52 unchanged sentences
OTHER INFORMATION
+Added: During the quarter ended December 31, 2023, no director or officer of the Company adopted , modified or terminated any Rule 10b5-1 trading arrangement or non-Rule 10b5-1 trading arrangement, each as defined in Item 408 of Regulation S-K.
DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS
10 unchanged sentences
We intend to satisfy the disclosure requirements regarding amendments to, or waivers from, certain provisions of this Code of Business Conduct and Ethics by posting on our website.
−Removed: The information regarding certain matters pertaining to our corporate governance required by Item 407(c)(3), (d)(4) and (d)(5) of Regulation S-K is incorporated by reference to the Proxy Statement to be filed with the SEC within 120 days after December 31, 2022.
+Added: We have adopted an Insider Trading Policy within the meaning of Item 408(b) of Regulation S-K, which prohibits our directors, officers and employees, as well as those of our subsidiaries, from buying or selling our securities on the basis of material nonpublic information and prohibits communicating material nonpublic information about our company to others.
+Added: Our Insider Trading Policy prohibits our directors, officers and employees from (1) holding our stock in a margin account as eligible collateral, or otherwise pledging our stock as collateral for a loan, or (2) engaging in any hedging transactions with respect to our equity securities held by them.
+Added: The information regarding certain matters pertaining to our corporate governance required by Items 407(c)(3), (d)(4) and (d)(5) of Regulation S-K is incorporated by reference to the Proxy Statement to be filed with the SEC within 120 days after December 31, 2023.
EXECUTIVE COMPENSATION
36 unchanged sentences
Articles of Amendment of the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.1 of the Registrant’s Current Report on Form 8-K filed May 23, 2019).
−Removed: Articles of Amendment to the Articles of Incorporation of the Registration (incorporated by reference to Exhibit 3.1 of the Registrant's Current Report on Form 8-K filed September 23, 2022).
−Removed: Articles of Amendment to the Articles of Incorporation of the Registration (incorporated by reference to Exhibit 3.2 of the Registrant's Current Report on Form 8-K filed September 23, 2022).
+Added: Articles of Amendment to the Articles of Incorporation of the Registra nt (incorporated by reference to Exhibit 3.1 of the Registrant's Current Report on Form 8-K filed September 23, 2022).
+Added: Articles of Amendment to the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.2 of the Registrant's Current Report on Form 8-K filed September 23, 2022).
+Added: Articles of Amendment to the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.1 of the Registrant's Current Report on Form 8-K filed May 19, 2023).
Articles Supplementary designating the Registrant’s 6% Series B Cumulative Convertible Preferred Stock, liquidation preference $25.00 per share (incorporated by reference to Exhibit 3.1 to the Registrant’s Current Report on 8-K filed April 10, 2006).
3 unchanged sentences
Articles Supplementary reclassifying the Registrant’s 6% Series B Cumulative Convertible Preferred Stock, liquidation preference $25.00 per share (incorporated by reference to Exhibit 3.13 to the Registrant’s Registration Statement on Form 8-A filed July 27, 2017).
−Removed: Articles Supplementary designating the Registrant’s 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, liquidation preference $25.00 per share (incorporated by reference to Exhibit 3.14 to the Registrant’s Registration Statement on Form 8-A filed July 27, 2017).
ANNALY CAPITAL MANAGEMENT, INC.
AND SUBSIDIARIES
+Added: Articles Supplementary designating the Registrant’s 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, liquidation preference $25.00 per share (incorporated by reference to Exhibit 3.14 to the Registrant’s Registration Statement on Form 8-A filed July 27, 2017).
Articles Supplementary reclassifying and designating (1) 7,412,500 authorized but unissued shares of the Registrant’s preferred stock, $0.01 par value per share, without designation as to series or class, as shares of undesignated Common Stock;
21 unchanged sentences
Supplemental Indenture, dated as of February 12, 2010, between the Registrant and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 4.2 to the Registrant’s Current Report on Form 8-K filed February 12, 2010).
−Removed: Second Supplemental Indenture, dated as of May 14, 2012, between the Registrant and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 4.2 to the Registrant’s Current Report on Form 8-K filed May 14, 2012).
ANNALY CAPITAL MANAGEMENT, INC.
AND SUBSIDIARIES
+Added: Second Supplemental Indenture, dated as of May 14, 2012, between the Registrant and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 4.2 to the Registrant’s Current Report on Form 8-K filed May 14, 2012).
Description of Securities.
1 unchanged sentence
333-32913) filed August 5, 1997).
−Removed: Registrant’s 2010 Equity Incentive Plan (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed June 1, 2010).*
Registrant’s Deferred Compensation Plan for Directors (incorporated by reference to Exhibit 10.5 to the Registrant’s Annual Report on Form 10-K filed February 23, 2017).*
7 unchanged sentences
Form of 2022 Performance Stock Unit Award (incorporated by reference to Exhibit 10.10 to the Registrant’s Annual Report on Form 10-K filed February 18, 2022 ) .*
−Removed: Form of 2022 Restricted Stock Unit Award (inc or porated by reference to Ex hibit 10.11 to the Registrant ’ s Annual R eport on Form 10-K filed Febr uary 18, 2022.
−Removed: Form of 2023 Performance Stock Unit Award.*†
−Removed: Form of 2023 Restrictive Stock Unit Award.*†
+Added: Form of 2022 Restricted Stock Unit Award (incorporated by reference to Exhibit 10.11 to the Registrant’s Annual Report on Form 10-K filed February 18, 2022.*
+Added: Form of 2023 Performance Stock Unit Award (incorporated by reference to Exhibit 10.12 to the Registrant's Annual Report on Form 10-K filed February 16, 2023).
+Added: Form of 2023 Restrictive Stock Unit Award (incorporated by reference to Exhibit 10.13 to the Registrant's Annual Report on Form 10-K filed February 16, 2023).*
+Added: Insider Trading Policy †
Subsidiaries of Registrant.
Consent of Ernst & Young LLP.
+Added: Dodd-Frank Clawback Policy †
Certification of David L.
−Removed: Finkelstein, Chief Executive Officer and President (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C.
+Added: Finkelstein, Chief Executive Officer and Chief Investment Officer (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C.
Section 1350 as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
2 unchanged sentences
Certification of David L.
−Removed: Finkelstein, Chief Executive Officer and President (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C.
+Added: Finkelstein, Chief Executive Officer and Chief Investment Officer (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C.
Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
11 unchanged sentences
101.DEF XBRL Additional Taxonomy Extension Definition Linkbase Document Created†
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
101.LAB XBRL Taxonomy Extension Label Linkbase Document †
1 unchanged sentence
104 The cover page for the Registrant’s Annual Report on Form 10-K for the year ended December 31, 2023 (formatted in Inline XBRL and contained in Exhibit 101).
−Removed: * Exhibit Numbers 10.2, 10.3, 10.5, 10.6, 10.7,
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: 10.8, 10.9, 10.10, 10.11 are management contracts or compensatory plans required to be filed as Exhibits to this Form 10-K.
+Added: * Exhibit Numbers 10.2, 10.3, 10.5, 10.6, 10.7, 10.8, 10.9, 10.10, 10.11 are management contracts or compensatory plans required to be filed as Exhibits to this Form 10-K.
† Submitted electronically herewith.
22 unchanged sentences
Fair Value Measurements
−Removed: Goodwill and Intangible Assets
+Added: Intangible Assets
Secured Financing
4 unchanged sentences
Risk Management
−Removed: Related Party Transactions
Lease Commitments and Con tingencies
33 unchanged sentences
The Company records MSR at fair value on a recurring basis with changes in fair value recognized in the statement of comprehensive income (loss).
−Removed: These fair value estimates are based on valuation techniques used to estimate future cash flows that incorporate significant unobservable assumptions, which include discount rates, prepayment rates and servicing costs.
+Added: These fair value estimates are based on valuation techniques used to estimate future cash flows that incorporate unobservable assumptions, including discount rate, prepayment rate, delinquency rate and cost to service.
Auditing the valuation of MSR is complex and required the use of a specialist due to the high degree of judgement in the assumptions made by management which are unobservable in nature.
3 unchanged sentences
Audit We obtained an understanding, evaluated and tested the Company’s processes and the design and operating effectiveness of internal controls addressing the valuation of MSR, comprising management’s governance over the functionality of the discounted cash flow model utilized to estimate fair value;
−Removed: management’s review of the completeness and accuracy of the significant assumptions used in the discounted cash flow model (i.e., discount rates, prepayment rates and servicing costs);
+Added: management’s review of the reasonableness of the unobservable assumptions used in the discounted cash flow model (i.e., discount rate, prepayment rate, delinquency rate and cost to service);
management’s comparison of the assumptions used to independent third-party data;
and management’s evaluation of the internal fair value mark to third-party independent valuation firms’ ranges, as well as their evaluation of the competence and objectivity of those third-party independent valuation firms, to assess the reasonableness of the fair values developed by the Company.
−Removed: To test the valuation of MSR, our audit procedures included, among others, evaluating the Company’s valuation techniques used to estimate future cash flows, validating the accuracy and completeness of model objective inputs by agreeing these inputs to the Company’s underlying records and third-party data, evaluating the Company’s model, and testing the assumptions used by management by comparing them to current industry, market and economic trends.
