ANNALY CAPITAL MANAGEMENT INC

For the Three Months Ended March 31, 2024 and 2023

Net Gains (Losses) on Investments and Other

Net gains (losses) on disposal of investments was ($545.9) million for the three months ended March 31, 2024, compared to ($521.6) million for the same period in 2023. For the three months ended March 31, 2024, we disposed of Residential Securities with a carrying value of $8.1 billion for an aggregate net gain (loss) of ($438.2) million. For the same period in 2023, we disposed of Residential Securities, with a carrying value of $5.2 billion for an aggregate net gain (loss) of ($521.8) million.

Net unrealized gains (losses) on instruments measured at fair value through earnings was ($448.2) million for the three months ended March 31, 2024, compared to $523.3 million for the same period in 2023, primarily due to unfavorable changes in unrealized gains (losses) on Agency MBS of ($1.1) billion, securitized residential whole loans of consolidated VIEs of ($294.8) million, and residential whole loans of ($50.4) million, partially offset by favorable changes in residential securitized debt of consolidated VIEs of $297.9 million, U.S. Treasury securities sold, not yet purchased of $133.3 million, and participations issued of $25.0 million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the three months ended March 31, 2024 was $1.2 billion compared to ($716.4) million for the same period in 2023, primarily attributable to favorable changes in unrealized gains (losses) on interest rate swaps, partially offset by unfavorable changes in the net interest component of interest rate swaps. Unrealized gains (losses) on interest rate swaps was $900.9 million for the three months ended March 31, 2024, compared to ($956.3) million for the same period in 2023, which reflected a flatter forward rate curve compared to a steeper declining forward rate curve in the prior period. Realized gains (losses) on termination of interest rate swaps was ($21.2) million for the three months ended March 31, 2024, compared to ($145.8) million for the same period in 2023, which reflected our termination of interest rate swaps with a notional amount of $2.5 billion, compared to $8.6 billion for the same period in 2023. Net interest component on interest rate swaps was $330.1 million for the three months ended March 31, 2024, compared to $385.7 million for the same period in 2023.

Net gains (losses) on other derivatives was $167.3 million for the three months ended March 31, 2024, compared to ($184.4) million for the same period in 2023. The change in net gains (losses) on other derivatives was primarily due to a favorable change in net gains (losses) on futures, which was $137.0 million for the three months ended March 31, 2024, compared to ($196.5) million for the same period in 2023, and net gains (losses) on interest rate swaptions, which was $30.6 million for the three months ended March 31, 2024, compared to ($43.7) million for the same period in 2023, partially offset by an unfavorable change in net gains (losses) on TBA derivatives, which was $6.3 million for the three months ended March 31, 2024, compared to $61.5 million for the same period in 2023.

Other, Net

Other, net includes brokerage and commission fees, due diligence costs, securitization expenses, and interest on custodial balances. We also report in Other, net items whose amounts, either individually or in the aggregate, would not, in the opinion of management, be meaningful to readers of the financial statements. Given the nature of certain components of this line item, balances may fluctuate from period to period. Other, net for the three months ended March 31, 2024 was $23.4 million compared to $15.5 million for the same period in 2023, primarily attributable to an increase in interest on custodial balances, partially offset by an increase in securitization related costs.