ANNALY CAPITAL MANAGEMENT INC 10-Q

Item 1. Financial Statements As of March 31, 2025 and December 31, 2024, a total carrying value of $ 21.8 billion and $ 19.5 billion, respectively, of bonds were held by third parties and the Company retained $ 2.5 billion and $ 2.3 billion, respectively, of MBS, which were eliminated in consolidation. 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. The liabilities of these securitization entities are deemed to be more observable and are used to measure the fair value of the assets. The Company incurred $ 6.8 million and $ 3.7 million of costs during the three months ended March 31, 2025 and 2024, respectively, in connection with these securitizations that were expensed as incurred. The contractual principal amount of the OBX Trusts’ debt held by third parties was $ 22.5 billion and $ 20.5 billion at March 31, 2025 and December 31, 2024, respectively. During the three months ended March 31, 2025 and 2024, the Company recorded ($ 170.9 ) million and $ 86.0 million, respectively, of unrealized gains (losses) on debt held by third parties issued by OBX Trusts, 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. Residential Credit Fund The Company manages a fund investing in participations in residential mortgage loans. The residential credit fund is deemed to be a VIE because the entity does not have sufficient equity at risk to permit the legal entity to finance its activities without additional subordinated financial support provided by any parties, including equity holders, as capital commitments are not considered equity at risk. The Company is not the primary beneficiary and does not consolidate the residential credit fund as its only interest in the fund is the management and performance fees that it earns, which are not considered variable interests in the entity. As of March 31, 2025 and December 31, 2024, the Company had outstanding participating interests in residential mortgage loans of $ 1.7 billion and $ 1.2 billion, respectively. 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 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. 9. DERIVATIVE INSTRUMENTS Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, U.S. Treasury and Secured Overnight Financing Rate (“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. The Company may also enter into TBA derivatives, U.S. 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. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. 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 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. In the case of market agreed coupon (“MAC”) interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swaps, which represents fair value of these swaps, to compensate for the out of market nature of such interest rate swaps. Subsequent changes in fair value from inception of these interest rate swaps are reflected within Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts. 15 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements Derivatives are recognized as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on derivatives. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. In accordance with a clearing organization’s rulebook, the Company presents the fair value of centrally cleared interest rate swaps net of variation margin pledged or received under such transactions. At March 31, 2025 and December 31, 2024, ($ 2.6 ) billion and ($ 3.3 ) 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. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. 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. 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”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps, including MAC interest rate swaps, are generally fair valued using the DCO’s market values. If an interest rate swap is terminated, the realized gain (loss) on the interest rate swap would be equal to the difference between the cash received or paid and fair value. Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain (loss) on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions are estimated using internal pricing models and compared to the counterparty market values. TBA Dollar Rolls – TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing. Forward Purchase Commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. 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. 16 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements The following table summarizes fair value information about the Company’s derivative assets and liabilities at March 31, 2025 and December 31, 2024: Derivatives Instruments March 31, 2025 December 31, 2024 Assets (dollars in thousands) Interest rate swaps $ 8,012 $ 21,226 Interest rate swaptions 7,595 — TBA derivatives 35,095 8,635 Futures contracts 5,597 190,980 Purchase commitments 10,958 4,510 Total derivative assets $ 67,257 $ 225,351 Liabilities Interest rate swaps $ 18,455 $ 7,212 TBA derivatives 12,467 30,539 Futures contracts 148,371 16,650 Purchase commitments 1,772 5,185 Total derivative liabilities $ 181,065 $ 59,586 The following tables summarize certain characteristics of the Company’s interest rate swaps at March 31, 2025 and December 31, 2024: March 31, 2025 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 25,483,937 3.27 % 4.40 % 1.72 3 - 6 years 8,678,730 2.96 % 4.41 % 4.61 6 - 10 years 19,698,720 2.61 % 4.48 % 7.37 Greater than 10 years 1,591,381 3.38 % 4.41 % 22.96 Total / Weighted average $ 55,452,768 2.98 % 4.43 % 4.79 December 31, 2024 Maturity Current Notional (1) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (2) (dollars in thousands) 0 - 3 years $ 30,411,229 3.49 % 4.48 % 1.14 3 - 6 years 12,764,021 3.15 % 4.50 % 4.27 6 - 10 years 21,318,937 2.55 % 4.53 % 7.63 Greater than 10 years 1,559,384 3.40 % 4.41 % 23.25 Total / Weighted average $ 66,053,571 3.11 % 4.50 % 4.36 (1) As of March 31, 2025, 93 % and 7 % of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively. 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. (2) 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. 