Company: NLY-PF
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001628280-25-036724
Chunk: 39

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 2
Chunk 39
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.24%24.65%13.36%19.64%NPL/RPL485,254 200,064 285,190 7.16%22.95%55.29%6.68%RTL170,647 149,133 21,514 7.20%18.84%4.42%63.85%Prime jumbo (>=2010 vintage)159,699 89,581 70,118 5.07%1.05%0.95%7.21%Total/weighted average$1,743,988 $555,229 $1,188,759 7.45%15.19%20.16%15.06%(1) Investment characteristics exclude the impact of interest-only securities. (2) Represents the 3 month voluntary prepayment rate (“VPR”).

55

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

Bond CouponProductARMFixedFloaterInterest-OnlyEstimated Fair Value(dollars in thousands)Credit risk transfer$— $— $414,047 $— $414,047 Non-QM1,313 213,900 — — 215,213 Prime— 71,504 — 32,587 104,091 SBC— 188,295 6,742 — 195,037 NPL/RPL— 473,633 11,562 59 485,254 RTL— 170,647 — — 170,647 Prime jumbo (>=2010 vintage)— 51,251 18,868 89,580 159,699 Total$1,313 $1,169,230 $451,219 $122,226 $1,743,988 

Contractual Obligations

The following table summarizes the effect on our liquidity and cash flows from contractual obligations at June 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 June 30, 2025, the interest rate swaps had a net fair value of ($18.5) million.

 Within OneYearOne to ThreeYearsThree to FiveYearsMore thanFive YearsTotal (dollars in thousands)Repurchase agreements