$— $(6,735,000)5.13
公司在財務狀況表中以毛基礎呈現衍生合約。衍生合約可能包含法律上可強制執行的條款，允許與每個交易對手進行應收款項和應付款項的淨額或抵銷。
18

安納里資本管理公司及其附屬公司
項目1。基本報表
以下表格提供了有關衍生金融資產和負債的資訊，這些資產和負債受到相應條款的約束，並可在2024年9月30日和2023年12月31日的公司綜合財務狀況表中進行抵銷。
2024年9月30日
 可抵銷金額 
 總金額金融工具現金擔保淨金額
資產（以千美元計）
利率掉期，以公平值計算$3,094 $— $— $3,094 
利率掉期選擇權，以公平值計算13,068 — (11,100)1,968 
TBA衍生品，以公平值計算2,869 (2,660)— 209 
期貨合約，以公平值計算23,256 (20,305)— 2,951 
採購承諾16,784 — — 16,784 
負債 
利率掉期，以公平值計算$59,297 $(48,713)$— $10,584 
TBA衍生品，以公平值計算8,601 (6,972)— 1,629 
期貨合約，按公平價值32,117 (20,305)(11,812)— 
採購承諾2,613 — — 2,613 
2023年12月31日
 可抵消金額 
 總金額金融工具現金擔保淨金額
資產（以千美元計）
利率互換，以公允價值計量$26,344 $(21,505)$— $4,839 
利率掉期期權，以公允價值計量105,883 (45,930)(57,320)2,633 
TBA衍生品，以公允價值計量20,689 (13,282)— 7,407 
採購承諾9,641 — — 9,641 
負債 
利率互換，以公允價值計量$83,051 $(72,844)$— $10,207 
待公佈的衍生品，以公允價值衡量39,070 (34,525)— 4,545 
期貨合約，以公允價值衡量179,835 — (179,835)— 
採購承諾339 — — 339 
利率互換對綜合收益/損益表的影響如下：
綜合損益表上的位置
 
利率互換的淨利息成分 (1)
利率互換終止產生的實現利益（損失） (1)
利率互換產生的未實現利益（損失） (1)
截至三個月結束時（以千美元計）
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 
截至九個月結束時
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) 包含在綜合損益表（損失）中的衍生工具淨收益（損失）。







19

安納里資本管理公司及其附屬公司
項目1。基本報表
在公司綜合損益表中，其他衍生合約的影響如下：
2024年9月30日結束的三個月
衍生工具​未實現收益（損失）淨虧損中認列的其他衍生工具損益金額
（以千美元計）
淨TBA衍生品$40,561 $(18,181)$22,380 
淨利率掉期(21,180)(113,792)(134,972)
期貨(362,660)71,146 (291,514)
採購承諾— 9,124 9,124 
總計
$(394,982)
2023年9月30日結束的三個月
衍生工具​未實現收益（損失）其他衍生工具損益中認列的收益/(損失)金額
（以千美元計）
淨TBA衍生品$(81,964)$(41,777)$(123,741)
净利率掉期期權(27,860)(51,041)(78,901)
期貨 (1)
309,397 131,578 440,975 
採購承諾— 2,457 2,457 
總計$240,790 
(1) 截至2023年9月30日的三個月中，包括 $13.2 百萬的未實現收益和 ($18.9) 百萬的實現虧損，涉及到SOFR期貨期權。
2024年9月30日結束的九個月
衍生工具​未實現收益（損失）其他衍生工具損益中確認的收益/(虧損)金額
（以千美元計）
淨TBA衍生品$15,694 $12,649 $28,343 
利率掉期交換的淨利率(33,511)(59,304)(92,815)
期貨 (1)
(323,113)170,973 (152,140)
採購承諾— 4,870 4,870 
總計$(211,742)
(1) 截至2024年9月30日止的九個月，包含與SOFR期權相關的已實現虧損（$6.8）百萬，是期貨期權的虧損。
2023年9月30日結束的九個月
衍生工具​未實現收益（損失）其他衍生工具損益中認列的收益/(損失)金額
（以千美元計）
淨TBA衍生品$(136,452)$12,710 $(123,742)
净利率掉期期權(25,538)(43,627)(69,165)
期貨 (1)
185,716 229,940 415,656 
採購承諾— (122)(122)
信用衍生品(19,282)13,260 (6,022)
總計$216,605 
(1) 截至2023年9月30日的九個月，包括3百萬美元的未實現損失($5.6 美元)。18.9) 百萬的實現虧損，涉及到SOFR期貨期權。
公司的某些衍生合同受到國際掉期和衍生品協會主協議或其他類似協議的約束，這些合同可能包含條款，憑藉某些事件發生即賦予交易對手某些權利，例如（i）股東權益下降超過指定閾值或一段時間內的指定金額，（ii）公司未能保持其REIT地位，（iii）公司未能遵守保證金比率的限制，以及（iv）公司的股票被從紐約證券交易所摘牌。
20

安納里資本管理公司及其附屬公司
項目1。基本報表
在任一(i)至(iv)事項發生，或協議下其他違約情況時，適用協議的對方有權根據協議條款終止協議。前述特徵之衍生工具的總公平價值在2024年9月30日處於淨負債位，為$。42.2百萬美元，代表公司在終止時可能需要支付的最大金額。這個金額已被充分抵押。

10. 公允價值衡量
本公司遵循GAAP的公允價值指引，來核算根據公允價值核算的金融工具和MSR。金融工具和MSR的公允價值是在測量日期市場參與者之間進行有序交易時將收到的金額，或支付以轉讓負債的金額。
根據GAAP要求，將財務工具和MSR分類為三級層級，基於用於估值技術的輸入的優先順序。公平價值層次給予具有相同資產或負債的活躍市場的報價價格最高 priority（第1級） ，對不可觀察的輸入賦予最低 priority（第3級）。
如果用於衡量財務工具和MSR的輸入位於層次結構的不同層級內，則分類將基於對該工具的公平價值衡量具有重要影響的最低優先輸入。記錄在財務狀況合併報表中公允價值的金融資產和負債，或在相關附註中披露的金融資產和負債，將根據估值技術的輸入進行分類，如下所示：
1級 - 資產估值方法的輸入是在活躍市場中未調整的相同資產和負債的報價價格。
2級 - 資產估值方法的輸入包括在活躍市場中相似資產和負債的報價價格，以及對於該資產或負債可觀察的輸入，無論是直接或間接地，在金融工具的整個期限內。
三級 - 估值方法的輸入是不可觀察且對整體公平價值具有重大影響。
公司根據證券的種類以及公司的意圖和能力將其證券指定為交易、可供出售或持有至到期。作為可供出售和交易分類的證券會定期按公平價值報告。
以下是用於記載以公允價值計量的工具的估值方法的描述。這些方法適用於資產和負債，涵蓋三級公允價值層次，在輸入可觀察性確定適當層次。
期貨合約和美國國庫證券的價值是使用在活躍市場上相同工具的報價價格來進行分類，並被歸類為第一級。
住宅證券、利率掉期、掉期期權和其他衍生工具的價值是使用報價價格或內部估計類似資產的價格使用內部模型進行評估。 公司採用常見的市場定價方法，包括對國庫曲線的價差衡量，以及特定證券的基本特徵，包括票面利率、預償速度、週期性和年限上限、利率重設期和證券預期壽命等，以估計公平價值。 住宅抵押貸款的公平價值估計是通過貼現現金流模型生成，主要基於可觀察的市場價值輸入，包括折現率、預償速度、拖欠水平和信用損失。 管理層通過將其內部模型衍生的公平價值估計與經營商提供的獨立價格或第三方定價服務提供的價格進行比較，來審查並間接證實其公平價值估計結果。某些流動資產類別，如機構固定利率過戶，可能使用獨立來源價格，例如對TBA證券的報價價格來定價。
住宅證券、住宅按揭貸款、利率掉期和swaption市場以及TBA衍生品都被視為活躍市場，參與者進行頻繁且具有足夠成交量的交易，以便不斷提供透明的定價資訊。住宅證券、住宅按揭貸款、利率掉期、swaptions和TBA衍生品市場的流動性以及公司證券與活躍交易證券的相似性使公司能夠觀察市場上的報價並利用這些價格作為制定公允價值計量的依據。因此，公司已將住宅證券、住宅按揭貸款、利率掉期、swaptions和TBA衍生品歸類為第2級。
商業按揭證券作為可供出售的公平價值是根據最近市場交易中類似資產的報價價格來確定的，並且由於底層抵押品的不同而需要運用判斷。因此，以公平價值計量的商業按揭證券被歸類為二級。
21

安納里資本管理公司及其附屬公司
項目1。基本報表
有關於證券化車輛發行的債務公平值，請參閱“變量利益實體”附註以獲取更多資訊。
公司已將其投資於MSR的分類為第3級。這些投資的公平價值估計來自使用其估值中的重要不可觀察輸入的模型。這些估值主要使用折現現金流量模型，這些模型包含不可觀察的市場數據輸入，包括折現率、預付款率、逾期率和服務成本。然後將模型估值與從第三方價格提供者獲得的估值進行比較。管理層審查從第三方價格提供者獲得的估值並將其用作與建模值比較的參考基準。 MSR的估值需要管理層和第三方價格提供者的重要判斷。對於缺乏可觀察輸入的假設可能會對最終公平價值產生重大影響，進而影響公司的基本報表。 
以下表格顯示截至2024年9月30日和2023年12月31日，金融工具和MSR的估計公平價值，均按公允價值進行重複計量。在呈現期間內，未發生公平價值層級之間的轉移。
2024年9月30日
 一級二級等級 3總計
資產（以千美元計）
證券
機構抵押支持證券$— $69,150,399 $— $69,150,399 
信用風險轉移證券— 826,841 — 826,841 
非機構抵押貸款證券— 1,616,696 — 1,616,696 
商業抵押貸款證券— 106,241 — 106,241 
貸款
住宅按揭貸款— 2,305,613 — 2,305,613 
按揭服務權— — 2,693,057 2,693,057 
資產轉移或抵押給證券化車輛— 21,044,007 — 21,044,007 
衍生金融資產
利率掉期— 3,094 — 3,094 
其他衍生品23,256 32,721 — 55,977 
資產總額$23,256 $95,085,612 $2,693,057 $97,801,925 
負債
由證券化車輛發行的債務$— $18,709,118 $— $18,709,118 
已發行的參與權益— 467,006 — 467,006 
已售出的美國國庫證券，但尚未購入2,043,519 — — 2,043,519 
衍生負債
利率掉期— 59,297 — 59,297 
其他衍生品32,117 11,214 — 43,331 
總負債$2,075,636 $19,246,635 $— $21,322,271 
22

安納里資本管理公司及其附屬公司
項目1。基本報表
2023年12月31日
 一級二級等級 3總計
資產（以千美元計）
證券
機構抵押支持證券$— $66,308,788 $— $66,308,788 
信用風險轉移證券— 974,059 — 974,059 
非機構抵押資產支援證券— 2,108,274 — 2,108,274 
商業抵押資產支援證券— 222,444 — 222,444 
貸款
住宅按揭貸款— 2,353,084 — 2,353,084 
按揭服務權— — 2,122,196 2,122,196 
資產轉移或抵押給證券化車輛— 13,307,622 — 13,307,622 
衍生金融資產
利率掉期— 26,344 — 26,344 
其他衍生性金融工具— 136,213 — 136,213 
資產總額$— $85,436,828 $2,122,196 $87,559,024 
負債
由證券化車輛發行的債務$— $11,600,338 $— $11,600,338 
已發行的參與權益— 1,103,835 — 1,103,835 
已售出的美國國庫證券，但尚未購入2,132,751 — — 2,132,751 
衍生負債
利率掉期— 83,051 — 83,051 
其他衍生品179,835 39,409 — 219,244 
總負債$2,312,586 $12,826,633 $— $15,139,219 