17 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements The following tables summarize certain characteristics of the Company’s swaptions at March 31, 2025 and December 31, 2024: March 31, 2025 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $ 1,000,000 4.68 % SOFR 10.83 9.92 Long receive $ — — % SOFR 0.00 0.00 December 31, 2024 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $ — — % SOFR 0.00 0.00 Long receive $ — — % SOFR 0.00 0.00 The following tables summarize certain characteristics of the Company’s TBA derivatives at March 31, 2025 and December 31, 2024: March 31, 2025 Purchase and Sale Contracts for Derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 6,902,000 $ 6,612,755 $ 6,635,383 $ 22,628 Net TBA derivatives $ 6,902,000 $ 6,612,755 $ 6,635,383 $ 22,628 December 31, 2024 Purchase and Sale Contracts for Derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 4,237,000 $ 4,239,001 $ 4,209,341 $ ( 29,660 ) Sale contracts ( 1,120,000 ) ( 1,080,943 ) ( 1,073,187 ) 7,756 Net TBA derivatives $ 3,117,000 $ 3,158,058 $ 3,136,154 $ ( 21,904 ) The following tables summarize certain characteristics of the Company’s futures derivatives at March 31, 2025 and December 31, 2024: March 31, 2025 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) U.S. Treasury futures - 10 year and greater $ — $ ( 11,659,400 ) 10.52 Total $ — $ ( 11,659,400 ) 10.52 December 31, 2024 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) U.S. Treasury futures - 2 year $ 6,511,600 $ — 1.98 U.S. Treasury futures - 5 year 1,960,500 — 4.40 U.S. Treasury futures - 10 year and greater — ( 9,840,500 ) 11.05 Total $ 8,472,100 $ ( 9,840,500 ) 7.11 The Company presents derivative contracts on a gross basis in the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. 18 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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 March 31, 2025 and December 31, 2024, respectively. March 31, 2025 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 8,012 $ ( 3,238 ) $ — $ 4,774 Interest rate swaptions, at fair value 7,595 — ( 7,515 ) 80 TBA derivatives, at fair value 35,095 ( 23,242 ) ( 11,270 ) 583 Futures contracts, at fair value 5,597 ( 5,597 ) — — Purchase commitments 10,958 — — 10,958 Liabilities Interest rate swaps, at fair value $ 18,455 $ ( 16,942 ) $ — $ 1,513 TBA derivatives, at fair value 12,467 ( 12,311 ) — 156 Futures contracts, at fair value 148,371 ( 5,597 ) ( 142,774 ) — Purchase commitments 1,772 — — 1,772 December 31, 2024 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 21,226 $ ( 8,138 ) $ — $ 13,088 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 Liabilities Interest rate swaps, at fair value $ 7,212 $ ( 7,212 ) $ — $ — TBA derivatives, at fair value 30,539 ( 19,495 ) — 11,044 Futures contracts, at fair value 16,650 ( 16,650 ) — — Purchase commitments 5,185 — — 5,185 The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps (1) Realized Gains (Losses) on Termination of Interest Rate Swaps (1) Unrealized Gains (Losses) on Interest Rate Swaps (1) For the three months ended (dollars in thousands) March 31, 2025 $ 191,545 $ ( 43,789 ) $ ( 753,601 ) March 31, 2024 $ 330,149 $ ( 21,237 ) $ 900,902 (1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended March 31, 2025 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ ( 14,355 ) $ 44,533 $ 30,178 Net interest rate swaptions — ( 8,600 ) ( 8,600 ) Futures ( 86,356 ) ( 317,103 ) ( 403,459 ) Purchase commitments — 9,859 9,859 Total $ ( 372,022 ) (1) For the three months ended March 31, 2025, includes $ 9.0 million of realized gain related to SOFR futures options. 19 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements Three Months Ended March 31, 2024 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ ( 8,615 ) $ 14,898 $ 6,283 Net interest rate swaptions — 30,631 30,631 Futures (1) ( 8,680 ) 145,709 137,029 Purchase commitments — ( 6,613 ) ( 6,613 ) Total $ 167,330 (1) For the three months ended March 31, 2024, includes $ 1.2 million of unrealized gain related to SOFR futures options. Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. 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 were in a net liability position at March 31, 2025 of $ 115.1 million, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. 10. FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSR that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments and MSR into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). 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 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. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Futures contracts and U.S. Treasury securities are valued using quoted prices for identical instruments in active markets and are classified as Level 1. 20 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. 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. 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. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions and TBA derivatives as Level 2. 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 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 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 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 requires 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 as of March 31, 2025 and December 31, 2024. There were no transfers between levels of the fair value hierarchy during the periods presented. 21 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements March 31, 2025 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 68,329,720 $ — $ 68,329,720 Credit risk transfer securities — 521,059 — 521,059 Non-Agency mortgage-backed securities — 1,451,524 — 1,451,524 Commercial mortgage-backed securities — 59,061 — 59,061 Loans Residential mortgage loans — 3,860,555 — 3,860,555 Mortgage servicing rights — — 3,272,902 3,272,902 Assets transferred or pledged to securitization vehicles — 24,464,281 — 24,464,281 Derivative assets Interest rate swaps — 8,012 — 8,012 Other derivatives 5,597 53,648 — 59,245 Total assets $ 5,597 $ 98,747,860 $ 3,272,902 $ 102,026,359 Liabilities Debt issued by securitization vehicles $ — $ 21,802,193 $ — $ 21,802,193 Participations issued — 1,748,273 — 1,748,273 U.S. Treasury securities sold, not yet purchased 2,519,125 — — 2,519,125 Derivative liabilities Interest rate swaps — 18,455 — 18,455 Other derivatives 148,371 14,239 — 162,610 Total liabilities $ 2,667,496 $ 23,583,160 $ — $ 26,250,656 December 31, 2024 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 67,434,068 $ — $ 67,434,068 Credit risk transfer securities — 754,915 — 754,915 Non-Agency mortgage-backed securities — 1,493,186 — 1,493,186 Commercial mortgage-backed securities — 74,278 — 74,278 Loans Residential mortgage loans — 3,546,902 — 3,546,902 Mortgage servicing rights — — 2,909,134 2,909,134 Assets transferred or pledged to securitization vehicles — 21,973,188 — 21,973,188 Derivative assets Interest rate swaps — 21,226 — 21,226 Other derivatives 190,980 13,145 — 204,125 Total assets $ 190,980 $ 95,310,908 $ 2,909,134 $ 98,411,022 Liabilities Debt issued by securitization vehicles $ — $ 19,540,678 $ — $ 19,540,678 Participations issued — 1,154,816 — 1,154,816 U.S. Treasury securities sold, not yet purchased 2,470,629 — — 2,470,629 Derivative liabilities Interest rate swaps — 7,212 — 7,212 Other derivatives 16,650 35,724 — 52,374 Total liabilities $ 2,487,279 $ 20,738,430 $ — $ 23,225,709 22 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements Qualitative and Quantitative Information about Level 3 Fair Value Measurements The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements are described below. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently from changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply. 