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UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549

☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM _______________ TO _________________

Maryland						22-3479661
(State or other jurisdiction of incorporation or organization)						(IRS Employer Identification No.)
1211 Avenue of the Americas
New York,			New York			10036
(Address of principal executive offices)						(Zip Code)

Title of Each Class			Trading Symbol(s)			Name of Each Exchange on Which Registered
Common Stock, par value $0.01 per share			NLY			New York Stock Exchange
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock			NLY.F			New York Stock Exchange
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock			NLY.G			New York Stock Exchange
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock			NLY.I			New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☑    No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☑    No ☐

Large accelerated filer

☑

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).  Yes ☐    No  ☑

ANNALY CAPITAL MANAGEMENT, INC.
FORM 10-Q
TABLE OF CONTENTS
PART I  -  FINANCIAL INFORMATION			Page
Item 1.  Financial Statements			1
Consolidated Statements of Financial Condition at March 31, 2022 (Unaudited) and December 31, 2021 (Derived from the audited consolidated financial statements at December 31, 2021)			1
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the three months ended March 31, 2022 and 2021			2
Consolidated Statements of Stockholders’ Equity (Unaudited) for the three months ended March 31, 2022 and 2021			3
Consolidated Statements of Cash Flows (Unaudited) for the three months ended March 31, 2022 and 2021			4
Notes to Consolidated Financial Statements (Unaudited)			5
Note 1. Description of Business			5
Note 2. Basis of Presentation			5
Note 3. Significant Accounting Policies			6
Note 4. Financial Instruments			9
Note 5. Securities			9
Note 6. Loans			13
Note 7. Mortgage Servicing Rights			19
Note 8. Variable Interest Entities			20
Note 9. Sale of Commercial Real Estate Business			26
Note 10. Derivative Instruments			23
Note 11. Fair Value Measurements			28
Note 12. Goodwill and Intangible Assets			31
Note 13. Secured Financing			32
Note 14. Capital Stock			34
Note 15. Interest Income and Interest Expense			35
Note 16. Net Income (Loss) per Common Share			36
Note 17. Income Taxes			36
Note 18. Risk Management			37
Note 19. Lease Commitments and Contingencies			38
Note 20. Arcola Regulatory Requirements			38
Note 21. Subsequent Events			39
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations			40
Special Note Regarding Forward-Looking Statements			40
Overview			42
Business Environment			42
Results of Operations			44
Financial Condition			57
Capital Management			60
Risk Management			62
Critical Accounting Policies and Estimates			72
Glossary of Terms			75
Item 3. Quantitative and Qualitative Disclosures about Market Risk			84
Item 4. Controls and Procedures			84
PART II  -  OTHER INFORMATION
Item 1. Legal Proceedings			85
Item 1A. Risk Factors			85
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds			85
Item 5. Other Information			85
Item 6. Exhibits			85
SIGNATURES			87