+Added: To test the valuation of MSR, our audit procedures included, among others, evaluating the Company’s valuation techniques used to estimate future cash flows, validating the accuracy and completeness of model objective inputs by agreeing these inputs to the Company’s underlying records and third-party data, evaluating the Company’s model, and testing the significant unobservable assumptions used by management by comparing them to current industry, market and economic trends.
We involved our valuation specialists to assist in our evaluation of the Company’s valuation techniques and the assumptions used by management, and to independently develop a range of fair values for the MSR.
20 unchanged sentences
2,122,196 1,748,209
−Removed: Interests in MSR — 69,316
Assets transferred or pledged to securitization vehicles 13,307,622 9,121,912
−Removed: Assets of disposal group held for sale — 194,138
Derivative assets 162,557 342,064
1 unchanged sentence
Principal and interest receivable 1,222,705 637,301
−Removed: Goodwill and intangible assets, net 16,679 24,241
+Added: Intangible assets, net 12,106 16,679
Other assets 311,029 233,003
5 unchanged sentences
Participations issued 1,103,835 800,849
−Removed: Liabilities of disposal group held for sale — 154,956
+Added: Treasury securities sold, not yet purchased 2,132,751 —
Derivative liabilities 302,295 204,172
5 unchanged sentences
Stockholders’ equity
−Removed: Preferred stock, par value $ 0.01 per share, 63,500,000 authorized, issued and outstanding, respectively
+Added: Preferred stock, par value $ 0.01 per share, 63,500,000 authorized, issued and outstanding
1,536,569 1,536,569
−Removed: Common stock, par value $ 0.01 per share, 2,936,500,000 and 2,936,500,000 authorized, respectively, 468,309,810 and 364,934,065 issued and outstanding, respectively
+Added: Common stock, par value $ 0.01 per share, 1,468,250,000 and 2,936,500,000 authorized, 500,080,287 and 468,309,810 issued and outstanding, respectively
Additional paid-in capital 23,672,391 22,981,320
6 unchanged sentences
(1) Includes cash of consolidated Variable Interest Entities (“VIEs”) of $ 2.0 million and $ 2.2 million at December 31, 2023 and 2022, respectively.
−Removed: (2) Excludes $ 0.0 million and $ 44.2 million at December 31, 2022 and 2021, respectively, of agency mortgage-backed securities, $ 1.0 billion and $ 350.4 million at December 31, 2022 and 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
+Added: (2) Excludes $ 1.5 billion and $ 1.0 billion at December 31, 2023 and 2022, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
(3) Includes $ 1.2 million and $ 1.3 million of residential mortgage loans held for sale at December 31, 2023 and 2022, respectively.
25 unchanged sentences
General and administrative expenses
−Removed: Compensation and management fee 112,703 118,451 131,685
+Added: Compensation expense 119,592 112,703 118,451
Other general and administrative expenses 42,961 50,026 67,563
36 unchanged sentences
$ 1,536,569 $ 1,536,569 $ 1,536,569
−Removed: — — ( 445,457 )
End of period $ 1,536,569 $ 1,536,569 $ 1,536,569
1 unchanged sentence
$ 4,683 $ 3,649 $ 3,496
−Removed: Buyback of common stock
+Added: 315 1,031 152
Stock-based award activity 3 3 1
−Removed: Direct purchase and dividend reinvestment
End of period $ 5,001 $ 4,683 $ 3,649
3 unchanged sentences
673,378 2,634,969 552,063
−Removed: Buyback of common stock
−Removed: — — ( 209,338 )
Stock-based award activity 17,693 21,571 11,413
−Removed: Redemption of preferred stock
−Removed: — — ( 14,543 )
−Removed: Direct purchase and dividend reinvestment
End of period $ 23,672,391 $ 22,981,320 $ 20,324,780
8 unchanged sentences
Accumulated deficit
−Removed: Beginning of period - unadjusted $ ( 9,653,582 ) $ ( 10,667,388 ) $ ( 8,309,424 )
−Removed: Cumulative effect of change in accounting principle for credit losses — — ( 39,641 )
−Removed: Beginning of period - adjusted ( 9,653,582 ) ( 10,667,388 ) ( 8,349,065 )
+Added: Beginning of period $ ( 9,543,233 ) $ ( 9,653,582 ) $ ( 10,667,388 )
Net income (loss) attributable to Annaly
38 unchanged sentences
Proceeds from sales and repayments of loans held for sale 1,577 4,597 90,020
+Added: Proceeds from U.S.
+Added: Treasury securities 2,015,608 — —
Net receipts (payments) on derivatives ( 862,032 ) 3,643,954 932,867
21 unchanged sentences
Proceeds from sale of equity securities — — 6,957
−Removed: Cash acquired (paid) in asset acquisition — — 6,264
Net proceeds from business divestiture — — 1,118,440
8 unchanged sentences
Net proceeds from stock offerings, direct purchases and dividend reinvestments 673,693 2,636,000 552,215
−Removed: Redemptions of preferred stock — — ( 460,000 )
Proceeds from participations issued 2,007,464 1,908,204 1,847,821
3 unchanged sentences
Net contributions (distributions) from (to) noncontrolling interests ( 14,399 ) 72,389 5,635
−Removed: Net payments on share repurchase — — ( 209,418 )
Settlement of stock-based awards in satisfaction of withholding tax requirements ( 6,661 ) ( 4,108 ) ( 2,830 )
34 unchanged sentences
The Company 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”).
−Removed: Prior to the closing of the Internalization (as defined in “Related Party Transactions” Note) on June 30, 2020, the Company was externally managed by Annaly Management Company LLC (the “Former Manager”).
The Company’s three investment groups are primarily comprised of the following:
Investment Groups Description
−Removed: Annaly Agency Group Invests 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 mortgage-backed securities.
+Added: Annaly Agency Group Invests 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 Group Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets.
−Removed: Annaly Mortgage Servicing Rights Group Invests in MSR, which provide the right to service residential mortgage loans in exchange for a portion of the interest payments made on the loans.
−Removed: In April 2022, the Company announced that it had entered into a definitive agreement to sell substantially all of the assets that comprise the Annaly Middle Market Lending (“MML”) portfolio, including assets held on balance sheet as well as assets managed for third parties.
−Removed: The vast majority of these assets were legally transferred at the end of the third quarter of 2022 and the remaining assets were transferred by the end of the fourth quarter of 2022.
−Removed: Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information on the transaction.
−Removed: In March 2021, the Company announced that it had entered into a definitive agreement to sell and exit its Commercial Real Estate (“CRE”) business.
−Removed: During the year ended December 31, 2021, the platform and the significant majority of the assets were transferred with the remaining assets transferred by the end of the year ended December 31, 2022.
−Removed: Refer to the “Sale of Commercial Real Estate Business” Note for additional information.
+Added: Annaly Mortgage Servicing Rights Group Invests 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.
BASIS OF PRESENTATION
3 unchanged sentences
Actual results could differ materially from those estimates.
−Removed: Certain line items in the Company’s Consolidated Statements of Cash Flows were aggregated to simplify presentation.
−Removed: Prior periods have been adjusted to conform to the current presentation.
Beginning with the quarter ended March 31, 2022, in light of the continued growth of its mortgage servicing rights portfolio the Company enhanced its financial disclosures by separately reporting servicing income and servicing expense in its Consolidated Statements of Comprehensive Income (Loss).
2 unchanged sentences
In addition, beginning with the quarter ended March 31, 2022, the Company consolidated certain line items in its Consolidated Statements of Comprehensive Income (Loss) in an effort to streamline and simplify its financial presentation.
−Removed: Amounts previously reported under Net interest component of interest rate swaps, Realized gains (losses) on termination or maturity of interest rate swaps, Unrealized gains (losses) on interest rate swaps and Net gains (losses) on other derivatives are combined
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
−Removed: into a single line item titled Net gains (losses) on derivatives.
+Added: Amounts previously reported under Net interest component of interest rate swaps, Realized gains (losses) on termination or maturity of interest rate swaps, Unrealized gains (losses) on interest rate swaps and Net gains (losses) on other derivatives are combined into a single line item titled Net gains (losses) on derivatives.
Similarly, amounts previously reported under Net gains (losses) on disposal of investments and other and Net unrealized gains (losses) on instruments measured at fair value through earnings are combined into a single line item titled Net gains (losses) on investments and other.
7 unchanged sentences
The par value per share of the Company’s common stock remained unchanged at $ 0.01 per share after the Reverse Stock Split.
−Removed: Accordingly, for all historical periods presented, an amount equal to the par value of the reduced number of shares resulting from the Reverse Stock Split was reclassified from Common stock to Additional paid in capital in the Company’s Consolidated Statements of Financial Condition.
+Added: Accordingly, for all historical periods presented, an amount equal to the par value of the reduced number of shares resulting from the Reverse Stock Split was reclassified from Common stock to Additional paid in capital in the Company’s Consolidated Statements of Financial
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
All references made to share or per share amounts in the accompanying consolidated financial statements and applicable disclosures have been retroactively adjusted to reflect the effects of the Reverse Stock Split.
20 unchanged sentences
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).
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
−Removed: additional information regarding financial instruments for which the Company has elected the FVO see the table in the “Financial Instruments” Note.
+Added: 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.
1 unchanged sentence
Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they meet the offsetting criteria.
