What changed in this filing

/stocks — the workspaceLOADING

Item 9A. Controls and Procedures

2025-02-13 compared with 2024-02-15 · 240 added, 221 removed, 1533 unchanged (23% of the section changed)

48 unchanged sentences

/s/ Ernst & Young LLP

New York, New York

February 13, 2025

15 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.

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.

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.

13 unchanged sentences

Information with respect to security ownership of certain beneficial owners and management is incorporated herein by reference to the proxy statement to be filed with the SEC within 120 days after December 31, 2024.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE

17 unchanged sentences

Articles of Amendment of the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.1 of the Registrant’s Registration Statement on Form S-3 (Registration Statement 333-74618) filed June 12, 2002).

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 August 3, 2006).

Articles of Amendment of the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.4 of the Registrant’s Quarterly Report on Form 10-Q filed May 7, 2008).

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 June 23, 2011).

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).

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).

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 August 3, 2006).

Articles of Amendment to the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.4 of the Registrant’s Quarterly Report on Form 10-Q filed May 7, 2008).

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 June 23, 2011).

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 23, 2019).

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 September 23, 2022).

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).

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).

48 unchanged sentences

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).*

Insider Trading Policy †

Insider Trading Policy (incorporated by reference to Exhibit 19.1 to the Registrant's Annual Report on Form 10-K filed February 15, 2024).

Subsidiaries of Registrant.

Consent of Ernst & Young LLP.

Dodd-Frank Clawback Policy †

Dodd-Frank Clawback Policy (incorporated by reference to Exhibit 97.1 to the Registrant's Annual Report on Form 10-K filed February 15, 2024).

Certification of David L.

Finkelstein, Chief Executive Officer and Chief Investment Officer (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C.

Finkelstein, Chief Executive Officer and C o- 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.

Finkelstein, Chief Executive Officer and Chief Investment Officer (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C.

Finkelstein, Chief Executive Officer and C o- 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.

18 unchanged sentences

† Submitted electronically herewith.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

FORM 10-K SUMMARY

15 unchanged sentences

Variable Interest Entities

S ale of Commercial Real Estate Business

Sale of Middle Market Lending Portfolio

51 unchanged sentences

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.

and management’s evaluation of the internal fair value mark to third-party management specialists’ ranges, as well as their evaluation of the competence and objectivity of those third-party management specialists, to assess the reasonableness of the fair values developed by the Company.

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.

We compared the assumptions made by management and management’s estimate of fair value to the assumptions and fair value ranges developed by management’s valuation specialists and our independent ranges to assess management’s estimates of fair value.

We also assessed the competence and objectivity of management’s independent valuation firms engaged to evaluate the reasonableness of the fair values developed by the Company.

We compared the assumptions made by management and management’s estimate of fair value to the assumptions and fair value ranges developed by third-party management specialists and our independent ranges to assess management’s estimates of fair value.

We also assessed the competence and objectivity of third-party management specialists engaged to evaluate the reasonableness of the fair values developed by the Company.

/s/ Ernst & Young LLP

We have served as the Company’s auditor since 2012.

New York, New York

February 13, 2025

37 unchanged sentences

1,536,569 1,536,569

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

Common stock, par value $ 0.01 per share, 1,468,250,000 authorized, 578,357,118 and 500,080,287 issued and outstanding, respectively

Additional paid-in capital 25,257,716 23,672,391

91 unchanged sentences

Reclassification adjustment for net (gains) losses included in net income (loss) 561,996 1,792,816 3,537,236

1,792,816 3,537,236 3,693

End of period $ ( 1,017,682 ) $ ( 1,335,400 ) $ ( 3,708,896 )

43 unchanged sentences

Treasury securities 8,613,104 2,015,608 —

Payments on U.S.

Treasury securities ( 8,156,998 ) — —

Net receipts (payments) on derivatives 779,334 ( 862,032 ) 3,643,954

15 unchanged sentences

Payments on purchases of interests in MSR — — ( 4,913 )

Investments in real estate — — ( 2,329 )

Proceeds from sales of real estate — — 53,910

Proceeds from reverse repurchase agreements 609,316,231 128,615,235 24,500,024

1 unchanged sentence

Distributions in excess of cumulative earnings from unconsolidated joint ventures 25,403 — —

Proceeds from sale of equity securities — — 6,957

Net proceeds from business divestiture — — 1,118,440

Net cash provided by (used in) investing activities ( 14,984,830 ) ( 8,415,890 ) ( 14,527,070 )

6 unchanged sentences

Payment of deferred financing cost ( 4,259 ) ( 4,012 ) —

Net proceeds from stock offerings, direct purchases and dividend reinvestments 673,693 2,636,000 552,215

Proceeds from participations issued 4,135,190 2,007,464 1,908,204

1 unchanged sentence

Principal payments on participations issued ( 45,722 ) ( 52,635 ) ( 50,712 )

Net principal receipts (payments) on mortgages payable — — ( 2,237 )

Net contributions (distributions) from (to) noncontrolling interests ( 11,449 ) ( 14,399 ) 72,389

Net proceeds from stock offerings, direct purchases and dividend reinvestments 1,558,316 673,693 2,636,000

Settlement of stock-based awards in satisfaction of withholding tax requirements ( 6,157 ) ( 6,661 ) ( 4,108 )

6 unchanged sentences

Interest received $ 3,782,985 $ 3,278,519 $ 2,459,012

Dividends received $ — $ — $ 51

Interest paid (excluding interest paid on interest rate swaps) $ 3,831,509 $ 3,551,873 $ 866,829

8 unchanged sentences

Derecognition of securitized debt of consolidated VIEs $ — $ — $ 391,928

Derecognition of mortgages payable $ — $ — $ 314,485

See notes to consolidated financial statements.