關於三級公允價值衡量的定性和定量資訊
公司認為，不可觀察的輸入是指市場資料不可用的輸入，並且是使用我們可得到的有關市場參與者在定價資產時可能採用的最佳資訊而編製的。相關輸入會因評定公平價值的工具性質而異。描述重要不可觀察輸入的敏感性，以及重要不可觀察輸入之間的相互關係及其對公平價值測量的影響如下所述。在以下的敏感性分析中，某特定假設的變動被視為獨立於其他任何假設變動。實際上，假設同時變動可能並不總是對以下所討論的輸入產生線性效應。可觀察和不可觀察輸入之間也可能存在相互關係。這樣的關係並未包含在下文中的討論中。在下面描述的每個個別關係中，反向關係通常也適用。對於抵押資產服務的公平價值，通常而言，折扣率、預付款或逾期率以及年度服務成本的增加各自獨立地會導致較低的公平價值評估。利率下降可能導致與公司投資抵押資產服務相關的抵押貸款超出預期的提前償還，這反過來可能導致抵押資產服務的估計公平價值下降。有關詳細資訊，請參閱「抵押資產服務權」附註，包括動態變化。
以下表格介紹了為Level 3 MSR進行重複公平價值衡量時使用的重要不可觀察輸入信息。 該表格不考慮公司的風險管理實踐，這些實踐可能抵消這些Level 3投資所固有的風險。
無法觀察的輸入 (1)
區間（加權平均） (2)
2024年9月30日2023年12月31日
貼現率
1.8% - 11.2% (7.6%)
7.0% - 12.0% (8.6%)
預付速度
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%)
服務成本
$83 - $108 ($91)
$84 - $111 ($94)
(1) 代表公司認為市場參與者在評估這些資產價值時將使用的利率、估計和假設。
(2) 根據MSR公平價值計算的加權平均折扣率，加權平均預付款率、拖欠率和基於MSR底層貸款未支付本金餘額的服務成本。

23

安納里資本管理公司及其附屬公司
項目1。基本報表
以下表格彙總了2024年9月30日和2023年12月31日未按公允價值計量的金融資產和負債的預估公允價值。
 二零二四年九月三十日二零三年十二月三十一日
 攜帶
價值		公平
價值		攜帶
價值		公平
價值
財務負債
回購協議$64,310,276$64,310,276$62,201,543$62,201,543
其他安全融資600,000600,000500,000500,000
 
回購協議和短期其他有價證券融資的攜帶價值大致等於公允價值，被視為二級公允價值衡量。長期其他有價證券融資則使用二級輸入進行估值。

11. 無形資產
無形資產，扣除累計攤銷
有限生命無形資產按其預期有用壽命進行攤銷。作為公司的內部管理交易的一部分，交易於2020年6月30日結束，公司根據公司收購的編制勞動力的取代成本約數百萬美元確認了一項無形資產。41.2 根據公司收購的員工群體取代成本，公司確定了約數百萬美元的無形資產。
以下表格展示了截至2024年9月30日的九個月有限壽命無形資產的活動。
無形資產，淨值
（以千美元計）
2024年1月1日期初餘額
$12,106 
減少：攤提開支(2,018)
2024年9月30日期末余额
$10,088 

12. 資產財務
逆回購和回購協議 – 公司用回購協議資助其資產的一大部分。在每筆交易的開端，公司評估ASC 860中的每個指定準則， 轉讓和服務並確定每項融資協議都應視為一項有擔保資金。
公司進行反向回購協議，以賺取超額現金餘額的收益。為了減輕信用風險，公司監控這些證券的市場價值，並根據這些證券的市場價值變化交付或獲得額外擔保品。一般情況下，公司收到或發布的擔保品的公平價值大致等於或大於已擔保融資的價值。
在控制項的財務狀況合併報表中，具有相同交易對手和相同到期日的逆回購協議和回購協議符合允許抵銷的標準時，將以淨值呈現。公司在合併現金流量表中將回購協議的現金流入報告為融資活動，逆回購協議的現金流入報告為投資活動。
公司擁有傑出的$64.3十數億美元62.2億美元的回購協議，加權平均剩餘到期日為 34 天和 44 天，加權平均利率分別為 5.232024年6月30日和2023年12月31日的時間點，公司從Thrivel Earlier Detection Corporation（“Thrive”），Ashion Analytics，LLC（“Ashion”）和OmicEra的收購中記錄的關於監管和產品開發里程碑的待定支付負債的公允價值總和為2.779億和2.887億美元。公司使用概率加權情境折現現金流模型評估預期的待定支付負債和相應的與監管和產品開發里程碑相關的負債的公允價值，該方法與預期待定支付負債的初始計量一致。每個潛在情境應用成功概率，然後通過現值因子計算折扣，得出相應的現值。時間的流逝以及草擬的里程碑實現時間，現值因子，實現度（如適用）和成功概率的變化可能導致公允價值測量的調整。與監管和產品開發里程碑相關的待定支付負債的公允價值是以2024年6月30日和2023年12月31日的加權平均成功概率和現值因子計算的，成功概率分別為%和%，現值因子分別為%和%。付款範圍的預測財政年度範圍為2025年至2031年。所使用的不可觀察的輸入值按待定支付負債的相對公允價值加權。 5.70%，分別在2024年9月30日和2023年12月31日。與其住宅按揭貸款相關，公司已與交易對手達成特選協議，進行$3.5 億美元的回購協議，剩餘容量為$2.2 2024年9月30日，市值達到了數十億美元。





24

安納里資本管理公司及其附屬公司
項目1。基本報表
截至2024年9月30日和2023年12月31日，回購協議剩餘到期期限和抵押品類型如下：
2024年9月30日
 機構抵押担保證券CRTs非機構抵押担保證券住宅抵押貸款商業抵押擔保證券總回購協議
 （以千美元計）
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 
超過 119 天 (1)
— — 364,920 566,773 — 931,693 
總計$62,448,885 $641,403 $2,536,370 $1,267,207 $95,291 $66,989,156 
根據淨額安排抵銷的金額。(2,678,880)
再購協議的淨金額如在財務狀況表中呈現。$64,310,276 
2023年12月31日
 機構抵押支持證券CRTs非機構抵押支持證券住宅抵押貸款商業抵押支持證券總回購協議
 （以千美元計）
1 天$— $— $— $— $— $— 
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 
超過 119 天 (1)
2,511,003 — 169,697 644,259 — 3,324,959 
總計$60,573,426 $695,520 $2,157,763 $851,851 $191,276 $64,469,836 
按照清算安排抵銷的金額。(2,268,293)
在財務狀況合併報表中呈現的回購協議淨金額。$62,201,543 
(1) 少於 1在2024年9月30日，超過1年到期的回購協議金額佔比少於%。 沒有 在2023年12月31日，有超過1年到期的回購協議金額。
下表總結了2024年9月30日和2023年12月31日財務狀況合併報表中呈現的逆回購協議和回購協議的總金額，根據抵銷安排進行抵減的金額以及回購協議和逆回購協議的淨金額。請參閱「衍生金融工具」附註，以了解抵銷安排對公司衍生金融工具的影響。
 2024年9月30日2023年12月31日
 逆回購協議參見附註12-回購協議，公司已分別於2024年6月30日和2023年12月31日，將持有名義價值為10億美元和20億美元的可供出售金融資產作為回購協議的抵押品。逆回購協議參見附註12-回購協議，公司已分別於2024年6月30日和2023年12月31日，將持有名義價值為10億美元和20億美元的可供出售金融資產作為回購協議的抵押品。
 （以千美元計）
總金額$2,678,880 $66,989,156 $2,268,293 $64,469,836 
抵銷金額(2,678,880)(2,678,880)(2,268,293)(2,268,293)
網絡金額$— $64,310,276 $— $62,201,543 
截至2024年9月30日，與逆回購協議相關的所收擔保品公允價值為$2.7　十億，其中公司出售了$2.0　十億。截至2023年12月31日，與逆回購協議相關的所收擔保品公允價值為$2.3　十億，其中公司出售了$2.1　十億。出售的擔保品金額在公司綜合財務狀況表中以未購回的美國國庫券的公允價值報告。
其他已確保的融資 - 截至2024年9月30日，公司擁有總額為$的承諾信貸額，用於部分MSR投資組合的融資。截至2024年9月30日，該信貸額的未償餘額為$1.3億美元。這設施下的未償款項截至2024年9月30日為$ million，到期日期從600.0 以百萬美元為範圍 四個月 天從發票日期計算，被視為商業合理。 一年。借款的加權平均利率為
25

安納里資本管理公司及其附屬公司
項目1。基本報表
8.05截至2024年9月30日為止，借款額報告在公司資產負債表的其他擔保融資項下。
請查看2023年12月31日有關公司其他已抵押融資安排的「變量利益實體」備註以獲得更多信息。
根據擔保融資安排及利率互換，已承諾作為抵押品的投資，不包括合併VIE的住宅按揭貸款，在2024年9月30日估計的公允價值和應計利息為美元69.3 分別於2024年6月30日和2023年12月31日，公司已將持有金額為10億和20億的可供出售金融資產作為回購協議的抵押物。參閱附註12-回購協議。304.7 分別為1000萬美元，在2024年9月30日；及1000萬美元，在2023年12月31日。68.2十數億美元279.5分別為1000萬美元，在2024年9月30日；及1000萬美元，在2023年12月31日。

13. 資本股
(A) 普通股
以下表格摘要了2024年9月30日和2023年12月31日公司已授權、已發行並流通的普通股。
授權股份已發行及流通股數
2024年9月30日2023年12月31日2024年9月30日2023年12月31日帳面價值
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，公司宣布其董事會（“董事會”）授權回購最多$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， 無 股票已按照Share Repurchase Program進行回購。
於2020年8月6日，公司分別與巴克萊銀行股份有限公司、美國銀行證券有限公司、花旗全球市場公司、高盛及Co. LLC、凱菲・布魯耶特及伍茲有限公司、摩根大通證券有限責任公司、加拿大皇家銀行資本市場有限責任公司、瑞銀證券有限責任公司、以及富國證券有限責任公司（統稱“上述前售代理人”）訂立獨立修訂及重訂發行代理協議（通過2021年8月6日修訂的修訂及重訂發行代理協議第1號，以及2022年11月3日修訂的修訂及重訂發行代理協議第2號，總稱“前銷售協議”）。根據前述銷售協議，公司向其共同股股份提供及出售股份，總計最高1,000,000,000美元的發行價格。1.5億美元，不時透過任何前售代理人（“前市場銷售計劃”）進行。
於2024年9月20日，公司與巴克萊銀行、法國巴黎銀行股份有限公司、美國美林證券公司、Citizens JMP證券有限責任公司、高盛合夥及有限公司、摩根大通證券有限責任公司、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資本市場有限責任公司、瑞銀證券有限責任公司和富國證券有限責任公司（統稱「銷售代理」）訂立了新的分銷代理協議（總稱「銷售協議」），終止並取代先前的銷售協議。根據銷售協議的條款，公司可透過任何一家銷售代理不時發行及賣出其普通股，總發行價值最高可達10億美元1.5 十億美元，並且可能順應時事不時進行（「當前市場即時銷售計劃」，連同先前的市場即時銷售計劃，合稱為「即時市場銷售計劃」）。
在截至2024年9月30日止的三個月和九個月內，在市場銷售計劃下，公司發行了 57.0百萬股和 57.6百萬股，總收益為1.1十數億美元1.2十億美元，分別扣除佣金和費用。在截至2023年9月30日止的三個月和九個月內，在市場銷售計劃下，公司發行了 0.9百萬股和 26.2百萬股，總收益為17.8百萬和$580.5分别為百萬和千萬美元，扣除佣金和費用後。

(B) 優先股
以下是截至2024年9月30日和2023年12月31日公司累積可贖回優先股的摘要。在公司清算或解散的情況下，公司當時的優先股擁有優先於普通股的地位，就分紅派息和資產分配而言。
26

