ANNALY CAPITAL MANAGEMENT INC

For the Three Months Ended June 30, 2026 and 2025

Net Gains (Losses) on Investments and Other

Net gains (losses) on disposal of investments was ($91.2) million for the three months ended June 30, 2026, compared to ($83.5) million for the same period in 2025. For the three months ended June 30, 2026, we disposed of Residential Securities with a carrying value of $3.1 billion for an aggregate net gain (loss) of ($17.5) million. For the same period in 2025, we disposed of Residential Securities with a carrying value of $3.3 billion for an aggregate net gain (loss) of ($25.8) million. Realized gains (losses) on residential mortgage loans, including loans transferred or pledged to securitization vehicles, was ($38.2) million for the three months ended June 30, 2026, compared to ($14.3) million for the same period in 2025. Realized gains (losses) on participations issued were $2.2 million for the three months ended June 30, 2026, compared to ($12.3) million for the same period in 2025. Realized gains (losses) on MSR were ($38.5) million for the three months ended June 30, 2026, compared to ($30.7) million for the same period in 2025.

Net unrealized gains (losses) on instruments measured at fair value through earnings was ($227.3) million for the three months ended June 30, 2026, compared to $167.0 million for the same period in 2025, primarily due to unfavorable changes in unrealized gains (losses) on Agency MBS of ($344.0) million, securitized residential whole loans of consolidated VIEs of ($247.3) million, and MSR (including interests in MSR) of ($18.7) million, partially offset by favorable changes in residential securitized debt of consolidated VIEs of $208.5 million, and residential whole loans of $10.9 million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the three months ended June 30, 2026 was $536.3 million, compared to ($338.3) million for the same period in 2025, 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 $448.9 million for the three months ended June 30, 2026, compared to ($492.2) million for the same period in 2025. Realized gains (losses) on termination or maturity of interest rate swaps was $0 for the three months ended June 30, 2026, compared to ($31.8) million for the same period in 2025, which reflected no terminations or maturities of interest rate swaps, compared to our termination or maturity of fixed-rate payer interest rate swaps with notional amounts of $3.8 billion, for the same period in 2025. Net interest component on interest rate swaps was $87.5 million for the three months ended June 30, 2026, compared to $185.7 million for the same period in 2025.

Net gains (losses) on other derivatives was $16.1 million for the three months ended June 30, 2026, compared to ($50.5) million for the same period in 2025. The change in net gains (losses) on other derivatives was primarily due to favorable changes in net gains (losses) on futures, which was $19.4 million for the three months ended June 30, 2026, compared to ($69.4) million for the same period in 2025, net gains (losses) on purchase commitments, which was $10.5 million for the three months ended June 30, 2026, compared to $2.6 million for the same period in 2025, and net gains (losses) on interest rate swaptions, which was $1.0 million for the three months ended June 30, 2026, compared to ($0.6) million for the same period in 2025, partially offset by unfavorable changes in net gains (losses) on TBA derivatives, which was ($14.9) million for the three months ended June 30, 2026, compared to $17.0 million for the same period in 2025.

Other, Net

Other, net includes brokerage and commission fees, due diligence costs, securitization expenses, interest on custodial balances, and 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 June 30, 2026 was $13.5 million, compared to $15.8 million for the same period in 2025, primarily attributable to a decrease in earnings from unconsolidated joint ventures, an increase in securitization-related costs, an increase in trading activity related expenses, and an increase in MSR financing expenses, partially offset by an increase in interest on custodial balances, advisory income, conduit transaction fees, and other interest.

For the Six Months Ended June 30, 2026 and 2025

Net Gains (Losses) on Investments and Other

Net gains (losses) on disposal of investments and other was ($117.9) million for the six months ended June 30, 2026, compared to ($132.8) million for the same period in 2025. For the six months ended June 30, 2026, we disposed of Residential Securities with a carrying value of $8.1 billion for an aggregate net gain (loss) of $18.4 million. For the same period in 2025, we disposed of Residential Securities with a carrying value of $8.5 billion for an aggregate net gain (loss) of ($80.4) million. Realized gains (losses) on residential mortgage loans, including loans transferred or pledged to securitization vehicles, was ($68.2) million for the six months ended June 30, 2026, compared to ($24.3) million for the same period in 2025. Realized gains (losses) on U.S. Treasury securities sold, not yet purchased was $16.4 million for the six months ended June 30, 2026, compared to $43.8 million for the same period in 2025. Realized gains (losses) on MSR were ($70.3) million for the six months ended June 30, 2026, compared to ($49.2) million for the same period in 2025. Realized gains (losses) on participations issued were ($16.3) million for the six months ended June 30, 2026, compared to ($20.3) million for the same period in 2025.

Net unrealized gains (losses) on instruments measured at fair value through earnings was ($872.8) million for the six months ended June 30, 2026, compared to $1.0 billion for the same period in 2025, primarily due to unfavorable changes on Agency MBS of ($2.0) billion, securitized residential whole loans of consolidated VIEs of ($416.8) million, residential whole loans of ($46.0) million, MSR (including interests in MSR) of ($27.9) million, and non-Agency MBS of ($17.7) million, partially offset by favorable changes in securitized debt of consolidated VIEs of $503.4 million, U.S. Treasury securities sold, not yet purchased of $105.0 million, participations issued of $18.9 million, and CRT securities of $15.3 million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the six months ended June 30, 2026 was $859.2 million, compared to $(944.2) million for the same period in 2025, 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 $680.7 million for the six months ended June 30, 2026, compared to ($1.2) billion for the same period in 2025. Realized gains (losses) on termination of interest rate swaps was ($5.8) million for the six months ended June 30, 2026, compared to ($75.6) million for the same period in 2025, which reflected our termination or maturity of fixed-rate payer interest rate swaps with a notional amount of $5.1 billion, compared to fixed-rate payer and receiver interest rate swaps with notional amounts of $15.5 billion and $3.2 billion, respectively, for the same period in 2025. Net interest component on interest rate swaps was $184.3 million for the six months ended June 30, 2026, compared to $377.2 million for the same period in 2025.

Net gains (losses) on other derivatives was $102.3 million for the six months ended June 30, 2026, compared to ($422.5) million for the same period in 2025. The change in net gains (losses) on other derivatives was primarily due to favorable changes in net gains (losses) on futures, which was $181.3 million for the six months ended June 30, 2026, compared to ($472.9) million for the same period in 2025, and net gains (losses) on interest rate swaptions, which was $22.2 million for the six months ended June 30, 2026, compared to ($9.2) million for the same period in 2025, partially offset by unfavorable changes in net gains (losses) on TBA derivatives, which was ($108.4) million for the six months ended June 30, 2026, compared to $47.2 million for the same period in 2025, and net gains (losses) on purchase commitments, which was $7.2 million for the six months ended June 30, 2026, compared to $12.4 million for the same period in 2025.

Other, Net

Other, net for the six months ended June 30, 2026 was $22.8 million, compared to $23.2 million for the same period in 2025, primarily attributable to an increase in trading activity related expenses, securitization-related costs, and MSR financing expenses, a decrease in earnings from unconsolidated joint ventures and net interest income on initial margin related to interest rate swaps, partially offset by an increase in interest on custodial balances, advisory income, conduit transaction fees, and other interest.