13 unchanged sentences

The Company’s principal business objective is to generate net income for distribution to its stockholders and optimize its returns through prudent management of its diversified investment strategies.

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”).

Annaly is an internally-managed company that has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”).

The Company’s three investment groups are primarily comprised of the following:

8 unchanged sentences

Actual results could differ materially from those estimates.

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).

Servicing income and servicing expense were previously included within Other income (loss).

As a result of this change, prior periods have been adjusted to conform to the current presentation.

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.

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.

As a result of these changes, prior periods have been adjusted to conform to the current presentation.

Reverse Stock Split

On September 8, 2022, the Company announced that its Board had unanimously approved a reverse stock split of the Company’s common stock at a ratio of 1-for-4 (the “Reverse Stock Split”).

The Reverse Stock Split was effective following the close of business on September 23, 2022 (the “Effective Time”).

Accordingly, at the Effective Time, every four issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock.

No fractional shares were issued in connection with the Reverse Stock Split.

Instead, each stockholder that would have held fractional shares as a result of the Reverse Stock Split received cash in lieu of such fractional shares.

The par value per share of the Company’s common stock remained unchanged at $ 0.01 per share after the Reverse Stock Split.

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

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

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.

SIGNIFICANT ACCOUNTING POLICIES

9 unchanged sentences

Refer to the “Variable Interest Entities” Note for further information.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting.

18 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.

Compensation expense is recognized ratably over

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

the vesting or requisite service period of the award.

Compensation expense is recognized ratably over the vesting or requisite service period of the award.

Stock-based awards that contain market-based conditions are valued using a model.

5 unchanged sentences

Interest Income - The Company recognizes interest income primarily on Residential Securities (as defined in the “Securities” Note), residential mortgage loans, commercial investments and reverse repurchase agreements.

Interest accrued but not received is recognized as Interest receivable on the Consolidated Statements of Financial Condition.

Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income (Loss).

Interest accrued but not received is recognized as Interest receivable in the Consolidated Statements of Financial Condition.

Interest income is presented as a separate line item in the Consolidated Statements of Comprehensive Income (Loss).

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.

5 unchanged sentences

Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

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.

18 unchanged sentences

Refer to the “Income Taxes” Note for further discussion on income taxes.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Recent Accounting Pronouncements

The Company has early adopted ASU 2023-07, Improvements to Segment Reporting, as its Residential Credit and MSR operating segments have become a more significant component of consolidated results.

Refer to the “Segments” Note for more information.

The Company reviewed 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.

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

ANNALY CAPITAL MANAGEMENT, INC.

13 unchanged sentences

Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through earnings 74,278 222,444

Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings — 17,903

Total securities 69,756,447 69,613,565

Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,546,902 2,353,084

Total loans, net 2,353,084 1,809,832

Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 21,973,188 13,307,622

Total assets transferred or pledged to securitization vehicles 13,307,622 9,121,912

Repurchase agreements Repurchase agreements Amortized cost $ 65,688,923 $ 62,201,543

5 unchanged sentences

(2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities purchased prior to July 1, 2022.

(3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities.

(3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, CMO and multifamily securities.

The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities.

2 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.

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).

For the years ended December 31, 2024 and 2023, ($ 1.1 ) billion and $ 611.5 million of unrealized gains (losses) on Agency mortgage-backed securities, for which the fair value option was elected, 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.

4 unchanged sentences

When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired.

For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely

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.

Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis).

The credit loss, if any, will then be

ANNALY CAPITAL MANAGEMENT, INC.

1 unchanged sentence

Financial Statements

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).

The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss) as a securities loss provision and reflected as an allowance for credit losses on securities on the Consolidated Statements of Financial Condition, while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss).

For the year ended December 31, 2021, the Company recognized a $ 0.4 million impairment on a commercial mortgage-backed security that it intended to sell.

There was no impairment recognized for the years ended December 31, 2023 and 2022.

recognized in the Consolidated Statements of Comprehensive Income (Loss) as a securities loss provision and reflected as an allowance for credit losses on securities in the Consolidated Statements of Financial Condition, while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss).

When the fair value of a held-to-maturity security is less than the cost, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security.

8 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.

The following represents a rollforward of the activity for the Company’s securities for the year ended December 31, 2023:

The following table represents a rollforward of the activity for the Company’s securities for the year ended December 31, 2024:

Agency Securities Residential Credit Securities Commercial Securities Total

123 unchanged sentences

Otherwise, loans held for investment are carried at cost less impairment and loans held for sale are accounted for at the lower of cost or fair value.

Excluding loans transferred or pledged to securitization vehicles and loan warehouse facilities, as of December 31, 2023 and 2022, the Company reported $ 2.4 billion and $ 1.8 billion, respectively, of loans for which the fair value option was elected.