安納里資本管理公司及其附屬公司
項目1。基本報表
已授權的股份已發行並未上市的股份攜帶價值合約利率
最早贖回日期 (1)
浮動利率股息期限的生效日期
浮動年利率 (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
固定到浮動利率
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
300萬美元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
300萬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
300萬Term SOFR + 4.989%
總計63,500,000 63,500,000 63,500,000 63,500,000 $1,536,569 $1,536,569 
(1) 在有限情況下，受限於公司在早期贖回優先股以確保其合格作為房地產投資信託或與公司控制權有限情況下相關的情況下。
(2) 對於每一系列的固定利率至浮動利率可贖回優先股，每年的利率計算為3個月的cme Term SOFR（加上一個差價調整為 0.26161％）再加上招股書中指定的差價。
每一系列的優先股面值為$0.01 每股贖回價和清算價為$25.00，再加上截至贖回日期為止未清償的累積股息。截至2024年9月30日，公司已宣布並支付了所有需要的季度分紅派息給公司的優先股。
F系列固定利率至浮動利率累積可贖優先股、G系列固定利率至浮動利率累積優先股和I系列固定利率至浮動利率累積優先股，在公司的普通股之前享有優先地位。
於2022年11月3日，公司董事會批准了一項回購計劃，用於回購其所有現有的優先股（如下所定義的「優先股回購計劃」）。根據該計劃，公司被授權回購最多總計 63,500,000 優先股股份，包括最多（i） 28,800,000 股份，以及（ii） 6.95%系列F固定浮動利率累積可贖回優先股，面值每股$0.01 （「F系列優先股」），（iii） 17,000,000 股份，以及（iv） 6.50%系列G固定浮動利率累積可贖回優先股，面值每股$0.01 （「G系列優先股」），以及（iii） 17,700,000 其所持有的股票份額 6.75%系列I固定浮動利率優先股，面值為$0.01 每股（“I系列優先股”，以及F系列優先股和G系列優先股合稱“優先股”）。截至2022年11月3日，按照優先股回購計劃，公司可回購的優先股的總清算價值約為$1.6十億美元。優先股回購計劃於2022年11月3日生效，並於2024年12月31日到期。 沒有 在截至2024年9月30日的三個月和九個月內，有關優先股回購計劃已回購的股份數為
(C) 股東分派
下表概述了公司過去一段時間內的股息分配活動。
 截至三個月結束
截至年終前九個月
 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，每股資料除外)
宣布對普通股和基於股份的獎勵支付的分紅派息及分紅派息等值$364,914 $323,164 $1,019,527 $968,111 
每股普通股宣告的派息額：$0.65 $0.65 $1.95 $1.95 
期末結束後支付給普通股股東的分紅派息$362,731 $321,629 $362,731 $321,629 
期末結束後每普通股支付的分紅派息$0.65 $0.65 $0.65 $0.65 
期末結束後支付給普通股股東的分紅派息日期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系列優先股持有人宣布分紅派息$19,055 $18,956 $57,142 $54,732 
每股F系列優先股宣布的分紅$0.662 $0.658 $1.984 $1.900 
向G系列優先股持有人宣布分紅派息$10,606 $10,431 $31,804 $27,362 
每股G系列優先股宣布的分紅$0.624 $0.614 $1.871 $1.610 
向I系列優先股持有人宣布分紅派息$11,967 $7,467 $26,901 $22,401 
每股I系列優先股宣布的分紅$0.676 $0.422 $1.520 $1.266 


27

安納里資本管理公司及其附屬公司
項目1。基本報表
14. 利息收入和利息支出
請參考有關財務報表的「重大會計政策」附注，了解公司有關證券和貸款利息淨收入的會計政策詳情。
下表總結了住宅證券利息收入確認方法：
 收益利率方法論
機構 
固定利率資產直接傳遞 (1)
有效收益率 (3)
浮動利率資產直接傳遞 (1)
有效收益率 (3)
多重家庭 (1)
合約現金流量
CMO (1)
有效收益率 (3)
擔保反向按揭 (2)
未來的
只付利息 (2)
未來的
住宅信貸 
CRt (2)
前瞻性
替代-A (2)
前瞻性
優 (2)
前瞻性
次級 (2)
前瞻性
NPL/RPL (2)
前瞻性的
主要珍寶餐飲集團 (2)
前瞻性的
(1) 截至2022年7月1日購入的證券，公佈綜合收益（損失）合併損益表中承認公允價值變動。自2022年7月1日起，新購證券的公允價值變動在公佈綜合收益（損失）合併損益表中承認為投資及其他淨收益（損失）。
(2) 投資及其他淨收益（損失）合併損益表中承認公允價值變動。
(3) 對估計與實際預先付款之間的差異重新計算有效收益率，並調整攤銷成本，彷彿新的有效收益率自一開始應用。

以下表格顯示了截至2024年和2023年9月30日三個月和九個月的公司利息收入和利息支出的元件。
 截至三個月結束
截至年終前九個月
 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（以千美元計）
機構證券$789,403 $753,007 $2,331,698 $2,043,021 
住宅信貸證券49,863 57,229 156,754 167,451 
住宅按揭貸款 (1)
346,031 181,965 899,867 491,398 
商業投資組合 (1)
2,240 5,812 8,235 24,009 
反向回購協議41,804 3,472 104,600 15,350 
利息收入總額$1,229,341 $1,001,485 $3,501,154 $2,741,229 
利息費用  
回購協議$942,780 $917,997 $2,722,304 $2,457,996 
由證券化車輛發行的債務234,299 116,962 596,128 307,715 
已發行的參與權益17,834 11,860 57,841 33,352 
已售出的美國國庫證券，但尚未購入21,027 — 64,373 — 
總利息費用1,215,940 1,046,819 3,440,646 2,799,063 
淨利息收益$13,401 $(45,334)$60,508 $(57,834)
(1) 包括轉讓或抵押給證券化工具的資產。




28

安納里資本管理公司及其附屬公司
項目1。基本報表
15.  凈利潤（損失）每普通股份
以下表格顯示截至2024年9月30日和2023年三個月和九個月的凈利潤（損失）及用於計算基本和稀釋每股凈利潤（損失）的股份調解。
 截至三個月結束
截至年終前九個月
 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，每股資料除外)
凈利潤（損失）$82,351 $(569,084)$538,692 $(1,247,225)
凈利潤（損失）歸屬於非控制權益15,906 (6,879)18,838 (7,797)
歸屬於安那利的凈利潤（損失） 66,445 (562,205)519,854 (1,239,428)
優先股股息41,628 36,854 115,847 104,495 
可供普通股股東使用的凈利潤（損失）$24,817 $(599,059)$404,007 $(1,343,923)
基本股票帳面上的加權平均股份515,729,658 494,330,361 505,800,723 492,744,997 
添加：股票獎勵的影響，如果具蛋糕性1,102,494 — 817,420 — 
基本股票帳面上的加權平均股份-稀釋516,832,152 494,330,361 506,618,143 492,744,997 
每股可供（有關）普通股的盈利（損失）
基礎$0.05 $(1.21)$0.80 $(2.73)
稀釋$0.05 $(1.21)$0.80 $(2.73)
2024年9月30日結束的三個月和九個月的淨利潤（虧損）每股值並不包括普通股相關的稀釋後每股價值。 0 和 2 分別為千和，而2023年9月30日結束的三個月和九個月的淨利潤（虧損）每股值並不包括。 1.9 百萬和 1.8 分別為百萬，因為它們的影響將會對稀釋產生反作用，所以2023年9月30日結束的三個月和九個月的潛在稀釋限制和績效股票單位並不包括。

16. 所得稅
截至2024年9月30日三個月止，公司有資格按照代碼第856至860條被稅收作為REIT。作為REIT，該公司將不會承擔聯邦所得稅，只要將其應稅收入分配給股東。為了保持REIT的資格，公司必須將其年度REIT應稅收入的至少90%分配給股東，並符合與其可能擁有的資產、可產生的收入以及其股東組成等其他要求。通常，公司的政策是分配 100%的REIT應稅收入。在年底如有任何未分配的REIT應稅收入，公司會在允許的情況下在隔年內分配此不足部分，依據代碼。
本公司及其直接及間接附屬公司，包括Annaly TRS, Inc.以及合資公司的某些子公司，已作出獨立聯合選擇將這些子公司視為TRS。因此，這些TRS中的每個都應納稅為國內C型公司，並根據其應稅收入而應納聯邦、州和地方所得稅。
ASC 740《所得稅 (Income Taxes)》，澄清在基本報表認列之所得稅不確定性的會計處理，並對於在未舉報的不確定性稅務立場訂定認列閾值和度量屬性。ASC 740亦要求在基本報表認列與未承認的稅務利益相關的利息和罰款。公司確定不具有會影響其財務狀況的未承認稅務利益。因此，預估於2024年9月30日和2023年12月31日認列罰款和利息。 不 確定不具有會影響其財務狀況的未承認稅務利益。因此，預估於2024年9月30日和2023年12月31日認列罰款和利息。 無 確定不具有會影響其財務狀況的未承認稅務利益。因此，預估於2024年9月30日和2023年12月31日認列罰款和利息。
公司所受稅務申報義務的州和地方稅務管轄區承認公司作為REIT的身份，因此，公司通常不需在這些司法管轄區支付所得稅。然而，公司可能需繳納某些最低的州和地方稅務申報費，以及某些消費稅、特許稅或業務稅。公司的TRS受聯邦、州和地方稅收的管轄。
截至2024年9月30日的三個月和九個月內，公司記錄了分別屬於其TRSs的所得稅費用（利益）為（$6.1分別為2023年6月30日和2024年結束的三個月，淨所得稅（收益）支出分別為 $4.9 百萬，2023年9月30日的三個月和九個月內，公司記錄了分別屬於其TRSs的所得稅費用為$12.4 百萬美元和37.7 百萬。公司的2020年及以後的聯邦、州和地方稅收申報表仍然開放供審查。



29

安納里資本管理公司及其附屬公司
項目1。基本報表
17.  節段
公司業務包括高性能材料與元件 (HPMC)，以及先進合金與解決方案 (AA&S)。營業收入由全球多元市場、主要地理市場和多元產品在這些業務中分解。 三 報告節段進一步描述於業務描述附註。應用於各節段的會計政策與摘要中描述的重要會計政策相同，僅在關於淨利息收益和其他全面收益（損失）的節段間分配，反映在其他收益（損失）中，以及關於投資結餘之間的節段間分配，以關聯融資呈現在總資產中。這些分配是為了反映各不同營運節段內投資之間的經濟避險關係而進行的。未能直接歸因或未分配給任何當前營運節段的活動（例如投資於商業按揭支持證券、優先股股息和企業存續成本）將報告為企業與其他項目，作為調整項目納入公司的合併財務報表。下表概述了按節段提供給公司的營運主管（CODM），即公司營運委員會的業務及總資產的營運主管結果。全面收益是按照衡量合併財務報表中對應金額的衡量原則確定的節段利潤或虧損，並且是該公司經濟回報的主要指標（計算方法為變化歸屬於普通股股東權益除以前期歸屬於普通股股東權益的普通股股息宣告的股東權益的變化），這是CODM用於評估節段結果的指標之一，也是在確定資本分配中各節段之間考慮的因素之一。 三 當前營運節段（例如投資於商業按揭支持證券、優先股股息和企業存續成本等）無法直接歸因或未分配的活動將報告為公司合併財務報表的企業及其他調整項目。下表概述了按營運主管（CODM），即公司營運委員會，提供的營運各節段業務和總資產的結果。全面收益是按照衡量合併財務報表中對應數額的衡量原則確定的節段利潤或虧損，並是確定公司經濟回報的關鍵決定因素（計算方法為變化歸屬於普通股股東權益加普通股股息宣告除以前期歸屬於普通股股東權益的股東權益），這是CODM用於評估節段結果並是根據合併財務報表中對應數額所使用的衡量原則的經濟回報的一個重要衡量指標，評估節段結果的一個重要因素，並是在確定各節段間資本分配中考慮的要素之一。
以下的表格呈現了截至2024年和2023年9月30日止三個月和九個月之間與公司營運業務相關的可報告營運部門。
2024年9月30日結束的三個月
 機構Resi-credit數據驅動分析企業及其他合併
（以千美元計）
利息收入$830,407 $396,694 $— $2,240 $1,229,341 
利息費用885,982 328,440 — 1,518 1,215,940 
淨利息收益(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（損失）(6,658)36,028 (33,967)1,738 (2,859)
少：總行政及管理開支16,154 13,868 8,876 5,023 43,921 
稅前收入（虧損）(78,387)90,414 66,752 (2,563)76,216 
所得稅23 (8,263)2,126 (21)(6,135)
凈利潤（損失）(78,410)98,677 64,626 (2,542)82,351 
扣減：歸屬於非控股利益的凈利潤（損失）— 15,906 — — 15,906 
歸於安納利的凈利潤（損失）(78,410)82,771 64,626 (2,542)66,445 
優先股股息— — — 41,628 41,628 
可供普通股股東使用的凈利潤（損失）(78,410)82,771 64,626 (44,170)24,817 
可供出售證券的未實現收益（損失）428,955 — — — 428,955 
重新分類調整，包括在凈利潤（損失）中的凈（收益）損失15,769 — — — 15,769 
其他全面收益（損失）444,724 — — — 444,724 
綜合收益（損失）366,314 98,677 64,626 (2,542)527,075 
非控股利益（損失）歸屬於非控股股東— 15,906 — — 15,906 
歸因於安納利的綜合收益（損失）$366,314 $82,771 $64,626 $(2,542)$511,169 
非現金投資和籌資活動：
未結交易應收款項727,124 — 39,217 — 766,341 
未結交易應付款項1,811,196 — 74,090 — 1,885,286 
可供出售證券未實現收益（損失）變動淨額，重分類調整後淨額444,724 — — — 444,724 
已宣布但尚未支付的股息— — — 362,731 362,731 
資產總額
資產總額$71,699,019 $26,235,097 $3,371,113 $210,766 $101,515,995 
30

