December 31, 2022 Agency MortgageBacked Securities CRTs Non-Agency MortgageBacked Securities Residential Mortgage Loans Commercial MortgageBacked Securities Total Repurchase Agreements (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — 2 to 29 days 30,244,050 193,069 524,432 200,931 263,711 31,426,193 30 to 59 days 21,200,770 149,733 632,673 — 124,390 22,107,566 60 to 89 days 4,410,473 — 782,905 — 68,647 5,262,025 90 to 119 days — 125,893 73,251 168,656 — 367,800 Over 119 days (1) — — — 349,013 — 349,013 Total $ 55,855,293 $ 468,695 $ 2,013,261 $ 718,600 $ 456,748 $ 59,512,597 Amounts offset in accordance with netting arrangements $ — Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition $ 59,512,597 (1) No repurchase agreements had a remaining maturity over 1 year at December 31, 2023 and 2022. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of reverse repurchase agreements and repurchase agreements as presented in the Consolidated Statements of Financial Condition at December 31, 2023 and 2022. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. December 31, 2023 December 31, 2022 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 2,268,293 $ 64,469,836 $ — $ 59,512,597 Amounts offset (2,268,293) (2,268,293) — — Netted amounts $ — $ 62,201,543 $ — $ 59,512,597 The fair value of collateral received in connection with reverse repurchase agreements was $2.3 billion, of which the Company sold $2.1 billion as of December 31, 2023. The amount of collateral sold is reported at fair value in the Company’s Consolidated Statements of Financial Condition as U.S. Treasury securities sold, not yet purchased. There were no reverse repurchase agreements or related collateral sold as of December 31, 2022. Other Secured Financing - As of December 31, 2023, the Company had $1.25 billion in committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under this facility as of December 31, 2023 totaled $500.0 million with maturities ranging between six months to one year. The weighted average interest average rate of the borrowings was 8.09% as of December 31, 2023. Borrowings are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. Refer to the “Variable Interest Entities” Note for additional information on the Company’s other secured financing arrangements at December 31, 2022. Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $68.2 billion and $279.5 million, respectively, at December 31, 2023 and $62.2 billion and $226.4 million, respectively, at December 31, 2022. ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-29
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