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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549


FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE QUARTERLY PERIOD ENDED:  March 31, 2024
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM _______________ TO _________________
COMMISSION FILE NUMBER:  1-13447

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ANNALY CAPITAL MANAGEMENT INC
(Exact Name of Registrant as Specified in its Charter)

Maryland
22-3479661
(State or other jurisdiction of incorporation or organization)(IRS Employer Identification No.)
  
1211 Avenue of the Americas 
New York,
New York
10036
(Address of principal executive offices)(Zip Code)
(212) 696-0100
(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
Title of Each ClassTrading Symbol(s)Name of Each Exchange on Which Registered
Common Stock, par value $0.01 per shareNLYNew York Stock Exchange
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred StockNLY.FNew York Stock Exchange
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred StockNLY.GNew York Stock Exchange
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred StockNLY.INew York Stock Exchange








Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes     No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes     No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerAccelerated
filer
Non-accelerated filerSmaller reporting companyEmerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).  Yes     No 

The number of shares of the registrant’s Common Stock outstanding on April 30, 2024 was 500,440,023.



WEBSITE AND SOCIAL MEDIA DISCLOSURE

We use our website (www.annaly.com) and LinkedIn account (www.linkedin.com/company/annaly-capital-management) as channels of distribution of company information. The information we post through these channels may be deemed material. Accordingly, investors should monitor these channels, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, you may automatically receive email alerts and other information about Annaly when you enroll your email address by visiting the “Investors” section of our website, then clicking on “Investor Resources” and selecting “Email Alerts” to complete the email notification form. Our website, any alerts and social media channels are not incorporated into this annual report on Form 10-K.



ANNALY CAPITAL MANAGEMENT, INC.
FORM 10-Q
TABLE OF CONTENTS
  
Page
 



ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
PART I - FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except per share data)
 March 31,December 31,
2024
2023 (1)
(Unaudited)
Assets  
Cash and cash equivalents (includes pledged assets of $1,367,057 and $1,136,298, respectively) (2)
$1,665,370 $1,412,148 
Securities (includes pledged assets of $61,602,873 and $65,400,248, respectively) (3)
66,500,689 69,613,565 
Loans, net (includes pledged assets of $2,022,487 and $2,082,419, respectively) (4)
2,717,823 2,353,084 
Mortgage servicing rights (includes pledged assets of $1,857,834 and $1,781,279, respectively)
2,651,279 2,122,196 
Assets transferred or pledged to securitization vehicles15,614,750 13,307,622 
Derivative assets203,799 162,557 
Receivable for unsettled trades941,366 2,710,224 
Principal and interest receivable867,348 1,222,705 
Intangible assets, net11,433 12,106 
Other assets309,689 311,029 
Total assets$91,483,546 $93,227,236 
Liabilities and stockholders’ equity  
Liabilities  
Repurchase agreements$58,975,232 $62,201,543 
Other secured financing600,000 500,000 
Debt issued by securitization vehicles13,690,967 11,600,338 
Participations issued1,161,323 1,103,835 
U.S. Treasury securities sold, not yet purchased2,077,404 2,132,751 
Derivative liabilities103,142 302,295 
Payable for unsettled trades2,556,798 3,249,389 
Interest payable350,405 287,937 
Dividends payable325,286 325,052 
Other liabilities146,876 179,005 
Total liabilities79,987,433 81,882,145 
Stockholders’ equity  
Preferred stock, par value $0.01 per share, 63,500,000 authorized, issued and outstanding
1,536,569 1,536,569 
Common stock, par value $0.01 per share, 1,468,250,000 authorized, 500,440,023 and 500,080,287 issued and outstanding, respectively
5,004 5,001 
Additional paid-in capital23,673,687 23,672,391 
Accumulated other comprehensive income (loss)(1,281,918)(1,335,400)
Accumulated deficit(12,523,809)(12,622,768)
Total stockholders’ equity11,409,533 11,255,793 
Noncontrolling interests86,580 89,298 
Total equity11,496,113 11,345,091 
Total liabilities and equity$91,483,546 $93,227,236 
(1)Derived from the audited consolidated financial statements at December 31, 2023.
(2)Includes cash of consolidated Variable Interest Entities (“VIEs”) of $2.3 million and $2.0 million at March 31, 2024 and December 31, 2023, respectively.
(3)Excludes $1.8 billion and $1.5 billion at March 31, 2024 and December 31, 2023, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
(4)Includes $3.6 million and $1.2 million of residential mortgage loans held for sale at March 31, 2024 and December 31, 2023, respectively.
See notes to consolidated financial statements.
1