安納里資本管理公司及其附屬公司
項目1。基本報表
2023年9月30日結束的三個月
 機構Resi-credit數據驅動分析企業及其他合併
（以千美元計）
利息收入$756,479 $239,194 $— $5,812 $1,001,485 
利息費用849,422 193,271 — 4,126 1,046,819 
淨利息收益(92,943)45,923 — 1,686 (45,334)
服务和相关收入— — 97,620 — 97,620 
服务和相关费用— — 9,623 — 9,623 
净服务收入— — 87,997 — 87,997 
其他收入（損失）(528,640)(12,974)(21,870)4,038 (559,446)
減少：總行政及管理開支14,576 12,195 7,657 5,481 39,909 
稅前收入（虧損）(636,159)20,754 58,470 243 (556,692)
所得稅727 5,985 5,858 (178)12,392 
凈利潤（損失）(636,886)14,769 52,612 421 (569,084)
扣減：歸屬於非控股利益的凈利潤（損失）— (6,879)— — (6,879)
歸於安納利的凈利潤（損失）(636,886)21,648 52,612 421 (562,205)
優先股股息— — — 36,854 36,854 
可供普通股股東使用的凈利潤（損失）(636,886)21,648 52,612 (36,433)(599,059)
可供出售證券的未實現收益（損失）(825,286)— — — (825,286)
重新分類調整，包括在凈利潤（損失）中的凈（收益）損失513,041 — — — 513,041 
其他全面收益（損失）(312,245)— — — (312,245)
綜合收益（損失）(949,131)14,769 52,612 421 (881,329)
非控股利益（損失）歸屬於非控股股東— (6,879)— — (6,879)
歸因於安納利的綜合收益（損失）$(949,131)$21,648 $52,612 $421 $(874,450)
非現金投資和籌資活動：
未結交易應收款項1,039,173 — 8,393 — 1,047,566 
未結交易應付款項2,144,692 1,546 38,231 29,850 2,214,319 
可供出售證券未實現收益（損失）變動淨額，重分類調整後淨額(312,245)— — — (312,245)
已宣布但尚未支付的股息— — — 321,629 321,629 
資產總額
資產總額$70,047,768 $16,616,765 $2,647,052 $336,838 $89,648,423 
31

安納里資本管理公司及其附屬公司
項目1。基本報表
2024年9月30日結束的九個月
 機構居民信貸數據驅動分析企業及其他合併
（以千美元計）
利息收入$2,433,672 $1,059,247 $— $8,235 $3,501,154 
利息費用2,563,077 872,118 — 5,451 3,440,646 
淨利息收益(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（損失）109,384 189,851 (12,513)3,336 290,058 
減：總管理及行政費用47,604 39,690 25,977 14,111 127,382 
稅前收入（虧損）(67,625)337,290 281,871 (7,991)543,545 
所得稅748 (9,966)14,195 (124)4,853 
凈利潤（損失）(68,373)347,256 267,676 (7,867)538,692 
扣減：歸屬於非控股利益的凈利潤（損失）— 18,838 — — 18,838 
歸於安納利的凈利潤（損失）(68,373)328,418 267,676 (7,867)519,854 
優先股股息— — — 115,847 115,847 
可供普通股股東使用的凈利潤（損失）(68,373)328,418 267,676 (123,714)404,007 
可供出售證券的未實現收益（損失）92,843 — — — 92,843 
重新分類調整，包括在凈利潤（損失）中的凈（收益）損失530,354 — — — 530,354 
其他全面收益（損失）623,197 — — — 623,197 
綜合收益（損失）554,824 347,256 267,676 (7,867)1,161,889 
非控股利益（損失）歸屬於非控股股東— 18,838 — — 18,838 
歸因於安納利的綜合收益（損失）$554,824 $328,418 $267,676 $(7,867)$1,143,051 
非現金投資和籌資活動：
未結交易應收款項727,124 — 39,217 — 766,341 
未結交易應付款項1,811,196 — 74,090 — 1,885,286 
可供出售證券未實現收益（損失）變動淨額，重分類調整後淨額623,197 — — — 623,197 
已宣布但尚未支付的股息— — — 362,731 362,731 
資產總額
資產總額$71,699,019 $26,235,097 $3,371,113 $210,766 $101,515,995 


32

安納里資本管理公司及其附屬公司
項目1。基本報表
截至二零二三年九月三十日止九個月
 代理機構重新信用MSR企業及其他合併
（千美元）
利息收入$2,058,371 $658,849 $— $24,009 $2,741,229 
利息支出2,279,586 504,011 — 15,466 2,799,063 
淨利息收入(221,215)154,838 — 8,543 (57,834)
服務及相關收入— — 265,683 — 265,683 
服務及相關費用— — 26,433 — 26,433 
服務收入淨額— — 239,250 — 239,250 
其他收入（虧損）(1,415,438)91,439 61,314 (4,602)(1,267,287)
較少：一般和行政費用總額44,401 36,757 22,210 20,284 123,652 
所得稅前的收入（虧損）(1,681,054)209,520 278,354 (16,343)(1,209,523)
所得稅1,213 14,034 22,706 (251)37,702 
淨收入（虧損）(1,682,267)195,486 255,648 (16,092)(1,247,225)
減：非控股權益應佔淨收入（虧損）— (7,797)— — (7,797)
安娜利應佔淨收入（虧損）(1,682,267)203,283 255,648 (16,092)(1,239,428)
優先股股息— — — 104,495 104,495 
普通股東可用（相關）淨收入（虧損）(1,682,267)203,283 255,648 (120,587)(1,343,923)
可供出售證券的未實現收益（虧損）(443,957)— — — (443,957)
淨收入（虧損）中包含的淨（收益）虧損重新分類調整1,458,077 — — — 1,458,077 
其他綜合收益（虧損）1,014,120 — — — 1,014,120 
綜合收益（虧損）(668,147)195,486 255,648 (16,092)(233,105)
非控股權益應佔全面收益（虧損）— (7,797)— — (7,797)
安娜利應佔全面收益（虧損）$(668,147)$203,283 $255,648 $(16,092)$(225,308)
非現金投資及融資活動：
未結算交易的應收款項1,039,173 — 8,393 — 1,047,566 
未結算交易須繳付2,144,692 1,546 38,231 29,850 2,214,319 
可供出售證券未實現收益（虧損）淨變動（除重新分類調整）1,014,120 — — — 1,014,120 
股息申報，尚未支付— — — 321,629 321,629 
總資產
總資產$70,047,768 $16,616,765 $2,647,052 $336,838 $89,648,423 

18. 風險管理
公司面臨的主要風險包括流動性和資金風險、投資/市場風險、信用風險和運營風險。利率期貨對許多因素高度敏感，包括政府貨幣和稅收政策、國內外經濟和政治考量以及公司無法控制的其他因素。一般利率水平的變化可能會影響淨利息收入，透過影響帶來利息收入的資產和與載息負債相關的利息費用之間的差額，以此影響利息收入的資產和載息負債之間的差距。利率水平的變化也可能影響利息收入資產的價值和公司實現從銷售這些資產獲利的能力。作為質押用途，用於回購協議和衍生合約的利息收入資產價值下降可能導致合約對手要求額外資金擔保或清算部分現有擔保以減少借款水平。
公司可能會通過參與利率協議，例如利率互換、利率掉期選擇權和其他避險工具，以減輕這些風險可能帶來的財務影響。
抵押市場疲弱、殖利率曲線形態、未來利率波動預期變化和一般金融情況惡化等因素可能對公司投資的績效和市場價值產生負面影響。這可能會對公司的賬面價值產生負面影響。此外，如果公司的許多貸方不願意或無法提供額外融資，公司可能被迫在價格抑壓時期賣出其投資，這可能耽誤良機。公司已建立風險緩解政策和程序，包括進行情景和敏感性分析，並使用一系列對沖策略。
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安納里資本管理公司及其附屬公司
項目1。基本報表
房地美的抵押支援證券的本息支付（不包括由房地美發行的CRt證券）由該等機構保證，而吉尼梅的抵押支援證券的本金和利息支付則由美國政府的完全信賴和信用支持。
公司面臨信用風險的部分投資組合並非由相應機構擔保或由美國政府的完全信譽擔保。公司在商業按揭證券、住宅按揭貸款、CRt證券和其他非機構按揭證券上承擔信用風險。隨著借款人拖欠貸款的風險上升，MSR（按揭服務權）價值也可能受到不利影響，這將減少服務收入並增加維持基礎按揭貸款的整體成本。若發行人、借款人或交易對手未按契約條款履行其義務，公司將面臨損失的風險。公司已建立了減輕信用風險的政策和程序，包括審查和確定信用風險暴露的限額，限制與特定交易對手的交易，購前盡職審查，保留符合標準的抵押品，持續評估發行人、借款人和交易對手的信用狀況，信用評級監控和積極的服務商監督。
本公司依賴第三方服務提供商執行與其業務相關的各種業務流程，包括按揭貸款服務提供商和子服務商。 公司的供應商管理政策建立了與第三方供應商進行接觸、入職和監控其表現的程序。 對於按揭貸款服務提供商和子服務商，這些程序包括評估供應商的財務狀況以及監督其遵守適用法律和法規、網絡安全概念和業務持續計劃以及個人身份信息的安全。