Excluding loans transferred or pledged to securitization vehicles, as of December 31, 2024 and 2023, the Company had $ 3.5 billion and $ 2.4 billion, respectively, of loans for which the fair value option was elected.

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.

3 unchanged sentences

Allowance for Losses – Prior to the sale of its corporate debt and commercial loan portfolios, the Company evaluated the need for a loss reserve on each of its loans classified as held-for investment and carried at amortized cost based upon estimated current expected credit losses.

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.

The Company recorded net loan loss (provisions) reversals of $ 0 , $ 0.2 million and $ 20.7 million for the years ended December 31, 2024, 2023 and 2022, respectively.

As of December 31, 2024 and 2023, the Company’s loan loss allowance was $ 0 and $ 0 , respectively.

13 unchanged sentences

The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts.

The Company also consolidates securitization trusts in which it retained securities because it also has certain powers and rights to direct the activities of such trusts.

Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts.

1 unchanged sentence

A subsidiary of the Company has engaged a third party to act as its custodian, agent and bailee for the purposes of receiving and holding certain documents, instruments and papers related to the residential mortgage loans it purchases.

Pursuant to the Company’s custodial agreement, the custodian segregates and maintains continuous custody of all documents constituting the mortgage file with respect to each mortgage loan owned by the subsidiary in secure and fire resistant facilities and in a manner consistent with the standard of care employed by prudent mortgage loan document custodians.

Pursuant to the custodial agreement, the custodian segregates and maintains continuous custody of all documents constituting the mortgage file with respect to each mortgage loan owned by the subsidiary in secure and fire resistant facilities and in a manner consistent with the standard of care employed by prudent mortgage loan document custodians.

At or prior to the funding of any residential mortgage loan, the related seller, pursuant to the terms of our mortgage loan purchase agreement, must deliver to the custodian, the mortgage loan documents including the mortgage note, the mortgage and other related loan documents.

3 unchanged sentences

Financial Statements

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles and excluding loan warehouse facilities, at December 31, 2023 and 2022:

December 31, 2024 December 31, 2023

2 unchanged sentences

Unpaid principal balance $ 26,297,725 $ 16,611,204

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for December 31, 2023 and 2022 for these investments, excluding loan warehouse facilities:

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for December 31, 2024 and 2023 for these investments:

For the Years Ended

7 unchanged sentences

Total included in net income (loss) $ 1,256,847 $ 1,073,553

(1) These amounts are presented in the line item Net gains (losses) on investments and other on the Consolidated Statements of Comprehensive Income (loss).

(1) These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss).

The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2024 and 2023 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

3 unchanged sentences

California 39.5 % California 40.1 %

Florida 10.6 % New York 10.3 %

New York 10.9 % Florida 10.6 %

Florida 10.1 % New York 10.5 %

Texas 5.4 % Texas 5.6 %

17 unchanged sentences

At December 31, 2024 and 2023, approximately 16 % 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.

The Company participated in an arrangement that provided a residential mortgage loan warehouse facility to a third party originator.

The arrangement was not renewed and expired during the quarter-ended September 30, 2023.

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.

At both December 31, 2023 and December 31, 2022, there were no outstanding balances on this warehouse facility.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

MORTGAGE SERVICING RIGHTS

3 unchanged sentences

The Company generally intends to hold the MSR as investments and elected to account for all of its investments in MSR at fair value.

As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

Interests in MSR represent agreements to purchase all, or a component of, net servicing cash flows.

A third party acted as a master servicer for the loans providing the net servicing cash flows represented by the Interests in MSR.

The Company accounts for its Interests in MSR at fair value with change in fair value presented in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

Cash flows received for Interests in MSR are recorded in Other, net in the Consolidated Statements of Comprehensive Income (Loss).

The following tables present activity related to MSR and Interests in MSR for the years ended December 31, 2023 and 2022:

As such, they are recognized at fair value in the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

The following table presents activity related to MSR for the years ended December 31, 2024 and 2023:

Mortgage Servicing Rights December 31, 2024 December 31, 2023

3 unchanged sentences

863,113 397,585

Transfers — 82,650

Sales ( 69,703 ) —

6 unchanged sentences

(2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.

Interests in MSR December 31, 2022

(dollars in thousands)

Beginning balance $ 69,316

Purchases (1)

Transfers ( 82,650 )

Gain (loss) included in net income 8,474

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.

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.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

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.

5 unchanged sentences

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.

Residential securitizations are issued by entities generally referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions that provide non-recourse financing to the Company and are collateralized by residential mortgage loans purchased by the Company.

