The following tables present the Company’s securities portfolio that were carried at their fair value at December 31, 2023 and 2022: December 31, 2023 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains Unrealized Losses Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 63,444,987 $ 1,448,886 $ (1,318,948) $ 63,574,925 $ 477,242 $ (1,853,226) $ 62,198,941 Adjustable-rate pass-through 188,996 15,834 (51) 204,779 1,663 (14,953) 191,489 CMO 94,448 1,612 — 96,060 — (13,088) 82,972 Interest-only 2,010,697 416,955 — 416,955 4,729 (157,679) 264,005 Multifamily (1) 17,130,045 400,781 (9,752) 3,552,217 52,055 (59,744) 3,544,528 Reverse mortgages 26,183 3,193 — 29,376 — (2,523) 26,853 Total agency securities $ 82,895,356 $ 2,287,261 $ (1,328,751) $ 67,874,312 $ 535,689 $ (2,101,213) $ 66,308,788 Residential credit Credit risk transfer $ 924,729 $ 2,240 $ (4,358) $ 922,611 $ 51,984 $ (536) $ 974,059 Alt-A 164,384 9 (3,922) 160,471 2,135 (12,371) 150,235 Prime (2) 1,076,497 8,590 (21,163) 207,077 1,704 (28,134) 180,647 Subprime 272,955 — (31,751) 241,204 5,622 (11,221) 235,605 NPL/RPL 1,237,531 8,336 (9,224) 1,236,643 4,578 (43,666) 1,197,555 Prime jumbo (>=2010 vintage) (3) 9,425,280 71,960 (49,859) 365,676 10,696 (32,140) 344,232 Total residential credit securities $ 13,101,376 $ 91,135 $ (120,277) $ 3,133,682 $ 76,719 $ (128,068) $ 3,082,333 Total residential securities $ 95,996,732 $ 2,378,396 $ (1,449,028) $ 71,007,994 $ 612,408 $ (2,229,281) $ 69,391,121 Commercial Commercial securities $ 224,597 15 $ (822) $ 223,790 $ 19 $ (1,365) $ 222,444 Total securities $ 96,221,329 $ 2,378,411 $ (1,449,850) $ 71,231,784 $ 612,427 $ (2,230,646) $ 69,613,565 December 31, 2022 Principal / Notional Remaining Premium Remaining Discount Amortized Cost Unrealized Gains Unrealized Losses Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 63,232,479 $ 2,105,813 $ (1,003,225) $ 64,335,067 $ 62,060 $ (4,367,369) $ 60,029,758 Adjustable-rate pass-through 232,028 17,065 (85) 249,008 2,138 (16,759) 234,387 CMO 101,543 1,781 — 103,324 — (13,714) 89,610 Interest-only 1,824,339 438,295 — 438,295 153 (220,371) 218,077 Multifamily (1) 9,801,375 311,785 (1,021) 1,750,737 7,588 (84,160) 1,674,165 Reverse mortgages 28,478 3,379 — 31,857 — (2,959) 28,898 Total agency investments $ 75,220,242 $ 2,878,118 $ (1,004,331) $ 66,908,288 $ 71,939 $ (4,705,332) $ 62,274,895 Residential credit Credit risk transfer $ 1,013,368 $ 6,790 $ (4,828) $ 1,015,330 $ 6,629 $ (24,402) $ 997,557 Alt-A 111,009 9 (5,048) 105,970 — (14,754) 91,216 Prime (2) 1,946,186 19,496 (17,375) 240,694 1,528 (44,352) 197,870 Subprime 202,304 — (32,188) 170,116 1,275 (15,078) 156,313 NPL/RPL 1,426,616 1,624 (15,500) 1,412,740 87 (95,673) 1,317,154 Prime jumbo (>=2010 vintage) (3) 5,717,558 37,260 (29,242) 272,623 1,685 (45,715) 228,593 Total residential credit securities $ 10,417,041 $ 65,179 $ (104,181) $ 3,217,473 $ 11,204 $ (239,974) $ 2,988,703 Total residential securities $ 85,637,283 $ 2,943,297 $ (1,108,512) $ 70,125,761 $ 83,143 $ (4,945,306) $ 65,263,598 Commercial Commercial securities $ 546,499 $ — $ (2,405) $ 544,094 $ — $ (17,785) $ 526,309 Total securities $ 86,183,782 $ 2,943,297 $ (1,110,917) $ 70,669,855 $ 83,143 $ (4,963,091) $ 65,789,907 (1) Principal/Notional amount includes $14.0 billion and $8.4 billion of Agency Multifamly interest-only securities as of December 31, 2023 and December 31, 2022, respectively. (2) Principal/Notional amount includes $0.9 billion and $1.7 billion of Prime interest-only securities as of December 31, 2023 and December 31, 2022, respectively. (3) Principal/Notional amount includes $9.1 billion and $5.5 billion of Prime Jumbo interest-only securities as of December 31, 2023 and December 31, 2022, respectively. ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Financial Statements F-13
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