19. 租賃承諾和潛在義務
公司的營運租賃主要包括剩餘租期約為的企業辦公室租賃 一年 和 三年企業辦公室租約包括劃定的最長可延續期 五年後，但延伸期限並未納入營運租賃負債計算中。初期不超過12個月的租約未納入資產負債表。公司根據租約期限按照直線基礎承認這些租約的租賃費用。截至2024年和2023年9月30日的三個和九個月的租賃費用為$0.8 百萬美元和2.5 1180萬美元。當物業被確定為HFS時，根據適用情況，將該物業減值至公正價值減去預估銷售費用。自2023年12月31日以來，HFS物業的增加主要反映了在2024年第一季度決定出售某些區域物業，以通過將員工合併到現有的替代物業來優化我們的房地產組合。0.8 百萬美元和2.4 百萬。
2024年9月30日及截至該日止九個月的租賃相關補充資訊如下：
營運租賃分類2024年9月30日
資產（以千美元計）
營運租賃權使用資產其他資產$3,660 
負債
營業租賃負債 (1)
其他負債$4,585 
租賃期限和折扣率
租賃約剩餘平均期限加權值1.4 年
加權折現率加權值 (1)
3.4%
支付租賃負債的現金
營運租賃帶來的營運現金流量$3,080 
(1) 對於公司沒有提供隱含利率的租賃合同，公司將根據採納日期可得到的資訊，使用增量借貸利率來確定租金支付的現值。
以下表格提供了有關租賃負債到期的詳細資料:
租賃負債到期
截至十二月三十一日止年份（千美元）
2024 年（剩餘）$1,027 
20253,149 
2026261 
2027269 
202822 
後幾年— 
租賃付款總額$4,728 
減少計算利息143 
租賃負債現值$4,585 

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安納里資本管理公司及其附屬公司
項目1。基本報表
應變。
公司不時涉及在業務常規運作中發生的各種索賠和訴訟。管理層認為這些事項的最終處置不會對公司的合併基本報表產生實質影響。 截至2024年6月30日和2023年，分別有 無 2024年9月30日和2023年12月31日的重大應變狀況。

20. 後續事件
2024年10月，公司達成了一筆3000萬美元的設施協議，用以融資其MSR投資。300百萬設施，用於融資其MSR投資。
在2024年10月，公司完成並結束了住宅抵押貸款的證券化：OBX 2024-NQM15，面額為$635.8 百萬。此證券化代表提供給公司的一項融資交易，由公司購買的住宅抵押貸款作為抵押品提供給公司的無追索權融資。
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安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
項目2. 管理層對財務狀況及經營成果之討論及分析
關於前瞻性聲明的特別說明
本季度報告中包含的某些聲明，以及我們將來提交給證券交易委員會（“SEC”或“委員會”）的某些聲明，在我們的新聞稿中或在我們的其他公共或股東通信中含有或參照了某些前瞻性聲明，這些聲明是基於各種前提條件（其中一些超出我們的控制範圍），可能通過對未來時期或時期的引用或使用前瞻性術語來識別，例如“可能”，“將”，“相信”，“期望”，“預期”，“繼續”或類似術語或這些術語的變化或這些術語的否定形式。此類聲明包括與公司未來表現、宏觀前景、利率和信用環境、稅收改革和未來機遇有關的聲明。由於各種因素，實際結果可能與前瞻性聲明中設定的結果有很大差異，包括但不限於利率變動；收益曲線變動；預支付率變動；用於購買的抵押支持證券（“MBS”）和其他證券的可用性；融資的可用性以及如果可用，任何融資的條件；公司資產市值的變動；業務條件和整體經濟的變動；公司擴大住宅信貸業務的能力；公司擴大其按揭服務權業務的能力；與公司對信用風險轉移證券和居住抵押支持證券以及相關居住抵押信用資產的投資有關的信用風險；與按揭服務權投資相關的風險；公司實現任何擬議投資機會的能力；政府法規或政策的變動影響公司業務；公司保持其作為REIT符合美國聯邦所得稅目的的資格的能力；公司保持其根據1940年投資公司法豁免的能力以及我們或關鍵第三方的運營風險或風險管理失敗，包括網絡安全概念事件。有關可能導致實際結果與前瞻性聲明不符的風險和不確定性的討論，請參閱我們最近的年度報告第10-k表中的“風險因素”和任何隨後的第10-q季度報告。公司不擔保並明確否認對於公開發布對任何前瞻性聲明可能做出的任何修訂結果以反映預期或意外事件或情況發生的情況的任何責任，除非法律要求。
此財務狀況及營運結果的管理層討論與分析應與我們最近的年度10-k表格報告一同閱讀。所有對"安納利(Annaly)", "我們", "我們", 或"我們的"的提及均指安納利資本管理公司(Annaly Capital Management, Inc.)及我們所擁有的所有實體，除非明確指明該術語僅表示母公司。請參考本第2項內容結束時位於「術語詞彙表」部分以查看此10-Q季度報告中常用術語的定義。


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安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
指数指向第2项。管理層對財務狀況和業務營運結果的討論和分析。
  頁面
可供派息的收益, 可供派息的收益 歸屬於普通股東的 可供派息的收益 每普通股平均份额的及平均股本年化EAD回報率
未實現的收益和損失 - 可供出售的投資
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安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
概覽
我們是一家領先的多元化資本管理公司，投資策略涵蓋抵押金融。我們的主要業務目標是為我們的股東創造分配用的凈利潤，並通過謹慎管理我們多元化的投資策略來優化回報。我們是一家內部管理的馬里蘭州公司，成立於1997年，選擇按REIT的身份納稅。我們的普通股在紐約證券交易所上市，標的為"NLY"。
我們利用自有資本以及借貸的資金主要投資於房地產業相關的投資，從我們資產的收益和借款以及對沖活動的成本之間的利差中獲利。
有關我們業務的完整討論，請參閱我們最近的年度報告第10-k表格中標題為“業務概況”的部分。

業務環境
固收市場在第三季度（“2024年第三季”）受益於兩個積極趨勢。美聯儲（“美聯儲”）開始降低聯邦基金目標利率，降至較不限制性水平，而美國經濟一般保持強勁增長的步伐。官員在9月份的聯邦公開市場委員會（“FOMC”）會議上將聯邦基金目標利率下調50個基點，這是自2023年7月的FOMC會議以來首次降低短期利率。美聯儲官員表示，他們打算隨著現行政策仍然具限制性，逐步放鬆貨幣政策，放鬆的速度和程度將取決於即將到來的經濟數據。美聯儲的降息週期將致力於將利率降至促進健康穩定的勞動力市場的水平，同時保持通脹率接近其2%的目標。目前短期利率市場將這一“中立利率”定價為3.25％，盡管近幾周的估計有所不同。
貨幣政策的變化是由勞動市場驅動的，隨著對工人的需求減少和招聘速度放緩，過去三年勞動供需大致平衡。在大部分後疫情期間，對勞動的強烈需求超過了可用供應，導致工資增長加快，並可能出現價格上漲和工資上揚之間的負面反饋循環。根據9月FOMC會議紀要，聯邦儲備委員會官員判斷這樣的反饋循環風險似乎已經減少。通脹繼續正常化，個人消費支出中排除食品和能源(“核心PCE”)預計2024年Q3年化增長率僅略高於2%。
市場對降息預期的定價導致收益曲線變得較陡，進一步提高了固收資產的吸引力，尤其是機構抵押債券。此外，利率波動性繼續下降至自2023年三月區域銀行危機以來的最低水平，雖然仍高於疫情前的歷史平均水平。這些發展支持了我們多元化業務模式，在季度中表現出色。我們在2024年第三季度實現了經濟回報率達4.9％，我們的盈利超過了可分配的普通股股利。即使經濟槓桿率輕微下降至5.7倍，我們的投資組合仍具有持續強勁的收益能力，這使我們獲得了這些成果。
我們的優秀表現和支持性背景，使我們能夠透過我們的市場即時銷售計劃，在這季度籌集超過11億美金的增值普通股。部署資本的環境依然有吸引力，因為我們所有三個業務板塊的市值都在季度內不斷增加。
就本季我們的投資組合活動而言，在籌集的資本的影響下，我們的Agency MBS投資按名義值增加了超過40億美元，其餘市值增加主要歸因於價格上漲。儘管固收市場背景積極，但Agency MBS的表現在不同票面利率上有所分化。低票面利率得益於強勢貨幣管理者需求，而抵押貸款利率下降引發對高票面利率提前償還行為的擔憂，導致這些票面利率未能與相應的利率保值工具表現一致。鑒於這種相對表現，我們提高了對5.0%票面利率及更高票面利率的配置，因為相對於中間和較低票面利率，這些票面利率更具吸引力。這標誌著我們在過去兩年裡有系統地向上調整了票面利率層級，專注高質量資產池的篩選。例如，6.0%票面利率及更高票面利率約佔我們投資組合的四分之一，盡管這些較高票面利率的大部分持有是以特定資產池形式持有，以提供充分保護不受較高提前償還速度的影響。
我們對Agency MBS板塊的前景依然看好。值得注意的是，供需技術因素，過去幾年常常是一大阻力，目前正持續改善，因為淨供應量呈下降趨勢，很可能會降至2023年總量以下。與此同時，固收資金流有助於提高今年的資金管理者需求，目前運行速度幾乎是去年預估速度的兩倍。此外，隨著聯邦利率期貨的正常化，預計銀行和境外投資者的需求將增加，帶動MBS收益和存款利率之間的差額擴大，同時也降低了貨幣套息成本。
我們在整個季度保持了保守的利率敞口，同時受益於針對於最終發生在該季度的收益率曲線陡峭化的立場。隨著2024年第三季度的利率水平下降，
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安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
我們積極管理我們的利率期貨敞口，隨著抵押貸款期限縮短而調整避險策略。展望未來，我們預計由即將舉行的選舉、地緣政治風險和財政赤字走勢驅動的利率期貨持續波動，導致利率水平存在不確定性。
與此同時，我們的住宅信貸投資組合在2024年第三季增加約$53500萬至經濟市值$65億，專用資本$23億，佔公司股本的18%。成長仍由我們的對應平台帶動，我們的住宅整額貸款和保留Onslow Bay（“OBX”）證券化投資組合。
藉著第一季信用價差穩定在約10個基點的區間，我們完成了總額32億美元未還本金的六項證券化交易。自2024年初以來，我們已定價18宗總額94億美元的證券化交易，使Onslow Bay成為住宅信貸市場最大的非銀行證券化贊助商，亦是總體第二大的。本季再次創下記錄，鎖定和資金投放分別達到44億和29億美元。我們對風險評估與主動資產管理的努力專注，使OBX 非Qm 證券化成為市場前十大發行者中逾期率最低的。住宅信貸業務由於我們不斷擴大的通信渠道選擇性以及在各種利差環境下製造高收益資產的能力而處於有利位置。
我們持有的按揭服務權益（MSR）持續增加至28億美元市值，我們承諾購買一筆市值12500萬美元的大宗交易，預計在2024年年底前完成。由於按揭利率出現相對大幅下降的80個基點，投組的標記在該季度略有下降，凸顯了投組的持續性。該投資組合的平均再融資激勵水平比當前按揭利率低300個基點，基本績效保持強勁，投組的3個月年化預付貸款速度為3.9%，嚴重拖欠款項占基點45，存款收入保持較高水平，考慮到收益曲線的形狀，次級服務市場的競爭加劇有利於像我們這樣的金融參與者。
在戰略層面，關於MSR，我們長期以來在組建附加價值合作夥伴方面的豐富歷史再度展現，因為我們在十月初宣布與Rocket Mortgage（"Rocket"）建立了一個次級服務夥伴關係。我們的規模和資本穩定性有助於發展這種關係，我們很高興成為Rocket的首家機構MSR次級服務客戶。Rocket預計將在12月初為我們提供貸款服務，這個合作夥伴關係應該讓我們從Rocket的回收能力中受益，我們預計這將提高我們在購買新的MSR時的競爭力。與我們現有的次級服務協議類似，我們的Rocket協議使我們能夠有效地參與由我們回收合作夥伴轉賬的貸款出售所產生的收益，有助於維護和保護我們的投資組合。
可分配收益和經濟槓桿是非美國通用會計準則財務指標。查閱「非美國通用會計準則財務指標」以獲取更多信息，包括與最直接可比的美國通用會計準則結果的調和。