Residential securitizations closed during the year are included in the table below.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Securitization Date of Closing Face Value at Closing

1 unchanged sentence

OBX 2024-NQM1 January 2024 $ 413,581

OBX 2023-J1 February 2023 $ 305,755

OBX 2024-NQM2 January 2024 $ 495,980

OBX 2024-HYB1 February 2024 $ 412,084

OBX 2024-NQM3 February 2024 $ 439,904

OBX 2024-NQM4 March 2024 $ 592,448

OBX 2024-HYB2 March 2024 $ 397,787

OBX 2024-NQM5 April 2024 $ 574,553

OBX 2024-NQM6 April 2024 $ 441,421

OBX 2024-NQM7 May 2024 $ 551,759

OBX 2023-INV1 May 2023 $ 314,839

OBX 2024-NQM8 May 2024 $ 723,086

OBX 2024-NQM9 June 2024 $ 532,126

OBX 2024-NQM10 July 2024 $ 482,526

OBX 2024-NQM11 July 2024 $ 602,981

OBX 2024-NQM12 August 2024 $ 532,193

OBX 2024-NQM13 September 2024 $ 582,213

OBX 2024-J1 September 2024 $ 357,801

OBX 2024-NQM14 September 2024 $ 600,909

OBX 2024-NQM15 October 2024 $ 635,777

OBX 2023-J2 November 2023 $ 303,008

OBX 2024-NQM16 November 2024 $ 538,022

OBX 2024-NQM17 November 2024 $ 619,309

OBX 2024-NQM18 December 2024 $ 478,317

5 unchanged sentences

The contractual principal amount of the OBX Trusts’ debt held by third parties was $ 20.5 billion and $ 12.6 billion at December 31, 2024 and 2023, respectively.

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).

During the years ended December 31, 2024 and 2023, the Company recorded $ 3.5 million and ($ 305.2 ) 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).

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.

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Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information on the transaction.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Corporate Debt Funds

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Refer to the “Sale of Middle Market Lending Portfolio” Note for additional information on the transaction.

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Financial Statements

Residential Credit Fund

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These transfers do not meet the criteria for sale accounting and are accounted for as secured borrowings, thus the residential loans are reported as Loans, net and the associated liability is reported as Participations issued in the Consolidated Statements of Financial Condition.

The Company elected to fair value the participations issued through earnings to more accurately reflect the economics of the transfers as the underlying loans are carried at fair value through earnings.

SALE OF COMMERCIAL REAL ESTATE BUSINESS

On March 25, 2021, the Company entered into a definitive agreement to sell substantially all of the assets that comprise its CRE business to Slate Asset Management L.P.

and Slate Grocery REIT (together, “Slate”) for $ 2.33 billion.

The transaction included equity interests, loan assets and associated liabilities, and CMBS (other than commercial CRTs).

The Company also sold nearly all of the remaining CRE business assets that were not included in the transaction with Slate.

Certain employees who primarily supported the CRE business joined Slate in connection with the sale.

In connection with the execution of the definitive agreement to sell the CRE business, during the year ended December 31, 2021, the Company performed an assessment of goodwill, which was related to the Company’s 2013 acquisition of CreXus Investment Corp., and recognized an impairment of $ 71.8 million.

During the year ended December 31, 2021, the Company reported Business divestiture-related gains (losses) of ($ 262.0 ) million, in its Consolidated Statements of Comprehensive Income (Loss) which includes the aforementioned goodwill impairment as well as valuation adjustments resulting from classifying the CRE assets as held for sale and estimated transaction costs.

As of December 31, 2022, the assets held for sale and the associated liabilities were transferred to Slate.

The Company elected the fair value option for participations issued with changes in fair value reflected in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss) to more accurately reflect the economics of the transfers as the underlying loans are carried at fair value through earnings.

SALE OF MIDDLE MARKET LENDING PORTFOLIO

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Treasuries and market liquidity.

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

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

under the stated contract.

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.

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.

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At December 31, 2024 and 2023, ($ 3.3 ) billion and ($ 2.4 ) billion, respectively, of variation margin was reported as an adjustment to interest rate swaps, at fair value.

Initial margin is reported in Cash and cash equivalents in the Consolidated Statements of Financial Condition.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk.

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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.

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Financial Statements

The following table summarizes fair value information about the Company’s derivative assets and liabilities at December 31, 2024 and 2023:

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Purchase commitments 5,185 339

Credit derivatives (1)

Total derivative liabilities $ 59,586 $ 302,295

(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.

As of December 31, 2022, the credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and AA.

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Financial Statements

The following tables summarize certain characteristics of the Company’s interest rate swaps at December 31, 2024 and 2023:

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Total / Weighted average $ 58,829,554 3.04 % 5.31 % 5.36

(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.

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.

(1) As of December 31, 2024, 95 % and 5 % of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.

As of December 31, 2023, 94 % and 6 % of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.

(2) There were no forward starting swaps at December 31, 2024 and December 31, 2023.

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As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.

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Financial Statements

The following tables summarize certain characteristics of the Company’s swaptions at December 31, 2024 and 2023:

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(dollars in thousands)

Long pay $ 2,500,000 2.02 % 3M LIBOR 8.19 14.28

Long receive $ 750,000 1.57 % 3M LIBOR 11.07 12.82

Long pay $ 1,250,000 2.21 % SOFR 7.69 8.21

Long receive $ 500,000 1.65 % SOFR 10.30 3.53

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

The following tables summarize certain characteristics of the Company’s TBA derivatives at December 31, 2024 and 2023:

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$ 6,511,600 $ — 1.98

Treasury futures - 5 year

1,960,500 — 4.40

Treasury futures - 10 year and greater

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$ — $ ( 5,001,400 ) 1.97

Treasury futures - 5 year

— ( 5,803,400 ) 4.37

Treasury futures - 10 year and greater

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Interest rate swaps, at fair value $ 21,226 $ ( 8,138 ) $ — $ 13,088

Interest rate swaptions, at fair value 105,883 ( 45,930 ) ( 57,320 ) 2,633

TBA derivatives, at fair value 8,635 ( 879 ) ( 929 ) 6,827

Futures contracts, at fair value 190,980 ( 16,650 ) — 174,330

Purchase commitments 4,510 — — 4,510

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TBA derivatives, at fair value 20,689 ( 13,282 ) — 7,407

Futures contracts, at fair value 33,179 ( 2,414 ) — 30,765

Purchase commitments 9,641 — — 9,641

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Purchase commitments 339 — — 339

Credit derivatives 13,799 — ( 9,291 ) 4,508

The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows:

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Year Ended December 31, 2024

Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments

Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives

(dollars in thousands)

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Net interest rate swaptions ( 37,401 ) ( 68,482 ) ( 105,883 )

Futures 194,316 ( 201,095 ) ( 6,779 )

( 96,667 ) 354,164 257,497

Purchase commitments — ( 9,975 ) ( 9,975 )

Credit derivatives ( 19,368 ) 13,260 ( 6,108 )

Total $ 124,895

(1) For the year ended December 31, 2024, includes ($ 6.8 ) million of realized loss related to SOFR futures options.

Year Ended December 31, 2023

Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments

Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives

(dollars in thousands)

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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.

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.

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Financial Statements

The aggregate fair value of all derivative instruments with the aforementioned features were in a net asset position at December 31, 2024.

FAIR VALUE MEASUREMENTS

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If the inputs used to measure the financial instrument and MSR fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument.

Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows:

Financial assets and liabilities recorded at fair value in the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows:

Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets.

Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.

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Financial Statements

Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value.

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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.

Consequently, commercial real estate debt investments carried at fair value are classified as Level 2.

Consequently, commercial mortgage-backed securities carried at fair value are classified as Level 2.

For the fair value of debt issued by securitization vehicles, refer to the “Variable Interest Entities” Note for additional information.

The Company classifies its investments in MSR and Interests in MSR as Level 3 in the fair value measurements hierarchy.

The Company has classified its investments in MSR as Level 3.

Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations.

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.

Model valuations are then compared to valuations

These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including discount rates, prepayment rates, delinquency rates and costs to service.

Model valuations are then compared to valuations obtained from third party pricing providers.

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 require significant judgment by management and the third party pricing providers.

Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

obtained from third party pricing providers.

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.

Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements.

The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis.

The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis as of December 31, 2024 and December 31, 2023.

There were no transfers between levels of the fair value hierarchy during the periods presented.

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Participations issued — 1,103,835 — 1,103,835

Treasury securities sold, not yet purchased 2,132,751 — — 2,132,751

Derivative liabilities

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For each of the individual relationships described below, the inverse relationship would also generally apply.

For MSR and Interests in MSR, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement.

A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSR and Interests in MSR, which in turn could result in a decline in the estimated fair value of MSR and Interests in MSR.

For MSR, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement.

A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSR, which in turn could result in a decline in the estimated fair value of MSR.

Refer to the “Mortgage Servicing Rights” Note for additional information, including rollforwards.

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 following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR.

The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.

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Beginning balance January 1, 2024

Impairment ( 1,626 )

amortization expense

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Amounts offset in accordance with netting arrangements.

( 2,613,088 )

Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition.

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Amounts offset in accordance with netting arrangements.

( 2,268,293 )

Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition.

(1) No repurchase agreements had a remaining maturity over 1 year at December 31, 2023 and 2022.

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.

(1) Less than 1 % of the total repurchase agreements had a remaining maturity over 1 year at December 31, 2024.

No repurchase agreements had a remaining maturity over 1 year at December 31, 2023.

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, 2024 and 2023.

Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.

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Netted amounts $ — $ 65,688,923 $ — $ 62,201,543

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.

The fair value of collateral received in connection with reverse repurchase agreements as of December 31, 2024 was $ 2.6 billion, of which the Company sold $ 2.5 billion.

The fair value of collateral received in connection with reverse repurchase agreements as of December 31, 2023 was $ 2.3 billion, of which the Company sold $ 2.1 billion.

The amount of collateral sold is reported at fair value in the Company’s Consolidated Statements of Financial Condition as U.S.

Treasury securities sold, not yet purchased.

There were no reverse repurchase agreements or related collateral sold as of December 31, 2022.

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.

Other Secured Financing - As of December 31, 2024, the Company had $ 1.6 billion in total committed credit facilities to finance a portion of its MSR portfolio.

Outstanding borrowings under this facility as of December 31, 2024 totaled $ 750.0 million with maturities ranging between one month to two years .

As of December 31, 2023, the Company had $ 1.25 billion in total committed credit facilities to finance a portion of its MSR portfolio.

Outstanding borrowings under this facility as of December 31, 2023 totaled $ 500.0 million with maturities ranging between six months to one year .

The weighted average interest average rate of the borrowings was 8.09 % as of December 31, 2023.

The weighted average interest rate of the borrowings was 7.21 % and 8.09 % as of December 31, 2024 and 2023, respectively.

Borrowings are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition.

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1,468,250,000 1,468,250,000 578,357,118 500,080,287 $ 0.01

In December 2020, the Company announced that its Board authorized the repurchase of up to $ 1.5 billion of its outstanding common shares through December 31, 2021 (the “Prior Share Repurchase Program”).

