Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 40

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 7
Chunk 40
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 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.

64

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 7. Management’s Discussion and Analysis

The following table presents our Residential Securities that were carried at fair value at December 31, 2024 and December 31, 2023. 

 December 31, 2024December 31, 2023 Estimated Fair ValueAgency(dollars in thousands)Fixed-rate pass-through$63,049,674 $62,198,941 Adjustable-rate pass-through162,238 191,489 CMO73,684 82,972 Interest-only380,732 264,005 Multifamily3,741,765 3,544,528 Reverse mortgages25,975 26,853 Total agency securities$67,434,068 $66,308,788 Residential credit Credit risk transfer$754,915 $974,059 Alt-A164,892 150,235 Prime45,790 180,647 Subprime245,583 235,605 NPL/RPL878,608 1,197,555 Prime jumbo (>= 2010 vintage)158,313 344,232 Total residential credit securities$2,248,101 $3,082,333 Total Residential Securities$69,682,169 $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 December 31, 2024 and December 31, 2023.

 December 31, 2024December 31, 2023Residential Securities (1)(dollars in thousands)  Principal amount$70,783,559 $70,078,626 Net premium110,212 63,902 Amortized cost70,893,771 70,142,528 Amortized cost / principal amount100.16 %100.09 %Carrying value68,717,038 68,701,769 Carrying value / principal amount97.08 %98.04 %Weighted average coupon rate5.02 %4.68 %Weighted average yield4.96 %4.64 %Adjustable-rate Residential Securities (1