The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at December 31, 2023 and 2022: December 31, 2023 December 31, 2022 Investment Type (dollars in thousands) Fannie Mae $ 60,477,303 $ 54,043,015 Freddie Mac 5,778,809 8,174,080 Ginnie Mae 52,676 57,800 Total $ 66,308,788 $ 62,274,895 Actual maturities of the Company’s Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on the underlying mortgages. The following table summarizes the Company’s Residential Securities at December 31, 2023 and 2022, according to their estimated weighted average life classifications: December 31, 2023 December 31, 2022 Estimated Fair Value Amortized Cost Estimated Fair Value Amortized Cost Estimated weighted average life (dollars in thousands) Less than one year $ 254,753 $ 257,170 $ 247,921 $ 264,637 Greater than one year through five years 5,159,969 5,213,575 3,002,471 3,206,250 Greater than five years through ten years 62,158,711 63,662,144 55,593,990 59,658,578 Greater than ten years 1,817,688 1,875,105 6,419,216 6,996,296 Total $ 69,391,121 $ 71,007,994 $ 65,263,598 $ 70,125,761 The estimated weighted average lives of the Residential Securities at December 31, 2023 and 2022 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected. The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at December 31, 2023 and 2022. December 31, 2023 December 31, 2022 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 months $ 35,453 $ (418) 16 $ 33,061,267 $ (3,448,120) 2,481 12 Months or more 15,455,118 (1,340,032) 1,747 1,260,378 (266,686) 129 Total $ 15,490,571 $ (1,340,450) 1,763 $ 34,321,645 $ (3,714,806) 2,610 (1) Excludes interest-only mortgage-backed securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities have an actual or implied credit rating that is the same as that of the U.S. government. An impairment has not been recognized in earnings related to these investments because the decline in value is not related to credit quality, the Company currently has not made a decision to sell the securities nor is it more likely than not that the securities will be required to be sold before recovery. During the years ended December 31, 2023 and 2022, the Company disposed of $36.4 billion and $28.9 billion amortized cost basis of Residential Securities, respectively. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the years ended December 31, 2023 and 2022, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) For the year ended (dollars in thousands) December 31, 2023 $ 29,668 $ (2,920,487) $ (2,890,819) December 31, 2022 $ 66,587 $ (3,663,446) $ (3,596,859) ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-14
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