ANNALY CAPITAL MANAGEMENT INC

The following table presents financial information related to our results of operations as of and for the three months ended March 31, 2026 and 2025.

* Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. (1) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and U.S. Treasury securities sold, not yet purchased divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced (“TBA”) derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage.(2) GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and net of debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued.(3) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 1.79% and 1.01% for the three months ended March 31, 2026 and 2025, respectively.(4) Net interest margin represents our interest income less interest expense divided by the average interest earning assets. Net interest margin does not include net interest component of interest rate swaps. Net interest margin (excluding PAA) represents the sum of our interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average outstanding TBA contract balances.(5) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).(6) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).(7) Excludes dividends on preferred stock.

GAAP

Net income (loss) was $290.5 million, which includes $7.9 million attributable to noncontrolling interests, or $0.33 per average basic common share, for the three months ended March 31, 2026, compared to $130.3 million, which includes $6.1 million attributable to noncontrolling interests, or $0.15 per average basic common share, for the same period in 2025. We attribute the majority of the change in net income (loss) to favorable changes in net gains (losses) on derivatives, net interest income, and net servicing income, partially offset by an unfavorable change in net gains (losses) on investments and other. Net gains (losses) on derivatives was $409.1 million for the three months ended March 31, 2026 compared to ($977.9) million for the same period in 2025. Net interest income for the three months ended March 31, 2026 was $452.7 million, compared to $220.0 million for the same period in 2025. Net servicing income for the three months ended March 31, 2026 was $142.6 million, compared to $126.3 million for the same period in 2025. Net gains (losses) on investments and other was ($672.1) million for the three months ended March 31, 2026, compared to $810.8 million for the same period in 2025.

Non-GAAP

Earnings available for distribution were $589.9 million, or $0.76 per average common share, for the three months ended March 31, 2026, compared to $461.9 million, or $0.72 per average common share, for the same period in 2025. The change in earnings available for distribution during the three months ended March 31, 2026, compared to the same period in 2025, was primarily due to higher coupon income resulting from higher residential mortgage loan and securities balances and purchasing securities higher up in the coupon stack since Q1 2025. This change was partially offset by higher interest expense, resulting from higher securitized debt and repurchase agreement balances despite lower average rates, and an unfavorable change in the net interest component of interest rate swaps.