obtained from third party pricing providers. Management reviews the valuations received from third party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSR and Interests in MSR require significant judgment by management and the third party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. December 31, 2023 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 66,308,788 $ — $ 66,308,788 Credit risk transfer securities — 974,059 — 974,059 Non-Agency mortgage-backed securities — 2,108,274 — 2,108,274 Commercial mortgage-backed securities — 222,444 — 222,444 Loans Residential mortgage loans — 2,353,084 — 2,353,084 Mortgage servicing rights — — 2,122,196 2,122,196 Assets transferred or pledged to securitization vehicles — 13,307,622 — 13,307,622 Derivative assets Interest rate swaps — 26,344 — 26,344 Other derivatives — 136,213 — 136,213 Total assets $ — $ 85,436,828 $ 2,122,196 $ 87,559,024 Liabilities Debt issued by securitization vehicles $ — $ 11,600,338 $ — $ 11,600,338 Participations issued — 1,103,835 — 1,103,835 U.S. Treasury securities sold, not yet purchased 2,132,751 — — 2,132,751 Derivative liabilities Interest rate swaps — 83,051 — 83,051 Other derivatives 179,835 39,409 — 219,244 Total liabilities $ 2,312,586 $ 12,826,633 $ — $ 15,139,219 December 31, 2022 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 62,274,895 $ — $ 62,274,895 Credit risk transfer securities — 997,557 — 997,557 Non-Agency mortgage-backed securities — 1,991,146 — 1,991,146 Commercial mortgage-backed securities — 526,309 — 526,309 Loans Residential mortgage loans — 1,809,832 — 1,809,832 Mortgage servicing rights — — 1,748,209 1,748,209 Assets transferred or pledged to securitization vehicles — 9,121,912 — 9,121,912 Derivative assets Interest rate swaps — 33,006 — 33,006 Other derivatives 33,179 275,879 — 309,058 Total assets $ 33,179 $ 77,030,536 $ 1,748,209 $ 78,811,924 Liabilities Debt issued by securitization vehicles $ — $ 7,744,160 $ — $ 7,744,160 Participations issued — 800,849 — 800,849 Derivative liabilities Interest rate swaps — 108,724 — 108,724 Other derivatives 11,919 83,529 — 95,448 Total liabilities $ 11,919 $ 8,737,262 $ — $ 8,749,181 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-26
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