Company: NLY-PF
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023811
Chunk: 33

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 2
Chunk 33
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228,750 7.28 %17.11 %18.85 %11.32 %(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$— $— $521,059 $— $521,059 Alt-A1,293 196,261 — — 197,554 Prime— 18,407 — 28,290 46,697 Subprime— 197,834 18,803 65 216,702 Re-performing loan securitizations— 547,185 — — 547,185 Non-performing loan securitizations— 283,090 — — 283,090 Prime jumbo (>=2010 vintage)— 49,346 19,265 91,685 160,296 Total$1,293 $1,292,123 $559,127 $120,040 $1,972,583 

Contractual Obligations

The following table summarizes the effect on our liquidity and cash flows from contractual obligations at March 31, 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 March 31, 2025, the interest rate swaps had a net fair value of ($10.4) million.

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

 Within OneYearOne to ThreeYearsThree to FiveYearsMore thanFive YearsTotal (dollars in thousands)Repurchase agreements$61,329,278 $330,182 $— $— $61,659,460 Interest expense on repurchase agreements (1)400,048 19,220 — — 419,268 Other secured financing375,000 525,000 — — 900,000 Interest expense on other secured financing (1)55,934 27,210 — — 83,144 Debt issued by securitization vehicles (principal)— — — 22,535,741 22,535