The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles and excluding loan warehouse facilities, at December 31, 2023 and 2022: December 31, 2023 December 31, 2022 (dollars in thousands) Fair value $ 15,660,706 $ 10,931,744 Unpaid principal balance $ 16,611,204 $ 12,247,346 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for December 31, 2023 and 2022 for these investments, excluding loan warehouse facilities: For the Years Ended December 31, 2023 December 31, 2022 (dollars in thousands) Interest income $ 703,838 $ 410,195 Net gains (losses) on disposal of investments (1) (5,049) (12,842) Net unrealized gains (losses) on instruments measured at fair value through earnings (1) 374,764 (1,420,645) Total included in net income (loss) $ 1,073,553 $ (1,023,292) (1) These amounts are presented in the line item Net gains (losses) on investments and other on the Consolidated Statements of Comprehensive Income (loss). The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2023 and 2022 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans December 31, 2023 December 31, 2022 Property location % of Balance Property location % of Balance California 40.1% California 44.8% Florida 10.6% New York 10.3% New York 10.5% Florida 8.3% Texas 5.6% Texas 5.1% All other (none individually greater than 5%) 33.2% All other (none individually greater than 5%) 31.5% Total 100.0% 100.0% The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at December 31, 2023 and 2022: December 31, 2023 December 31, 2022 Portfolio Range Portfolio Weighted Average Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $1 - $4,396 $477 $3 - $4,396 $489 Interest rate 2.00% - 13.25% 5.63% 2.00% - 15.00% 4.61% Maturity 7/1/2029 - 12/1/2063 4/22/2052 7/1/2029 - 1/1/2063 10/6/2051 FICO score at loan origination 549 - 850 758 588 - 831 759 Loan-to-value ratio at loan origination 3% - 100% 68% 5% - 100% 68% At December 31, 2023 and 2022, approximately 11% and 11%, respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate. The Company participated in an arrangement that provided a residential mortgage loan warehouse facility to a third party originator. The arrangement was not renewed and expired during the quarter-ended September 30, 2023. The Company had elected to apply the fair value option to this lending facility in order to simplify the accounting and keep the accounting consistent with other residential credit financial instruments with similar characteristics. At both December 31, 2023 and December 31, 2022, there were no outstanding balances on this warehouse facility. ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-16
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