In January 2022, the Company announced that its Board authorized the repurchase of up to $ 1.5 billion of its outstanding shares of common stock through December 31, 2024 (the “Current Share Repurchase Program”).

The Current Share Repurchase Program replaced the Prior Share Repurchase Program.

During the years ended December 31, 2023 and 2022, no shares were repurchased under the Current Share Repurchase Program or Prior Share Repurchase Program.

In January 2022, the Company announced that its Board authorized the repurchase of up to $ 1.5 billion of its outstanding shares of common stock through December 31, 2024 (the “Prior Common Stock Repurchase Program”).

In January 2025, the Company announced that its Board authorized the repurchase of up to $ 1.5 billion of its outstanding shares of common stock through December 31, 2029 (the “Current Common Stock Repurchase Program”).

The Current Common Stock Repurchase Program replaced the Prior Common Stock Repurchase Program.

During the years ended December 31, 2024 and 2023, no shares were repurchased under the Prior Common Stock Repurchase Program.

Purchases made pursuant to the Current Common Stock Repurchase Program will be made in either the open market or in privately negotiated transactions from time to time as permitted by securities laws and other legal requirements.

The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors.

The authorization does not obligate the Company to acquire any particular amount of common stock and the program may be suspended or discontinued at our discretion without prior notice.

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.

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.

2 to the Amended and Restated Distribution Agency Agreements on November 3, 2022, collectively, the “Prior 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.

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”).

Morgan Securities LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Prior Sales Agents”).

Pursuant to the Prior Sales Agreements, the Company offered and sold shares of its common stock, having an aggregate offering price of up to $ 1.5 billion, from time to time through any of the Prior Sales Agents (the “Prior At-the-Market Sales Program”).

On September 20, 2024, the Company entered into new Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., Citizens JMP Securities, LLC, Goldman Sachs & Co.

Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co., LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “Sales Agents”), which terminated and replaced the Prior Sales Agreements.

Under the terms of 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 “Current At-the-Market Sales Program” and, together with the Prior At-the-Market Sales Program, the “at-the-market sales program”).

During the year ended December 31, 2024, under the at-the-market sales program, the Company issued 77.9 million shares for proceeds of $ 1.6 billion, net of commissions and fees.

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.

The foregoing share amounts have been retroactively adjusted to reflect the effects of the Reverse Stock Split.

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.

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.

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Financial Statements

(B) Preferred Stock

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(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.

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Financial Statements

Each series of preferred stock has a par value of $ 0.01 per share and a liquidation and redemption price of $ 25.00 , plus accrued and unpaid dividends through their redemption date.

1 unchanged sentence

The Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, Series G Fixed-to-Floating Rate Cumulative Preferred Stock and Series I Fixed-to-Floating Rate Cumulative Preferred Stock rank senior to the common stock of the Company.

On November 3, 2022, the Company’s Board of Directors approved a repurchase plan for all of its existing outstanding Preferred Stock (as defined below, the “Preferred Stock Repurchase Program”).

Under the terms of the plan, the Company is authorized to repurchase up to an aggregate of 63,500,000 shares of Preferred Stock, comprised of up to (i) 28,800,000 shares of its 6.95 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series F Preferred Stock”), (ii) 17,000,000 shares of its 6.50 % Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series G Preferred Stock”), and (iii) 17,700,000 shares of its 6.75 % Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series I Preferred Stock”, and together with Series F Preferred Stock and Series G Preferred Stock, the “Preferred Stock”).

The aggregate liquidation value of the Preferred Stock that may be repurchased by the Company pursuant to the Preferred Stock Repurchase Program, as of November 3, 2022, was approximately $ 1.6 billion.

The Preferred Stock Repurchase Program became effective on November 3, 2022, and shall expire on December 31, 2024.

No shares were repurchased with respect to the Preferred Stock Repurchase Program during the year ended December 31, 2023.

On November 3, 2022, the Company’s Board of Directors approved a repurchase plan for all of its existing outstanding Preferred Stock (as defined below, the “Prior Preferred Stock Repurchase Program”).

Under the terms of the Prior Preferred Stock Repurchase Program plan, the Company is authorized to repurchase up to an aggregate of 63,500,000 shares of Preferred Stock, comprised of up to (i) 28,800,000 shares of its 6.95 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series F Preferred Stock”), (ii) 17,000,000 shares of its 6.50 % Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series G Preferred Stock”), and (iii) 17,700,000 shares of its 6.75 % Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series I Preferred Stock”, and together with Series F Preferred Stock and Series G Preferred Stock, the “Preferred Stock”).

The aggregate liquidation value of the Preferred Stock that may be repurchased by the Company pursuant to the Prior Preferred Stock Repurchase Program, as of November 3, 2022, was approximately $ 1.6 billion.

The Prior Preferred Stock Repurchase Program became effective on November 3, 2022, and expired on December 31, 2024.

No shares were repurchased with respect to the Prior Preferred Stock Repurchase Program during the year ended December 31, 2024.

On December 31, 2024, the Board approved a repurchase plan for all of its existing outstanding Preferred Stock (as defined below, the “Current Preferred Stock Repurchase Program”).

Under the terms of the Current Preferred Stock Repurchase Program, we are authorized to repurchase up to an aggregate of 63,500,000 shares of Preferred Stock, comprised of up to (i) 28,800,000 shares of its Series F Preferred Stock, (ii) 17,000,000 shares of its Series G Preferred Stock, and (iii) 17,700,000 shares of its Series I Preferred Stock.