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except per share data)
(Unaudited)
 For The Three Months Ended March 31,
 20242023
Net interest income  
Interest income$1,094,488 $818,250 
Interest expense1,100,939 798,787 
Net interest income(6,451)19,463 
Net servicing income
Servicing and related income115,084 84,273 
Servicing and related expense12,216 7,880 
Net servicing income102,868 76,393 
Other income (loss)
Net gains (losses) on investments and other(994,127)1,712 
Net gains (losses) on derivatives1,377,144 (900,752)
Loan loss (provision) reversal 219 
Other, net23,367 15,498 
Total other income (loss)406,384 (883,323)
General and administrative expenses
Compensation expense28,721 29,391 
Other general and administrative expenses9,849 11,437 
Total general and administrative expenses38,570 40,828 
Income (loss) before income taxes464,231 (828,295)
Income taxes(943)11,033 
Net income (loss)465,174 (839,328)
Net income (loss) attributable to noncontrolling interests2,282 4,928 
Net income (loss) attributable to Annaly462,892 (844,256)
Dividends on preferred stock37,061 31,875 
Net income (loss) available (related) to common stockholders$425,831 $(876,131)
Net income (loss) per share available (related) to common stockholders  
Basic$0.85 $(1.79)
Diluted$0.85 $(1.79)
Weighted average number of common shares outstanding  
Basic500,612,840 489,688,364 
Diluted501,182,043 489,688,364 
Other comprehensive income (loss)  
Net income (loss)$465,174 $(839,328)
Unrealized gains (losses) on available-for-sale securities(281,869)675,374 
Reclassification adjustment for net (gains) losses included in net income (loss)335,351 482,908 
Other comprehensive income (loss)53,482 1,158,282 
Comprehensive income (loss)518,656 318,954 
Comprehensive income (loss) attributable to noncontrolling interests2,282 4,928 
Comprehensive income (loss) attributable to Annaly516,374 314,026 
Dividends on preferred stock37,061 31,875 
Comprehensive income (loss) attributable to common stockholders$479,313 $282,151 
See notes to consolidated financial statements.


2


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
For The ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY
(dollars in thousands)
(Unaudited)
For The Three Months Ended March 31,
20242023
Preferred stock
Beginning of period
$1,536,569 $1,536,569 
End of period$1,536,569 $1,536,569 
Common stock
Beginning of period
$5,001 $4,683 
Issuance
 253 
Stock-based award activity
3 3 
End of period$5,004 $4,939 
Additional paid-in capital
Beginning of period
$23,672,391 $22,981,320 
Issuance
(48)562,456 
Stock-based award activity
1,344 (685)
End of period$23,673,687 $23,543,091 
Accumulated other comprehensive income (loss)
Beginning of period
$(1,335,400)$(3,708,896)
Unrealized gains (losses) on available-for-sale securities
(281,869)675,374 
Reclassification adjustment for net (gains) losses included in net income (loss)335,351 482,908 
End of period$(1,281,918)$(2,550,614)
Accumulated deficit
Beginning of period$(12,622,768)$(9,543,233)
Net income (loss) attributable to Annaly
462,892 (844,256)
Dividends declared on preferred stock (1)
(37,061)(31,875)
Dividends and dividend equivalents declared on common stock and stock-based awards (1)
(326,872)(322,499)
End of period$(12,523,809)$(10,741,863)
Total stockholder’s equity$11,409,533 $11,792,122 
Noncontrolling interests
Beginning of period
$89,298 $98,983 
Net income (loss) attributable to noncontrolling interests
2,282 4,928 
Equity contributions from (distributions to) noncontrolling interests
(5,000)13,000 
End of period$86,580 $116,911 
Total equity$11,496,113 $11,909,033 
(1) Refer to the “Capital Stock” Note for dividends per share for each class of shares.
See notes to consolidated financial statements.



3


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
(Unaudited)
 For The Three Months Ended March 31,
 20242023
Cash flows from operating activities  
Net income (loss)$465,174 $(839,328)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Amortization of premiums and discounts of investments, net28,050 66,570 
Amortization of securitized debt premiums and discounts and deferred financing costs2,292 2,806 
Depreciation, amortization and other noncash expenses6,884 5,050 
Net (gains) losses on investments and derivatives(52,868)1,284,746 
Income (loss) from unconsolidated joint ventures3,381 (676)
Loan loss provision (reversal) (219)
Payments on purchases of loans held for sale(2,643) 
Proceeds from sales and repayments of loans held for sale 636 
Proceeds from U.S. Treasury securities2,093,527  
Payments on U.S. Treasury securities(2,093,489) 
Net receipts (payments) on derivatives826,716 (1,075,189)
Net change in  
Other assets(2,877)(36,601)
Interest receivable354,997 (136,796)
Interest payable62,468 (206,885)
Other liabilities6,277 (83,086)
Net cash provided by (used in) operating activities1,697,889 (1,018,972)
Cash flows from investing activities  
Payments on purchases of securities(7,788,513)(6,332,698)
Proceeds from sales of securities9,483,792 4,685,607 
Principal payments on securities1,424,656 1,349,348 
Payments on purchases and origination of loans(3,134,429)(935,360)
Principal payments on loans363,741 188,082 
Payments on purchases of MSR(515,760)(35,825)
Proceeds from reverse repurchase agreements149,589,734 18,450,000 
Payments on reverse repurchase agreements(149,589,734)(18,450,000)
Net cash provided by (used in) investing activities(166,513)(1,080,846)
Cash flows from financing activities  
Proceeds from repurchase agreements and other secured financing1,373,554,795 1,168,976,892 
Payments on repurchase agreements and other secured financing(1,376,683,890)(1,167,496,471)
Proceeds from issuances of securitized debt2,496,810 1,007,971 
Principal payments on securitized debt(323,854)(158,983)
Payments on purchases of securitized debt (1,974)
Payment of deferred financing cost(1,191) 
Proceeds from participations issued1,001,297 236,121 
Payments on repurchases of participations issued(933,543)(360,943)
Principal payments on participations issued(15,344)(11,168)
Net contributions (distributions) from (to) noncontrolling interests(5,000)13,000 
Net proceeds from stock offerings, direct purchases and dividend reinvestments(48)562,709 
Settlement of stock-based awards in satisfaction of withholding tax requirements(5,993)(5,810)
Dividends paid(362,193)(444,067)
Net cash provided by (used in) financing activities(1,278,154)2,317,277 
Net (decrease) increase in cash and cash equivalents253,222 217,459 
Cash and cash equivalents including cash pledged as collateral, beginning of period1,412,148 1,576,714 
Cash and cash equivalents including cash pledged as collateral, end of period$1,665,370 $1,794,173 
Supplemental disclosure of cash flow information  
Interest received$915,491 $746,161 
Interest paid (excluding interest paid on interest rate swaps)$913,729 $928,649 
Net interest received (paid) on interest rate swaps$759,440 $302,041 
Taxes received (paid)$(236)$(139)
Noncash investing and financing activities
Receivable for unsettled trades$941,366 $679,096 
Payable for unsettled trades$2,556,798 $3,259,034 
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment$53,482 $1,158,282 
Dividends declared, not yet paid$325,286 $321,023 
See notes to consolidated financial statements.
4


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. DESCRIPTION OF BUSINESS
Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company is a leading diversified capital manager with investment strategies across mortgage finance. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, credit risk transfer (“CRT”) securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans and mortgage servicing rights (“MSR”). The Company’s principal business objective is to generate net income for distribution to its stockholders and optimize its returns through prudent management of its diversified investment strategies.
Annaly is an internally-managed company that has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”).
The Company’s three investment groups are primarily comprised of the following:
Investment GroupsDescription
Annaly Agency GroupInvests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae and complementary investments within the Agency market, including Agency commercial MBS.
Annaly Residential Credit GroupInvests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets.
Annaly Mortgage Servicing Rights GroupInvests in mortgage servicing rights (“MSR”), which provide the right to service residential mortgage loans in exchange for a portion of the interest payments made on the loans.

2. BASIS OF PRESENTATION
The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”).
The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2023 (the “2023 Form 10-K”). The consolidated financial information as of December 31, 2023 has been derived from audited consolidated financial statements included in the Company’s 2023 Form 10-K.
The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates.

3. SIGNIFICANT ACCOUNTING POLICIES
The Company’s significant accounting policies are described below or are included elsewhere in these notes to the consolidated financial statements.
Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation.
Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE.
Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE.
5


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information.
Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in Other assets with income or loss included in Other, net.
Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled $1.4 billion and $1.1 billion at March 31, 2024 and December 31, 2023, respectively.
Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO has been elected are presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the FVO refer to the table in the “Financial Instruments” Note.
Refer to the “Fair Value Measurements” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments.
Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they meet the offsetting criteria. Refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements.
Derivative Instruments – Derivatives are recognized as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on derivatives. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion.
Stock-Based Compensation – The Company measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Stock-based awards that contain market-based conditions are valued using a model.
Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Compensation expense for awards with market conditions is recognized irrespective of the probability of the market condition being achieved and is not reversed if the market condition is not met. Stock-based awards that do not require future service (i.e., vested awards) are expensed immediately. Forfeitures are recorded when they occur. The Company generally issues new shares of common stock upon delivery of stock-based awards.
Interest Income - The Company recognizes interest income primarily on Residential Securities (as defined in the “Securities” Note), residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not received is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income (Loss).
6


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
For its securities, the Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.
Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis.
Premiums or discounts associated with the purchase of multifamily securities are amortized or accreted into interest income based upon their contractual payment terms. If a prepayment occurs, an adjustment is made to the unpaid principal balance and unamortized premium or discount in the current period and the original effective yield continues to be applied.
Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss).
If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower.
The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as interest income.
Refer to the “Interest Income and Interest Expense” Note for further discussion of interest income.
Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes.
Recent Accounting Pronouncements
The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). The Company has early adopted ASU 2023-07, Improvements to Segment Reporting, as its Residential Credit and MSR operating segments have become a more significant component of consolidated results. Refer to the “Segments” Note for more information.

The Company reviewed other recently issued ASUs and determined that they were not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s consolidated financial statements upon adoption.
7


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
4. FINANCIAL INSTRUMENTS
The following table presents characteristics for certain of the Company’s financial instruments at March 31, 2024 and December 31, 2023.
Financial Instruments (1)
Balance Sheet Line ItemType / FormMeasurement BasisMarch 31, 2024December 31, 2023
Assets(dollars in thousands)
Securities
Agency mortgage-backed securities (2)
Fair value, with unrealized gains (losses) through other comprehensive income$11,802,912 $15,665,352 
Securities
Agency mortgage-backed securities (3)
Fair value, with unrealized gains (losses) through earnings51,739,318 50,643,436 
SecuritiesResidential credit risk transfer securitiesFair value, with unrealized gains (losses) through earnings871,421 974,059 
SecuritiesNon-agency mortgage-backed securitiesFair value, with unrealized gains (losses) through earnings1,933,910 2,108,274 
SecuritiesCommercial real estate debt investments - CMBSFair value, with unrealized gains (losses) through earnings153,128 222,444 
Total securities66,500,689 69,613,565 
Loans, netResidential mortgage loansFair value, with unrealized gains (losses) through earnings2,717,823 2,353,084 
Total loans, net2,717,823 2,353,084 
Assets transferred or pledged to securitization vehiclesResidential mortgage loansFair value, with unrealized gains (losses) through earnings15,614,750 13,307,622 
Total assets transferred or pledged to securitization vehicles15,614,750 13,307,622 
Liabilities
Repurchase agreementsRepurchase agreementsAmortized cost$58,975,232 $62,201,543 
Other secured financingLoansAmortized cost600,000 500,000 
Debt issued by securitization vehiclesSecuritiesFair value, with unrealized gains (losses) through earnings13,690,967 11,600,338 
Participations issuedParticipations issuedFair value, with unrealized gains (losses) through earnings1,161,323 1,103,835 
U.S. Treasury securities sold, not yet purchasedSecuritiesFair value, with unrealized gains (losses) through earnings2,077,404 2,132,751 
(1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost.
(2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities purchased prior to July 1, 2022.
(3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.
5. SECURITIES
The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt securities are classified as available-for-sale. Available-for-sale debt securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Effective July 1, 2022, the Company elected the fair value option for any newly purchased Agency mortgage-backed securities in order to simplify the accounting for these securities. During the three months ended March 31, 2024 and 2023, ($674.0) million and $386.7 million, respectively, of unrealized gains (losses) on the Agency mortgage-backed securities, for which the fair value option was elected effective July 1, 2022, were reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). Agency mortgage-backed securities purchased prior to July 1, 2022, are still classified as available-for-sale with changes in fair value recognized in other comprehensive income. The Company has also elected the fair value option for CRT securities, interest only securities, Non-Agency and commercial mortgage-backed securities in order to simplify the accounting. Transactions for regular-way securities are recorded on trade date, including to-be-announced (“TBA”) securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on disposals of securities are recorded on trade date based on the specific identification method.
Impairment – Management evaluates available-for-sale securities where the fair value option has not been elected and held-to-maturity debt securities for impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover
8


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss) as a securities loss provision and reflected as an allowance for credit losses on securities on the Consolidated Statements of Financial Condition, while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). When the fair value of a held-to-maturity security is less than the cost, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security.
Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). 
Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis. TBA securities without intent to accept delivery (“TBA derivatives”) are accounted for as derivatives as discussed in the “Derivative Instruments” Note.
CRT Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors.
Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, prime jumbo loan, Alt-A loan, subprime loan, non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations.
Agency mortgage-backed securities, non-Agency mortgage-backed securities and residential CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio.
Commercial Mortgage-Backed Securities (“Commercial Securities”) - The Company invests in Commercial Securities such as conduit, credit CMBS, single-asset single borrower and collateralized loan obligations.
The following table represents a rollforward of the activity for the Company’s securities for the three months ended March 31, 2024:
Agency
Securities
Residential Credit SecuritiesCommercial
Securities
Total
(dollars in thousands)
Beginning balance January 1, 2024
$66,308,788 $3,082,333 $222,444 $69,613,565 
Purchases6,816,858 243,300  7,060,158 
Sales
(7,625,781)(473,895)(68,768)(8,168,444)
Principal paydowns(1,306,242)(115,392)(2,379)(1,424,013)
(Amortization) / accretion(29,893)3,161 342 (26,390)
Fair value adjustment(621,500)65,824 1,489 (554,187)
Ending balance March 31, 2024
$63,542,230 $2,805,331 $153,128 $66,500,689 