ITEM 1. FINANCIAL STATEMENTS

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (dollars in thousands, except per share data)
			March 31,						December 31,
			2022						2021 (1)
			(Unaudited)
Assets
Cash and cash equivalents (includes pledged assets of $830,546 and $1,222,505, respectively) (2)			$	955,840					$	1,342,090
Securities (includes pledged assets of $54,705,431 and $56,675,447, respectively) (3)			60,727,637						63,655,674
Loans, net (includes pledged assets of $2,778,141 and $2,462,776, respectively) (4)			3,617,818						4,242,043
Mortgage servicing rights			1,108,937						544,562
Interests in MSR			85,653						69,316
Assets transferred or pledged to securitization vehicles			7,809,307						6,086,308
Assets of disposal group held for sale			—						194,138
Derivative assets			964,075						170,370
Receivable for unsettled trades			407,225						2,656
Principal and interest receivable			246,739						234,983
Goodwill and intangible assets, net			23,110						24,241
Other assets			238,793						197,683
Total assets			$	76,185,134					$	76,764,064
Liabilities and stockholders’ equity
Liabilities
Repurchase agreements			$	52,626,503					$	54,769,643
Other secured financing			914,255						903,255
Debt issued by securitization vehicles			6,711,953						5,155,633
Participations issued			775,432						1,049,066
Liabilities of disposal group held for sale			—						154,956
Derivative liabilities			826,972						881,537
Payable for unsettled trades			1,992,568						147,908
Interest payable			80,870						91,176
Dividends payable			321,423						321,142
Other liabilities			456,388						94,423
Total liabilities			64,706,364						63,568,739
Stockholders’ equity
Preferred stock, par value $0.01 per share, 63,500,000 authorized, issued and outstanding			1,536,569						1,536,569
Common stock, par value $0.01 per share, 2,936,500,000 authorized, 1,461,012,252 and 1,459,736,258 issued and outstanding, respectively			14,610						14,597
Additional paid-in capital			20,321,952						20,313,832
Accumulated other comprehensive income (loss)			(2,465,482)						958,410
Accumulated deficit			(7,980,407)						(9,653,582)
Total stockholders’ equity			11,427,242						13,169,826
Noncontrolling interests			51,528						25,499
Total equity			11,478,770						13,195,325
Total liabilities and equity			$	76,185,134					$	76,764,064
(1)Derived from the audited consolidated financial statements at December 31, 2021.
(2)Includes cash of consolidated Variable Interest Entities (“VIEs”) of $8.6 million and $16.2 million at March 31, 2022 and December 31, 2021, respectively.
(3)Excludes $38.5 million and $44.2 million at March 31, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $709.0 million and $350.4 million at March 31, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
(4)Includes $1.9 million and $2.3 million of residential mortgage loans held for sale at March 31, 2022 and December 31, 2021, respectively.
See notes to consolidated financial statements.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) (Unaudited)
			For The Three Months Ended March 31,
			2022						2021
Net interest income
Interest income			$	655,850					$	763,378
Interest expense			74,922						75,973
Net interest income			580,928						687,405
Net servicing income
Servicing and related income			$	34,715					9,229
Servicing and related expense			3,757						2,297
Net servicing income			30,958						6,932
Other income (loss)
Net gains (losses) on investments and other			(159,804)						38,405
Net gains (losses) on derivatives			1,642,028						1,169,383
Loan loss (provision) reversal			(608)						139,620
Business divestiture-related gains (losses)			(354)						(249,563)
Other, net			3,058						6,536
Total other income (loss)			1,484,320						1,104,381
General and administrative expenses
Compensation and management fee			33,002						31,518
Other general and administrative expenses			12,762						16,387
Total general and administrative expenses			45,764						47,905
Income (loss) before income taxes			2,050,442						1,750,813
Income taxes			26,548						(321)
Net income (loss)			2,023,894						1,751,134
Net income (loss) attributable to noncontrolling interests			1,639						321
Net income (loss) attributable to Annaly			2,022,255						1,750,813
Dividends on preferred stock			26,883						26,883
Net income (loss) available (related) to common stockholders			$	1,995,372					$	1,723,930
Net income (loss) per share available (related) to common stockholders
Basic			$	1.37					$	1.23
Diluted			$	1.36					$	1.23
Weighted average number of common shares outstanding
Basic			1,461,363,637						1,399,210,925
Diluted			1,462,451,965						1,400,000,727
Other comprehensive income (loss)
Net income (loss)			$	2,023,894					$	1,751,134
Unrealized gains (losses) on available-for-sale securities			(3,568,679)						(1,428,927)
Reclassification adjustment for net (gains) losses included in net income (loss)			144,787						56,823
Other comprehensive income (loss)			(3,423,892)						(1,372,104)
Comprehensive income (loss)			(1,399,998)						379,030
Comprehensive income (loss) attributable to noncontrolling interests			1,639						321
Comprehensive income (loss) attributable to Annaly			(1,401,637)						378,709
Dividends on preferred stock			26,883						26,883
Comprehensive income (loss) attributable to common stockholders			$	(1,428,520)					$	351,826
See notes to consolidated financial statements.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (dollars in thousands) (Unaudited)
												For The Three Months Ended March 31,
																		2022						2021
Preferred stock
Beginning of period																		$	1,536,569					$	1,536,569
End of period																		$	1,536,569					$	1,536,569
Common stock
Beginning of period																		$	14,597					$	13,982
Issuance																		8						—
Stock-based award activity																		5						3
End of period																		$	14,610					$	13,985
Additional paid-in capital