The aggregate liquidation value of the Preferred Stock that may be repurchased by the Company pursuant to the Current Preferred Stock Repurchase Program, as of December 31, 2024, was approximately $ 1.6 billion.

The Current Preferred Stock Repurchase Program replaced the Prior Preferred Stock Repurchase Program.

The Current Preferred Stock Repurchase Program became effective on January 1, 2025, and will expire on December 31, 2029.

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Financial Statements

18 unchanged sentences

$ 2.149 $ 1.688

(1) For the year ended December 31, 2024, 100 % of common stock dividend distributions of $ 2.60 per share declared in calendar year 2024 were taxable as ordinary income.

For the year ended December 31, 2023, 100 % 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.

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.

(2) For the years ended December 31, 2024 and 2023, 100 % of the preferred stock dividend distributions per share were taxable as ordinary income.

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For RSUs that vest, the underlying shares of common stock are delivered (net of required withholding tax) as outlined in the applicable award agreements.

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.

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Financial Statements

150 % of the grant amount.

PSUs are subject 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.

Award agreements generally provide that vesting is accelerated in certain circumstances, such as death and disability.

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This cost is expected to be recognized over a weighted average period of 1.83 years.

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Financial Statements

INTEREST INCOME AND INTEREST EXPENSE

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Prime jumbo (2)

(1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022.

Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other on the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities.

(2) Changes in fair value are recognized in Net gains (losses) on investments and other on the accompanying Consolidated Statements of Comprehensive Income (Loss).

(1) Changes in fair value are recognized in Other comprehensive income (loss) in the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022.

Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities.

(2) Changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss).

(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.

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(1) Includes assets transferred or pledged to securitization vehicles.

(2) Includes commercial real estate debt and preferred equity and corporate debt.

(2) Includes corporate debt.

ANNALY CAPITAL MANAGEMENT, INC.

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The computations of diluted net income (loss) per share available (related) to common share for the years ended December 31, 2023 and 2022 exclude 1.9 million and 0.7 million, respectively, of potentially dilutive restricted stock units and performance stock units because their effect would have been anti-dilutive.

There were no potentially dilutive restricted stock units or performance stock units for the year ended December 31, 2024.

For the year ended December 31, 2024 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860.

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The Company’s TRSs are subject to federal, state and local taxes.

During the years ended December 31, 2023, 2022 and 2021 the Company recorded $ 39.4 million, $ 45.6 million and $ 4.7 million, respectively, of income tax expense (benefit) attributable to its TRSs.

The Company’s federal, state and local tax returns from 2021 and forward remain open for examination.

During the years ended December 31, 2024, 2023 and 2022 the Company recorded $ 15.3 million, $ 39.4 million and $ 45.6 million, respectively, of income tax expense (benefit) attributable to its TRSs.

Income tax expense (benefit) consists of the following:

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

For the Years Ended

December 31, 2024 December 31, 2023 December 31, 2022

(dollars in thousands)

Current Tax Expense (Benefit)

Federal $ 771 $ — $ 133

State and local 240 28 115

Total current income tax expense (benefit) $ 1,011 $ 28 $ 248

Deferred Tax Expense (Benefit)

Federal $ 12,468 $ 34,480 $ 39,658

State and local 1,781 4,926 5,665

Total deferred income tax expense (benefit) $ 14,249 $ 39,406 $ 45,323

Total income tax expense (benefit) $ 15,260 $ 39,434 $ 45,571

The difference between the Company's reported income tax provision and the U.S.

federal statutory rate of 21.0% and state income tax rates is as follows:

For the Years Ended

December 31, 2024 December 31, 2023 December 31, 2022

Statutory federal income tax rate 21.0 % 21.0 % 21.0 %

Non-taxable REIT income ( 22.5 %) ( 25.2 %) ( 21.0 %)

State and local taxes 3.0 % 3.0 % 3.0 %

VIE and Other — % ( 1.3 %) ( 0.3 %)

Change in valuation allowance — % — % — %

Total provision 1.5 % ( 2.5 %) 2.6 %

As of December 31, 2024, the Company recorded a net deferred tax asset of $ 62.9 million resulting primarily from loss carryforwards, securitization gains and unrealized losses on swaps, and a net deferred tax liability of $ 131.9 million resulting primarily from unrealized gains on MSR, which is included in Other assets and Other liabilities, respectively, in the Consolidated Statements of Financial Condition.

As of December 31, 2024, no valuation allowance was established.

As of December 31, 2024, the Company's TRSs had approximately $ 50.3 million of net operating loss carryforwards for federal income tax purposes which may be available to offset future taxable income, including approximately $ 7.9 million of net operating loss carryforwards that are subject to an annual limitation under Internal Revenue Code Section 382 and $ 42.4 million that can be carried forward indefinitely.

The Company operates in three reportable segments further described in the Description of Business Note.

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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.

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.

