ANNALY CAPITAL MANAGEMENT INC
For the period ended Jun 30, 2024. Filed Jul 29, 2024.
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Jun 30, 2024 · Filed Jul 29, 2024
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Contractual Obligations
The following table summarizes the effect on our liquidity and cash flows from contractual obligations at June 30, 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 June 30, 2024, the interest rate swaps had a net fair value of $1.5 million.
| Within OneYear | One to ThreeYears | Three to FiveYears | More thanFive Years | Total | |
|---|---|---|---|---|---|
| (dollars in thousands) | |||||
| Repurchase agreements | $60,461,281 | $326,713 | $— | $— | $60,787,994 |
| Interest expense on repurchase agreements (1) | 344,189 | 19,608 | — | — | 363,797 |
| Other secured financing | 225,000 | 375,000 | — | — | 600,000 |
| Interest expense on other secured financing (1) | 41,659 | 13,465 | — | — | 55,124 |
| Debt issued by securitization vehicles (principal) | — | — | — | 16,911,585 | 16,911,585 |
| Interest expense on debt issued by securitization vehicles | 855,537 | 1,711,074 | 1,711,074 | 26,306,021 | 30,583,706 |
| Participations issued (principal) | — | — | — | 1,115,487 | 1,115,487 |
| Interest expense on participations issued | 82,030 | 164,059 | 164,059 | 2,039,541 | 2,449,689 |
| Long-term operating lease obligations | 4,111 | 1,487 | 157 | — | 5,755 |
| Total | $62,013,807 | $2,611,406 | $1,875,290 | $46,372,634 | $112,873,137 |
| (1) Interest expense on repurchase agreements and other secured financing calculated based on rates at June 30, 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 six months ended June 30, 2024, we received $3.1 billion from principal repayments and $14.9 billion in cash from disposal of Securities. During the six months ended June 30, 2023, we received $3.0 billion from principal repayments and $12.5 billion in cash from disposal of Securities.
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