經濟環境
美國實際經濟增長在第三季度仍表現穩健，國內生產總值按季節調整後以2.8%的年率增長，與今年上半年平均增長率持平。消費方面的指標顯示，上升的真實家庭收入已帶動消費者保持消費力，第三季度的消費支出以3.7%的年率增長。然而，消費者似乎越來越謹慎，因為高企的短期利率、低儲蓄率、就業市場放緩和信心下降似乎會對未來的消費行為產生影響。非住宅投資活動在該季度似乎表現強勁，尤其是在設備和無形資產方面，但住宅投資仍保持疲弱，受到嚴格的貨幣政策和惡劣天氣對住宅施工的影響。
勞動力的供求關係繼續向更好的平衡發展。根據勞工統計局的統計，經季節調整後的總非農業就業人數增幅超過上一季度，第三季度平均每月新增186,000名工人，高於第二季度的177,000名。失業率在季末下降至4.1%，7月的失業率曾升至4.3%，為自2021年第四季以來最高的月度數字，因為有更多人進入勞動力市場，但最終未能找到工作。與此同時，通過平均小時工資年增率來衡量的薪資增長，在9月份上升至4.0%，較6月的3.8%有所提高。
以年度變化率衡量的消費者個人支出鏈條價格指數（“PCE”）的通脹讀數仍高於美聯儲的2%通脹目標，並且通脹壓力解除措施的進展似乎在本年初偏高的讀數後已經恢復。截至9月的12個月總PCE價格下降至2.1%，而相同指標在6月記錄了2.4%，核心PCE通脹率（不包括波動較大的食品和能源價格）從6月的2.6%略微上升至9月的2.7%。幾項服務的價格壓力有所減緩，包括交通和娛樂服務，因航空票價和現場活動定價壓力繼續減輕。住房通貨膨脹是家庭中最大開支之一，因此在消費者價格指數中所占權重最大，持續以不規則的速度放緩，季度內每月讀數呈現高度波動。總體通脹進一步放緩的可能性很大，特別是如果住房通貨膨脹進一步放緩，這是普遍預期的。
39

安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
美聯儲擁有雙重使命的貨幣政策：實現充分就業和確保價格穩定。鑑於通脹減少的重大進展，FOMC參與者認為實現雙重使命的風險已經平衡，並且開始認為適當開始緩和政策姿態。在九月的FOMC會議上，委員會將聯邦基金利率目標範圍降至4.75 – 5.0％，並預測到年底再進一步下調50個基點。FOMC得出結論，調整政策姿態使其更接近觀察到的中立利率將有助於維持經濟的強勁發展，同時繼續促進通脹進展。同時，關於FOMC的資產負債表政策，開始於2022年的證券組合減少在第三季度持續，速度是每月國庫券量250億美元和每月MBS量350億美元。
利率水平在第三季度下降，因為市場參與者對聯邦政策利率路徑的下行進行定價。最為明顯的變化出現在短期利率上，導致國庫收益率曲線變陡。利率波動的測量保持較高水準，眼前政策不確定性明顯上升。10年期美國國庫券收益率從2024年6月30日的4.40％下降至9月30日的3.78％。與此同時，抵押貸款基準，即30年期機構MBS票券收益率與10年期美國國庫券收益率之間的差額，在同一時期從147個基點縮小到118個基點。
以下表格顯示每個日期所呈現的利率期貨和利差：
 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%
按揭基礎118個基本點137個基本點179個基本點
10年美國國債利率3.78%3.88%4.57%
OIS SOFR掉期
1個月4.86%5.35%5.32%
6個月4.31%5.15%5.45%
 
營運業績結果
我們業務的結果受各種因素影響，其中許多因素超出我們的控制範圍。這些風險和不確定因素中的某些在此處有所描述（參見上文“前瞻性陳述特別提示”）以及我們最近的年度報告表格10-k的第I部分第1A項“風險因素”，以及本季度報告表格10-Q的第II部分第1A項“風險因素”。
本管理層討論和分析部分包括根據美國通用會計準則（"GAAP"）和非GAAP測量所計算的財務結果的分析和討論。為了補充我們按照GAAP準則編製和呈報的合併財務報表，我們提供非GAAP財務指標，以增強投資者對我們期間運營績效和業務趨勢的理解，以及評估我們的表現與行業同行相比。
請參閱“非依照通用會計準則之財務指標”部分以獲取更多資訊。













40

安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
凈利潤（損失）摘要
以下表格呈現截至2024年和2023年9月30日三個月和九個月的營運成果相關的財務資訊。
 
截至九月三十日三個月結束，
截至九月三十日九個月結束，
 2024202320242023
 (千元美元，每股資料除外)
利息收入$1,229,341 $1,001,485 $3,501,154 $2,741,229 
利息費用1,215,940 1,046,819 3,440,646 2,799,063 
淨利息收益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（損失）(2,859)(559,446)290,058 (1,267,287)
減：總管理及行政費用43,921 39,909 127,382 123,652 
稅前收入（虧損）76,216 (556,692)543,545 (1,209,523)
所得稅(6,135)12,392 4,853 37,702 
凈利潤（損失）82,351 (569,084)538,692 (1,247,225)
減：歸屬非控制權益的凈利潤（淨虧損）15,906 (6,879)18,838 (7,797)
歸於安納利的凈利潤（損失）66,445 (562,205)519,854 (1,239,428)
減：優先股股息分紅41,628 36,854 115,847 104,495 
可供普通股股東使用的凈利潤（損失）$24,817 $(599,059)$404,007 $(1,343,923)
每股可供普通股股東使用的凈利潤（損失）
基礎$0.05 $(1.21)$0.80 $(2.73)
稀釋$0.05 $(1.21)$0.80 $(2.73)
加權平均股本收益數量
基礎515,729,658 494,330,361 505,800,723 492,744,997 
稀釋516,832,152 494,330,361 506,618,143 492,744,997 
其他資訊
期末投資組合$97,742,854 $85,339,029 $97,742,854 $85,339,029 
平均總資產$97,592,286 $89,489,450 $94,973,839 $86,915,407 
平均股東權益$11,901,427 $11,282,201 $11,661,014 $11,460,715 
期末的GAAP槓桿 (1)
6.9:17.1:16.9:17.1:1
期末的GAAP資本比率 (2)
12.4 %11.9 %12.4 %11.9 %
年化平均總資產收益（損失）0.34 %(2.54 %)0.76 %(1.91 %)
年化平均股東權益收益（損失） (3)
2.77 %(20.18 %)6.16 %(14.51 %)
凈利息收益率 (4)
0.06 %(0.20 %)0.09 %(0.09 %)
資產收益平均收益率 (5)
5.16 %4.49 %5.07 %4.25 %
按照GAAP標準計算的軸承負債成本 (6)

5.42 %5.27 %5.42 %4.95 %
淨利息差(0.26 %)(0.78 %)(0.35 %)(0.70 %)
期間內加權平均CPR體驗值7.6 %7.3 %7.0 %6.6 %
期末預期長期加權平均CPR11.9 %7.1 %11.9 %7.1 %
每股普通股帳面價值$19.54 $18.25 $19.54 $18.25 
非GAAP指標*
利息收入（不含PAA）$1,250,706 $995,423 $3,512,200 $2,723,735 
經濟利息費用 (6)
$882,244 $652,142 $2,459,504 $1,593,387 
經濟凈利息收益（不含PAA）$368,462 $343,281 $1,052,696 $1,130,348 
保費攤銷調整成本（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股東平均權益回報（不含PAA）12.95 %12.96 %12.88 %13.84 %
期末的經濟槓桿 (1)
5.7:16.4:15.7:16.4:1
期末經濟資本比率 (2)
14.6 %13.1 %14.6 %13.1 %
凈利息收益率（不含PAA） (4)
1.52 %1.48 %1.51 %1.63 %
收益資產平均收益率（不包括平均資產養護品） (5)
5.25 %4.46 %5.09 %4.22 %
融通負債的平均經濟成本 (6)
3.93 %3.28 %3.87 %2.82 %
凈利息價差（不包括平均資產養護品）1.32 %1.18 %1.22 %1.40 %
 
41

安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
* 代表非 GAAP 財務指標。如需其他資訊，請參閱「非 GAAP 財務指標」一節。
(1) GAAP 槓桿計算為回購協議、其他有抵押融資、證券化工具發行的債務、已發行的參與和未購買的美國國庫證券的總和除以總權益。經濟槓桿的計算方式是借貸債務、待公布的成本基礎（「TBA」）和未償還的 CMBX 衍生品，以及投資的遠期購買（銷售）淨額除以總股權計算。索償債務包括回購協議、其他有抵押融資以及已售出但尚未購買的美國國庫證券。由證券化工具發行的債務和發行的股份不適用於我們，並不受經濟槓桿範圍之外。
(2) GAAP 資本比率計算為總權益除以總資產。經濟資本比率計算為總權益除以總經濟資產。經濟資產總計包括 TBA 衍生產品的隱含市值，以及證券化工具發行的債務淨值。
(3) 平均股權的年度 GAAP 回報（虧損）將實現和未實現收益及虧損年度化，可能不代表全年表現表現，平均股本的非年度 GAAP 回報（虧損）分別為 0.69%，截至 2024 年 9 月 30 日和 2023 年 9 月 30 日止三個月分別為 4.62% 和（10.88%）。
(4) 淨利率代表我們的利息收入減息費用除以平均利息收入資產。淨利率保證金不包括利率交換的淨利息組成部分。淨利率保證金（不包括 PAA）代表我們的利息收入（不包括 PAA）加上 TBA 美元卷收入和 CMBX 合併的總和n 收入減去經濟利息費用分割d 以平均利息收入資產加平均未償還 TBA 合約和 CMBX 餘額的總和。
(5) 利息賺取資產的平均收益率代表年利息收入除以平均利息收入資產。平均利息收入資產反映了本公司期間投資的平均攤銷成本。利息賺取資產的平均收益率（不包括 PAA）是使用年利息收入（不包括 PAA）來計算。
(6) 帶息負債的平均 GAAP 成本代表年利息費用除以平均帶息負債。平均帶息負債反映期間的平均餘額。帶息負債的平均經濟成本表示年度經濟利息費用除以平均帶息負債。經濟利息支出包括 GAAP 利息開支、利率交換的淨利息組成，以及截至 2024 年 6 月 30 日止季度開始，利率交換有關的初始保證金淨利息組成，該利率淨利息在公司綜合綜合收益（虧損表）中報告於其他內。前期業績未根據此變化進行調整，因為影響並非重大。 與利率交換相關的變動保證金淨利息之前已包括在公司所呈報期間的綜合綜合收益（虧損）報表中，並目前已列入利率交換的淨利息元件中。
(7) 不包括優先股股息。