−Removed: Please see below and refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements.
+Added: 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).
3 unchanged sentences
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.
−Removed: Compensation expense is recognized ratably over the vesting or requisite service period of the award.
+Added: Compensation expense is recognized ratably over
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
+Added: the vesting or requisite service period of the award.
Stock-based awards that contain market-based conditions are valued using a model.
7 unchanged sentences
Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income (Loss).
−Removed: Refer to the “Interest Income and Interest Expense” Note for further discussion.
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.
6 unchanged sentences
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.
+Added: Premiums or discounts associated with the purchase of multifamily securities are amortized or accreted into interest income based upon their contractual payment terms.
+Added: 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.
6 unchanged sentences
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.
−Removed: Refer to the “Interest Income and Interest Expense” Note for further discussion on interest.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable.
7 unchanged sentences
Refer to the “Income Taxes” Note for further discussion on income taxes.
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
Recent Accounting Pronouncements
−Removed: The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”).
−Removed: There were no recent ASUs that are expected to have a significant impact on the Company's consolidated financial statements when adopted or had a significant impact on the Company's consolidated financial statements upon adoption.
+Added: 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.
+Added: Refer to the “Segments” Note for more information.
+Added: The Company reviewed additional 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.
ANNALY CAPITAL MANAGEMENT, INC.
16 unchanged sentences
Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,353,084 1,809,832
−Removed: Loans, net Residential mortgage loan warehouse facility Fair value, with unrealized gains (losses) through earnings — 980
−Removed: Loans, net Corporate debt, held for investment Amortized cost — 1,968,991
Total loans, net 2,353,084 1,809,832
−Removed: Interests in MSR Interest in net servicing cash flows Fair value, with unrealized gains (losses) through earnings — 69,316
−Removed: Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income — 589,873
Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 13,307,622 9,121,912
4 unchanged sentences
Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 1,103,835 800,849
+Added: Treasury securities sold, not yet purchased Securities Fair value, with unrealized gains (losses) through earnings 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.
−Removed: Interests in MSR are considered financial assets whereas directly held MSR are servicing assets or obligations.
(2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities purchased prior to July 1, 2022.
4 unchanged sentences
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.
+Added: For the years ended December 31, 2023 and 2022, $ 611.5 million and ($ 665.6 ) million of unrealized gains (losses) on 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.
−Removed: During the year ended December 31, 2022, ($665.6) million of unrealized gains (losses) on Agency mortgage-backed securities purchased on or after July 1, 2022, were reported in Net gains (losses) on investments and other in the Company’s Consolidated Statements of Comprehensive Income (Loss).
−Removed: 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
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
−Removed: derivative accounting.
+Added: 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.
+Added: 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.
1 unchanged sentence
When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired.
−Removed: 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 the entire amortized cost basis of the security.
+Added: For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
+Added: 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 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).
12 unchanged sentences
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.
−Removed: The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the year ended December 31, 2022:
+Added: The following represents a rollforward of the activity for the Company’s securities for the year ended December 31, 2023:
Agency Securities Residential Credit Securities Commercial Securities Total
3 unchanged sentences
Purchases 42,728,938 905,952 76,166 43,711,056
−Removed: Sales and transfers ( 28,360,527 ) ( 573,571 ) ( 247,935 ) ( 29,182,033 )
+Added: Sales ( 35,733,141 ) ( 706,750 ) ( 392,202 ) ( 36,832,093 )
Principal paydowns ( 5,843,220 ) ( 303,908 ) ( 5,538 ) ( 6,152,666 )
6 unchanged sentences
Financial Statements
−Removed: The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that were carried at their fair value at December 31, 2022 and 2021:
+Added: The following tables present the Company’s securities portfolio that were carried at their fair value at December 31, 2023 and 2022:
December 31, 2023
14 unchanged sentences
Credit risk transfer $ 924,729 $ 2,240 $ ( 4,358 ) $ 922,611 $ 51,984 $ ( 536 ) $ 974,059
−Removed: $ 1,013,368 $ 6,790 $ ( 4,828 ) $ 1,015,330 $ 6,629 $ ( 24,402 ) $ 997,557
Alt-A 164,384 9 ( 3,922 ) 160,471 2,135 ( 12,371 ) 150,235
24 unchanged sentences
Credit risk transfer $ 1,013,368 $ 6,790 $ ( 4,828 ) $ 1,015,330 $ 6,629 $ ( 24,402 ) $ 997,557
−Removed: $ 924,101 $ 8,754 $ ( 1,176 ) $ 927,555 $ 9,641 $ ( 968 ) $ 936,228
Alt-A 111,009 9 ( 5,048 ) 105,970 — ( 14,754 ) 91,216
9 unchanged sentences
(1) Principal/Notional amount includes $ 14.0 billion and $ 8.4 billion of Agency Multifamly interest-only securities as of December 31, 2023 and December 31, 2022, respectively.
−Removed: (2) Principal/Notional amount includes $ 0.0 million and $ 4.1 million of a CRT interest-only security as of December 31, 2022 and December 31, 2021, respectively.
−Removed: (3) Principal/Notional amount includes $ 1.7 billion and $ 50.0 million of Prime interest-only securities as of December 31, 2022 and December 31, 2021, respectively.
−Removed: (4) Principal/Notional amount includes $ 5.5 billion and $ 126.5 million of Prime Jumbo interest-only securities as of December 31, 2022 and December 31, 2021, respectively.
+Added: (2) Principal/Notional amount includes $ 0.9 billion and $ 1.7 billion of Prime interest-only securities as of December 31, 2023 and December 31, 2022, respectively.
+Added: (3) Principal/Notional amount includes $ 9.1 billion and $ 5.5 billion of Prime Jumbo interest-only securities as of December 31, 2023 and December 31, 2022, respectively.
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Financial Statements
−Removed: The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at December 31, 2022 and 2021:
+Added: The following table presents the Company’s Agency mortgage-backed securities portfolio by issuing Agency at December 31, 2023 and 2022:
December 31, 2023 December 31, 2022
5 unchanged sentences
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.
−Removed: The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at December 31, 2022 and 2021, according to their estimated weighted average life classifications:
+Added: The following table summarizes the Company’s Residential Securities at December 31, 2023 and 2022, according to their estimated weighted average life classifications:
December 31, 2023 December 31, 2022
25 unchanged sentences
An impairment has not been recognized in earnings related to these investments because the decline in value is not related to credit quality, the Company currently has not made a decision to sell the securities nor is it more likely than not that the securities will be required to be sold before recovery.
−Removed: During the years ended December 31, 2022 and 2021, the Company disposed of $ 28.9 billion and $ 11.5 billion, respectively, of Residential Securities.
+Added: During the years ended December 31, 2023 and 2022, the Company disposed of $ 36.4 billion and $ 28.9 billion amortized cost basis of Residential Securities, respectively.
The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the years ended December 31, 2023 and 2022, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).
15 unchanged sentences
If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, the loans are classified as held for sale.
−Removed: If loans are held for sale and the fair value option was not elected, they are accounted for at the lower of cost or fair value.
Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale.
3 unchanged sentences
The Company recorded net loan loss (provisions) reversals of $ 0.2 million, $ 20.7 million and $ 145.1 million for the years ended December 31, 2023, 2022 and 2021, respectively.
−Removed: As of December 31, 2022 and 2021, the Company’s loan loss allowance was $ 0 and $ 27.9 million, respectively.
+Added: As of December 31, 2023 and 2022, the Company’s loan loss allowance was $ 0 and $ 0 , respectively.
The following table presents the activity of the Company’s loan investments, excluding loans transferred or pledged to securitization vehicles and loan warehouse facilities, for the year ended December 31, 2023:
−Removed: Residential Corporate Debt Total
+Added: Residential Loans
(dollars in thousands)
Beginning balance January 1, 2023
−Removed: $ 2,272,072 $ 1,968,991 $ 4,241,063
Purchases / originations 5,497,162
3 unchanged sentences
Gains / (losses) 78,315
−Removed: ( 220,130 ) ( 23,320 ) ( 243,450 )
(Amortization) / accretion ( 8,187 )
Ending balance December 31, 2023
−Removed: $ 1,809,832 $ — $ 1,809,832
−Removed: (1) Includes securitizations, syndications, transfers to securitization vehicles and corporate debt transfers to assets of disposal group held for sale and other assets.
(1) Includes transfer of residential loans to securitization vehicles with a carrying value of $ 4.9 billion during the year ended December 31, 2023.
−Removed: (2) Includes loan loss allowances.
The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans.
31 unchanged sentences
California 40.1 % California 44.8 %
−Removed: New York 10.3 % New York 10.9 %
−Removed: Florida 8.3 % Florida 6.1 %
−Removed: Texas 5.1 % All other (none individually greater than 5%) 32.8 %
−Removed: All other (none individually greater than 5%) 31.5 %
+Added: Florida 10.6 % New York 10.3 %
+Added: New York 10.5 % Florida 8.3 %
+Added: Texas 5.6 % Texas 5.1 %
+Added: All other (none individually greater than 5%) 33.2 % All other (none individually greater than 5%) 31.5 %
Total 100.0 % 100.0 %
15 unchanged sentences
At December 31, 2023 and 2022, approximately 11 % and 11 %, respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate.