Beginning of period																		$	20,313,832					$	19,750,818
Issuance																		6,096						—
Stock-based award activity																		2,024						4,008
End of period																		$	20,321,952					$	19,754,826
Accumulated other comprehensive income (loss)
Beginning of period																		$	958,410					$	3,374,335
Unrealized gains (losses) on available-for-sale securities																		(3,568,679)						(1,428,927)
Reclassification adjustment for net gains (losses) included in net income (loss)																		144,787						56,823
End of period																		$	(2,465,482)					$	2,002,231
Accumulated deficit
Beginning of period																		$	(9,653,582)					$	(10,667,388)
Net income (loss) attributable to Annaly																		2,022,255						1,750,813
Dividends declared on preferred stock (1)																		(26,883)						(26,883)
Dividends and dividend equivalents declared on common stock and stock-based awards (1)																		(322,197)						(308,346)
End of period																		$	(7,980,407)					$	(9,251,804)
Total stockholder’s equity																		$	11,427,242					$	14,055,807
Noncontrolling interests
Beginning of period																		$	25,499					$	13,480
Net income (loss) attributable to noncontrolling interests																		1,639						321
Equity contributions from (distributions to) noncontrolling interests																		24,390						(2,013)
End of period																		$	51,528					$	11,788
Total equity																		$	11,478,770					$	14,067,595
(1) Refer to the “Capital Stock” Note for dividends per share for each class of shares.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES  CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
			For The Three Months Ended March 31,
			2022						2021
Cash flows from operating activities
Net income (loss)			$	2,023,894					$	1,751,134
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities
Amortization of premiums and discounts of investments, net			(11,770)						(9,960)
Amortization of securitized debt premiums and discounts and deferred financing costs			(3,074)						(3,588)
Depreciation, amortization and other noncash expenses			4,746						8,408
Net (gains) losses on investments and derivatives			(1,544,765)						(1,287,535)
Business divestiture-related (gains) losses			354						249,563
Income from unconsolidated joint ventures			(8,384)						(1,025)
Loan loss provision (reversal)			608						(139,620)
Payments on purchases of loans held for sale			—						(969)
Proceeds from sales and repayments of loans held for sale			994						3,067
Net receipts (payments) on derivatives			856,299						435,107
Net change in
Other assets			(5,266)						(31,236)
Interest receivable			(8,069)						9,386
Interest payable			(10,657)						(89,000)
Other liabilities			734,238						170,818
Net cash provided by (used in) operating activities			2,029,148						1,064,550
Cash flows from investing activities
Payments on purchases of securities			(5,061,300)						(5,478,414)
Proceeds from sales of securities			2,393,169						2,852,764
Principal payments on securities			3,047,356						4,986,008
Payments on purchases and origination of loans			(2,194,285)						(651,397)
Proceeds from sales of loans			4,215						46,171
Principal payments on loans			605,626						683,451
Payments on purchases of MSR			(421,012)						—
Payments on purchases of interests in MSR			(4,913)						—
Investments in real estate			—						(746)
Proceeds from sales of real estate			—						4,265
Proceeds from reverse repurchase agreements			2,100,000						8,634,313
Payments on reverse repurchase agreements			(2,100,000)						(8,634,313)
Distributions in excess of cumulative earnings from unconsolidated joint ventures			—						290
Net cash provided by (used in) investing activities			(1,631,144)						2,442,392
Cash flows from financing activities
Proceeds from repurchase agreements and other secured financing			839,715,390						534,607,127
Payments on repurchase agreements and other secured financing			(841,845,524)						(537,932,992)
Proceeds from issuances of securitized debt			2,293,500						251,379
Principal payments on securitized debt			(398,843)						(357,224)
Net proceeds from stock offerings, direct purchases and dividend reinvestments			6,104						—
Proceeds from participations issued			676,499						183,067
Payments on repurchases of participations issued			(888,343)						(40,434)
Principal payments on participations issued			(17,370)						(1,293)
Net principal receipts (payments) on mortgages payable			—						(330)
Net contributions (distributions) from (to) noncontrolling interests			24,390						(2,013)
Settlement of stock-based awards in satisfaction of withholding tax requirements			(1,977)						(596)
Dividends paid			(348,080)						(334,543)
Net cash provided by (used in) financing activities			(784,254)						(3,627,852)
Net (decrease) increase in cash and cash equivalents			$	(386,250)					$	(120,910)
Cash and cash equivalents including cash pledged as collateral, beginning of period			1,342,090						1,243,703
Cash and cash equivalents including cash pledged as collateral, end of period			$	955,840					$	1,122,793
Supplemental disclosure of cash flow information
Interest received			$	565,361					$	783,900
Dividends received			$	—					$	33
Interest paid (excluding interest paid on interest rate swaps)			$	57,138					$	116,028
Net interest received (paid) on interest rate swaps			$	(66,918)					$	(133,628)
Taxes received (paid)			$	(677)					$	—
Noncash investing and financing activities
Receivable for unsettled trades			$	407,225					$	144,918
Payable for unsettled trades			$	1,992,568					$	1,070,080
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment			$	(3,423,892)					$	(1,372,104)
Dividends declared, not yet paid			$	321,423					$	307,671
See notes to consolidated financial statements.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1. DESCRIPTION OF BUSINESS

