ANNALY CAPITAL MANAGEMENT INC

For the Three Months Ended September 30, 2025 and 2024

Net Gains (Losses) on Investments and Other

Net gains (losses) on disposal of investments was ($87.8) million for the three months ended September 30, 2025, compared to ($169.1) million for the same period in 2024. For the three months ended September 30, 2025, we disposed of Residential Securities with a carrying value of $1.3 billion for an aggregate net gain (loss) of $1.8 million. For the same period in 2024, we disposed of Residential Securities with a carrying value of $2.8 billion for an aggregate net gain (loss) of ($8.3) million. Realized gains (losses) on U.S. Treasury securities sold, not yet purchased was ($26.0) million for the three months ended September 30, 2025, compared to ($117.1) million for the same period in 2024.

Net unrealized gains (losses) on instruments measured at fair value through earnings was $649.7 million for the three months ended September 30, 2025, compared to $1.9 billion for the same period in 2024, primarily due to unfavorable changes in unrealized gains (losses) on Agency MBS of ($1.2) billion, securitized residential whole loans of consolidated VIEs of ($385.3) million, non-Agency MBS of ($27.0) million, and U.S. Treasury securities sold, not yet purchased of ($19.4) million, partially offset by favorable changes in residential securitized debt of consolidated VIEs of $336.4 million and MSR of $13.4 million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the three months ended September 30, 2025 was ($0.3) million, compared to ($1.4) billion for the same period in 2024, primarily attributable to favorable changes in unrealized gains (losses) on interest rate swaps and realized gains (losses) on termination or maturity of interest rate swaps, partially offset by an unfavorable change in net interest component of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($189.0) million for the three months ended September 30, 2025, compared to ($1.6) billion for the same period in 2024. Realized gains (losses) on termination or maturity of interest rate swaps was ($3.2) million for the three months ended September 30, 2025, compared to ($94.0) million for the same period in 2024, which reflected our termination or maturity of fixed-rate payer and receiver interest rate swaps with notional amounts of $1.6 billion and $68.0 million, respectively, compared to $5.1 billion notional amount of fixed-rate payer interest rate swaps for the same period in 2024. Net interest component on interest rate swaps was $191.9 million for the three months ended September 30, 2025, compared to $317.5 million for the same period in 2024.

Net gains (losses) on other derivatives was ($92.1) million for the three months ended September 30, 2025, compared to ($395.0) million for the same period in 2024. The change in net gains (losses) on other derivatives was primarily due to favorable changes in net gains (losses) on interest rate swaptions, which was $0.0 million for the three months ended September 30, 2025, compared to ($135.0) million for the same period in 2024, net gains (losses) on futures, which was ($163.4) million for the three months ended September 30, 2025, compared to ($291.5) million for the same period in 2024, and net gains (losses) on TBA derivatives, which was $76.6 million for the three months ended September 30, 2025, compared to $22.4 million for the same period in 2024, partially offset by an unfavorable change in net gains (losses) on purchase commitments, which was ($5.3) million for the three months ended September 30, 2025, compared to $9.1 million for the same period in 2024.

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 September 30, 2025 was $14.0 million, compared to $27.4 million for the same period in 2024, primarily attributable to an increase in MSR financing expenses, a decrease in net interest income on initial margin related to interest rate swaps, and an increase in securitization related costs, partially offset by an increase in advisory income, and interest on custodial balances.

For the Nine Months Ended September 30, 2025 and 2024

Net Gains (Losses) on Investments and Other

Net gains (losses) on disposal of investments and other was ($220.7) million for the nine months ended September 30, 2025, compared to ($1.1) billion for the same period in 2024. For the nine months ended September 30, 2025, we disposed of Residential Securities with a carrying value of $9.7 billion for an aggregate net gain (loss) of ($78.6) million. For the same period in 2024, we disposed of Residential Securities with a carrying value of $16.0 billion for an aggregate net gain (loss) of ($821.5) million. Realized gains (losses) on U.S. Treasury securities sold, not yet purchased was $17.8 million for the nine months ended September 30, 2025, compared to ($126.0) million for the same period in 2024.

Net unrealized gains (losses) on instruments measured at fair value through earnings was $1.7 billion for the nine months ended September 30, 2025, compared to $1.2 billion for the same period in 2024, primarily due to favorable changes on Agency MBS of $856.6 million, residential whole loans of $29.2 million, securitized debt of consolidated VIEs of $15.6 million, and securitized residential whole loans of consolidated VIEs of $9.2 million, partially offset by unfavorable changes in U.S. Treasury securities sold, not yet purchased of ($229.5) million, non-Agency MBS of ($102.2) million, MSR of ($63.0) million, CRT securities of ($34.6) million, and participations issued of ($16.2) million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the nine months ended September 30, 2025 was ($944.4) million, compared to $265.4 million for the same period in 2024, attributable to unfavorable changes in unrealized gains (losses) on interest rate swaps and the change in the net interest component of interest rate swaps, partially offset by favorable changes in realized gains (losses) on termination of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($1.4) billion for the nine months ended September 30, 2025, compared to ($584.1) million for the same period in 2024. Net interest component on interest rate swaps was $569.1 million for the nine months ended September 30, 2025, compared to $946.0 million for the same period in 2024. Realized gains (losses) on termination of interest rate swaps was ($78.8) million for the nine months ended September 30, 2025, compared to ($96.5) million for the same period in 2024, which reflected our termination of fixed-rate payer and receiver interest rate swaps with notional amounts of $17.1 billion and $3.2 billion, respectively, compared to fixed-rate payer and receiver interest rate swaps with notional amounts of $7.7 billion and $3.3 billion, respectively, for the same period in 2024.

Net gains (losses) on other derivatives was ($514.5) million for the nine months ended September 30, 2025, compared to ($211.7) million for the same period in 2024. The change in net gains (losses) on other derivatives was primarily due to unfavorable changes in net gains (losses) on futures, which was ($636.2) million for the nine months ended September 30, 2025, compared to ($152.1) million for the same period in 2024, partially offset by favorable changes in TBA derivatives, which was $123.8 million for the nine months ended September 30, 2025, compared to $28.3 million for the same period in 2024, and net gains (losses) on interest rate swaptions, which was ($9.2) million for the nine months ended September 30, 2025, compared to ($92.8) million for the same period in 2024.

Other, Net

Other, net for the nine months ended September 30, 2025 was $37.2 million, compared to $75.6 million for the same period in 2024, primarily attributable to an increase in MSR financing expenses, a decrease in net interest income on initial margin related to interest rate swaps, and an increase in securitization related costs, partially offset by an increase in interest on custodial balances, advisory income, and conduit transaction fees.