The following table presents our Residential Securities that were carried at fair value at December 31, 2023 and December 31, 2022. December 31, 2023 December 31, 2022 Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 62,198,941 $ 60,029,758 Adjustable-rate pass-through 191,489 234,387 CMO 82,972 89,610 Interest-only 264,005 218,077 Multifamily 3,544,528 1,674,165 Reverse mortgages 26,853 28,898 Total agency securities $ 66,308,788 $ 62,274,895 Residential credit Credit risk transfer $ 974,059 $ 997,557 Alt-A 150,235 91,216 Prime 180,647 197,870 Subprime 235,605 156,313 NPL/RPL 1,197,555 1,317,154 Prime jumbo (>= 2010 vintage) 344,232 228,593 Total residential credit securities $ 3,082,333 $ 2,988,703 Total Residential Securities $ 69,391,121 $ 65,263,598 The following table summarizes certain characteristics of our Residential Securities (excluding interest-only mortgage-backed securities) and interest-only mortgage-backed securities at December 31, 2023 and December 31, 2022. December 31, 2023 December 31, 2022 Residential Securities (1) (dollars in thousands) Principal amount $ 70,078,626 $ 68,290,976 Net premium 63,902 1,049,253 Amortized cost 70,142,528 69,340,229 Amortized cost / principal amount 100.09 % 101.54 % Carrying value 68,701,769 64,736,220 Carrying value / principal amount 98.04 % 94.79 % Weighted average coupon rate 4.68 % 4.03 % Weighted average yield 4.64 % 3.76 % Adjustable-rate Residential Securities (1) Principal amount $ 1,206,700 $ 1,407,295 Weighted average coupon rate 8.79 % 7.16 % Weighted average yield 8.09 % 7.01 % Weighted average term to next adjustment (2) 8 Months 9 Months Weighted average lifetime cap (3) 9.34 % 9.30 % Principal amount at period end as % of total residential securities 1.72 % 2.06 % Fixed-rate Residential Securities (1) Principal amount $ 68,871,926 $ 66,883,681 Weighted average coupon rate 4.61 % 3.96 % Weighted average yield 4.58 % 3.70 % Principal amount at period end as % of total residential securities 98.28 % 97.94 % Interest-only Residential Securities Notional amount $ 25,918,105 $ 17,346,307 Net premium 865,467 785,532 Amortized cost 865,467 785,532 Amortized cost / notional amount 3.34 % 4.53 % Carrying value 689,352 527,378 Carrying value / notional amount 2.66 % 3.04 % Weighted average coupon rate 0.43 % 0.56 % Weighted average yield NM NM (1) Excludes interest-only MBS. (2) Excludes non-Agency MBS and CRT securities. (3) Excludes non-Agency MBS and CRT securities as this attribute is not applicable to these asset classes. NM Not meaningful. ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 7. Management’s Discussion and Analysis 64
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