Investment Groups			Description
Annaly Agency Group			Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae and complementary investments within the Agency market, including Agency commercial mortgage-backed securities.
Annaly Residential Credit Group			Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets.
Annaly Mortgage Servicing Rights Group			Invests in MSR, which provide the right to service residential loans in exchange for a portion of the interest payments made on the loans.

2. BASIS OF PRESENTATION

3. SIGNIFICANT ACCOUNTING POLICIES

Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation.

Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE.

Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE.

Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in Other assets with income or loss included in Other, net.

Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled $0.8 billion and $1.2 billion at March 31, 2022 and December 31, 2021, respectively.

Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO has been elected are presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the FVO see the table in the “Financial Instruments” Note.

Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they meet the offsetting criteria. Please see below and refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements.

Derivative Instruments – Derivatives are recognized as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on derivatives. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion.

Stock-Based Compensation – The Company measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Stock-based awards that contain market-based conditions are valued using a model.

Interest Income - The Company recognizes interest income primarily on Residential Securities (as defined in the “Securities” Note), residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not paid is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income (Loss). Refer to the “Interest Income and Interest Expense” Note for further discussion.

Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”).  As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes.

Standard			Description			Effective Date			Effect on the Financial Statements or Other Significant Matters
Standard that has been adopted
ASU 2020-04 Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting			This ASU provides optional, temporary relief to accounting for contract modifications resulting from reference rate reform.			January 1, 2020			The Company has elected to retrospectively apply the practical expedients to modifications of qualifying contracts as continuation of the existing contract rather than as a new contract. The adoption had no immediate impact and is not expected to have a material impact on the Company’s consolidated financial statements as the guidance continues to be applied to contract modifications until the ASU’s termination date.

4. FINANCIAL INSTRUMENTS

The following table presents characteristics for certain of the Company’s financial instruments at March 31, 2022 and December 31, 2021.

Financial Instruments (1)

Balance Sheet Line Item

Type / Form

Measurement Basis

March 31, 2022

December 31, 2021

Assets

(dollars in thousands)

Securities

Agency mortgage-backed securities (2)

Fair value, with unrealized gains (losses) through other comprehensive income

$

57,257,909

$

59,939,383

Securities

Agency mortgage-backed securities (3)

Fair value, with unrealized gains (losses) through earnings

529,232

586,222

Securities

Residential credit risk transfer securities

Fair value, with unrealized gains (losses) through earnings

845,809

936,228

Securities

Non-agency mortgage-backed securities

Fair value, with unrealized gains (losses) through earnings

1,737,333

1,663,336

Securities

Commercial real estate debt investments - CMBS

Fair value, with unrealized gains (losses) through earnings

348,666

521,440

Securities

Commercial real estate debt investments - credit risk transfer securities

Fair value, with unrealized gains (losses) through earnings

8,688

9,065

Total securities

60,727,637

63,655,674

Loans, net

Residential mortgage loans

Fair value, with unrealized gains (losses) through earnings

1,650,151

2,272,072

Loans, net

Residential mortgage loan warehouse facility

Fair value, with unrealized gains (losses) through earnings

—

980

Loans, net

Corporate debt, held for investment

Amortized cost

1,967,667

1,968,991

Total loans, net

3,617,818

4,242,043

Interests in MSR

Interest in net servicing cash flows

Fair value, with unrealized gains (losses) through earnings

85,653

69,316

Assets transferred or pledged to securitization vehicles

Agency mortgage-backed securities

Fair value, with unrealized gains (losses) through other comprehensive income

544,991

589,873

Assets transferred or pledged to securitization vehicles

Residential mortgage loans

Fair value, with unrealized gains (losses) through earnings

7,264,316

5,496,435

Total assets transferred or pledged to securitization vehicles

7,809,307

6,086,308

Liabilities

Repurchase agreements

Repurchase agreements

Amortized cost

52,626,503

54,769,643

Other secured financing

Loans

Amortized cost

914,255

903,255

Debt issued by securitization vehicles

Securities

Fair value, with unrealized gains (losses) through earnings

6,711,953

5,155,633

Participations issued

Participations issued

Fair value, with unrealized gains (losses) through earnings

775,432

1,049,066

(1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial assets whereas directly held MSR are servicing assets or obligations. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages.

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). 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 and held-to-maturity 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 than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the

Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). 

CRT Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors.

Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, prime jumbo loan, Alt-A loan, subprime loan, non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations.

Commercial Mortgage-Backed Securities (“Commercial Securities”) - Certain commercial mortgage-backed securities (“CMBS”) are classified as available-for-sale and reported at fair value with any credit loss recognized through an allowance for credit losses and any other unrealized gains and losses reported as a component of Other comprehensive income (loss). Management evaluates its Commercial Securities for impairment at least quarterly. The Company elected the fair value option for all other Commercial Securities, including conduit and credit CMBS, to simplify the accounting where the unrealized gains and losses on these financial instruments are recorded through earnings.

			Agency Securities						Residential Credit Securities						Commercial Securities						Total
			(dollars in thousands)
Beginning balance January 1, 2022			$	60,525,605					$	2,599,564					$	530,505					$	63,655,674
Purchases			6,160,670						372,464						—						6,533,134
Sales and transfers			(2,583,651)						(177,561)						(169,224)						(2,930,436)
Principal paydowns			(2,910,094)						(132,519)						(773)						(3,043,386)
(Amortization) / accretion			24,656						890						4						25,550
Fair value adjustment			(3,430,045)						(79,696)						(3,158)						(3,512,899)
Ending balance March 31, 2022			$	57,787,141					$	2,583,142					$	357,354					$	60,727,637