GAAP
凈利潤（淨虧損）為8240萬美元，其中包括為非控股權益擁有人所攤分的1590萬美元，或每股基本普通股平均0.05美元，截至2024年9月30日的三個月，相對於2023年同期的(5.691)億美元，其中包括(0.69)億美元歸屬於非控股權益擁有人，或每股基本普通股平均-1.21美元。我們將凈利潤（淨虧損）變動的主要原因歸因於投資和其他項目的淨利益（虧損）以及其他的有利變動，利息收入和淨服務收入，部分抵銷了衍生工具的淨利益（虧損）的不利變動。截至2024年9月30日的三個月，投資和其他項目的淨利益（虧損）為17億美元，相對於2023年同期的(27)億美元。利息收入截至2024年9月30日的三個月為1340萬美元，相對於2023年同期的(4.53)億美元。截至2024年9月30日的三個月的淨服務收入為10960萬美元，相對於2023年同期的8800萬美元。截至2024年9月30日的三個月，衍生工具的淨利益（虧損）為(18)億美元，相對於2023年同期的21億美元。
凈利潤（損失）為$53870萬，包括$1880萬歸屬於非控股權益，或每股基本普通股平均$0.80，在2024年9月30日結束的九個月同比2023年同期的淨虧損$12億，包括$7700萬歸屬於非控股權益，或每股基本普通股平均$2.73。我們認為凈利潤（損失）的變化主要來自於投資和其他方面淨利潤（損失）增加、淨利息收入和淨服務收入增加，部分抵銷淨衍生工具收益（損失）的不利變化。截至2024年9月30日結束的九個月，投資和其他淨收益為$16080萬，2023年同期為$40億。截至2024年9月30日結束的九個月，淨利息收入為$6050萬，2023年同期為$5780萬。截至2024年9月30日結束的九個月，淨服務收入為$32040萬，2023年同期為$23930萬。截至2024年9月30日結束的九個月，衍生工具淨收益為$5360萬，2023年同期為$27億。有關這些變化的詳細信息，請參閱本項目2中標題為“其他收入（損失）”的部分。
非美國通用會計準則
截至2024年9月30日結束的三個月，可供分配的收益為38250萬美元，每股普通股平均為0.66美元，相較於2023年同期的36200萬美元，每股普通股平均為0.66美元。可供分配的收益在2024年9月30日結束的三個月內相較於2023年同期的變化，主要是由於較高的優惠券收入，這是由於居住性抵押貸款和反向回購協議餘額增加以及購買較高優惠券堆疊中的證券，以及較高的淨服務收入所致。這種變化部分被平均借款利率和平均利息負債增加以及利率掉期的淨利息部分不利變化導致的更高利息支出部分抵銷。
截至2024年9月30日的九個月，可供分配收益為11億美元，每股普通股平均1.98美元，相較於2023年同期的12億美元，每股普通股平均2.18美元。 2024年9月30日結束的九個月中，與2023年同期相比，可供分配收益的變化為
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安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
主要是由於平均借款利率和平均利息軸承負債增加，以及利率互換的淨利息組成中不利的變化造成的較高利息支出。這一變化部分被較高的優惠券收入所抵銷，其原因是由於增加的住宅按揭貸款餘額、購買較高層次的證券、較低的高級優惠攤銷費用（不包含PAA）和較高的淨服務收入。
非通用會計原則財務指標
為補充我們按照GAAP準則編制並呈現的合併基本報表，我們提供以下非GAAP財務指標：
•可供分配的收益（“EAD”）；
•歸屬於普通股股東的可供分配收益；
•每股平均普通股的可供分配收益；
•年化的平均權益回報率；
•經濟槓桿；
•經濟資本比率；
•利息收入（不含PAA）；
•經濟利息支出；
•經濟凈利息收益（不含PAA）;
•利息賺取資產平均收益率（不含PAA）;
•利息負債平均經濟成本;
•凈利息收益率（不含PAA）; 和
•凈利息差距（不含PAA）。

這些措施不應被視為取代符合GAAP標準計算的財務指標，也不應被視為優於它。雖然旨在提供對我們的結果和運營更全面的理解，但非GAAP財務指標也有限制。例如，我們可能計算我們的非GAAP指標（如可供分配收益或PAA）與我們的同行有所不同，進行比較分析較困難。此外，對於排除PAA的非GAAP指標，在未來期間攤銷費用中排除PAA的金額，不一定代表未來攤銷期間的金額，也不代表我們將攤銷剩餘的未攤銷保費的期間。實際和預估的預付款變更將影響保費攤銷的時間和金額，因此，無論是GAAP還是非GAAP結果都將受到影響。
這些非依據通用會計原則計算的數據提供額外詳細資訊，以增進投資者對我們逐期營運績效和業務趨勢的理解，以及評估我們的表現與同行業板塊相比的能力。有關我們使用這些非依據通用會計原則計算的財務指標的更多資訊，包括討論每個指標如何對投資者有用，以及與其最直接可比依據通用會計原則計算的結果之調和，在以下予以提供。

可供分派收益，可供分派收益歸屬於普通股股東，每平均普通股可供分派收益及年度平均股東權益可供分派收益率
我們的主要業務目標是為了為我們的股東產生凈利潤並通過謹慎管理我們多元化的投資策略來優化我們的回報。我們通過賺取投資組合的凈利息差來產生凈利潤，該差額是指從我們的投資組合獲得的利息收入減去融資、對沖和運營成本。可用於分配的收益被定義為(a) 經濟凈利息收入、(b) TBA美元回拋收入和CMBX票息收入、(c) 減去已實現的MSR攤銷的淨服務收入、(d) 其他收入（損失）(不包括無形資產攤銷、分配給權益法投資的非EAD收入和其他非EAD組成的其他收入（損失）)、(e) 一般和行政費用 (不包括交易費用和非經常性項目) 以及 (f) 所得稅 (不包括非EAD收入（損失）項目的所得稅影響)，並排除 (g) 代表在我們的機構抵押支持證券相關的長期預付速度估計季度對季度變化的累計影響，但不包括當前期間的PAA，經由管理層使用，我們相信，分析師和投資者使用它來衡量我們在實現主要業務目標方面的進展。
我們尋求通過各種因素來實現我們的主要業務目標，包括組合構建、市場風險敞口程度及相關對沖配置、槓桿使用和形式，所有這些在我們資本配置政策和風險治理框架的參數範圍內運作。
我們認為這些非依照通用會計準則（GAAP）計算的指標，為管理層和投資者提供了關於我們基礎營運業績和投資組合趨勢的額外細節，具體表現在(i)調整以考慮換算率變化的不一致報告，其中某些工具反映在GAAP淨利潤（虧損）中，而其他工具則反映在其他綜合收益（損失）中，以及(ii)排除某些未實現的、非現金的或偶發性元件以便於凈利潤（虧損）按照GAAP計算時。
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安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
提供對我們投資組合營運表現的額外透明度。此外，經濟潛能增值(EAD)對於投資者評估我們的表現和支付分紅派息的能力是一個有用的指標。以平均股東權益計算的年化EAD收益，為投資者提供有關我們投資的權益資本產生的可分配收益的更多細節。
以下表格將GAAP財務結果與所呈現期間的非GAAP盈利進行調和：
 
截至9月30日三個月的數據：
截至九月三十日止九個月內
 2024202320242023
 (千元美元，每股資料除外)
GAAP凈利潤（損失）$82,351 $(569,084)$538,692 $(1,247,225)
調整以排除已報告實現和未實現（收益）損失
投資和其他項目的淨（收益）損失 (1)
(1,724,051)2,710,208 (161,057)4,025,333 
衍生品的淨（收益）損失 (2)
2,071,493 (1,732,753)892,383 (1,496,327)
貸款減值準備（轉讓）— — — (219)
其他調整
無形資產攤銷673 2,384 2,019 3,900 
分紅派息投資分配的非EAD（收入）損失 (3)
1,465 (140)1,158 157 
交易費用和非經常性項目 (4)
4,966 1,882 14,032 5,890 
非EAD收入（損失）項目的所得稅影響(9,248)9,444 (2,150)30,086 
TBA美元滾動收入和CMBX票券收入 (5)
(1,132)(1,016)729 18,901 
MSR攤銷 (6)
(62,480)(49,073)(169,201)(133,793)
歸屬於非控制股權的EAD(2,893)(3,811)(10,041)(10,625)
保費攤銷調整成本（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 
優先股股息41,628 36,854 115,847 104,495 
歸屬於普通股股東的可分配收益 *
$340,881 $325,125 $1,001,763 $1,074,089 
普通股的每股GAAP凈利潤（虧損）$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 
年化的依據會計準則的平均權益回報（損失） (7)
2.77 %(20.18 %)6.16 %(14.51 %)
年化對平均股東權益的EAD回報率 *
12.95 %12.96 %12.88 %13.84 %
* 代表非依照通用會計準則之財務指標。有關非依照通用會計準則之財務指標的更多信息，請參閱本節上方的披露。
(1) 這包括在公司綜合損益表（損失）的其他淨額一欄報告的減損或回收。
(2) 增加彙算淨（利得）損失的調整不包括利率掉期的利息成分，該成分反映在可供分配收益中。利率掉期的利息成分分別為2024和2023年9月30日結束的三個月分別為$31750 million和$39470 million，九個月分別為2024和2023年9月30日結束的$94600 million和$12 billion。
(3) 在一組MSR的權益中分攤以其他淨額的形式出現的未實現（利得）損失。
(4) 代表與住宅整額貸款證券化相關的成本支出。
(5) TBA美元轉借收入和CMBX票利收入各自代表綜合損益表（損失）中衍生工具淨額（利得）的一部分。CMBX票利收入分別為2024和2023年9月30日結束的三個月分別為$0和$0，九個月分別為2024和2023年9月30日結束的$0和$150 million。
(6) MSR攤銷利用購買日現金流假設和實際未支付本金餘額進行計算，計算方法為預計MSR收益收益與該時期淨服務收益之間的差額。
(7) 年化通用會計準則下的平均權益回報（損失）實現和未實現利得和（損失）年化，可能不代表全年表現，未年化通用會計準則下的平均權益回報（損失）分别為0.69％和（5.04％），分別為2024和2023年9月30日結束的三個月，分别为4.62％和（10.88％），分別為2024和2023年9月30日結束的九個月。

不時我們進行TBA遠期合約，作為在投資和融資機構MBS方面的替代手段。 TBA合同是一項協議，用於未來交割，購買或賣出具有指定發行人、期限和票面利率的機構MBS。 TBA美元捲代表一筆交易，同時購買和出售具有相同條款但不同結算日期的TBA合同。通常，較後月份結算的TBA合同價格會打折於較早月份合同，其價格差被常稱為“價差”。這個價差反映了投資於類似機構MBS並折算隱含融資成本的預期淨利息收入，即與較早月份相比，折算的合同在較後月份結算將放棄的收益。當前結算月份價格和後續結算月份價格間的價差是因為在TBA美元捲市場中，提供融資的一方將保留在融資期間所應計的所有本金和利息支付。因此，TBA美元捲收入通常代表了在基礎機構MBS上獲得的淨利息收入的經濟等價值，減去隱含的融資成本。
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項目 2. 管理層討論及分析
TBA美元回拆交易在GAAP下按衍生品交易進行結算。TBA衍生品的公允價值基於類似評估機制評估機制，類似於對機構MBS的價值評估。我們在財務狀況表中以公允價值記錄TBA衍生品，在我們的綜合收益（損失）表中承認公允價值的週期性變動，其中包括衍生品的未實現和實現收益和損失。
TBA美元轉手收益是指相同條款但不同結算日期的兩份TBA合約之價格差額，乘以TBA合約的名義金額所計算出來的。儘管在會計上屬於衍生品，TBA美元轉手收益捕捉到基礎機構MBS上的淨利息收入或持有成本（利息收入減去財務成本的隱含成本）。TBA美元轉手收益在綜合損益表中作為衍生工具的凈收入（損失）的組成部分報告。
CMBX指數是一個合成可交易指數，參考一籃共25檔特定評級和年份的商業按揭支援證券。CMBX指數允許投資者在相應的商業按揭支援證券籃上採取多頭（稱為賣出保護）或空頭（稱為購買保護）立場，並被結構為“按時間付款”的合約，保護賣方按合約名義金額收取標準化運行票息，而保護買方支付。此外，保護賣方有責任根據發生的基礎商業按揭支援證券的本金損失和/或票息差額支付給保護買方。我們在綜合損益表中報告CMBX持倉的收入（費用）以及衍生工具的淨收益（虧損）。CMBX持倉上的票息支付或收取等同於利息收入（費用），因此包括在可供分配的收益中。

保費攤銷費用
根據GAAP，我們將利率期貨中的債券貼現或折價攤銷入利息收入中，不包括僅限利息型證券、多戶和逆向按揭，考慮到未來本金預先還款的估計，依據計算有效收益率。我們重新計算有效收益率，以反映預期和實際預先還款之間的差異。使用第三方模型和市場信息來預測未來現金流和證券預期剩餘壽命，為每個證券確定的有效利率被應用為假設自證券收購日期以來一直存在。然後將證券的攤銷成本調整為如果新的有效收益率自收購日期以來一直應用則所應存在的金額。對攤銷成本的調整與利息收入相抵，通過向上/下調整利息收入。利率變動和其他市場因素將影響預先還款速度預測和在任何給定期間認可的貼現攤銷金額。
我們的GAAP指標包括與此方法相關的耗盡和逐步增加的未調整影響。我們某些非GAAP指標排除了PAA的影響，該指標 quantifies 保險費攤銷的組件，代表對先前期間的累計影響，但不包括當期，因治變變的估計長期固定提前還款利率（“CPR”）。
下表顯示了PAA對我們住宅證券投資組合期間展示的償付權益產生的影響：
 