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. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. Unobservable Input (1) Range (Weighted Average) (2) March 31, 2025 December 31, 2024 Discount rate 6.2 % - 12.2 % ( 8.2 %) 7.4 % - 12.4 % ( 8.4 %) Prepayment rate 4.4 % - 21.3 % ( 5.5 %) 4.7 % - 17.2 % ( 5.6 %) Delinquency rate 0.2 % - 3.9 % ( 1.2 %) 0.2 % - 4.1 % ( 1.3 %) Cost to service $ 83 - $ 98 ($ 87 ) $ 83 - $ 99 ($ 87 ) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at March 31, 2025 and December 31, 2024. March 31, 2025 December 31, 2024 Carrying Value Fair Value Carrying Value Fair Value Financial liabilities Repurchase agreements $ 61,659,460 $ 61,659,460 $ 65,688,923 $ 65,688,923 Other secured financing 900,000 900,000 750,000 750,000 The carrying values of repurchase agreements and short term other secured financing approximate fair value and are considered Level 2 fair value measurements. Long term other secured financing is valued using Level 2 inputs. 11. INTANGIBLE ASSETS Intangible assets, net Finite life intangible assets are amortized over their expected useful lives. As part of the Company’s management internalization transaction, which closed on June 30, 2020, the Company recognized an intangible asset for the acquired assembled workforce of approximately $ 41.2 million based on the replacement cost of the employee base acquired by the Company. 23 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements The following table presents the activity of finite lived intangible assets for the three months ended March 31, 2025. Intangible Assets, net (dollars in thousands) Beginning balance January 1, 2025 $ 9,416 Less: amortization expense ( 673 ) Ending balance March 31, 2025 $ 8,743 12. SECURED FINANCING Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. 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. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. 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. The Company had outstanding $ 61.7 billion and $ 65.7 billion of repurchase agreements with weighted average remaining maturities of 50 days and 32 days and weighted average rates of 4.56 % and 4.76 % at March 31, 2025 and December 31, 2024, respectively. In connection with its residential mortgage loans, the Company has select arrangements with counterparties to enter into repurchase agreements for $ 3.9 billion with remaining capacity of $ 2.2 billion at March 31, 2025. At March 31, 2025 and December 31, 2024, the repurchase agreements had the following remaining maturities and collateral types: March 31, 2025 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements (dollars in thousands) 1 day $ 22,600,000 $ — $ — $ — $ — $ 22,600,000 2 to 29 days 2,056,765 257,622 861,199 — 52,559 3,228,145 30 to 59 days 14,680,029 51,904 709,891 — — 15,441,824 60 to 89 days 20,336,079 36,152 411,299 223,945 — 21,007,475 90 to 119 days — — 115,425 — — 115,425 Over 119 days (1) — — 362,623 1,445,128 — 1,807,751 Total $ 59,672,873 $ 345,678 $ 2,460,437 $ 1,669,073 $ 52,559 $ 64,200,620 Amounts offset in accordance with netting arrangements ( 2,541,160 ) Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition $ 61,659,460 24 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements December 31, 2024 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — 2 to 29 days 28,603,831 405,341 861,271 — 66,010 29,936,453 30 to 59 days 34,496,443 116,087 682,037 251,357 — 35,545,924 60 to 89 days 692,255 47,583 545,684 — — 1,285,522 90 to 119 days 2,085 — 60,383 — — 62,468 Over 119 days (1) — — 332,040 1,139,604 — 1,471,644 Total $ 63,794,614 $ 569,011 $ 2,481,415 $ 1,390,961 $ 66,010 $ 68,302,011 Amounts offset in accordance with netting arrangements ( 2,613,088 ) Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition $ 65,688,923 (1) Less than 1 % of repurchase agreements had a remaining maturity over 1 year at March 31, 2025 and December 31, 2024. 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 March 31, 2025 and December 31, 2024. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. March 31, 2025 December 31, 2024 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 2,541,160 $ 64,200,620 $ 2,613,088 $ 68,302,011 Amounts offset ( 2,541,160 ) ( 2,541,160 ) ( 2,613,088 ) ( 2,613,088 ) Netted amounts $ — $ 61,659,460 $ — $ 65,688,923 The fair value of collateral received in connection with reverse repurchase agreements as of March 31, 2025 was $ 2.5 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, 2024 was $ 2.6 billion, of which the Company sold $ 2.5 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. Other Secured Financing - As of March 31, 2025, the Company had $ 1.8 billion in total committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under these facilities as of March 31, 2025 totaled $ 900.0 million with maturities ranging between one year to two years . 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 these facilities as of December 31, 2024 totaled $ 750.0 million with maturities ranging between one month to two years . The weighted average interest rate of the borrowings was 7.03 % and 7.21 % as of March 31, 2025 and December 31, 2024, respectively. Borrowings are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. Refer to the “Variable Interest Entities” Note for additional information on the Company’s other secured financing arrangements at December 31, 2024. Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $ 68.0 billion and $ 310.1 million, respectively, at March 31, 2025 and $ 71.8 billion and $ 332.7 million, respectively, at December 31, 2024. 25 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements 13. CAPITAL STOCK (A) Common Stock The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at March 31, 2025 and December 31, 2024. Shares authorized Shares issued and outstanding March 31, 2025 December 31, 2024 March 31, 2025 December 31, 2024 Par Value Common stock 1,468,250,000 1,468,250,000 602,338,286 578,357,118 $ 0.01 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 three months ended March 31, 2025 and 2024, no shares were repurchased under the Current Common Stock Repurchase Program or the Prior Common Stock Repurchase Program, respectively. On September 20, 2024, the Company entered into separate Distribution Agency Agreements (collectively, the “Prior Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., Citizens JMP Securities, LLC, Goldman Sachs & Co. LLC, J.P. 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 “Prior Sales Agents”). Under the terms of 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 “at-the-market sales program”). During the three months ended March 31, 2025, under the at-the-market sales program, the Company issued 23.3 million shares for proceeds of $ 495.7 million, net of commissions and fees. During the three months ended March 31, 2024, no shares were issued under the at-the-market sales program pursuant to the Prior Sales Agreements; however, the Company incurred costs to maintain the effectiveness of the at-the-market sales program that was in effect at that time. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at March 31, 2025 and December 31, 2024. In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets. Shares Authorized Shares Issued And Outstanding Carrying Value Contractual Rate Earliest Redemption Date (1) Effective Date of Floating Rate Dividend Period Floating Annual Rate (2) March 31, 2025 December 31, 2024 March 31, 2025 December 31, 2024 March 31, 2025 December 31, 2024 Fixed-to-floating rate 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 % 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 % 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. (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. 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. Through March 31, 2025, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. 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 December 31, 2024, the Board approved a repurchase plan for all of our existing outstanding Preferred Stock (as defined below) (the “Preferred Stock Repurchase Program”). Under the terms of the 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 26 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements 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 Preferred Stock Repurchase Program became effective on January 1, 2025 and will expire on December 31, 2029, and replaced the Preferred Stock repurchase program, which was effective from November 2, 2022 and expired on December 31, 2024 (the “Prior Preferred Stock Repurchase Program”). No shares were repurchased with respect to the Preferred Stock Repurchase Program during the three months ended March 31, 2025 and the Prior Preferred Stock Repurchase Program during the three months ended March 31, 2024. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended March 31, 2025 March 31, 2024 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 423,863 $ 326,872 Distributions declared per common share $ 0.70 $ 0.65 Distributions paid to common stockholders after period end $ 421,637 $ 325,286 Distributions paid per common share after period end $ 0.70 $ 0.65 Date of distributions paid to common stockholders after period end April 30, 2025 April 30, 2024 Dividends declared to series F preferred stockholders $ 17,250 $ 19,085 Dividends declared per share of series F preferred stock $ 0.599 $ 0.663 Dividends declared to series G preferred stockholders $ 9,310 $ 10,509 Dividends declared per share of series G preferred stock $ 0.548 $ 0.618 Dividends declared to series I preferred stockholders $ 10,597 $ 7,467 Dividends declared per share of series I preferred stock $ 0.599 $ 0.422 27 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements 14. INTEREST INCOME AND INTEREST EXPENSE Refer to the “Significant Accounting Policies” Note for details surrounding the Company’s accounting policy related to net interest income on securities and loans. The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows CMO (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime jumbo (2) Prospective (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. The following table presents the components of the Company’s interest income and interest expense for the three months ended March 31, 2025 and 2024. For the Three Months Ended March 31, 2025 March 31, 2024 Interest income (dollars in thousands) Agency securities $ 820,182 $ 751,516 Residential credit securities 40,207 55,996 Residential mortgage loans (1) 426,055 252,016 Commercial investment portfolio (1) 1,055 3,554 Reverse repurchase agreements 29,609 31,406 Total interest income $ 1,317,108 $ 1,094,488 Interest expense Repurchase agreements $ 760,783 $ 897,598 Debt issued by securitization vehicles 283,592 161,017 Participations issued 27,044 20,251 U.S. Treasury securities sold, not yet purchased 25,718 22,073 Total interest expense 1,097,137 1,100,939 Net interest income $ 219,971 $ ( 6,451 ) (1) Includes assets transferred or pledged to securitization vehicles. 28 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements 15. NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three months ended March 31, 2025 and 2024. For the Three Months Ended March 31, 2025 March 31, 2024 (dollars in thousands, except per share data) Net income (loss) $ 130,305 $ 465,174 Net income (loss) attributable to noncontrolling interests 6,081 2,282 Net income (loss) attributable to Annaly 124,224 462,892 Dividends on preferred stock 37,157 37,061 Net income (loss) available (related) to common stockholders $ 87,067 $ 425,831 Weighted average shares of common stock outstanding-basic 587,149,704 500,612,840 Add: Effect of stock awards, if dilutive 1,271,294 569,203 Weighted average shares of common stock outstanding-diluted 588,420,998 501,182,043 Net income (loss) per share available (related) to common share Basic $ 0.15 $ 0.85 Diluted $ 0.15 $ 0.85 There were no potentially dilutive restricted stock units or performance stock units for the three months ended March 31, 2025. The computations of diluted net income (loss) per share available (related) to common share for the three months ended March 31, 2024 exclude 1.5 million of potentially dilutive restricted stock units and performance stock units because their effect would have been anti-dilutive. 16. INCOME TAXES For the three months ended March 31, 2025, the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100 % of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Annaly TRS, Inc. 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. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at March 31, 2025 and December 31, 2024. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT and, therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. The Company’s federal, state and local tax returns from 2021 and forward remain open for examination. During the three months ended March 31, 2025 and 2024, the Company recorded $ 8.3 million and ($ 0.9 ) million, respectively, of income tax expense (benefit) attributable to its TRSs. 29 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements For the Three Months Ended March 31, 2025 March 31, 2024 (dollars in thousands) Current Tax Expense (Benefit) Federal $ — $ — State and local 13 — Total current income tax expense (benefit) $ 13 $ — Deferred Tax Expense (Benefit) Federal $ 7,222 $ ( 824 ) State and local 1,032 ( 119 ) Total deferred income tax expense (benefit) $ 8,254 $ ( 943 ) Total income tax expense (benefit) $ 8,267 $ ( 943 ) 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 Three Months Ended March 31, 2025 March 31, 2024 Statutory federal income tax rate 21.0 % 21.0 % Non-taxable REIT income ( 14.6 %) ( 24.5 %) State and local taxes 3.0 % 3.0 % VIE and Other ( 3.5 %) 0.3 % Change in valuation allowance — % — % Total provision 5.9 % ( 0.2 %) As of March 31, 2025, the Company recorded a net deferred tax asset of $ 72.6 million resulting primarily from loss carryforwards, securitization gains and unrealized losses on swaps, and a net deferred tax liability of $ 149.9 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 March 31, 2025, no valuation allowance was established. As of March 31, 2025, the Company's TRSs had approximately $ 61.5 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 $ 53.6 million that can be carried forward indefinitely. As of March 31, 2025, the Company's TRSs had approximately $ 31.5 million of capital loss carryforwards for federal income tax purposes which can be carried back three years and forward up to five years to offset capital gains. 