Net Income (Loss) Summary The following table presents financial information related to our results of operations as of and for the years ended December 31, 2023, 2022 and 2021. As of and for the Years Ended December 31, 2023 2022 2021 (dollars in thousands, except per share data) Interest income $ 3,731,581 $ 2,778,887 $ 1,983,036 Interest expense 3,842,965 1,309,735 249,243 Net interest income (111,384) 1,469,152 1,733,793 Servicing and related income 364,157 246,926 69,018 Servicing and related expense 37,652 25,145 12,202 Net servicing income 326,505 221,781 56,816 Other income (loss) (1,651,591) 243,787 796,360 Less: Total general and administrative expenses 162,553 162,729 186,014 Income (loss) before income taxes (1,599,023) 1,771,991 2,400,955 Income taxes 39,434 45,571 4,675 Net income (loss) (1,638,457) 1,726,420 2,396,280 Less: Net income (loss) attributable to noncontrolling interests 4,714 1,095 6,384 Net income (loss) attributable to Annaly (1,643,171) 1,725,325 2,389,896 Less: Dividends on preferred stock 141,676 110,623 107,532 Net income (loss) available (related) to common stockholders $ (1,784,847) $ 1,614,702 $ 2,282,364 Net income (loss) per share available (related) to common stockholders Basic $ (3.61) $ 3.93 $ 6.40 Diluted $ (3.61) $ 3.92 $ 6.39 Weighted average number of common shares outstanding Basic 494,541,323 411,348,484 356,856,520 Diluted 494,541,323 411,621,758 357,142,251 Other information Investment portfolio at period-end $ 87,396,467 $ 78,469,860 $ 74,792,041 Average total assets $ 88,177,773 $ 78,768,785 $ 81,925,499 Average equity $ 11,437,590 $ 11,616,995 $ 13,728,352 GAAP leverage at period-end (1) 6.8:1 6.0:1 4.7:1 GAAP capital ratio at period-end (2) 12.2% 13.9 % 17.2 % Annualized return on average total assets (1.86) % 2.19 % 2.92 % Annualized return on average equity (14.33)% 14.86 % 17.45 % Net interest margin (3) (0.13) % 1.92 % 2.28 % Average yield on interest earning assets (4) 4.32 % 3.64 % 2.61 % Average GAAP cost of interest bearing liabilities (5) 5.13 % 2.03 % 0.37 % Net interest spread (0.81) % 1.61 % 2.24 % Weighted average experienced CPR for the period 6.5 % 12.2 % 23.7 % Weighted average projected long-term CPR at period-end 9.4 % 7.8 % 12.7 % Common stock book value per share $ 19.44 $ 20.79 $ 31.88 Non-GAAP metrics * Interest income (excluding PAA) $ 3,733,235 $ 2,418,300 $ 2,040,194 Economic interest expense (5) $ 2,257,912 $ 943,574 $ 525,385 Economic net interest income (excluding PAA) $ 1,475,323 $ 1,474,726 $ 1,514,809 Premium amortization adjustment cost (benefit) $ 1,654 $ (360,587) $ 57,158 Earnings available for distribution (6) $ 1,554,014 $ 1,850,138 $ 1,768,391 Earnings available for distribution per average common share $ 2.86 $ 4.23 $ 4.65 Annualized EAD return on average equity (excluding PAA) 13.71 % 16.02 % 12.90 % Economic leverage at period-end (1) 5.7:1 6.3:1 5.7:1 Economic capital ratio at period-end (2) 14.0 % 13.4 % 14.4 % Net interest margin (excluding PAA) (3) 1.62 % 2.03 % 2.02 % Average yield on interest earning assets (excluding PAA) (4) 4.33 % 3.16 % 2.68 % Average economic cost of interest bearing liabilities (5) 3.01 % 1.46 % 0.79 % ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 7. Management’s Discussion and Analysis 52
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