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ANNALY CAPITAL MANAGEMENT INC

For the period ended Sep 30, 2026. Filed Oct 28, 2026.

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About this filing

A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.

Sep 30, 2026 · Filed Oct 28, 2026

NLY$18.95+1.1%Stored close · as of Nov 9, 2026

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Contents

Special Note Regarding Forward-Looking Statements

Certain statements contained in this quarterly report, and certain statements contained in our future filings with the Securities and Exchange Commission (the “SEC” or the “Commission”), in our press releases or in our other public or stockholder communications contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” or similar terms or variations on those terms or the negative of those terms. Such statements include those relating to the Company’s future performance, macro outlook, the interest rate and credit environments, tax reform and future opportunities. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities (“MBS”) and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of the Company’s assets; changes in business conditions and the general economy; the Company’s ability to grow its residential credit business; the Company's ability to grow its mortgage servicing rights business; credit risks related to the Company’s investments in credit risk transfer securities and residential mortgage-backed securities and related residential mortgage credit assets; risks related to investments in mortgage servicing rights; the Company’s ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting the Company’s business; the Company’s ability to maintain its qualification as a REIT for U.S. federal income tax purposes; the Company’s ability to maintain its exemption from registration under the Investment Company Act of 1940; and operational risks or risk management failures by us or critical third parties, including cybersecurity incidents. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. The Company does not undertake, and specifically disclaims any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.

This Management’s Discussion and Analysis of Financial Condition and Results of Operations should be read in conjunction with our most recent annual report on Form 10-K. All references to “Annaly,” “we,” “us,” or “our” mean Annaly Capital Management, Inc. and all entities owned by us, except where it is made clear that the term means only the parent company. Refer to the section titled “Glossary of Terms” located at the end of this Item 2 for definitions of commonly used terms in this quarterly report on Form 10-Q.

INDEX TO ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
Page
Overview40
Business Environment40
Economic Environment41
Results of Operations42
Net Income (Loss) Summary43
Non-GAAP Financial Measures45
Earnings Available for Distribution, Earnings Available for Distribution Attributable to Common Stockholders, Earnings Available for Distribution Per Average Common Share and Annualized EAD Return on Average Equity45
Premium Amortization Expense47
Economic Leverage and Economic Capital Ratios47
Interest Income (excluding PAA), Economic Interest Expense and Economic Net Interest Income (excluding PAA)48
Experienced and Projected Long-term CPR49
Average Yield on Interest Earning Assets (excluding PAA), Net Interest Spread (excluding PAA), Net Interest Margin (excluding PAA), and Average Economic Cost of Interest Bearing Liabilities50
Economic Interest Expense and Average Economic Cost of Interest Bearing Liabilities51
Other Income (Loss)52
General and Administrative Expenses54
Return on Average Equity54
Unrealized Gains and Losses - Available-for-Sale Investments55
Financial Condition55
Residential Securities56
Contractual Obligations58
Commitments and Contractual Obligations with Unconsolidated Entities59
Capital Management59
Stockholders’ Equity59
Capital Stock59
Leverage and Capital60
Risk Management61
Risk Appetite61
Governance61
Description of Risks62
Liquidity and Funding Risk Management62
Funding63
Excess Liquidity64
Maturity Profile and Interest Rate Sensitivity65
Stress Testing66
Liquidity Management Policies66
Investment/Market Risk Management67
Credit Risk Management68
Counterparty Risk Management68
Operational Risk Management69
Compliance, Regulatory and Legal Risk Management70
Critical Accounting Estimates71
Valuation of Financial Instruments71
Residential Securities71
Residential Mortgage Loans71
MSR72
Interest Rate Swaps72
Revenue Recognition72
Consolidation of Variable Interest Entities72
Use of Estimates73
Glossary of Terms74
ContentsView on SEC.gov

The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.