			March 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			$	54,859,660					$	3,047,099					$	(79,126)					$	57,827,633					$	136,232					$	(2,585,619)					$	55,378,246
Adjustable-rate pass-through			284,000						5,581						(660)						288,921						8,490						(1,639)						295,772
CMO			110,247						1,827						—						112,074						103						(1,898)						110,279
Interest-only			1,784,533						435,220						—						435,220						149						(192,355)						243,014
Multifamily(1)			6,805,912						280,406						(6,099)						1,785,614						8,223						(68,736)						1,725,101
Reverse mortgages			33,287						3,414						—						36,701						—						(1,972)						34,729
Total agency securities			$	63,877,639					$	3,773,547					$	(85,885)					$	60,486,163					$	153,197					$	(2,852,219)					$	57,787,141
Residential credit
Credit risk transfer (2)			$	848,990					$	7,899					$	(570)					$	854,879					$	3,304					$	(12,374)					$	845,809
Alt-A			81,711						33						(16,943)						64,801						2,121						(2,344)						64,578
Prime (3)			299,044						9,405						(14,304)						263,750						6,396						(20,334)						249,812
Subprime			158,423						298						(15,359)						143,362						5,642						(4,479)						144,525
NPL/RPL			1,097,310						877						(3,357)						1,094,830						736						(20,558)						1,075,008
Prime jumbo (>=2010 vintage) (4)			1,391,118						13,143						(14,778)						217,179						2,851						(16,620)						203,410
Total residential credit securities			$	3,876,596					$	31,655					$	(65,311)					$	2,638,801					$	21,050					$	(76,709)					$	2,583,142
Total Residential Securities			$	67,754,235					$	3,805,202					$	(151,196)					$	63,124,964					$	174,247					$	(2,928,928)					$	60,370,283
Commercial
Commercial Securities			$	363,046					$	—					$	(96)					$	362,950					$	—					$	(5,596)					$	357,354
Total securities			$	68,117,281					$	3,805,202					$	(151,292)					$	63,487,914					$	174,247					$	(2,934,524)					$	60,727,637
			December 31, 2021
			Principal / Notional						Remaining Premium						Remaining Discount						Amortized Cost						Unrealized Gains						Unrealized Losses						Estimated Fair Value
Agency			(dollars in thousands)
Fixed-rate pass-through			$	54,432,252					$	3,008,185					$	(18,314)					$	57,422,123					$	1,349,125					$	(474,643)					$	58,296,605
Adjustable-rate pass-through			305,211						1,965						(2,124)						305,052						16,223						(2)						321,273
CMO			114,533						1,888						—						116,421						5,277						—						121,698
Interest-only			1,912,415						456,683						—						456,683						428						(163,197)						293,914
Multifamily (1)			5,671,138						273,553						—						1,453,946						15,330						(16,563)						1,452,713
Reverse mortgages			36,807						3,550						—						40,357						—						(955)						39,402
Total agency investments			$	62,472,356					$	3,745,824					$	(20,438)					$	59,794,582					$	1,386,383					$	(655,360)					$	60,525,605
Residential credit
Credit risk transfer (2)			$	924,101					$	8,754					$	(1,176)					$	927,555					$	9,641					$	(968)					$	936,228
Alt-A			83,213						31						(17,133)						66,111						3,627						(251)						69,487
Prime (3)			323,062						9,841						(14,757)						268,117						10,853						(3,529)						275,441
Subprime			170,671						349						(16,111)						154,909						8,285						(118)						163,076
NPL/RPL			987,415						950						(1,698)						986,667						2,739						(5,968)						983,438
Prime jumbo (>=2010 vintage) (4)			299,783						5,680						(6,410)						172,598						4,272						(4,976)						171,894
Total residential credit securities			$	2,788,245					$	25,605					$	(57,285)					$	2,575,957					$	39,417					$	(15,810)					$	2,599,564
Total Residential Securities			$	65,260,601					$	3,771,429					$	(77,723)					$	62,370,539					$	1,425,800					$	(671,170)					$	63,125,169
Commercial
Commercial Securities			$	533,071					$	—					$	(127)					$	532,944					$	165					$	(2,604)					$	530,505
Total securities			$	65,793,672					$	3,771,429					$	(77,850)					$	62,903,483					$	1,425,965					$	(673,774)					$	63,655,674
(1) Principal/Notional amount includes $5.3 billion and $4.5 billion of Agency Multifamily interest-only securities as of March 31, 2022 and December 31, 2021, respectively. (2) Principal/Notional amount includes $1.4 million and $4.1 million of a CRT interest-only security as of March 31, 2022 and December 31, 2021, respectively. (3) Principal/Notional amount includes $30.4 million and $50.0 million of Prime interest-only securities as of March 31, 2022 and December 31, 2021, respectively. (4) Principal/Notional amount includes $1.2 billion and $126.5 million of Prime Jumbo interest-only securities as of March 31, 2022 and December 31, 2021, respectively.