The following table presents the results of operations of the Company’s reportable operating segments for the years ended December 31, 2023 and 2022:

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 stockholders plus common stock dividends declared divided by the prior period’s stockholders’ equity attributable to common stockholders), 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.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

The following tables present the results of operations of the Company’s reportable operating segments for the years ended December 31, 2024, 2023 and 2022:

December 31, 2024

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Total assets $ 71,167,416 $ 19,149,003 $ 2,578,644 $ 332,173 $ 93,227,236

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

December 31, 2022

Agency Residential Credit MSR Corporate & Other Consolidated

(dollars in thousands)

Interest income $ 2,146,583 $ 550,449 $ — $ 81,855 $ 2,778,887

Interest expense 936,063 344,669 6,202 22,801 1,309,735

Net interest income 1,210,520 205,780 ( 6,202 ) 59,054 1,469,152

Servicing and related income — — 246,926 — 246,926

Servicing and related expense — — 25,145 — 25,145

Net servicing income — — 221,781 — 221,781

Other income (loss) 480,383 ( 147,908 ) ( 47,510 ) ( 41,178 ) 243,787

Total general and administrative expenses 50,817 47,005 29,784 35,123 162,729

Income (loss) before income taxes 1,640,086 10,867 138,285 ( 17,247 ) 1,771,991

Income taxes ( 792 ) ( 10,485 ) 57,055 ( 207 ) 45,571

Net income (loss) 1,640,878 21,352 81,230 ( 17,040 ) 1,726,420

Net income (loss) attributable to noncontrolling interest — 1,088 — 7 1,095

Net income (loss) attributable to Annaly 1,640,878 20,264 81,230 ( 17,047 ) 1,725,325

Dividends on preferred stock — — — 110,623 110,623

Net income (loss) available (related) to common stockholders 1,640,878 20,264 81,230 ( 127,670 ) 1,614,702

Unrealized gains (losses) on available-for-sale securities ( 8,204,542 ) — — — ( 8,204,542 )

Reclassification adjustment for net (gains) losses included in net income (loss) 3,537,236 — — — 3,537,236

Other comprehensive income (loss) ( 4,667,306 ) — — — ( 4,667,306 )

Comprehensive income (loss) ( 3,026,428 ) 21,352 81,230 ( 17,040 ) ( 2,940,886 )

Comprehensive income (loss) attributable to noncontrolling interests — 1,088 — 7 1,095

Comprehensive income (loss) attributable to Annaly $ ( 3,026,428 ) $ 20,264 $ 81,230 $ ( 17,047 ) $ ( 2,941,981 )

Noncash investing and financing activities:

Receivable for unsettled trades 572,089 — 3,002 — 575,091

Payable for unsettled trades 1,108,386 38 49,422 — 1,157,846

Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment ( 4,667,306 ) — — — ( 4,667,306 )

Dividends declared, not yet paid — — — 412,113 412,113

Total assets $ 65,080,130 $ 14,152,927 $ 1,931,176 $ 686,479 $ 81,850,712

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

RISK MANAGEMENT

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A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral or liquidating some of the existing collateral to reduce borrowing levels.

The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges.

The Company may seek to mitigate the potential financial impact of these risks by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges.

Weakness in the mortgage market, the shape of the yield curve, changes in the expectations for the volatility of future interest rates and deterioration of financial conditions in general may adversely affect the performance and market value of the Company’s investments.

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The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

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.

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The Company is exposed to risk of loss if an issuer, borrower or counterparty fails to perform its obligations under contractual terms.

The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, pre-purchase due diligence, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers and counterparties, credit rating monitoring and active servicer oversight.

The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, pre-purchase due diligence, maintaining qualifying collateral, continually assessing the creditworthiness of issuers, borrowers and counterparties, credit rating monitoring and active servicer oversight.

The Company depends on third party service providers to perform various business processes related to its operations, including mortgage loan servicers and sub-servicers.

The Company’s vendor management policy establishes procedures for engaging, onboarding and monitoring the performance of third party vendors.

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

The Company’s operating leases are primarily comprised of corporate office leases with remaining lease terms of approximately two years and four years .

The Company’s operating leases are primarily comprised of corporate office leases with remaining lease terms of approximately three years and seventeen 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.

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The lease cost for the year ended December 31, 2024 was $ 3.3 million.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Supplemental information related to leases as of and for the year ended December 31, 2024 was as follows:

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Total lease payments $ 65,639

Less imputed interest 297

imputed interest 37,001

Present value of lease liabilities $ 28,638

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Contingencies

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SUBSEQUENT EVENTS

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.

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.

In January 2025, the Company completed and closed one securitization of residential mortgage loans, OBX 2025-NQM1, with a face value of $ 618.4 million.

In February 2025, the Company completed and closed one securitization of residential mortgage loans, OBX 2025-NQM2, with a face value of $ 719.2 million.

These securitizations represent financing transactions which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.

In January 2025, the Company upsized capacity of an existing credit facility by $ 250 million for the Company’s MSR platform and closed a $ 300 million credit facility for the Company’s residential mortgage loans.

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.

February 13, 2025

Chief Executive Officer and Chief Investment Officer (Principal Executive Officer)

Chief Executive Officer and Co-Chief Investment Officer (Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the date indicated.

Signature Title Date

Chief Executive Officer, Chief Investment Officer, and Director (Principal Executive Officer)

Chief Executive Officer, Co-Chief Investment Officer, and Director (Principal Executive Officer)

February 13, 2025

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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.

What changed 10-K

Item 9A. Controls and Procedures