ANNALY CAPITAL MANAGEMENT INC

For the Three Months Ended September 30, 2026 and 2025

Net Gains (Losses) on Investments and Other

Net gains (losses) on disposal of investments was ($142.9) million for the three months ended September 30, 2026, compared to ($87.8) million for the same period in 2025. For the three months ended September 30, 2026, we disposed of Residential Securities with a carrying value of $4.5 billion for an aggregate net gain (loss) of ($90.3) million. For the same period in 2025, we disposed of Residential Securities with a carrying value of $1.3 billion for an aggregate net gain (loss) of $1.8 million. Realized gains (losses) on residential mortgage loans, including loans transferred or pledged to securitization vehicles, was ($27.3) million for the three months ended September 30, 2026, compared to ($11.5) million for the same period in 2025. Realized gains (losses) on participations issued were $11.4 million for the three months ended September 30, 2026, compared to ($21.0) million for the same period in 2025. Realized gains (losses) on U.S. Treasury securities sold, not yet purchased was zero for the three months ended September 30, 2026, compared to ($26.0) million for the same period in 2025. Realized gains (losses) on MSR were ($26.7) million for the three months ended September 30, 2026, compared to ($31.0) million for the same period in 2025.

Net unrealized gains (losses) on instruments measured at fair value through earnings was ($4.6) billion for the three months ended September 30, 2026, compared to $649.7 million for the same period in 2025, primarily due to unfavorable changes in unrealized gains (losses) on Agency MBS of ($5.1) billion, securitized residential whole loans of consolidated VIEs of ($925.7) million, residential whole loans of ($129.6) million, and non-Agency MBS of ($28.9) million, partially offset by favorable changes in residential securitized debt of consolidated VIEs of $817.2 million, MSR (including interests in MSR) of $135.0 million, and participations issued of $48.2 million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the three months ended September 30, 2026 was $2.0 billion, compared to ($0.3) 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 $1.9 billion for the three months ended September 30, 2026, compared to ($189.0) million for the same period in 2025. Realized gains (losses) on termination or maturity of interest rate swaps was $45.0 million for the three months ended September 30, 2026, compared to

($3.2) million for the same period in 2025, which reflected terminations or maturities of fixed-rate payer and receiver interest rate swaps with notional amounts of $16.2 billion and $1.0 billion, respectively, compared to our termination or maturity of fixed-rate payer and receiver interest rate swaps with notional amounts of $1.6 billion and $68.0 million, respectively, for the same period in 2025. Net interest component on interest rate swaps was $91.8 million for the three months ended September 30, 2026, compared to $191.9 million for the same period in 2025.

Net gains (losses) on other derivatives was $1.1 billion for the three months ended September 30, 2026, compared to ($92.1) 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 $1.4 billion for the three months ended September 30, 2026, compared to ($163.4) million for the same period in 2025, partially offset by unfavorable changes in net gains (losses) on TBA derivatives, which was ($360.5) million for the three months ended September 30, 2026, compared to $76.6 million for the same period in 2025, net gains (losses) on purchase commitments, which was ($24.2) million for the three months ended September 30, 2026, compared to ($5.3) million for the same period in 2025, and net gains (losses) on interest rate swaptions, which was ($1.1) million for the three months ended September 30, 2026, compared to zero 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 September 30, 2026 was $16.9 million, compared to $14.0 million for the same period in 2025, primarily attributable to an increase in interest on custodial balances, income from interests in MSR, conduit transaction fees, advisory income, other interest, and a decrease in MSR financing expenses, partially offset by a decrease in earnings from unconsolidated joint ventures, an increase in trading activity related expenses, an increase in securitization-related costs, and a decrease in net interest on initial margin related to interest rate swaps.

For the Nine Months Ended September 30, 2026 and 2025

Net Gains (Losses) on Investments and Other

Net gains (losses) on disposal of investments and other was ($260.7) million for the nine months ended September 30, 2026, compared to ($220.7) million for the same period in 2025. For the nine months ended September 30, 2026, we disposed of Residential Securities with a carrying value of $12.7 billion for an aggregate net gain (loss) of ($71.9) million. For the same period in 2025, we disposed of Residential Securities with a carrying value of $9.7 billion for an aggregate net gain (loss) of ($78.6) million. Realized gains (losses) on residential mortgage loans, including loans transferred or pledged to securitization vehicles, was ($95.5) million for the nine months ended September 30, 2026, compared to ($35.8) million for the same period in 2025. Realized gains (losses) on MSR were ($97.0) million for the nine months ended September 30, 2026, compared to ($80.3) million for the same period in 2025. Realized gains (losses) on participations issued were ($4.9) million for the nine months ended September 30, 2026, compared to ($41.3) million for the same period in 2025.

Net unrealized gains (losses) on instruments measured at fair value through earnings was ($5.5) billion for the nine months ended September 30, 2026, compared to $1.7 billion for the same period in 2025, primarily due to unfavorable changes on Agency MBS of ($7.2) billion, securitized residential whole loans of consolidated VIEs of ($1.3) billion, residential whole loans of ($175.6) million, and non-Agency MBS of ($46.6) million, partially offset by favorable changes in securitized debt of consolidated VIEs of $1.3 billion, MSR (including interests in MSR) of $106.6 million, U.S. Treasury securities sold, not yet purchased of $95.3 million, participations issued of $67.1 million, and CRT securities of $18.6 million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the nine months ended September 30, 2026 was $2.9 billion, compared to $(944.4) 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 $2.6 billion for the nine months ended September 30, 2026, compared to ($1.4) billion for the same period in 2025. Realized gains (losses) on termination of interest rate swaps was $39.2 million for the nine months ended September 30, 2026, compared to ($78.8) million for the same period in 2025, which reflected our termination or maturity of fixed-rate payer and receiver interest rate swaps with notional amounts of $21.3 billion and $1.0 billion, respectively, compared to fixed-rate payer and receiver interest rate swaps with notional amounts of $17.1 billion and $3.2 billion, respectively, for the same period in 2025. Net interest component on interest rate swaps was $276.1 million for the nine months ended September 30, 2026, compared to $569.1 million for the same period in 2025.

Net gains (losses) on other derivatives was $1.2 billion for the nine months ended September 30, 2026, compared to ($514.5) 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 $1.6 billion for the nine months ended September 30, 2026, compared to ($636.2) million for the same period in 2025, and net gains (losses) on interest rate swaptions, which was $21.1 million for the nine months ended September 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 ($468.9) million for the nine months ended September 30, 2026, compared to $123.8 million for the same period in 2025, and net gains (losses) on purchase commitments, which was ($17.0) million for the nine months ended September 30, 2026, compared to $7.2 million for the same period in 2025.

Other, Net

Other, net for the nine months ended September 30, 2026 was $39.7 million, compared to $37.2 million for the same period in 2025, primarily attributable to an increase in income from interests in MSR, interest on custodial balances, advisory income, conduit transaction fees, other interest, partially offset by an increase in trading activity related expenses, a decrease in earnings from unconsolidated joint ventures, an increase in securitization-related costs, an increase in MSR financing expenses, and a decrease in net interest on initial margin related to interest rate swaps.