ANNALY CAPITAL MANAGEMENT INC
For the period ended Mar 31, 2024. Filed May 2, 2024.
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Mar 31, 2024 · Filed May 2, 2024
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Contractual Obligations
The following table summarizes the effect on our liquidity and cash flows from contractual obligations at March 31, 2024. 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 March 31, 2024, the interest rate swaps had a net fair value of $25.9 million.
| Within OneYear | One to ThreeYears | Three to FiveYears | More thanFive Years | Total | |
|---|---|---|---|---|---|
| (dollars in thousands) | |||||
| Repurchase agreements | $58,796,170 | $179,062 | $— | $— | $58,975,232 |
| Interest expense on repurchase agreements (1) | 389,005 | 14,312 | — | — | 403,317 |
| Other secured financing | 225,000 | 375,000 | — | — | 600,000 |
| Interest expense on other secured financing (1) | 46,233 | 21,114 | — | — | 67,347 |
| Debt issued by securitization vehicles (principal) | — | — | — | 14,801,428 | 14,801,428 |
| Interest expense on debt issued by securitization vehicles | 700,973 | 1,401,946 | 1,401,946 | 21,073,493 | 24,578,358 |
| Participations issued (principal) | — | — | — | 1,134,210 | 1,134,210 |
| Interest expense on participations issued | 85,664 | 171,327 | 171,327 | 2,124,450 | 2,552,768 |
| Long-term operating lease obligations | 4,109 | 2,449 | 224 | — | 6,782 |
| Total | $60,247,154 | $2,165,210 | $1,573,497 | $39,133,581 | $103,119,442 |
| (1) Interest expense on repurchase agreements and other secured financing calculated based on rates at March 31, 2024. | |||||
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 three months ended March 31, 2024, we received $1.4 billion from principal repayments and $9.5 billion in cash from disposal of Securities. During the three months ended March 31, 2023, we received $1.3 billion from principal repayments and $4.7 billion in cash from disposal of Securities.
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