17. SEGMENTS The Company operates in three reportable segments further described in the Description of Business Note. 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. These allocations are made to reflect the economic hedging relationship between investments within different operating segments. 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. 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 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. 30 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements The following tables present the reportable operating segments related to the Company’s results of operations for the three months ended March 31, 2025 and 2024: Three Months Ended March 31, 2025 Agency Resi-credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 849,200 $ 466,853 $ — $ 1,055 $ 1,317,108 Interest expense 718,253 378,174 — 710 1,097,137 Net interest income 130,947 88,679 — 345 219,971 Servicing and related income — — 140,435 — 140,435 Servicing and related expense — — 14,113 — 14,113 Net servicing income — — 126,322 — 126,322 Other income (loss) ( 166,925 ) 12,090 ( 2,961 ) ( 1,861 ) ( 159,657 ) Less: Total general and administrative expenses 17,316 15,506 9,393 5,849 48,064 Income (loss) before income taxes ( 53,294 ) 85,263 113,968 ( 7,365 ) 138,572 Income taxes 290 ( 524 ) 8,510 ( 9 ) 8,267 Net income (loss) ( 53,584 ) 85,787 105,458 ( 7,356 ) 130,305 Less: Net income (loss) attributable to noncontrolling interest — 6,081 — — 6,081 Net income (loss) attributable to Annaly ( 53,584 ) 79,706 105,458 ( 7,356 ) 124,224 Dividends on preferred stock — — — 37,157 37,157 Net income (loss) available (related) to common stockholders ( 53,584 ) 79,706 105,458 ( 44,513 ) 87,067 Unrealized gains (losses) on available-for-sale securities 164,877 — — — 164,877 Reclassification adjustment for net (gains) losses included in net income (loss) 65,403 — — — 65,403 Other comprehensive income (loss) 230,280 — — — 230,280 Comprehensive income (loss) 176,696 85,787 105,458 ( 7,356 ) 360,585 Comprehensive income (loss) attributable to noncontrolling interests — 6,081 — — 6,081 Comprehensive income (loss) attributable to Annaly $ 176,696 $ 79,706 $ 105,458 $ ( 7,356 ) $ 354,504 Noncash investing and financing activities: Receivable for unsettled trades 2,306 — 217 — 2,523 Payable for unsettled trades 2,220,276 — 84,498 — 2,304,774 Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 230,280 — — — 230,280 Dividends declared, not yet paid — — — 421,637 421,637 Total assets Total assets $ 70,429,198 $ 30,678,639 $ 3,849,181 $ 158,328 $ 105,115,346 31 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements Three Months Ended March 31, 2024 Agency Resi-credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 781,926 $ 309,008 $ — $ 3,554 $ 1,094,488 Interest expense 846,771 251,862 — 2,306 1,100,939 Net interest income ( 64,845 ) 57,146 — 1,248 ( 6,451 ) Servicing and related income — — 115,084 — 115,084 Servicing and related expense — — 12,216 — 12,216 Net servicing income — — 102,868 — 102,868 Other income (loss) 300,952 105,366 ( 870 ) 936 406,384 Less: Total general and administrative expenses 15,588 12,674 8,594 1,714 38,570 Income (loss) before income taxes 220,519 149,838 93,404 470 464,231 Income taxes 607 ( 1,679 ) 149 ( 20 ) ( 943 ) Net income (loss) 219,912 151,517 93,255 490 465,174 Less: Net income (loss) attributable to noncontrolling interest — 2,282 — — 2,282 Net income (loss) attributable to Annaly 219,912 149,235 93,255 490 462,892 Dividends on preferred stock — — — 37,061 37,061 Net income (loss) available (related) to common stockholders 219,912 149,235 93,255 ( 36,571 ) 425,831 Unrealized gains (losses) on available-for-sale securities ( 281,869 ) — — — ( 281,869 ) Reclassification adjustment for net (gains) losses included in net income (loss) 335,351 — — — 335,351 Other comprehensive income (loss) 53,482 — — — 53,482 Comprehensive income (loss) 273,394 151,517 93,255 490 518,656 Comprehensive income (loss) attributable to noncontrolling interests — 2,282 — — 2,282 Comprehensive income (loss) attributable to Annaly $ 273,394 $ 149,235 $ 93,255 $ 490 $ 516,374 Noncash investing and financing activities: Receivable for unsettled trades 907,634 5,000 28,732 — 941,366 Payable for unsettled trades 2,430,956 — 125,842 — 2,556,798 Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 53,482 — — — 53,482 Dividends declared, not yet paid — — — 325,286 325,286 Total assets Total assets $ 66,485,685 $ 21,525,612 $ 3,209,074 $ 263,175 $ 91,483,546 18. RISK MANAGEMENT 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. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. 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 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. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies. 32 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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. government. 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. government. 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. 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, 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 personal information. 19. LEASE COMMITMENTS AND CONTINGENCIES 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. Leases with an initial term of 12 months or less are not recorded on the balance sheet. The Company recognizes lease expense for these leases on a straight-line basis over the lease term. The lease cost for the three months ended March 31, 2025 and 2024 was $ 1.1 million and $ 0.8 million, respectively. Supplemental information related to leases as of and for the three months ended March 31, 2025 was as follows: Operating Leases Classification March 31, 2025 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 27,523 Liabilities Operating lease liabilities (1) Other liabilities $ 28,106 Lease term and discount rate Weighted average remaining lease term 16.8 years Weighted average discount rate (1) 7.0 % Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 1,028 (1) For the Company’s leases that do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2025 (remaining) $ 2,121 2026 261 2027 2,503 2028 3,854 2029 3,831 Later years 52,041 Total lease payments $ 64,611 Less imputed interest 36,505 Present value of lease liabilities $ 28,106 33 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at March 31, 2025 and December 31, 2024. 20. SUBSEQUENT EVENTS In April 2025, the Company completed and closed two securitizations of residential mortgage loans, OBX 2025-NQM6, with a face value of $ 553.2 million, and OBX 2025-NQM7, with a face value of $ 572.4 million. These securitizations represent financing transactions which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company. In April 2025, the Company upsized capacity of an existing credit facility by $ 100 million for the Company’s residential mortgage loans. On May 8, 2025, the Company entered into separate Distribution Agency Agreements with certain sales agents, which agreements terminated and replaced the Prior Sales Agreements. For additional information, see “Part II—Item 5. Other Information—Current At-the-Market Sales Program.” 34 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. Management’s Discussion and Analysis ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Special Note Regarding Forward-Looking Statements Certain statements contained in this quarterly report, and certain statements contained in our future filings with the Securities and Exchange Commission (the “SEC” or the “Commission”), in our press releases or in our other public or stockholder communications contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” or similar terms or variations on those terms or the negative of those terms. Such statements include those relating to the Company’s future performance, macro outlook, the interest rate and credit environments, tax reform and future opportunities. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities (“MBS”) and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of the Company’s assets; changes in business conditions and the general economy; the Company’s ability to grow its residential credit business; the Company's ability to grow its mortgage servicing rights business; credit risks related to the Company’s investments in credit risk transfer securities and residential mortgage-backed securities and related residential mortgage credit assets; risks related to investments in mortgage servicing rights; the Company’s ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting the Company’s business; the Company’s ability to maintain its qualification as a REIT for U.S. federal income tax purposes; the Company’s ability to maintain its exemption from registration under the Investment Company Act of 1940; and operational risks or risk management failures by us or critical third parties, including cybersecurity incidents. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. The Company does not undertake, and specifically disclaims any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law. This Management’s Discussion and Analysis of Financial Condition and Results of Operations should be read in conjunction with our most recent annual report on Form 10-K. All references to “Annaly,” “we,” “us,” or “our” mean Annaly Capital Management, Inc. and all entities owned by us, except where it is made clear that the term means only the parent company. Refer to the section titled “Glossary of Terms” located at the end of this Item 2 for definitions of commonly used terms in this quarterly report on Form 10-Q. 35 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. Management’s Discussion and Analysis INDEX TO ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Page Overview 37 Business Environment 37 Economic Environment 38 Results of Operations 39 Net Income (Loss) Summary 40 Non-GAAP Financial Measures 41 Earnings Available for Distribution , Earnings Available for Distribution Attributable to Common Stockholders, Earnings Available for Distribution Per Average Common Share and Annualized EAD Return on Average Equity 42 Premium Amortization Expense 44 Economic Leverage and Economic Capital Ratios 44 Interest Income (excluding PAA), Economic Interest Expense and Economic Net Interest Income (excluding PAA) 45 Experienced and Projected Long-term CPR 46 Average Yield on Interest Earning Assets (excluding PAA), Net Interest Spread (excluding PAA), Net Interest Margin (excluding PAA), and Average Economic Cost of Interest Bearing Liabilities 47 Economic Interest Expense and Average Economic Cost of Interest Bearing Liabilities 48 Other Income (Loss) 49 General and Administrative Expenses 50 Return on Average Equity 50 Unrealized Gains and Losses - Available-for-Sale Investments 50 Financial Condition 51 Residential Securities 51 Contractual Obligations 53 Commitments and Contractual Obligations with Unconsolidated Entities 54 Capital Management 54 Stockholders’ Equity 54 Capital Stock 55 Leverage and Capital 56 Risk Management 56 Risk Appetite 56 Governance 57 Description of Risks 57 Liquidity and Funding Risk Management 58 Funding 58 Excess Liquidity 59 Maturity Profile 60 Stress Testing 61 Liquidity Management Policies 61 Investment/Market Risk Management 62 Credit Risk Management 63 Counterparty Risk Management 63 Operational Risk Management 64 Compliance, Regulatory and Legal Risk Management 65 Critical Accounting Estimates 65 Valuation of Financial Instruments 66 Residential Securities 66 Residential Mortgage Loans 66 MSR 66 Interest Rate Swaps 67 Revenue Recognition 67 Consolidation of Variable Interest Entities 67 Use of Estimates 67 Glossary of Terms 68 36 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. Management’s Discussion and Analysis Overview We are a leading diversified capital manager with investment strategies across mortgage finance. Our principal business objective is to generate net income for distribution to our stockholders and optimize our returns through prudent management of our diversified investment strategies. We are an internally-managed Maryland corporation founded in 1997 that has elected to be taxed as a REIT. Our common stock is listed on the New York Stock Exchange under the symbol “NLY.” We use our capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on our assets and the cost of our borrowings and hedging activities. For a full discussion of our business, refer to the section titled “Business Overview” in our most recent Annual Report on Form 10-K. Business Environment The first quarter of 2025 (“Q1 2025”) saw the Trump Administration entering its second term, ready to make meaningful changes across several different policy areas including trade, immigration, fiscal policy, and regulation. While many initiatives, most notably easing of financial regulation, should be supportive of U.S. businesses and financial markets in the medium-term, rapid and concurrent reform announcements introduced uncertainty and financial market volatility in the short-term. The market volatility was primarily driven by the rollout of several tariff measures in March and April. These announcements have led to decreased business and consumer confidence, risking lower activity data in quarters to come if businesses or consumers alter their behavior. Of note, Q1 2025 activity data remained relatively strong, with consumption and business activity expanding at roughly the same rate as in prior quarters. However, aggregate U.S. gross domestic product (“GDP”) declined modestly in the quarter as higher import volumes reduced economic activity in the GDP growth calculation. Additionally, inflation slowed marginally in the quarter, with personal consumption expenditures excluding food and energy (“core PCE”) running at 3.5% seasonally adjusted annualized rate (“SAAR”), slightly below the 3.7% SAAR recording in Q1 2024. The Federal Reserve (“the Fed”) kept interest rates unchanged during the quarter, as officials weighed the conflicting signals from tariffs and other policy changes on economic growth and inflation. Fed officials are waiting for further evidence about an economic slowdown or higher inflation before making further adjustments to the Federal Funds Target Rate (“Fed Funds Target Rate”). Our portfolio performed relatively well in Q1 2025, delivering a 3% economic return during the quarter. This was reflected in an increase to our common stock dividend to $0.70 per share, underscoring healthy earnings momentum, all while modestly increasing economic leverage to 5.7x at quarter end – still a leverage level at the low end of our historical range. With respect to our portfolio activity, we grew our Agency MBS investments by $4.4 billion market value, with most of the increase coming from additional investments to deploy the approximately $495 million equity we raised during the quarter through the at-the-market stock sale program. Unlike much of 2024, when we concentrated MBS purchases on higher coupon specified pools, a majority of Q1 purchases were in to-be-announced (“TBA”) securities in intermediate coupons. These securities offered the highest relative value following the selloff in interest rates in Q4 2024 and January 2025, with dollar roll financing on TBA contracts improving significantly. As a result, our TBA balances grew to $6.6 billion market value at the end of Q1 2025, the largest holdings in two years. Similar to prior quarters, we continued to prudently manage our hedge position, maintaining a conservative stance with regard to our interest rate exposure. Of note, increased optimism about changes to the bank regulatory landscape drove a widening in swap spreads – the difference between Treasury and same tenor interest rate swap yields – for much of the quarter. We used this opportunity to better balance our hedge allocation between Treasuries and swaps, in turn lowering our aggregate swap notional and increasing the exposure to Treasury future hedges. In addition, we entered into a $1 billion notional 10-year payer swaption in anticipation of higher interest rate volatility. Our Residential Credit portfolio ended the quarter at $6.6 billion in market value, declining modestly as we opportunistically sold third-party securities early in the quarter given tight valuations and increased the pace of our securitizations. Annaly’s Onslow Bay (“OBX”) shelf closed six securitization transactions totaling $3.1 billion during the quarter, including our inaugural securitization of home equity line of credit loans (“HELOCs”) and a private placement to a major U.S. insurance company. In addition, we have priced two additional securitizations in April. Correspondent channel lock volumes remained strong, with aggregate quarterly fundings reaching $3.8 billion, just shy of the record pace of fundings seen in the fourth quarter of 2024. Our mortgage servicing rights (“MSR”) strategy saw its portfolio relatively unchanged during the quarter as we purchased $48 million market value in assets, or $3 billion in unpaid principal balances (“UPB”) through our bulk and flow acquisition 37 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. Management’s Discussion and Analysis channels. We remained selective in our purchases, maintaining our preference for low note rate MSR, though supply stayed elevated as the mortgage originator community remains under pressure to monetize servicing given historically compressed gain on sale margins. After settling $28 billion in UPB of previously announced bulk MSR purchases, the weighted average note rate of our portfolio rose marginally to 3.23%, while our exposure to current coupon MSR remained relatively small. As the mortgage origination and servicing industry consolidates – best seen in the merger announcement of Rocket Companies and Mr. Cooper Group Inc. at the end of the quarter – we have strategically aligned ourselves with industry leading sub-servicing and recapture partners that we believe provide our platform with clear competitive advantages. We believe that greater efficiency and technological investment in the mortgage industry has provided the potential for enhanced portfolio yield through increased recapture capabilities and an enhanced borrower experience. Economic return and economic leverage are non-GAAP financial measures. Refer to “Non-GAAP Financial Measures” for additional information, including a reconciliation to its most directly comparable GAAP results. Economic Environment U.S. GDP growth in the first quarter of 2025 slowed with gross domestic product declining 0.3% SAAR, largely driven by a 4.8% drag of net trade to quarterly economic activity. Despite the decline in the headline GDP number, consumption and investment activity remained relatively healthy in the quarter, with final sales to private domestic purchasers coming in at 3.0% SAAR, a gain in line with the quarterly average in 2024. The labor market remained resilient in the first quarter. Labor supply and demand stayed balanced, as evidenced by the first quarter’s stronger-than-expected employment data. According to the Bureau of Labor Statistics, seasonally adjusted total non-farm payroll employment rose at a monthly average pace of 133,000 workers added in the first quarter – a modest decline from the average of 167,667 workers added per month in all of 2024. The unemployment rate ended the quarter at 4.2%, only modestly higher than the 4.1% rate at the end of 2024. The increase was driven by more people entering the labor force, with not all of them being able to find work. At the same time, wage growth, as measured by the year-over-year change in Average Hourly Earnings, fell from 4.0% in the fourth quarter to 3.8% in the first quarter. Inflation readings, as measured by the year-over-year changes in the Personal Consumption Expenditure Price Index (“PCE”), remain above the Fed’s 2% inflation target and progress on disinflationary measures has been slow. Total PCE prices over the 12 months