			March 31, 2022						December 31, 2021
Investment Type			(dollars in thousands)
Fannie Mae			$	46,824,563					$	48,404,991
Freddie Mac			9,819,001						10,880,033
Ginnie Mae			1,143,577						1,240,581
Total			$	57,787,141					$	60,525,605

			March 31, 2022												December 31, 2021
			Estimated Fair Value						Amortized Cost						Estimated Fair Value						Amortized Cost
Estimated weighted average life			(dollars in thousands)
Less than one year			$	181,054					$	180,846					$	253,129					$	250,689
Greater than one year through five years			4,123,236						4,160,292						16,155,017						15,766,307
Greater than five years through ten years			51,112,733						53,521,509						45,470,212						45,102,607
Greater than ten years			4,953,260						5,262,317						1,246,811						1,250,936
Total			$	60,370,283					$	63,124,964					$	63,125,169					$	62,370,539

			March 31, 2022																		December 31, 2021
			Estimated Fair Value (1)						Gross Unrealized Losses (1)						Number of Securities (1)						Estimated Fair Value (1)						Gross Unrealized Losses (1)						Number of Securities (1)
			(dollars in thousands)
Less than 12 months			$	37,098,530					$	(1,402,053)					1,838						$	22,828,156					$	(475,064)					571
12 Months or more			12,118,518						(1,238,095)						301						383,815						(10,960)						19
Total			$	49,217,048					$	(2,640,148)					2,139						$	23,211,971					$	(486,024)					590
(1) Excludes interest-only mortgage-backed securities and reverse mortgages.

			Gross Realized Gains						Gross Realized Losses						Net Realized Gains (Losses)
For the three months ended			(dollars in thousands)
March 31, 2022			$	1,565					$	(146,056)					$	(144,491)
March 31, 2021			$	4,646					$	(65,340)					$	(60,694)

6. LOANS

Excluding loans transferred or pledged to securitization vehicles and loan warehouse facilities, as of March 31, 2022 and December 31, 2021, the Company reported $1.7 billion and $2.3 billion, respectively, of loans for which the fair value option was elected. If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, the loans are classified as held for sale. If loans are held for sale and the fair value option was not elected, they are accounted for at the lower of cost or fair value. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of loans held for sale on an individual loan basis. The carrying value of the Company’s residential loans held for sale was $1.9 million and $2.3 million at March 31, 2022 and December 31, 2021, respectively.

Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment, which primarily include corporate debt, where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible.

			Residential												Corporate Debt												Total
			(dollars in thousands)
Beginning balance January 1, 2022			$	2,272,072											$	1,968,991											$	4,241,063
Purchases / originations			2,025,930												171,697												2,197,627
Sales and transfers (1)			(2,550,155)												—												(2,550,155)
Principal payments			(34,284)												(174,238)												(208,522)
Gains / (losses) (2)			(60,654)												(608)												(61,262)
(Amortization) / accretion			(2,758)												1,825												(933)
Ending balance March 31, 2022			$	1,650,151											$	1,967,667											$	3,617,818
(1) Includes securitizations, syndications and transfers to securitization vehicles. Includes transfer of residential loans to securitization vehicles with a carrying value of $2.5 billion during the three months ended March 31, 2022. (2) Includes loan loss allowances.

			March 31, 2022			December 31, 2021
			(dollars in thousands)
Fair value			$	8,914,467		$	7,768,507
Unpaid principal balance			$	9,097,860		$	7,535,855

			For the Three Months Ended
			March 31, 2022						March 31, 2021
			(dollars in thousands)
Interest income			$	73,465					$	37,109
Net gains (losses) on disposal of investments (1)			(7,338)						(5,220)
Net unrealized gains (losses) on instruments measured at fair value through earnings (1)			(415,248)						22,455
Total included in net income (loss)			$	(349,121)					$	54,344
(1) These amounts are presented in the line item Net gains (losses) on investments and other on the Consolidated Statements of Comprehensive Income (Loss)

Geographic Concentrations of Residential Mortgage Loans

March 31, 2022

December 31, 2021

Property location

% of Balance

Property location

% of Balance

California

48.4%

California

50.2%

New York

11.6%

New York

10.9%

Florida

6.8%

Florida

6.1%

All other (none individually greater than 5%)

33.2%

All other (none individually greater than 5%)

32.8%

Total

100.0%

100.0%