The following tables summarize certain characteristics of our Residential Credit portfolio at December 31, 2023. Payment Structure Investment Characteristics (1) Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancement 60+ Delinquencies 3M VPR (2) (dollars in thousands) Credit risk transfer $ 974,059 $ — $ 974,059 9.66 % 1.73 % 0.81 % 4.40 % Alt-A 150,235 54,038 96,197 5.55 % 14.69 % 2.68 % 8.66 % Prime 180,647 43,332 137,315 3.43 % 8.29 % 0.40 % 3.38 % Subprime 235,605 72,016 163,589 7.15 % 23.13 % 8.74 % 5.67 % Re-performing loan securitizations 796,711 412,365 384,346 5.25 % 28.24 % 19.73 % 4.61 % Non-performing loan securitizations 400,844 346,867 53,977 4.32 % 40.80 % 66.32 % 15.24 % Prime jumbo (>=2010 vintage) 344,232 94,452 249,780 4.13 % 3.13 % 0.46 % 3.06 % Total/weighted average $3,082,333 $ 1,023,070 $ 2,059,263 6.35 % 16.86 % 14.97 % 5.79 % (1) Investment characteristics exclude the impact of interest-only securities. (2) Represents the 3 month voluntary prepayment rate (“VPR”). Bond Coupon Product ARM Fixed Floater Interest-Only Estimated Fair Value (dollars in thousands) Credit risk transfer $ — $ — $ 974,059 $ — $ 974,059 Alt-A 1,178 149,057 — — 150,235 Prime — 175,624 — 5,023 180,647 Subprime — 213,199 22,309 97 235,605 Re-performing loan securitizations — 796,711 — — 796,711 Non-performing loan securitizations — 400,844 — — 400,844 Prime jumbo (>=2010 vintage) — 252,967 20,900 70,365 344,232 Total $ 1,178 $ 1,988,402 $ 1,017,268 $ 75,485 $ 3,082,333 Contractual Obligations The following table summarizes the effect on our liquidity and cash flows from contractual obligations at December 31, 2023. The table does not include the effect of net interest rate payments on our interest rate swap agreements. The net swap payments will fluctuate based on monthly changes in the receive rate. At December 31, 2023, the interest rate swaps had a net fair value of ($56.7) million. Within One Year One to Three Years Three to Five Years More than Five Years Total (dollars in thousands) Repurchase agreements $ 62,201,543 $ — $ — $ — $ 62,201,543 Interest expense on repurchase agreements (1) 431,816 — — — 431,816 Other secured financing 250,000 250,000 — — 500,000 Interest expense on other secured financing (1) 30,685 1,742 — — 32,427 Debt issued by securitization vehicles (principal) — — — 12,623,492 12,623,492 Interest expense on debt issued by securitization vehicles 565,573 1,131,146 1,131,146 16,757,967 19,585,832 Participations issued (principal) — — — 1,086,538 1,086,538 Interest expense on participations issued 82,964 165,927 165,927 2,051,321 2,466,139 Long-term operating lease obligations 4,107 3,410 291 — 7,808 Total $ 63,566,688 $ 1,552,225 $ 1,297,364 $ 32,519,318 $ 98,935,595 (1) Interest expense on repurchase agreements and other secured financing calculated based on rates at December 31, 2023. In the coming periods, we expect to continue to finance our Residential Securities in a manner that is largely consistent with our current operations via repurchase agreements. We may use securitization structures, credit facilities, or other term financing structures to finance certain of our assets. During the year ended December 31, 2023, we received $6.2 billion from principal repayments and $31.3 billion in cash from disposal of Securities. During the year ended December 31, 2022, we received $9.5 billion from principal repayments and $25.0 billion in cash from disposal of Securities. ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 7. Management’s Discussion and Analysis 65
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