ANNALY CAPITAL MANAGEMENT INC

The third quarter of 2026 (“Q3 2026”) was characterized by continued strong U.S. economic growth, supported by consumer spending and investment related to artificial intelligence (“AI”). Inflation remained firm, driven by the geopolitical turmoil induced rise in energy prices and their spillover into other areas, such as transportation costs. The investment boom to construct data centers and related AI infrastructure has also led to price increases in computing equipment. The 10-year Treasury yield rose 82 basis points (“bps”) during the quarter to multi-decade highs as the Federal Reserve (the “Fed”) delivered its first rate hike since 2023, with markets pricing in another 80 bps of hikes over the next year. Other pressures on interest rates included sovereign debt concerns across developed market economies, AI-related corporate bond issuance, and a higher estimate of the neutral rate. Given the pressures in interest rates, implied volatility rose. For example, the 3-month 10-year implied volatility ended the quarter at 6.3 bps per day and Agency mortgage-backed security (“MBS”) spreads widened. Mortgage rates reached 7.4%, a level seen only briefly in 2023, potentially suggesting affordability and borrower lock-in should continue to constrain housing activity. Weaker housing demand may pressure home prices going forward, although supply and demand in the housing market remain generally in balance and borrower credit characteristics and underwriting are sound.

In this environment, Annaly generated a portfolio economic return of -7.6% in Q3 2026, with earnings available for distribution (“EAD”) of $0.80 per share, once again exceeding the quarterly common stock dividend. Economic leverage ended the quarter at 5.9x, somewhat higher than at the end of the second quarter (“Q2 2026”). During the quarter, we raised in excess of $750 million of common equity through our at-the-market (“ATM”) sales program. On October 1, 2026, we redeemed all of our Series I Preferred Stock, which had an aggregate liquidation value of approximately $443 million. The redemption helps us maintain a conservative capital structure, particularly as we view balance sheet leverage as currently more attractive and we expect both repo financing to remain available and terms for residential credit and MSR warehouse lines to improve.

With regards to our Agency MBS portfolio, conservative leverage, limited interest rate risk exposure, active hedging, and ample liquidity helped us manage the portfolio opportunistically despite the challenging market environment. Our Agency portfolio decreased modestly to $91.8 billion (including TBA exposure) in market value, representing 55% of firm capital, though we added approximately $2 billion notional of Agency MBS during the quarter with activity focused on 5.5% and 6.0% coupon specified pools. This quarter’s experience also highlighted the benefits of our higher allocation to quality specified pools. On average, our specified pool holdings are over 3.5 years seasoned and carry loan balances that are less than half that of new production MBS, thus providing protection against both lower and higher interest rates. Looking at Agency MBS spreads more broadly, they currently sit at the widest levels since the tariff announcements in April 2025, offering potentially attractive returns once interest rate volatility normalizes. The technical picture for Agency MBS has remained strong, with broad-based demand from bond funds, banks, overseas investors, and the government-sponsored enterprises, while supply remained constrained by high mortgage rates and seasonal lows in origination.

As interest rates moved higher during the quarter, the duration of our assets extended, and we diligently added hedges — primarily in Treasury futures — to manage our interest rate exposure. Some of our existing swaps also matured during Q3 2026, leaving the portfolio with a balanced hedge mix between swaps and Treasuries at quarter end. The rise in rates also meant the negative convexity in our portfolio, and the universe more broadly, declined meaningfully. This should make asset durations less sensitive to further changes in interest rates, requiring less hedge rebalancing going forward. Overall, we are constructive with regards to our duration position as current higher yields are fundamentally attractive.

Our Residential Credit portfolio ended the quarter at $10.4 billion in market value, roughly unchanged quarter-over-quarter, and represented 23% of firm capital. “AAA” Non-QM spreads ended Q3 2026 approximately 10 bps wider and widened another 10 bps after quarter-end. The private-label market remained resilient, with 2026 securitization volume expected to set a post-Global Financial Crisis record. Our Onslow Bay correspondent channel produced $7.0 billion of interest rate locks and a record $5.8 billion of fundings during the quarter. Despite the growing volumes, we continued to lead with credit quality, as evidenced by the quarter-end locked pipeline reflecting a weighted average FICO score of 766 and a weighted average combined loan-to-value ratio of 67%. The OBX platform settled $7.4 billion of securitizations during Q3 2026 and priced another $2.2 billion in

October. Year-to-date, we have priced more than $21 billion across 37 transactions. Onslow Bay and OBX continued to create proprietary, high-yielding assets with disciplined credit execution.

Our MSR portfolio increased to $4.3 billion (including interests in MSR) in market value at quarter end, representing 22% of firm capital. Purchases during the quarter included one $140 million bulk package, and our flow channel volume exceeded $50 million, a quarterly record. Bulk supply increased during the quarter and is expected to remain robust through year-end. Year-to-date, we have been the largest bulk purchaser of conventional MSR, onboarding more than $40 billion in net unpaid principal balance. The portfolio valuation multiple ended the quarter at 6.15x, a modest increase quarter-over-quarter largely driven by higher interest rates and wider current coupon MBS spreads. Our differentiated MSR portfolio continues to be significantly out-of-the-money, with stable cash flows and exceptional credit quality as evidenced by key metrics in Q3 2026: the weighted average note rate was 3.32%, prepayment speeds fell to 4.8%, and serious delinquencies remained below 60 bps.