−Removed: The Company participates in an arrangement that provides a residential mortgage loan warehouse facility to a third-party originator.
−Removed: The Company has elected to apply the fair value option to this lending facility in order to simplify the accounting and keep the accounting consistent with other residential credit financial instruments with similar characteristics.
−Removed: At December 31, 2022 and December 31, 2021, the fair value and carrying value of this warehouse facility was approximately $ 0.0 million and $ 1.0 million, respectively, and reported as Loans, net in the Consolidated Statements of Financial Condition.
−Removed: As of December 31, 2022, the lending facility was not on nonaccrual status nor past due.
+Added: The Company participated in an arrangement that provided a residential mortgage loan warehouse facility to a third party originator.
+Added: The arrangement was not renewed and expired during the quarter-ended September 30, 2023.
+Added: The Company had elected to apply the fair value option to this lending facility in order to simplify the accounting and keep the accounting consistent with other residential credit financial instruments with similar characteristics.
+Added: At both December 31, 2023 and December 31, 2022, there were no outstanding balances on this warehouse facility.
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Financial Statements
−Removed: As of December 31, 2021, commercial real estate loans were reported in Assets of disposal group held for sale in the Consolidated Statements of Financial Condition and classified as held for sale.
−Removed: Refer to the “Sale of Commercial Real Estate Business” Note for additional information on the transaction.
−Removed: Corporate Debt
−Removed: In April 2022, the Company entered into a definitive agreement to sell substantially all of the corporate loan interests held by the MML business operated by the Company, as well as assets managed for third parties (collectively, the “MML Portfolio”), to Ares Capital Management LLC (“Ares”).
−Removed: The vast majority of these assets were legally transferred to Ares at the end of the third quarter and the remaining assets were transferred by the end of the fourth quarter of 2022.
−Removed: Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information on the transaction.
MORTGAGE SERVICING RIGHTS
8 unchanged sentences
Cash flows received for Interests in MSR are recorded in Other, net in the Consolidated Statements of Comprehensive Income (Loss).
−Removed: The following table presents activity related to MSR and Interests in MSR for the years ended December 31, 2022 and 2021:
+Added: The following tables present activity related to MSR and Interests in MSR for the years ended December 31, 2023 and 2022:
Mortgage Servicing Rights December 31, 2023 December 31, 2022
11 unchanged sentences
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.
−Removed: (2) Transfers from Interests in MSR - Refer to the “Variable Interest Entities” Note for additional information.
(2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.
−Removed: Interests in MSR December 31, 2022 December 31, 2021
+Added: Interests in MSR December 31, 2022
(dollars in thousands)
3 unchanged sentences
Gain (loss) included in net income 8,474
−Removed: Ending balance December 31, 2022
+Added: Ending balance $ —
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.
−Removed: (2) Transfers to MSR - Refer to the “Variable Interest Entities” Note for additional information
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
VARIABLE INTEREST ENTITIES
10 unchanged sentences
however, the financial assets were not eligible for the fair value option as it was not elected at purchase.
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
During the year ended December 31, 2022, the Company deconsolidated the 2020 multifamily VIE since it sold all of its interest-only securities and no longer retains a significant variable interest in the entity.
4 unchanged sentences
For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these VIEs.
−Removed: See the “Securities” Note for further information on Residential Securities.
+Added: Refer to the “Securities” Note for further information on Residential Securities.
Residential securitizations are issued by entities generally referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company.
3 unchanged sentences
OBX 2023-NQM1 January 2023 $ 405,209
−Removed: OBX 2022-INV1 January 2022 $ 377,275
−Removed: OBX 2022-INV2 February 2022 $ 466,686
+Added: OBX 2023-J1 February 2023 $ 305,755
OBX 2023-NQM2 February 2023 $ 420,650
−Removed: OBX 2022-INV3 March 2022 $ 330,823
−Removed: OBX 2022-NQM3 March 2022 $ 315,843
+Added: OBX 2023-NQM3 April 2023 $ 407,525
OBX 2023-NQM4 May 2023 $ 394,291
−Removed: OBX 2022-J1 May 2022 $ 389,334
−Removed: OBX 2022-NQM5 June 2022 $ 390,775
−Removed: OBX 2022-INV4 June 2022 $ 335,900
+Added: OBX 2023-INV1 May 2023 $ 314,839
OBX 2023-NQM5 June 2023 $ 390,271
−Removed: OBX 2022-J2 August 2022 $ 305,969
−Removed: OBX 2022-NQM7 August 2022 $ 358,931
+Added: OBX 2023-NQM6 July 2023 $ 400,530
OBX 2023-NQM7 September 2023 $ 411,133
−Removed: OBX 2022-INV5 November 2022 $ 326,226
+Added: OBX 2023-NQM8 October 2023 $ 406,663
+Added: OBX 2023-J2 November 2023 $ 303,008
+Added: OBX 2023-NQM9 November 2023 $ 393,507
OBX 2023-NQM10 December 2023 $ 387,556
−Removed: As of December 31, 2022 and 2021, a total carrying value of $ 7.7 billion and $ 4.6 billion, respectively, of bonds were held by third parties and the Company retained $ 1.0 billion and $ 780.8 million, respectively, of mortgage-backed securities, which were eliminated in consolidation.
−Removed: The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
−Removed: could be potentially significant to these VIEs.
−Removed: The Company has elected the fair value option for the financial assets and liabilities of these VIEs.
+Added: As of December 31, 2023 and 2022, a total carrying value of $ 11.6 billion and $ 7.7 billion, respectively, of bonds were held by third parties and the Company retained $ 1.4 billion and $ 1.0 billion, respectively, of MBS, which were eliminated in consolidation.
+Added: The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs.
Effective August 1, 2022, upon initial consolidation of new securitization entities, the Company elected to apply the measurement alternative for consolidated collateralized financing entities in order to simplify the accounting and valuation processes.
2 unchanged sentences
The contractual principal amount of the OBX Trusts’ debt held by third parties was $ 12.6 billion and $ 9.0 billion at December 31, 2023 and 2022, respectively.
−Removed: During the years ended December 31, 2022 and 2021, the Company recorded $ 1.2 billion and ($ 69.4 ) million, respectively, of unrealized gains (losses) on debt held by third parties, which is reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss).
+Added: During the years ended December 31, 2023 and 2022, the Company recorded ($ 305.2 ) million and $ 1.2 billion, respectively, of unrealized gains (losses) on debt held by third parties, which is reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss).
Although the residential mortgage loans have been sold for bankruptcy and state law purposes, the transfers of the residential mortgage loans to the OBX Trusts did not qualify for sale accounting and are reflected as intercompany secured borrowings that are eliminated upon consolidation.
2 unchanged sentences
Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information on the transaction.
−Removed: The Company owns variable interests in an entity that invests in MSR and has structured its operations, funding and capitalization into pools of assets and liabilities, each referred to as a “silo.” Owners of variable interests in a given silo are entitled to all of the returns and subjected to the risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo.
−Removed: While the Company previously held 100 % of the voting interests in this entity, in August 2017, the Company sold 100 % of such interests, and entered into an agreement with the entity’s affiliated portfolio manager giving the Company the power over the silo in which it owns all of the beneficial interests.
−Removed: As a result, the Company is considered to be the primary beneficiary and consolidates this silo.
−Removed: The Company owned variable interests in entities that invested in Interests in MSR.
−Removed: These entities were VIEs because they did not have sufficient equity at risk to finance their activities and the Company was the primary beneficiary because it had power to remove the decision makers with or without cause and held substantially all of the variable interests in the entities.
−Removed: During the quarter ended September 30, 2022, the Company terminated its contracts previously classified as Interests in MSR on its Consolidated Statements of Financial Condition and purchased the underlying mortgage servicing rights.
−Removed: As a result, consolidated VIEs holding the Interests in MSR and related assets and liabilities were liquidated.
−Removed: No gain or loss was recognized upon deconsolidation.
−Removed: The underlying MSR were initially recognized at fair value and subsequent changes in fair value are recognized in earnings.
−Removed: See the “Mortgage Servicing Rights” Note and “Fair Value Measurements” Note for further information regarding MSR.
−Removed: The statements of financial condition of the Company’s VIEs, excluding the multifamily securitization, credit facility VIEs and OBX Trusts as the transfers of loans or securities did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at December 31, 2022 and 2021 are as follows:
−Removed: December 31, 2022
−Removed: Assets (dollars in thousands)
−Removed: Cash and cash equivalents $ 2,239
−Removed: Mortgage servicing rights 27
−Removed: Other assets 1,238
−Removed: Total assets $ 4,797
−Removed: Payable for unsettled trades $ 2,152
−Removed: Other liabilities 1,409
−Removed: Total liabilities $ 3,561
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Financial Statements
−Removed: December 31, 2021
−Removed: Assets (dollars in thousands)
−Removed: Cash and cash equivalents $ 16,187
−Removed: Mortgage servicing rights 7,254
−Removed: Interests in MSR 69,316
−Removed: Other assets 10,406
−Removed: Total assets $ 105,510
−Removed: Payable for unsettled trades $ 1,911
−Removed: Other liabilities 14,582
−Removed: Total liabilities $ 16,493
Corporate Debt Funds
25 unchanged sentences
As of December 31, 2022, all loans were transferred to Ares.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
DERIVATIVE INSTRUMENTS
−Removed: Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, options on TBA securities (“MBS options”), U.S.
−Removed: Treasury and Eurodollar futures contracts and certain forward purchase commitments.
+Added: Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, U.S.
+Added: Treasury and SOFR futures contracts and certain forward purchase commitments.
The Company may also enter into other types of mortgage derivatives such as interest-only securities, credit derivatives referencing the commercial mortgage-backed securities index and synthetic total return swaps.
In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts.
−Removed: The Company may also enter into TBA derivatives, MBS options and U.S.
−Removed: Treasury or Eurodollar futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks.
+Added: The Company may also enter into TBA derivatives, U.S.
+Added: Treasury futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks.
The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders.
1 unchanged sentence
Treasuries and market liquidity.
−Removed: The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract.
+Added: The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
+Added: under the stated contract.
Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value and terms of the derivative contract.
11 unchanged sentences
In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings.
−Removed: The Company may have outstanding interest rate swap agreements where the floating leg is linked to the London Interbank Offered Rate (“LIBOR”), the overnight index swap rate or another index.
+Added: The Company may have outstanding interest rate swap agreements where the floating leg is linked to the SOFR, the overnight index swap rate or another index.
Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”).
11 unchanged sentences
The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities.
−Removed: MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns.
−Removed: MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid.
−Removed: MBS options are measured at fair value using internal pricing models and compared to the counterparty market values.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates.
6 unchanged sentences
Credit Derivatives – The Company may enter into credit derivatives referencing a commercial mortgage-backed securities index, such as the CMBX index, and synthetic total return swaps.
−Removed: The table below summarizes fair value information about the Company’s derivative assets and liabilities at December 31, 2022 and 2021:
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
+Added: The following table summarizes fair value information about the Company’s derivative assets and liabilities at December 31, 2023 and 2022:
Derivatives Instruments December 31, 2023 December 31, 2022
5 unchanged sentences
Purchase commitments 9,641 1,832
−Removed: Credit derivatives (1)
Total derivative assets $ 162,557 $ 342,064
5 unchanged sentences
Total derivative liabilities $ 302,295 $ 204,172
−Removed: (1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $ 420.0 million and $ 400.0 million at December 31, 2022 and December 31, 2021, respectively, plus any coupon shortfalls on the underlying tranche.
−Removed: As of December 31, 2022 and 2021, the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and AA.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
−Removed: The following table summarizes certain characteristics of the Company’s interest rate swaps at December 31, 2022 and 2021:
+Added: (1) The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $ 420.0 million at December 31, 2022, respectively, plus any coupon shortfalls on the underlying tranche.
+Added: As of December 31, 2022, the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and AA.
+Added: The following tables summarize certain characteristics of the Company’s interest rate swaps at December 31, 2023 and 2022:
December 31, 2023
19 unchanged sentences
Total / Weighted average $ 52,277,300 1.74 % 4.28 % 5.25
−Removed: (1) As of December 31, 2022, 17 %, 23 % and 60 % of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively.
−Removed: As of December 31, 2021, 18 %, 53 % and 29 % of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively.
+Added: (1) As of December 31, 2023, 94 % and 6 % of the Company’s interest rate swaps were linked to the Secured Overnight Financing Rate and the Federal funds rate, respectively.
+Added: As of December 31, 2022, 60 %, 23 % and 17 % of the Company’s interest rate swaps were linked to the Secured Overnight Financing Rate, the Federal funds rate and LIBOR, respectively.
(2) There were no forward starting swaps at December 31, 2023 and December 31, 2022.
−Removed: (3) At December 31, 2022 and December 31, 2021, the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps.
+Added: (3) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps.
As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.
−Removed: The following table summarizes certain characteristics of the Company’s swaptions at December 31, 2022 and 2021:
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
+Added: The following tables summarize certain characteristics of the Company’s swaptions at December 31, 2023 and 2022:
December 31, 2023
1 unchanged sentence
(dollars in thousands)
−Removed: Long pay $ 2,500,000 2.02 % 3M LIBOR 8.19 14.28
−Removed: Long receive $ 750,000 1.57 % 3M LIBOR 11.07 12.82
+Added: Long pay $ 1,250,000 2.21 % SOFR 7.69 8.21
+Added: Long receive $ 500,000 1.65 % SOFR 10.30 3.53
December 31, 2022
3 unchanged sentences
Long receive $ 750,000 1.57 % 3M LIBOR 11.07 12.82
−Removed: The following table summarizes certain characteristics of the Company’s TBA derivatives at December 31, 2022 and 2021:
+Added: The following tables summarize certain characteristics of the Company’s TBA derivatives at December 31, 2023 and 2022:
December 31, 2023
8 unchanged sentences
Purchase contracts $ 10,589,000 $ 10,675,739 $ 10,623,350 $ ( 52,389 )
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
−Removed: The following table summarizes certain characteristics of the Company’s futures derivatives at December 31, 2022 and 2021:
+Added: Sale contracts ( 44,000 ) ( 44,849 ) ( 44,674 ) 175
+Added: Net TBA derivatives $ 10,545,000 $ 10,630,890 $ 10,578,676 $ ( 52,214 )
+Added: The following tables summarize certain characteristics of the Company’s futures derivatives at December 31, 2023 and 2022:
December 31, 2023
6 unchanged sentences
$ — $ ( 5,001,400 ) 1.97
−Removed: Treasury futures - 5 year
−Removed: — ( 5,803,400 ) 4.37
Treasury futures - 10 year and greater
16 unchanged sentences
Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty.
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in the Company’s Consolidated Statements of Financial Condition at December 31, 2023 and 2022, respectively.
6 unchanged sentences
TBA derivatives, at fair value 20,689 ( 13,282 ) — 7,407
−Removed: Futures contracts, at fair value 33,179 ( 2,414 ) — 30,765
Purchase commitments 9,641 — — 9,641
3 unchanged sentences
Purchase commitments 339 — — 339
−Removed: Credit derivatives 13,799 — ( 9,291 ) 4,508
December 31, 2022
2 unchanged sentences
Assets (dollars in thousands)
+Added: Interest rate swaps, at fair value $ 33,006 $ ( 24,625 ) $ — $ 8,381
Interest rate swaptions, at fair value 256,991 — — 256,991
2 unchanged sentences
Purchase commitments 1,832 — — 1,832
−Removed: Credit derivatives 1,160 ( 516 ) — 644
Interest rate swaps, at fair value $ 108,724 $ ( 24,625 ) $ ( 1,251 ) $ 82,848
3 unchanged sentences
Credit derivatives 13,799 — ( 9,291 ) 4,508
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows:
8 unchanged sentences
(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
19 unchanged sentences
Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions.
−Removed: The aggregate fair value of all derivative instruments with the aforementioned features were in a net asset position at December 31, 2022.
+Added: The aggregate fair value of all derivative instruments with the aforementioned features that are in a liability position at December 31, 2023 was approximately $ 184.9 million, which represents the maximum amount the Company would be required to pay upon termination.
ANNALY CAPITAL MANAGEMENT, INC.
15 unchanged sentences
These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level.
−Removed: Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1.
+Added: Futures contracts and U.S.
+Added: Treasury securities are valued using quoted prices for identical instruments in active markets and are classified as Level 1.
Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models.
3 unchanged sentences
Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities.
−Removed: Residential Securities, residential mortgage loans, interest rate swap and swaption markets, TBA derivatives and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis.
−Removed: The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements.
−Removed: Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy.
+Added: Residential Securities, residential mortgage loans, interest rate swap and swaption markets and TBA derivatives are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis.
+Added: The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions and TBA derivatives markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements.
+Added: Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions and TBA derivatives as Level 2 inputs in the fair value hierarchy.
The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral.
4 unchanged sentences
These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including discount rates, prepayment rates, delinquency levels and costs to service.
−Removed: Model valuations are then compared to valuations obtained from third party pricing providers.
−Removed: Management reviews the valuations received from third party pricing providers and
+Added: Model valuations are then compared to valuations
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Financial Statements
−Removed: uses them as a point of comparison to modeled values.
+Added: obtained from third party pricing providers.
+Added: Management reviews the valuations received from third party pricing providers and uses them as a point of comparison to modeled values.
The valuation of MSR and Interests in MSR require significant judgment by management and the third party pricing providers.
18 unchanged sentences
Participations issued — 1,103,835 — 1,103,835
+Added: Treasury securities sold, not yet purchased 2,132,751 — — 2,132,751
Derivative liabilities
10 unchanged sentences
Residential mortgage loans — 1,809,832 — 1,809,832
−Removed: Residential mortgage loan warehouse facility — 980 — 980
Mortgage servicing rights — — 1,748,209 1,748,209
−Removed: Interests in MSR — — 69,316 69,316
Assets transferred or pledged to securitization vehicles — 9,121,912 — 9,121,912
Derivative assets
+Added: Interest rate swaps — 33,006 — 33,006
Other derivatives 33,179 275,879 — 309,058
21 unchanged sentences
Refer to the “Mortgage Servicing Rights” Note for additional information, including rollforwards.
−Removed: The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR and Interests in MSR.
+Added: The following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR and Interests in MSR.
The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.
−Removed: December 31, 2022
−Removed: Unobservable Input (1) / Range (Weighted Average) (2)
−Removed: Discount rate Prepayment rate Delinquency rate Cost to service
−Removed: MSR held directly 8.4 % - 10.7 % ( 9.7 %)
−Removed: 4.8 % - 8.1 % ( 5.4 %)
−Removed: 0.2 % - 4.5 % ( 1.3 %)
−Removed: $ 86 - $ 118 ($ 95 )
−Removed: December 31, 2021
−Removed: Unobservable Input (1) / Range (Weighted Average) (2)
−Removed: Discount rate Prepayment rate Delinquency rate Cost to service
−Removed: MSR held directly 3.3 % - 11.1 % ( 7.0 %)
−Removed: 7.3 % - 15.9 % ( 9.4 %)
−Removed: 0.2 % - 2.5 % ( 1.2 %)
+Added: Unobservable Input (1)
+Added: Range (Weighted Average) (2)
+Added: December 31, 2023 December 31, 2022
+Added: Discount rate 7.0 % - 12.0 % ( 8.6 %)
8.4 % - 10.7 % ( 9.7 %)
−Removed: Interests in MSR 8.4 % - 8.4 % ( 8.4 %)
+Added: Prepayment rate 4.8 % - 11.0 % ( 5.6 %)
4.8 % - 8.1 % ( 5.4 %)
+Added: Delinquency rate 0.2 % - 4.2 % ( 1.3 %)
0.2 % - 4.5 % ( 1.3 %)
+Added: Cost to service $ 84 - $ 111 ($ 94 )
$ 86 - $ 118 ($ 95 )
4 unchanged sentences
Value Carrying
−Removed: Financial assets (dollars in thousands)
−Removed: Corporate debt, held for investment $ — $ — $ 1,968,991 $ 1,986,379
Financial liabilities
1 unchanged sentence
Other secured financing 500,000 500,000 250,000 250,000
−Removed: Corporate debt, held for investment is valued using Level 3 inputs.
−Removed: Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information.
The carrying values of repurchase agreements and short term other secured financing approximate fair value and are considered Level 2 fair value measurements.
3 unchanged sentences
Financial Statements
−Removed: GOODWILL AND INTANGIBLE ASSETS
−Removed: The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business.
−Removed: Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition.
−Removed: The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition.
−Removed: The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill.
−Removed: Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain.
−Removed: The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred.
−Removed: If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed.
−Removed: The quantitative impairment test for goodwill compares the fair value of a reporting unit with its carrying value, including goodwill.
−Removed: If the carrying value of a reporting unit exceeds its fair value, an impairment loss is recognized in amount equal to that excess, limited to the total amount of goodwill allocated to that reporting unit.
−Removed: At December 31, 2022 and 2021, there was no goodwill balance.
+Added: INTANGIBLE ASSETS
Intangible assets, net
10 unchanged sentences
Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements.
−Removed: At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements should be treated as a securing financing.
+Added: At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements should be treated as a secured financing.
The Company enters into reverse repurchase agreements to earn a yield on excess cash balances.
3 unchanged sentences
The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows.
−Removed: The Company had outstanding $ 59.5 billion and $ 54.8 billion of repurchase agreements with weighted average remaining maturities of 27 days and 52 days at December 31, 2022 and 2021, respectively.
−Removed: The Company has select arrangements with counterparties to enter into repurchase agreements for $ 1.8 billion with remaining capacity of $ 1.1 billion at December 31, 2022.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
−Removed: At December 31, 2022 and 2021, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:
+Added: The Company had outstanding $ 62.2 billion and $ 59.5 billion of repurchase agreements with weighted average remaining maturities of 44 days and 27 days and weighted average rates of 5.70 % and 4.29 % at December 31, 2023 and 2022, respectively.
+Added: In connection with its residential mortgage loans, the Company has select arrangements with counterparties to enter into repurchase agreements for $ 2.4 billion with remaining capacity of $ 1.5 billion at December 31, 2023.
+Added: At December 31, 2023 and 2022, the repurchase agreements had the following remaining maturities and collateral types:
December 31, 2023
−Removed: Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate
+Added: Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements
(dollars in thousands)
7 unchanged sentences
Total $ 60,573,426 $ 695,520 $ 2,157,763 $ 851,851 $ 191,276 $ 64,469,836
+Added: Amounts offset in accordance with netting arrangements $ ( 2,268,293 )
+Added: Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition $ 62,201,543
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
December 31, 2022
−Removed: Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities (1)
−Removed: Total Repurchase Agreements Weighted Average Rate
+Added: Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements
(dollars in thousands)
7 unchanged sentences
Total $ 55,855,293 $ 468,695 $ 2,013,261 $ 718,600 $ 456,748 $ 59,512,597
−Removed: (1) Includes commercial mortgage-backed securities held for sale.
+Added: Amounts offset in accordance with netting arrangements $ —
+Added: Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition $ 59,512,597
(1) No repurchase agreements had a remaining maturity over 1 year at December 31, 2023 and 2022.
−Removed: The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at December 31, 2022 and 2021.
+Added: The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of reverse repurchase agreements and repurchase agreements as presented in the Consolidated Statements of Financial Condition at December 31, 2023 and 2022.
Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.
5 unchanged sentences
Netted amounts $ — $ 62,201,543 $ — $ 59,512,597
−Removed: Other Secured Financing - As of December 31, 2022, the Company had a $ 500 million committed credit facility to finance a portion of its MSR portfolio.
−Removed: Outstanding borrowings under this facility as of December 31, 2022 totaled $ 250.0 million with maturities ranging between one to three years .
−Removed: The weighted average rate of the advances was 7.07 % as of December 31, 2022.
+Added: The fair value of collateral received in connection with reverse repurchase agreements was $ 2.3 billion, of which the Company sold $ 2.1 billion as of December 31, 2023.
+Added: The amount of collateral sold is reported at fair value in the Company’s Consolidated Statements of Financial Condition as U.S.
+Added: Treasury securities sold, not yet purchased.
+Added: There were no reverse repurchase agreements or related collateral sold as of December 31, 2022.
+Added: Other Secured Financing - As of December 31, 2023, the Company had $ 1.25 billion in committed credit facilities to finance a portion of its MSR portfolio.
+Added: Outstanding borrowings under this facility as of December 31, 2023 totaled $ 500.0 million with maturities ranging between six months to one year .
+Added: The weighted average interest average rate of the borrowings was 8.09 % as of December 31, 2023.
Borrowings are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition.
13 unchanged sentences
The Current Share Repurchase Program replaced the Prior Share Repurchase Program.
−Removed: During the years ended December 31, 2022 and 2021, no shares were purchased under the Current Share Repurchase Program or Prior Share Repurchase Program.
−Removed: During the year ended December 31, 2022, the Company closed two public offerings for an aggregate original issuance of 50 million shares of common stock for aggregate proceeds of $ 1.31 billion before deducting offering expenses.
−Removed: In connection with each offering, the Company granted the underwriters a thirty-day option to purchase up to an additional 3.75 million shares of common stock, which the underwriters exercised in full in both instances, resulting in an additional $ 196.5 million in proceeds before deducting offering expenses for the year ended December 31, 2022.
−Removed: The stock offerings conducted during the year ended December 31, 2022 were completed prior to the Reverse Stock Split and the foregoing share amounts have been retroactively adjusted to reflect the effects thereof.
+Added: During the years ended December 31, 2023 and 2022, no shares were repurchased under the Current Share Repurchase Program or Prior Share Repurchase Program.
On August 6, 2020, the Company entered into separate Amended and Restated Distribution Agency Agreements (as amended by Amendment No.
1 to the Amended and Restated Distribution Agency Agreements on August 6, 2021, and Amendment No.
−Removed: 2 to the Amended and Restated Distribution Agency Agreements on November 3, 2022, collectively, the “Sales Agreements”) with each of RBC Capital Markets, LLC, Barclays Capital Inc., BofA Securities, Inc., Citigroup Global Markets Inc., Credit Suisse Securities (USA) LLC, Goldman Sachs & Co.
+Added: 2 to the Amended and Restated Distribution Agency Agreements on November 3, 2022, collectively, the “Sales Agreements”) with each of Barclays Capital Inc., BofA Securities, Inc., Citigroup Global Markets Inc., Goldman Sachs & Co.
LLC, Keefe, Bruyette & Woods, Inc., J.P.
−Removed: Morgan Securities LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Sales Agents”).
+Added: Morgan Securities LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Sales Agents”).
Pursuant to the Sales Agreements, the Company may offer and sell shares of its common stock, having an aggregate offering price of up to $ 1.5 billion, from time to time through any of the Sales Agents (the “at-the-market sales program”).
During the year ended December 31, 2023, under the at-the-market sales program, the Company issued 31.4 million shares for proceeds of $ 0.7 billion, net of commissions and fees.
−Removed: During the year ended December 31, 2021, under the at-the-market sales program, the Company issued 15.2 million shares for proceeds of $ 552.4 million, net of commissions and fees.
+Added: During the year ended December 31, 2022, under the at-the-market sales program, the Company issued 45.7 million shares for proceeds of $ 1.1 billion, net of commissions and fees.
The foregoing share amounts have been retroactively adjusted to reflect the effects of the Reverse Stock Split.
+Added: During the year ended December 31, 2022, the Company closed two public offerings for an aggregate original issuance of 50 million shares of common stock for aggregate proceeds of $ 1.31 billion before deducting offering expenses.
+Added: In connection with each offering, the Company granted the underwriters a thirty-day option to purchase up to an additional 3.75 million shares of common stock, which the underwriters exercised in full in both instances, resulting in an additional $ 196.5 million in proceeds before deducting offering expenses for the year ended December 31, 2022.
(B) Preferred Stock
2 unchanged sentences
Shares Authorized Shares Issued And Outstanding Carrying Value Contractual Rate Earliest Redemption Date (1)
−Removed: Date At Which Dividend Rate Becomes Floating Floating Annual Rate
+Added: Effective Date of Floating Rate Dividend Period Floating Annual Rate (2)
December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022 December 31, 2023 December 31, 2022
Fixed-to-floating rate
−Removed: Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95 % 9/30/2022 9/30/2022 3M LIBOR + 4.993 %
−Removed: Series G 17,000,000 17,000,000 17,000,000 17,000,000 411,335 411,335 6.50 % 3/31/2023 3/31/2023 3M LIBOR + 4.172 %
−Removed: Series I 17,700,000 17,700,000 17,700,000 17,700,000 428,324 428,324 6.75 % 6/30/2024 6/30/2024 3M LIBOR + 4.989 %
+Added: Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95 % 9/30/2022 9/30/2022 3M Term SOFR + 4.993 %
+Added: Series G 17,000,000 17,000,000 17,000,000 17,000,000 411,335 411,335 6.50 % 3/31/2023 3/31/2023 3M Term SOFR + 4.172 %
+Added: Series I 17,700,000 17,700,000 17,700,000 17,700,000 428,324 428,324 6.75 % 6/30/2024 6/30/2024 3M Term SOFR + 4.989 %
Total 63,500,000 63,500,000 63,500,000 63,500,000 $ 1,536,569 $ 1,536,569
(1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company.
+Added: (2) For each series of fixed-to-floating rate cumulative redeemable preferred stock, the floating rate is calculated as 3-month CME Term SOFR (plus a spread adjustment of 0.26161 %) plus the spread specified in the prospectus.
ANNALY CAPITAL MANAGEMENT, INC.
8 unchanged sentences
The Preferred Stock Repurchase Program became effective on November 3, 2022, and shall expire on December 31, 2024.
−Removed: No shares were repurchased to with respect to the Preferred Stock Repurchase Program during the year ended December 31, 2022.
+Added: No shares were repurchased with respect to the Preferred Stock Repurchase Program during the year ended December 31, 2023.
(C) Distributions to Stockholders
18 unchanged sentences
$ 1.688 $ 1.688
−Removed: (1) For the year ended December 31, 2022, 86.5 % and 13.5 % of common stock dividend distributions of $ 3.52 per share was taxable as ordinary income and a return of capital, respectively.
−Removed: For the year ended December 31, 2021, 100 % of common stock dividend distributions of $ 3.49 per share were taxable as a return of capital.
−Removed: (2) For the year ended December 31, 2022, 100 % of the preferred stock dividend distributions per share were taxable as ordinary income.
−Removed: For the year ended December 31, 2021, 100 % of the preferred stock dividend distributions per share were taxable as a return of capital.
+Added: (1) For the year ended December 31, 2023, 100.0 % of common stock dividend distributions of $ 2.83 per share paid in calendar year 2023 and 0.65 per share paid on January 31, 2024 were taxable as ordinary income.
+Added: For the year ended December 31, 2022, 86.5 % and 13.5 % of common stock dividend distributions of $ 3.52 per share paid in calendar year 2022 were taxable as ordinary income and a return of capital, respectively.
+Added: (2) For the years ended December 31, 2023 and 2022, 100 % of the preferred stock dividend distributions per share were taxable as ordinary income.
LONG-TERM STOCK INCENTIVE PLAN
5 unchanged sentences
For RSUs that vest, the underlying shares of common stock are delivered (net of required withholding tax) as outlined in the applicable award agreements.
−Removed: PSUs are subject
+Added: PSUs are subject to the Company’s achievement of specified performance criteria and the number of awards that vest can range from zero to
ANNALY CAPITAL MANAGEMENT, INC.
1 unchanged sentence
Financial Statements
−Removed: to the Company’s achievement of specified performance criteria and the number of awards that vest can range from zero to 150 % of the grant amount.
+Added: 150 % of the grant amount.
Award agreements generally provide that vesting is accelerated in certain circumstances, such as death and disability.
22 unchanged sentences
(3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
−Removed: The following presents the components of the Company’s interest income and interest expense for the years ended December 31, 2022, 2021 and 2020.
+Added: The following table presents the components of the Company’s interest income and interest expense for the years ended December 31, 2023, 2022 and 2021.
For the Years Ended December 31,
14 unchanged sentences
Participations issued 50,357 39,366 12,071
+Added: Treasury securities sold, not yet purchased 11,497 — —
Other — 18,952 27,192
29 unchanged sentences
The Company and certain of its direct and indirect subsidiaries, including Annaly TRS, Inc.
−Removed: and certain subsidiaries of Mountain Merger Sub Corp., have made separate joint elections to treat these subsidiaries as TRSs.
+Added: and certain subsidiaries of joint ventures, have made separate joint elections to treat these subsidiaries as 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 their taxable income.
11 unchanged sentences
Financial Statements
+Added: The Company operates in three reportable segments further described in the “Description of Business” Note.
+Added: The accounting policies applied to the segments are the same as those described in the summary of significant accounting policies, with the exception of allocations between segments related to net interest income and other comprehensive income (loss), which are reflected in Other income (loss), and allocations between segments related to investment balances, which are presented net of associated financings in Total Assets.
+Added: These allocations are made to reflect the economic hedging relationship between investments within different operating segments.
+Added: Activities that are not directly attributable or not allocated to any of the three current operating segments (such as investments in commercial mortgage-backed securities, preferred stock dividends and corporate existence costs) are reported under Corporate and Other as reconciling items to the Company’s consolidated financial statements.
+Added: The tables below summarize the result of operations and total assets by segment that are provided to the Chief Operating Decision Maker (CODM), which is the Company’s Operating Committee.
+Added: Comprehensive income is the measure of segment profit or loss that is determined in accordance with the measurement principles used in measuring the corresponding amounts in the consolidated financial statements and is a key determinant of the Company’s economic return (computed as the change in stockholders’ equity attributable to common shareholders plus common stock dividends declared divided by the prior period’s stockholders’ equity attributable to common shareholders), a measure which is used by the CODM to evaluate segment results and is one of the factors considered in determining capital allocation among the segments.
+Added: The following table presents the results of operations of the Company’s reportable operating segments for the years ended December 31, 2023 and 2022:
+Added: December 31, 2023
+Added: Agency Residential Credit MSR Corporate & Other Consolidated
+Added: (dollars in thousands)
+Added: Interest income $ 2,772,963 $ 930,232 $ — $ 28,386 $ 3,731,581
+Added: Interest expense 3,096,245 728,273 — 18,447 3,842,965
+Added: Net interest income ( 323,282 ) 201,959 — 9,939 ( 111,384 )
+Added: Servicing and related income — — 364,157 — 364,157
+Added: Servicing and related expense — — 37,652 — 37,652
+Added: Net servicing income — — 326,505 — 326,505
+Added: Other income (loss) ( 1,824,323 ) 171,678 13,975 ( 12,921 ) ( 1,651,591 )
+Added: Total general and administrative expenses 58,852 49,021 29,872 24,808 162,553
+Added: Income (loss) before income taxes ( 2,206,457 ) 324,616 310,608 ( 27,790 ) ( 1,599,023 )
+Added: Income taxes 1,629 17,121 21,070 ( 386 ) 39,434
+Added: Net income (loss) ( 2,208,086 ) 307,495 289,538 ( 27,404 ) ( 1,638,457 )
+Added: Net income (loss) attributable to noncontrolling interest — 4,714 — — 4,714
+Added: Net income (loss) attributable to Annaly ( 2,208,086 ) 302,781 289,538 ( 27,404 ) ( 1,643,171 )
+Added: Dividends on preferred stock — — — 141,676 141,676
+Added: Net income (loss) available (related) to common stockholders ( 2,208,086 ) 302,781 289,538 ( 169,080 ) ( 1,784,847 )
+Added: Unrealized gains (losses) on available-for-sale securities 580,680 — — — 580,680
+Added: Reclassification adjustment for net (gains) losses included in net income (loss) 1,792,816 — — — 1,792,816
+Added: Other comprehensive income (loss) 2,373,496 — — — 2,373,496
+Added: Comprehensive income (loss) 165,410 307,495 289,538 ( 27,404 ) 735,039
+Added: Comprehensive income (loss) attributable to noncontrolling interests — 4,714 — — 4,714
+Added: Comprehensive income (loss) attributable to Annaly $ 165,410 $ 302,781 $ 289,538 $ ( 27,404 ) $ 730,325
+Added: Noncash investing and financing activities:
+Added: Receivable for unsettled trades 2,709,398 — 826 — 2,710,224
+Added: Payable for unsettled trades 3,232,941 10 16,438 — 3,249,389
+Added: Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 2,373,496 — — — 2,373,496
+Added: Dividends declared, not yet paid — — — 325,052 325,052
+Added: Total assets $ 71,167,416 $ 19,149,003 $ 2,578,644 $ 332,173 $ 93,227,236
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
+Added: December 31, 2022
+Added: Agency Residential Credit MSR Corporate & Other Consolidated
+Added: (dollars in thousands)
+Added: Interest income $ 2,146,583 $ 550,449 $ — $ 81,855 $ 2,778,887
+Added: Interest expense 936,063 344,669 6,202 22,801 1,309,735
+Added: Net interest income 1,210,520 205,780 ( 6,202 ) 59,054 1,469,152
+Added: Servicing and related income — — 246,926 — 246,926
+Added: Servicing and related expense — — 25,145 — 25,145
+Added: Net servicing income — — 221,781 — 221,781
+Added: Other income (loss) 480,383 ( 147,908 ) ( 47,510 ) ( 41,178 ) 243,787
+Added: Total general and administrative expenses 50,817 47,005 29,784 35,123 162,729
+Added: Income (loss) before income taxes 1,640,086 10,867 138,285 ( 17,247 ) 1,771,991
+Added: Income taxes ( 792 ) ( 10,485 ) 57,055 ( 207 ) 45,571
+Added: Net income (loss) 1,640,878 21,352 81,230 ( 17,040 ) 1,726,420
+Added: Net income (loss) attributable to noncontrolling interest — 1,088 — 7 1,095
+Added: Net income (loss) attributable to Annaly 1,640,878 20,264 81,230 ( 17,047 ) 1,725,325
+Added: Dividends on preferred stock — — — 110,623 110,623
+Added: Net income (loss) available (related) to common stockholders 1,640,878 20,264 81,230 ( 127,670 ) 1,614,702
+Added: Unrealized gains (losses) on available-for-sale securities ( 8,204,542 ) — — — ( 8,204,542 )
+Added: Reclassification adjustment for net (gains) losses included in net income (loss) 3,537,236 — — — 3,537,236
+Added: Other comprehensive income (loss) ( 4,667,306 ) — — — ( 4,667,306 )
+Added: Comprehensive income (loss) ( 3,026,428 ) 21,352 81,230 ( 17,040 ) ( 2,940,886 )
+Added: Comprehensive income (loss) attributable to noncontrolling interests — 1,088 — 7 1,095
+Added: Comprehensive income (loss) attributable to Annaly $ ( 3,026,428 ) $ 20,264 $ 81,230 $ ( 17,047 ) $ ( 2,941,981 )
+Added: Noncash investing and financing activities:
+Added: Receivable for unsettled trades 572,089 — 3,002 — 575,091
+Added: Payable for unsettled trades 1,108,386 38 49,422 — 1,157,846
+Added: Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment ( 4,667,306 ) — — — ( 4,667,306 )
+Added: Dividends declared, not yet paid — — — 412,113 412,113
+Added: Total assets $ 65,080,130 $ 14,152,927 $ 1,931,176 $ 686,479 $ 81,850,712
RISK MANAGEMENT
−Removed: The primary risks to the Company are capital, liquidity and funding risk, investment/market risk, credit risk and operational risk.
+Added: The primary risks to the Company are liquidity and funding risk, investment/market risk, credit risk and operational risk.
Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control.
7 unchanged sentences
The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies.
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, which exclude CRT securities issued by Freddie Mac and Fannie Mae, is guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities is backed by the full faith and credit of the U.S.
The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S.
−Removed: The Company is exposed to credit risk on commercial mortgage-backed securities, residential mortgage loans, CRT securities, other non-Agency mortgage-backed securities and corporate debt.
+Added: The Company is exposed to credit risk on commercial mortgage-backed securities, residential mortgage loans, CRT securities and other non-Agency mortgage-backed securities.
MSR values may also be adversely impacted by rising borrower delinquencies which would reduce servicing income and increase overall costs to service the underlying mortgage loans.
3 unchanged sentences
The Company’s vendor management policy establishes procedures for engaging, onboarding and monitoring the performance of third party vendors.
−Removed: These procedures include assessing a vendor’s financial health as well as oversight of its compliance with applicable laws and regulations, cybersecurity and business continuity programs and security of personally identifiable information.
−Removed: RELATED PARTY TRANSACTIONS
−Removed: Closing of the Internalization and Termination of Management Agreement
−Removed: On February 12, 2020, the Company entered into an internalization agreement (the “Internalization Agreement”) with the Former Manager and certain affiliates of the Former Manager.
−Removed: Pursuant to the Internalization Agreement, the Company agreed to acquire all of the outstanding equity interests of the Former Manager and the Former Manager’s direct and indirect parent companies from their respective owners (the “Internalization”) for nominal cash consideration ($ 1.00 ).
−Removed: In connection with the closing of the Internalization, on June 30, 2020, the Company acquired all of the assets and liabilities of the Former Manager (the net effect of which was immaterial in amount), and the Company transitioned from an externally-managed REIT to an internally-managed REIT.
−Removed: At the closing, all employees of the Former Manager became employees of the Company.
−Removed: The parties also terminated the Amended and Restated Management Agreement by and between the Company and the Former Manager (the “Management Agreement”) and therefore the Company no longer pays a management fee to, or reimburses expenses of, the Former Manager.
−Removed: Pursuant to the Internalization Agreement, the Former Manager waived any Acceleration Fee (as defined in the Management Agreement).
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
−Removed: Prior to the closing of the Internalization, the Former Manager, under the Management Agreement and subject to the supervision and direction of the Board, was responsible for (i) the selection, purchase and sale of assets for the Company’s investment portfolio;
−Removed: (ii) recommending alternative forms of capital raising;
−Removed: (iii) supervising the Company’s financing and hedging activities;
−Removed: and (iv) day to day management functions.
−Removed: The Former Manager also performed such other supervisory and management services and activities relating to the Company’s assets and operations as appropriate.
−Removed: In exchange for the management services, the Company paid the Former Manager a monthly management fee, and the Former Manager was responsible for providing personnel to manage the Company.
−Removed: Prior to the closing of the Internalization, the Company had paid the Former Manager a monthly management fee for its management services in an amount equal to 1/12th of the sum of (i) 1.05% of Stockholders' Equity (as defined in the Management Agreement) up to $ 17.28 billion, and (ii) 0.75 % of Stockholders' Equity (as defined in the Management Agreement) in excess of $ 17.28 billion.
−Removed: The Company did not pay the Former Manager any incentive fees.
−Removed: For the six months ended June 30, 2020, the compensation and management fee computed in accordance with the Management Agreement was $ 77.9 million and reimbursement payments to the former manager was $ 14.2 million.
+Added: For mortgage loan servicers and sub-servicers, these procedures include assessing a vendor’s financial health as well as oversight of its compliance with applicable laws and regulations, cybersecurity and business continuity programs and security of personally identifiable information.
LEASE COMMITMENTS AND CONTINGENCIES
−Removed: The Company’s operating leases are primarily comprised of corporate office leases with a remaining lease terms of approximately three years and five years , respectively.
+Added: The Company’s operating leases are primarily comprised of corporate office leases with remaining lease terms of approximately two years and four years .
The corporate office leases include options to extend for up to five years , however the extension terms were not included in the operating lease liability calculation.
21 unchanged sentences
Present value of lease liabilities $ 7,511
+Added: ANNALY CAPITAL MANAGEMENT, INC.
+Added: AND SUBSIDIARIES
+Added: Financial Statements
Contingencies
2 unchanged sentences
There were no material contingencies at December 31, 2023 and 2022.
−Removed: ANNALY CAPITAL MANAGEMENT, INC.
−Removed: AND SUBSIDIARIES
−Removed: Financial Statements
SUBSEQUENT EVENTS
−Removed: In January 2023, the Company completed and closed the securitization of residential mortgage loans, OBX 2023-NQM1, with a face value of $ 405.2 million.
−Removed: The securitization represents financing transactions which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.
−Removed: In January 2023, the Company upsized capacity of an existing credit facility by $ 200 million for the Company’s residential mortgage loans.
−Removed: In February 2023, the Company closed a $ 250 million credit facility for Annaly’s MSR platform.
+Added: In January 2024, the Company completed and closed two securitization of residential mortgage loans, OBX 2024-NQM1, with a face value of $ 413.6 million, and OBX 2024-NQM2, with a face value of $ 496.0 million.
+Added: In February 2024, the Company completed and closed one securitization of residential mortgage loans, OBX 2024-HYB1, with a face value of $ 412.1 million.
+Added: These securitizations represent financing transactions which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
−Removed: February 16, 2023 By:
+Added: February 15, 2024
Chief Executive Officer and Chief Investment Officer (Principal Executive Officer)
8 unchanged sentences
Director February 15, 2024
−Removed: /s/ Wellington J.
−Removed: Wellington J.
−Removed: Director, Vice Chair of the Board February 16, 2023
/s/ Thomas Edward Hamilton
6 unchanged sentences
Director, Chair of the Board February 15, 2024
+Added: /s/ Martin Laguerre
+Added: Martin Laguerre
Director February 15, 2024
+Added: /s/ Manon Laroche
+Added: Manon Laroche
Director February 15, 2024
Director February 15, 2024
+Added: Director February 15, 2024
+Added: Director February 15, 2024
+Added: /s/ Scott Wede
+Added: Director February 15, 2024
/s/ Vicki Williams
2 unchanged sentences
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.