截至9月30日三個月的數據：
截至九月三十日止九個月內
 2024202320242023
 （以千美元計）
溢價攤銷費用$53,448 $24,272 $90,617 $113,911 
減少：PAA成本（利益）21,365 (6,062)11,046 (17,494)
溢價攤銷費用（不包括PAA）$32,083 $30,334 $79,571 $131,405 
經濟槓桿和經濟資本比率
我們利用資本連同借來的資金，主要投資於與房地產相關的投資，從資產的收益和借款成本以及避險活動的差額中獲利。我們的資本結構旨在提供一個有效的資金來源組合，以產生對股東有利的風險調整收益，同時保持足夠的流動性以支持我們的業務，在市場壓力下履行我們的金融義務。為了維持我們所需的資本結構，我們利用債務和股權籌資的混合方式。債務籌資可能包括回購協議的使用、貸款、證券化、參與發行、信用額度、資產支持的放款設施、公司債券發行、可轉債或其他負債。股本主要包括普通股和優先股。
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安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
我們的經濟槓桿比率是由追索債務總額、TBA衍生工具成本基礎和淨遠期投資（銷售）額加總後，除以總權益計算而得。 追索債務包括回購協議、其他獲得擔保融資和出售但尚未購回的美國國庫券。 由證券化車輛發行的債務和發行的參與權益對我們無追索權，因此不計入經濟槓桿比率。
以下表格呈現了將GAAP債務與經濟債務進行調解，以計算所呈現期間我們的經濟槓桿比率。
截至日期
2024年9月30日2023年9月30日
經濟槓桿比率調解
（以千美元計）
回購協議
$64,310,276 $64,693,821 
其他已抵押融資
600,000 500,000 
由證券化車輛發行的債務
18,709,118 9,983,847 
已發行的參與權益
467,006 788,442 
已售出的美國國庫證券，但尚未購入2,043,519 — 
總GAAP債務
$86,129,919 $75,966,110 
減去非追索債務：
由證券化車輛發行的債務
$(18,709,118)$(9,983,847)
已發行的參與權益
(467,006)(788,442)
總追索債務$66,953,795 $65,193,821 
加上/（減去）：
TBA衍生品的成本基礎
3,333,873 1,965,117 
未結交易應付款項1,885,286 2,214,319 
未結交易應收款項(766,341)(1,047,566)
經濟債務 *
$71,406,613 $68,325,691 
總股本
$12,539,949 $10,677,057 
經濟槓桿比率 *
5.7:16.4:1
* 代表一項非普遍會計準則財務指標。有關非普遍會計準則財務指標的其他資訊，請參閱本節內的披露。
以下表格呈現了為了計算我們經濟資本比率而將GAAP總資產調節為經濟總資產的和解表:
截至日期
2024年9月30日2023年9月30日
經濟資本比率對帳調節
（以千美元計）
總GAAP資產
$101,515,995 $89,648,423 
扣除：
TBA衍生工具的未實現總收益 (1)
(2,869)(7,232)
由證券化車輛發行的債務
(18,709,118)(9,983,847)
加上：
TBA衍生品的隱含市值
3,328,141 1,925,614 
總經濟資產 *
$86,132,149 $81,582,958 
總股本
$12,539,949 $10,677,057 
經濟資本比率 (2) *
14.6%13.1%
* 代表一個非GAAP財務指標。請參考本節內的披露以獲取有關非GAAP財務指標的額外信息。
(1) 包含在財務狀況合併報表的衍生資產中。
(2) 經濟資本比率是以總權益除以總經濟資產來計算。

利息收入（不包括PAA）、經濟利息費用和經濟淨利息收入（不包括PAA）
利息收入（不包括PAA）代表除掉保費攤銷調整影響的利息收入，並作為計算凈利息收益率（不包括PAA）、利息差（不包括PAA）和凈利息收益率（不包括PAA）的基礎，下面將討論這些。我們認為這個指標能夠通過排除代表我們機構抵押支持證券（除了僅計息證券、多戶和反向按揭）預估長期償還速度的逐季變化的累計影響的保費攤銷費用來提供管理層和投資者額外的細節，以增進他們對我們營運業績和趨勢的理解，因為這能夠遮蔽投資組合表現中的潛在趨勢。
46

安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
經濟利息費用包括GAAP利息費用、利率互換合約的淨利息組成（其中包括與利率互換合約相關的變動保證金的淨利息和與利率互換合約相關的初始保證金的淨利息），該費用在公司綜合損益表中的其他淨額中彙報。我們使用利率互換合約來管理我們對回購協議上變動利率的風險，通過經濟上對這些借款相關的現金流進行對沖。因此，將利率互換合約的淨利息組成添加到按照GAAP計算的利息費用中，反映了總合同利息費用，因此為投資者提供了有關我們融資策略成本的額外信息。我們可能使用市場協定的優惠券（“MAC”）利率互換合約，我們可能在進入此類利率互換合約時收到或支付款項，以補償此類利率互換合約的非市價特性。根據GAAP，與MAC利率互換合約相關的預付款不反映在利率互換合約的淨利息組成中，該部分呈現於綜合損益表的衍生工具淨收益（損失）。
同樣地，經濟淨利息收入（不包括PAA），如下所計算的，為投資者提供額外資訊，以增進他們對我們主要業務運營的凈經濟狀況的理解。
以下表格展示了根據GAAP計算的利息收入和利息支出與非GAAP利息收入（不包括PAA）、經濟利息支出和經濟淨利息收入（不包括PAA）的調解，分別為所呈現的期間：
利息收入（不包括PAA）
 按照美國績效財務報告準則計算的利息收入PAA成本
(利益)
利息收入（不包括PAA） *
截至三個月結束時（以千美元計）
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 
截至九個月結束時
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 
* 代表一項非普通會計原則財務指標。有關非普通會計原則財務指標的更多信息，請參閱本部分上方的披露。
經濟利息費用及經濟淨利息收入（不含PAA）
 GAAP
利息
費用		添加：利率互換的淨利息組件和初始保證金的淨利息經濟利益
支出 *		GAAP淨損
利息
收入		減少：淨利息組件
利率掉期的利息交換和初始保證金的淨利息		經濟
淨利息
收入*		添加：PAA
成本
(利益)		經濟淨利息收入（不含PAA）*
截至三個月結束時（以千美元計）
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 
截至九個月結束時
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 
* 代表一個非根據美國一般會計準則的財務指標。請參閱本節上方有關非根據美國一般會計準則的財務指標的披露。

已經達到並預測長期CPR
預付速度（由CPR和利率期貨反映）根據投資類型、金融市場條件、競爭以及其他因素而變化，這些因素都無法確定性地預測。一般而言，隨著我們機構MBS投資組合的預付速度和預期預付速度增加，相關的購買溢價攤銷也會增加，從而降低該等資產的收益率。以下表格顯示了我們機構MBS投資組合截至並按照所呈交的期間的加權平均CPR和加權平均預期長期CPR。
47

安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
 
經驗豐富的CPR (1)
預計長期CPR (2)
截至三個月結束時
2024年9月30日7.6 %11.9 %
2023年9月30日7.3 %7.1 %
截至九個月結束時
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日三個月和九個月的期間分別為。
(2) 分別為2024年和2023年9月30日。

利息收入資產（不包括PAA）的平均收益率、凈利息差（不包括PAA）、凈利息收益率（不包括PAA）和融資負債的平均經濟成本
凈利息收益率(不包括PAA)，即利息收益資產(不包括PAA)平均收益率與利息負債平均經濟成本之間的差額，代表了年化經濟利息費用除以平均利息負債，而凈利息收益率(不包括PAA)則是由利息收入(不包括PAA)加上TBA dollar roll收入和CMBX優惠券收入減去經濟利息費用除以平均利息資產加平均TBA合約和CMBX餘額之和計算而得，為管理層提供了業績監控所依賴的額外盈利性衡量指標。
對以下所呈現的這些措施的披露，為投資者提供了有關管理層如何評估我們表現的額外細節。
淨利息差（不包括PAA）
 
平均利息收入
資產 (1)
利息收入（不包括PAA） *
平均收益率（不含PAA的利息收入資產) *
平均利息軸承負債 (2)
經濟利息支出 * (2)
利息負債的平均經濟成本* (2)
經濟淨利息收入（不含PAA) *
淨利息融通（不包括PAA） *
截至三個月結束時（以千美元計）
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 %
截至九個月結束時
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 %
* 代表一項非依照通用會計原則的財務指標。詳細資訊請參閱《非依照通用會計原則的財務指標》部分。
(1) 基於攤銷成本。
(2) 平均利息負債餘額反映了該期間的平均餘額。 利息載借費用的經濟成本代表以平均利息負債除以年化經濟利息費用。 經濟利息費用包括依照通用會計原則的利息費用、利率互換的淨利息組成部分，以及從2024年6月30日完結的季度起，與利率互換相關的初始保證金的淨利息，該費用列報在公司綜合損益表（損失）的其他項目中。 與此次變動相符的往期結果未依據此變動調整，因其影響並不重要。 利率互換相關變動保證金的淨利息以前和目前已包含在公司綜合損益表（損失）中的利率互換的淨利息中，並適用於所呈報的所有期間。

凈利息收益率（不含PAA）
 
利息收入（不包括PAA） *
TBA美元轉優化及CMBX票息收入 (1)
經濟利息費用 *小計平均利息收入資產平均TBA合約及CMBX餘額小計凈利息收益率 (不包括PAA) *
截至三個月結束時（以千美元計）
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 %
截至九個月結束時
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 %
* 代表一項非依照普遍會計原則之財務指標。請參閱「非依照普遍會計原則之財務指標」部分以獲取更多資訊。
(1) TBA美元回滾收入和CMBX優惠券收入各代表利息收益率上的一個組成部分。截至2024年9月30日和2023年，CMBX優惠券收入分別為0美元和0美元。截至2024年9月30日和2023年，CMBX優惠券收入分別為0美元和150萬美元。
48

安納里資本管理公司及其附屬公司
項目 2. 管理層討論及分析
經濟利息支出和利息負債的平均經濟成本
通常，我們最大的支出是利息負債的成本和利率掉期的淨利息成分。以下的表格顯示了我們平均的利息負債和利息負債的平均經濟成本，與所呈現期間的平均一個月和平均六個月的SOFR進行比較。
利息載息負債的平均經濟成本
 平均價格
帶利息
負債		Interest Bearing Liabilities at
期末
經濟
利息
Expense * (1)
平均經濟軸承
成本
利息
軸承
負債 *
平均價格
公司一-
月份
SOFR利率 		平均價格
六-
月份
SOFR詞彙		平均價格
一個月期SOFR利率
相對於
六個月期平均SOFR
六個月期SOFR 		平均經濟成本
利息的計算
軸承
負債
相對於
一個月期平均
每月期SOFR		平均經濟成本
利息的計算
軸承
負債
相對於
平均六個月期SOFR
截至三個月結束時
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 %)
截至九個月結束時
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 %)
* 代表一項非依照通用會計準則記錄的財務衡量指標。有關詳細信息，請參閱“非依照通用會計準則記錄的財務衡量指標”部分。
(1) 經濟利息費用由通用會計準則的利息費用、利率互換的淨利息組成，以及從2024年6月30日結束的季度開始，與利率互換相關的初始保證金的淨利息，該項費用列示在公司綜合損益表中的其他項目中。從這一變更開始已結束的季度開始到報告期結束並未依照這一變更進行調整，因影響並未造成實質性變動。與利率互換相關的抵押變動保證金的淨利息在過往的各期間中，以前和目前已包括在公司綜合損益表的利率互換的淨利息組成中。

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.
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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
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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.
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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
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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.





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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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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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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
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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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
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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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
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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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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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
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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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
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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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
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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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
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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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
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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