ANNALY CAPITAL MANAGEMENT INC

Real gross domestic product (“GDP”) growth was 2.2% on a seasonally adjusted annualized rate (“SAAR”) basis in Q2 2026, roughly in line with growth in the first quarter of 2026. Consumption was very strong, rising 3.8% SAAR and contributing 2.5 percentage points to gross real GDP growth. Consumer spending was in large part driven by the wealth effect from continued stock market gains, though consumers are increasingly pressured by slowing real income growth and declining savings rates. Private non-residential investment rose 9.0% SAAR in Q2 2026 and is expected to remain robust given capital expenditures related to the AI buildout.

Inflation readings remained elevated with the October Consumer Price Index (“CPI”) release coming in much firmer than expected, driven by rising energy costs and the related spillover into transportation costs. Headline CPI rose to 3.7% year-over-year, and core CPI rose to 2.6% year-over-year, keeping inflation anchored above the Fed’s inflation target.

The labor market remained stable. According to the Bureau of Labor Statistics, non-farm payrolls rose by 29,000 in September, bringing net job creation to 152,000 for the third quarter, down from a revised 242,000 in the second quarter but well above the 29,000 added per quarter in 2025. The unemployment rate remained at 4.2%, a reading that suggests that despite the slower hiring, the labor market remains near full employment. The labor force participation rate improved to 61.8%, better than the second quarter but well below historical averages. Wage growth, as measured by the year-over-year change in average hourly earnings, was 3.0%, essentially the slowest reading since 2019.

U.S. interest rates repriced sharply in Q3 2026 given several factors, including renewed hikes by the Fed, strong issuance of public and private sector debt across developed market economies, and stubbornly elevated inflation readings. Combined with strong performance of the economy, Fed officials and market participants are questioning whether current policy rates are high enough to restrict economic activity, implying monetary policy tightening is likely to continue in coming months. Treasury yields rose across the yield curve, with long-term yields reaching their highest level in 20 years. Rate volatility rose sharply in September to levels last seen in 2023.

The following table presents interest rates and spreads at each date presented: