ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CASH FLOWS (dollars in thousands) For The Years Ended December 31, 2023 2022 2021 Cash flows from operating activities Net income (loss) $ (1,638,457) $ 1,726,420 $ 2,396,280 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities Amortization of premiums and discounts of investments, net 185,728 87,154 784,110 Amortization of securitized debt premiums and discounts and deferred financing costs 13,824 (4,733) (6,620) Depreciation, amortization and other noncash expenses 24,806 20,506 24,636 Net (gains) losses on investments and derivatives 3,310,579 109,443 (1,204,830) Business divestiture-related (gains) losses — 40,258 278,559 Income (loss) from unconsolidated joint ventures 10,270 (11,454) 12,181 Loan loss provision (reversal) (219) (20,660) (145,066) Payments on purchases of loans held for sale — — (51,403) Proceeds from sales and repayments of loans held for sale 1,577 4,597 90,020 Proceeds from U.S. Treasury securities 2,015,608 — — Net receipts (payments) on derivatives (862,032) 3,643,954 932,867 Net change in Other assets (136,804) (11,437) 31,044 Interest receivable (585,817) (403,613) 32,926 Interest payable (37,343) 233,753 (99,590) Other liabilities 65,483 (41,777) 1,725 Net cash provided by (used in) operating activities 2,367,203 5,372,411 3,076,839 Cash flows from investing activities Payments on purchases of securities (41,036,338) (45,474,466) (22,344,751) Proceeds from sales of securities 31,259,983 25,055,929 11,670,321 Principal payments on securities 6,153,217 9,541,036 18,742,951 Payments on purchases and origination of loans (5,503,696) (6,137,067) (7,715,200) Proceeds from sales of loans 21,242 1,930,367 1,213,745 Principal payments on loans 1,086,508 1,562,308 2,610,912 Payments on purchases of MSR (396,806) (1,009,349) (473,035) Proceeds from sales of MSR — 9,085 82,175 Payments on purchases of interests in MSR — (4,913) (65,107) Investments in real estate — — (2,329) Proceeds from sales of real estate — — 53,910 Proceeds from reverse repurchase agreements 128,615,235 24,500,024 16,734,313 Payments on reverse repurchase agreements (128,615,235) (24,500,024) (16,734,313) Distributions in excess of cumulative earnings from unconsolidated joint ventures — — 290 Proceeds from sale of equity securities — — 6,957 Net proceeds from business divestiture — — 1,118,440 Net cash provided by (used in) investing activities (8,415,890) (14,527,070) 4,899,279 Cash flows from financing activities Proceeds from repurchase agreements and other secured financing 5,351,050,481 3,571,043,066 2,288,704,788 Payments on repurchase agreements and other secured financing (5,348,111,535) (3,566,953,367) (2,298,775,005) Proceeds from issuances of securitized debt 4,480,804 5,473,311 3,719,027 Principal payments on securitized debt (944,163) (1,234,090) (1,716,196) Payments on purchases of securitized debt (2,504) (8,495) — Payment of deferred financing cost (4,012) — (9,279) Net proceeds from stock offerings, direct purchases and dividend reinvestments 673,693 2,636,000 552,215 Proceeds from participations issued 2,007,464 1,908,204 1,847,821 Payments on repurchases of participations issued (1,674,650) (1,973,666) (818,575) Principal payments on participations issued (52,635) (50,712) (23,374) Net principal receipts (payments) on mortgages payable — — (2,237) Net contributions (distributions) from (to) noncontrolling interests (14,399) 72,389 5,635 Settlement of stock-based awards in satisfaction of withholding tax requirements (6,661) (4,108) (2,830) Dividends paid (1,517,762) (1,519,249) (1,359,721) Net cash provided by (used in) financing activities 5,884,121 9,389,283 (7,877,731) Net (decrease) increase in cash and cash equivalents (164,566) 234,624 98,387 Cash and cash equivalents including cash pledged as collateral, beginning of period 1,576,714 1,342,090 1,243,703 Cash and cash equivalents including cash pledged as collateral, end of period $ 1,412,148 $ 1,576,714 $ 1,342,090 Supplemental disclosure of cash flow information Interest received $ 3,278,519 $ 2,459,012 $ 2,701,381 Dividends received $ — $ — $ 51 Interest paid (excluding interest paid on interest rate swaps) $ 3,551,873 $ 866,829 $ 269,244 Net interest received (paid) on interest rate swaps $ 1,306,551 $ 15,621 $ (340,738) Taxes received (paid) $ 1,104 $ (492) $ (3,797) Noncash investing and financing activities Receivable for unsettled trades $ 2,710,224 $ 575,091 $ 2,656 Payable for unsettled trades $ 3,249,389 $ 1,157,846 $ 147,908 Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment $ 2,373,496 $ (4,667,306) $ (2,415,925) Dividends declared, not yet paid $ 325,052 $ 412,113 $ 321,142 Derecognition of assets of consolidated VIEs $ — $ 424,005 $ 3,075,961 Derecognition of securitized debt of consolidated VIEs $ — $ 391,928 $ 2,506,799 Derecognition of mortgages payable $ — $ — $ 314,485 See notes to consolidated financial statements. ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-6
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