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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
The following tables present the Company’s securities portfolio that were carried at their fair value at March 31, 2024 and December 31, 2023:
 March 31, 2024
 Principal /
Notional
Remaining PremiumRemaining DiscountAmortized
Cost
Unrealized
Gains
Unrealized
Losses
Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$61,399,544 $1,307,105 $(1,283,791)$61,422,858 $232,880 $(2,182,903)$59,472,835 
Adjustable-rate pass-through180,516 14,849 (51)195,314 2,229 (12,410)185,133 
CMO92,884 1,573  94,457  (15,087)79,370 
Interest-only1,940,563 392,064  392,064 4,228 (158,300)237,992 
Multifamily(1)
19,533,316 439,374 (8,038)3,595,193 22,311 (78,131)3,539,373 
Reverse mortgages26,331 3,039  29,370  (1,843)27,527 
Total agency securities$83,173,154 $2,158,004 $(1,291,880)$65,729,256 $261,648 $(2,448,674)$63,542,230 
Residential credit       
Credit risk transfer$815,479 $1,873 $(4,188)$813,164 $58,411 $(154)$871,421 
Alt-A150,082 39 (1,670)148,451 2,788 (9,250)141,989 
Prime (2)
1,464,099 15,455 (13,796)87,995 2,271 (8,396)81,870 
Subprime274,910  (31,344)243,566 4,805 (12,159)236,212 
NPL/RPL1,242,835 9,733 (7,605)1,244,963 4,305 (25,872)1,223,396 
Prime jumbo (>=2010 vintage) (3)
9,832,776 77,080 (37,320)252,647 12,847 (15,051)250,443 
Total residential credit securities$13,780,181 $104,180 $(95,923)$2,790,786 $85,427 $(70,882)$2,805,331 
Total residential securities$96,953,335 $2,262,184 $(1,387,803)$68,520,042 $347,075 $(2,519,556)$66,347,561 
Commercial
Commercial securities$153,218 $59 $(292)$152,985 $274 $(131)$153,128 
Total securities$97,106,553 $2,262,243 $(1,388,095)$68,673,027 $347,349 $(2,519,687)$66,500,689 
 December 31, 2023
 Principal /
Notional
Remaining PremiumRemaining DiscountAmortized
Cost
Unrealized
Gains
Unrealized
Losses
Estimated Fair Value
Agency(dollars in thousands)
Fixed-rate pass-through$63,444,987 $1,448,886 $(1,318,948)$63,574,925 $477,242 $(1,853,226)$62,198,941 
Adjustable-rate pass-through188,996 15,834 (51)204,779 1,663 (14,953)191,489 
CMO94,448 1,612  96,060  (13,088)82,972 
Interest-only2,010,697 416,955  416,955 4,729 (157,679)264,005 
Multifamily (1)
17,130,045 400,781 (9,752)3,552,217 52,055 (59,744)3,544,528 
Reverse mortgages26,183 3,193  29,376  (2,523)26,853 
Total agency investments$82,895,356 $2,287,261 $(1,328,751)$67,874,312 $535,689 $(2,101,213)$66,308,788 
Residential credit       
Credit risk transfer$924,729 $2,240 $(4,358)$922,611 $51,984 $(536)$974,059 
Alt-A164,384 9 (3,922)160,471 2,135 (12,371)150,235 
Prime (2)
1,076,497 8,590 (21,163)207,077 1,704 (28,134)180,647 
Subprime272,955  (31,751)241,204 5,622 (11,221)235,605 
NPL/RPL1,237,531 8,336 (9,224)1,236,643 4,578 (43,666)1,197,555 
Prime jumbo (>=2010 vintage) (3)
9,425,280 71,960 (49,859)365,676 10,696 (32,140)344,232 
Total residential credit securities$13,101,376 $91,135 $(120,277)$3,133,682 $76,719 $(128,068)$3,082,333 
Total residential securities$95,996,732 $2,378,396 $(1,449,028)$71,007,994 $612,408 $(2,229,281)$69,391,121 
Commercial
Commercial securities$224,597 $15 $(822)$223,790 $19 $(1,365)$222,444 
Total securities$96,221,329 $2,378,411 $(1,449,850)$71,231,784 $612,427 $(2,230,646)$69,613,565 
(1) Principal/Notional amount includes $16.4 billion and $14.0 billion of Agency Multifamily interest-only securities as of March 31, 2024 and December 31, 2023, respectively.
(2) Principal/Notional amount includes $1.4 billion and $0.9 billion of Prime interest-only securities as of March 31, 2024 and December 31, 2023, respectively.
(3) Principal/Notional amount includes $9.6 billion and $9.1 billion of Prime Jumbo interest-only securities as of March 31, 2024 and December 31, 2023, respectively.


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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at March 31, 2024 and December 31, 2023: 
March 31, 2024December 31, 2023
Investment Type(dollars in thousands)
Fannie Mae$58,304,852 $60,477,303 
Freddie Mac5,185,535 5,778,809 
Ginnie Mae51,843 52,676 
Total$63,542,230 $66,308,788 
Actual maturities of the Company’s Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on the underlying mortgages.
The following table summarizes the Company’s Residential Securities at March 31, 2024 and December 31, 2023, according to their estimated weighted average life classifications:
 March 31, 2024December 31, 2023
Estimated Fair ValueAmortized
Cost
Estimated Fair ValueAmortized
Cost
Estimated weighted average life(dollars in thousands)
Less than one year$155,033 $159,191 $254,753 $257,170 
Greater than one year through five years3,483,561 3,522,892 5,159,969 5,213,575 
Greater than five years through ten years60,929,083 62,999,732 62,158,711 63,662,144 
Greater than ten years1,779,884 1,838,227 1,817,688 1,875,105 
Total$66,347,561 $68,520,042 $69,391,121 $71,007,994 
The estimated weighted average lives of the Residential Securities at March 31, 2024 and December 31, 2023 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected.
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at March 31, 2024 and December 31, 2023.
 March 31, 2024December 31, 2023
 
Estimated Fair Value (1)
Gross Unrealized Losses (1)
Number of Securities (1)
Estimated Fair Value (1)
Gross Unrealized Losses (1)
Number of Securities (1)
 (dollars in thousands)
Less than 12 months$57,959 $(1,241)40 $35,453 $(418)16 
12 Months or more11,601,370 (1,285,041)1,576 15,455,118 (1,340,032)1,747 
Total$11,659,329 $(1,286,282)1,616 $15,490,571 $(1,340,450)1,763 
(1) Excludes interest-only mortgage-backed securities and reverse mortgages and effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.