ending in March rose 2.3% compared to the 2.6% recorded by the same metric at the end of December, while core PCE inflation, which excludes volatile food and energy prices, fell from 2.9% in December 2024 to 2.6% in March. Progress on inflation in the first quarter remained uneven, much like it had been over the past year. Moreover, the forecast has become increasingly uncertain due to the most significant increase in the effective tariff rate in decades. The Fed conducts monetary policy with a dual mandate: full employment and price stability. Given the slow progress on inflation, the Federal Reserve Open Market Committee (“FOMC”) kept the target range for the Federal Funds rate unchanged at 4.25% - 4.50% at their March meeting, marking their second pause since cutting rates by 100 basis points at the end of last year. The Federal Reserve Chair Jerome Powell has emphasized that it is too soon to determine the appropriate monetary policy response to the tariffs, while acknowledging their inflationary impact. In addition, the FOMC has maintained its focus on the still positive growth outlook and reiterated their guidance that they are not in a hurry to act. Forecasts from the FOMC meeting in March show a median of two 25 basis point interest rate cuts for 2025. However, the recent deterioration of economic growth forecasts has raised the odds of additional rate cuts. Meanwhile, regarding the FOMC’s balance sheet policy, the Fed announced that it will slow the pace of decline of its securities holdings by reducing the monthly redemption cap on Treasury securities from $25 billion to $5 billion, while maintaining the monthly redemption cap on Agency mortgage-backed securities at $35 billion. Considering these developments, we now expect the Fed to continue to attempt to reduce its balance sheet over a longer period than initially anticipated. Given the FOMC maintaining its on-hold status and the market awaiting further information on the fiscal front, Treasury yields were relatively rangebound in the first quarter. Interest rate volatility moved lower across the curve, and swap spreads – the difference between swap rates and Treasury rates of the same maturities – widened. The 10-year U.S. Treasury yield fell from 4.57% on December 31, 2024 to 4.21% on March 31, 2025. Despite lower rates and reduced volatility, the mortgage basis, or the spread between the 30-year Agency MBS coupon and 10-year U.S. Treasury rate, widened slightly from 126 basis points at the end of 2024 to 130 basis points at the end of the first quarter. The following table presents interest rates and spreads at each date presented: 38 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. Management’s Discussion and Analysis March 31, 2025 December 31, 2024 March 31, 2024 30-Year mortgage current coupon 5.51% 5.83% 5.60% Mortgage basis 130 bps 126 bps 140 bps 10-Year U.S. Treasury rate 4.21% 4.57% 4.20% OIS SOFR Swaps 1-Month 4.32% 4.32% 5.32% 6-Month 4.18% 4.25% 5.24% Results of Operations The results of our operations are affected by various factors, many of which are beyond our control. Certain of such risks and uncertainties are described herein (see “Special Note Regarding Forward-Looking Statements” above) and in Part I, Item 1A. “Risk Factors” of our most recent Annual Report on Form 10-K and in Part II, Item 1A. “Risk Factors” in this Quarterly Report on Form 10-Q. This Management Discussion and Analysis section contains analysis and discussion of financial results computed in accordance with U.S. generally accepted accounting principles (“GAAP”) and non-GAAP measurements. To supplement our consolidated financial statements, which are prepared and presented in accordance with GAAP, we provide non-GAAP financial measures to enhance investor understanding of our period-over-period operating performance and business trends, as well as for assessing our performance versus that of industry peers. Refer to the “Non-GAAP Financial Measures” section for additional information. 39 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. Management’s Discussion and Analysis Net Income (Loss) Summary The following table presents financial information related to our results of operations as of and for the three months ended March 31, 2025 and 2024. As of and for the Three Months Ended March 31, 2025 2024 (dollars in thousands, except per share data) Interest income $ 1,317,108 $ 1,094,488 Interest expense 1,097,137 1,100,939 Net interest income 219,971 (6,451) Servicing and related income 140,435 115,084 Servicing and related expense 14,113 12,216 Net servicing income 126,322 102,868 Other income (loss) (159,657) 406,384 Less: Total general and administrative expenses 48,064 38,570 Income (loss) before income taxes 138,572 464,231 Income taxes 8,267 (943) Net income (loss) 130,305 465,174 Less: Net income (loss) attributable to noncontrolling interests 6,081 2,282 Net income (loss) attributable to Annaly 124,224 462,892 Less: Dividends on preferred stock 37,157 37,061 Net income (loss) available (related) to common stockholders $ 87,067 $ 425,831 Net income (loss) per share available (related) to common stockholders Basic $ 0.15 $ 0.85 Diluted $ 0.15 $ 0.85 Weighted average number of common shares outstanding Basic 587,149,704 500,612,840 Diluted 588,420,998 501,182,043 Other information Investment portfolio at period-end $ 101,959,102 $ 87,484,541 Average total assets $ 104,335,865 $ 92,355,391 Average equity $ 12,890,730 $ 11,420,602 GAAP leverage at period-end (1) 6.8:1 6.7:1 GAAP capital ratio at period-end (2) 12.4 % 12.6 % Annualized return (loss) on average total assets 0.50 % 2.01 % Annualized return (loss) on average equity (3) 4.04 % 16.29 % Net interest margin (4) 0.87 % (0.03 %) Average yield on interest earning assets (5) 5.18 % 4.88 % Average GAAP cost of interest bearing liabilities (6) 4.77 % 5.40 % Net interest spread 0.41 % (0.52 %) Weighted average experienced CPR for the period 7.1 % 6.0 % Weighted average projected long-term CPR at period-end 9.5 % 8.9 % Common stock book value per share $ 19.02 $ 19.73 Non-GAAP metrics * Interest income (excluding PAA) $ 1,329,404 $ 1,091,475 Economic interest expense (6) $ 892,748 $ 770,790 Economic net interest income (excluding PAA) $ 436,656 $ 320,685 Premium amortization adjustment cost (benefit) $ 12,296 $ (3,013) Earnings available for distribution (7) $ 461,857 $ 357,962 Earnings available for distribution per average common share $ 0.72 $ 0.64 Annualized EAD return on average equity (excluding PAA) 14.43 % 12.63 % Economic leverage at period-end (1) 5.7:1 5.6:1 Economic capital ratio at period-end (2) 14.6 % 14.6 % Net interest margin (excluding PAA) (4) 1.69 % 1.43 % Average yield on interest earning assets (excluding PAA) (5) 5.23 % 4.87 % Average economic cost of interest bearing liabilities (6) 3.88 % 3.78 % Net interest spread (excluding PAA) 1.35 % 1.09 % 40 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES