Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 42

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 7
Chunk 42
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1.71 %3.54 %Subprime245,583 54,598 190,985 7.18 %24.04 %13.48 %13.88 %Re-performing loan securitizations586,731 361,769 224,962 6.54 %27.36 %17.31 %19.90 %Non-performing loan securitizations291,877 261,524 30,353 6.85 %35.15 %72.48 %8.65 %Prime jumbo (>=2010 vintage)158,313 90,110 68,203 5.12 %1.05 %0.80 %5.75 %Total/weighted average$2,248,101 $801,758 $1,446,343 7.45 %16.75 %16.99 %11.45 %(1) Investment characteristics exclude the impact of interest-only securities.(2) Represents the 3 month voluntary prepayment rate (“VPR”).

Bond CouponProductARMFixedFloaterInterest-OnlyEstimated Fair Value(dollars in thousands)Credit risk transfer$— $— $754,915 $— $754,915 Alt-A1,261 163,631 — — 164,892 Prime— 18,193 — 27,597 45,790 Subprime— 226,354 19,158 71 245,583 Re-performing loan securitizations— 586,731 — — 586,731 Non-performing loan securitizations— 291,877 — — 291,877 Prime jumbo (>=2010 vintage)— 48,638 19,564 90,111 158,313 Total$1,261 $1,335,424 $793,637 $117,779 $2,248,101 

Contractual Obligations

The following table summarizes the effect on our liquidity and cash flows from contractual obligations at December 31, 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 December 31, 2024, the interest rate swaps had a