ANNALY CAPITAL MANAGEMENT INC

Our primary financing sources are repurchase agreements provided through counterparty arrangements and through our wholly-owned subsidiary, Arcola Securities, Inc. (“Arcola”), other secured financing, debt issued by securitization vehicles, credit facilities, note sales and various forms of equity. We maintain excess liquidity by holding unencumbered liquid assets that could be either used to collateralize additional borrowings or sold.

We seek to conservatively manage our repurchase agreement funding position through a variety of methods including diversity, breadth and depth of counterparties and maintaining a staggered maturity profile.

Arcola provides direct access to third party funding as a FINRA member broker-dealer. Arcola borrows funds through the General Collateral Finance Repo service offered by the FICC, with FICC acting as the central counterparty. In addition, Arcola may borrow funds through direct repurchase agreements.

To reduce our liquidity risk we maintain a laddered approach to our repurchase agreements. At September 30, 2026 and December 31, 2025, the weighted average days to maturity was 30 days and 35 days, respectively.

Our repurchase agreements generally provide that in the event of a margin call we must provide additional securities or cash on the same business day that a margin call is made. Should prepayment speeds on the mortgages underlying our Agency and Residential mortgage-backed securities and/or market interest rates or other factors move suddenly and cause declines in the market value of assets posted as collateral, resulting margin calls may cause an adverse change in our liquidity position. We have continued to diversify our financing profile adding new non-mark-to-market facilities and financing options under existing facilities for our Residential Credit operating segment.

At September 30, 2026, we had total financial assets and cash pledged against existing liabilities of $87.9 billion. The weighted average haircut was approximately 3% on repurchase agreements. The quality and character of the Residential Securities that we pledge as collateral under the repurchase agreements and interest rate swaps did not materially change at September 30, 2026, compared to the same period in 2025, and our counterparties did not materially alter any requirements, including required haircuts, related to the collateral we pledge under repurchase agreements and interest rate swaps during the three months ended September 30, 2026.

The following table presents our quarterly average and quarter-end repurchase agreement and reverse repurchase agreement balances outstanding for the periods presented:

Our committed facility warehouse lines provide financing for our MSR portfolio for liquidity purposes. We maintain a conservative approach to these facilities, generally over-collateralizing the lines against margin calls.

The following table provides information on our repurchase agreements and other secured financing by maturity date at September 30, 2026. The weighted average remaining maturity on our repurchase agreements and other secured financing was 33 days at September 30, 2026:

We also finance our investments in residential mortgage loans through the issuance of securitization transactions sponsored by our wholly-owned subsidiary Onslow Bay Financial LLC (“Onslow Bay”) under the Onslow Bay private-label securitization program. Securitization serves as term, non-mark to market financing on our GAAP portfolio. As of September 30, 2026, Onslow Bay has $38.1 billion of securitized debt outstanding at an average financing rate of 5.35%.

During the third quarter, Onslow Bay securitized $7.4 billion with an average cost of funds of 6.00%. Onslow Bay is active in calling and re-levering securitizations, which allows us to increase our advance rates and reset our cost of funds for seasoned collateral to current market rates, exemplified by OBX 2026-R3, which was issued during the quarter.

During the quarter, we renewed or extended existing facilities for our Onslow Bay loan platform to maintain financing optionality while reducing pricing.

The following table presents our outstanding debt balances and associated weighted average rates and days to maturity at September 30, 2026: