Company: NLY-PF
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001628280-25-005451
Chunk: 41

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-02-13
Form: 10-K
Item: Item 7
Chunk 41
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)Principal amount$951,400 $1,206,700 Weighted average coupon rate8.41 %8.79 %Weighted average yield7.59 %8.09 %Weighted average term to next adjustment (2)6 Months8 MonthsWeighted average lifetime cap (3)9.33 %9.34 %Principal amount at period end as % of total residential securities1.34 %1.72 %Fixed-rate Residential Securities (1)Principal amount$69,832,159 $68,871,926 Weighted average coupon rate4.97 %4.61 %Weighted average yield4.93 %4.58 %Principal amount at period end as % of total residential securities98.66 %98.28 %Interest-only Residential SecuritiesNotional amount$38,352,812 $25,918,105 Net premium1,091,361 865,467 Amortized cost1,091,361 865,467 Amortized cost / notional amount2.85 %3.34 %Carrying value965,131 689,352 Carrying value / notional amount2.52 %2.66 %Weighted average coupon rate0.46 %0.43 %Weighted average yield2.40 %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.

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

The following tables summarize certain characteristics of our Residential Credit portfolio at December 31, 2024.

Payment StructureInvestment Characteristics (1)ProductEstimated Fair ValueSeniorSubordinateCouponCredit Enhancement60+Delinquencies3M VPR (2)(dollars in thousands)Credit risk transfer$754,915 $— $754,915 9.09 %1.71 %1.02 %5.00 %Alt-A164,892 — 164,892 7.08 %9.98 %4.35 %16.68 %Prime45,790 33,757 12,033 4.18 %0.76 %