Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 41

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 41
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1.07%0.85%7.34%Total/weighted average$1,744,906 $500,689 $1,244,217 7.40%13.83%17.52%16.35%(1) Investment characteristics exclude the impact of interest-only securities. (2) Represents the 3 month voluntary prepayment rate (“VPR”).

58

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

Bond CouponProductARMFixedFloaterInterest-OnlyEstimated Fair Value(dollars in thousands)Credit risk transfer$— $— $330,647 $— $330,647 Non-QM1,320 310,788 — — 312,108 Prime— 98,701 — 31,770 130,471 SBC— 176,868 6,480 — 183,348 NPL/RPL— 424,118 11,195 55 435,368 RTL— 174,755 — — 174,755 Prime jumbo (>=2010 vintage)— 51,622 19,246 107,341 178,209 Total$1,320 $1,236,852 $367,568 $139,166 $1,744,906 

Contractual Obligations

The following table summarizes the effect on our liquidity and cash flows from contractual obligations at September 30, 2025. 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, 2025, the interest rate swaps had a net fair value of ($21.2) million.

 Within OneYearOne to ThreeYearsThree to FiveYearsMore thanFive YearsTotal (dollars in thousands)Repurchase agreements$74,840,852 $278,111 $— $— $75,118,963 Interest expense on repurchase agreements (1)449,527 6,146 — — 455,673 Other secured financing250,000 775,000 — — 1,025,000 Interest expense on other secured financing (1)57,833 20,935 — — 78,768 Debt issued by se