4. FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at December 31, 2023 and 2022. Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis December 31, 2023 December 31, 2022 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 15,665,352 $ 34,528,515 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 50,643,436 27,746,380 Securities Residential credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 974,059 997,557 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 2,108,274 1,991,146 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through earnings 222,444 508,406 Securities Commercial real estate debt investments - credit risk transfer securities Fair value, with unrealized gains (losses) through earnings — 17,903 Total securities 69,613,565 65,789,907 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 2,353,084 1,809,832 Total loans, net 2,353,084 1,809,832 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 13,307,622 9,121,912 Total assets transferred or pledged to securitization vehicles 13,307,622 9,121,912 Liabilities Repurchase agreements Repurchase agreements Amortized cost 62,201,543 59,512,597 Other secured financing Loans Amortized cost 500,000 250,000 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 11,600,338 7,744,160 Participations issued Participations issued Fair value, with unrealized gains (losses) through earnings 1,103,835 800,849 U.S. Treasury securities sold, not yet purchased Securities Fair value, with unrealized gains (losses) through earnings 2,132,751 — (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities purchased prior to July 1, 2022. (3) Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. 5. SECURITIES The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt securities are classified as available-for-sale. Available-for-sale debt securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Effective July 1, 2022, the Company elected the fair value option for any newly purchased Agency mortgage-backed securities in order to simplify the accounting for these securities. For the years ended December 31, 2023 and 2022, $611.5 million and ($665.6) million of unrealized gains (losses) on Agency mortgage-backed securities, for which the fair value option was elected effective July 1, 2022, were reported in Net gains (losses) on investments and other in the Company’s Consolidated Statements of Comprehensive Income (Loss). Agency mortgage-backed securities purchased prior to July 1, 2022, are still classified as available-for-sale with changes in fair value recognized in other comprehensive income. The Company has also elected the fair value option for CRT securities, interest only securities, Non-Agency and commercial mortgage-backed securities in order to simplify the accounting. Transactions for regular-way securities are recorded on trade date, including to-be-announced (“TBA”) securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on disposals of securities are recorded on trade date based on the specific identification method. Impairment – Management evaluates available-for-sale securities where the fair value option has not been elected and held-tomaturity debt securities for impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-11
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