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Item 1. Financial Statements

2026-07-29 compared with 2026-04-29 · 378 added, 186 removed, 697 unchanged (45% of the section changed)

Financial Statements

The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs.

Although the residential mortgage loans have been sold for bankruptcy and state law purposes, the transfers of the residential mortgage loans to the OBX Trusts did not qualify for sale accounting and are reflected as intercompany secured borrowings that are eliminated upon consolidation.

Effective August 1, 2022, upon initial consolidation of new securitization entities, the Company elected to apply the measurement alternative for consolidated collateralized financing entities in order to simplify the accounting and valuation processes.

The liabilities of these securitization entities are deemed to be more observable and are used to measure the fair value of the assets.

As of March 31, 2026 and December 31, 2025, a total carrying value of $ 30.5 billion and $ 28.7 billion, respectively, of bonds were held by third parties and the Company retained $ 3.5 billion and $ 3.2 billion, respectively, of MBS, which were eliminated in consolidation.

The contractual principal amount of the OBX Trusts’ debt held by third parties was $ 30.9 billion and $ 29.0 billion at March 31, 2026 and December 31, 2025, respectively.

During the three months ended March 31, 2026 and 2025, the Company recorded $ 122.3 million and ($ 170.9 ) million, respectively, of unrealized gains (losses) on debt held by third parties issued by OBX Trusts, which is reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss).

In March 2026, the Company exercised its optional redemption on OBX 2023-NQM1 and OBX 2023-NQM2;

and liquidated the corresponding securitization trusts.

Upon deconsolidation, there was a net $ 0.2 million gain recognized in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

Structured Repurchase Transaction

The Company pledged securities retained from its OBX Trusts to a structured repurchase transaction, OBX 2025-SR1, to diversify its financing sources.

The OBX 2025-SR1 Trust is deemed to be a VIE because the entity does not have sufficient equity at risk to finance its activities without additional subordinated financial support.

The Company is deemed to be the primary beneficiary and consolidates the OBX 2025-SR1 Trust because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs.

The securities issued by the OBX 2025-SR1 Trust are recognized as Debt issued by securitization vehicles in the Consolidated Statements of Financial Condition with changes in estimated fair value recognized within Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

This transaction provides recourse financing to the Company, a subsidiary and a fund it manages for their obligations as sellers under repurchase agreements.

During the three months ended March 31, 2026 and 2025, the Company incurred $ 8.0 million and $ 6.8 million, respectively, of costs in connection with OBX Trust and structured repurchase transaction securitizations that were expensed as incurred.

The Company incurred $ 10.2 million and $ 5.7 million of costs during the three months ended June 30, 2026 and 2025, respectively, and $ 18.2 million and $ 12.5 million of costs during the six months ended June 30, 2026 and 2025, respectively, in connection with these OBX Trust securitizations that were expensed as incurred.

Residential Credit Fund

2 unchanged sentences

The Company is not the primary beneficiary and does not consolidate the residential credit fund as its only interest in the fund is the management and performance fees that it earns, which are not considered variable interests in the entity.

As of March 31, 2026 and December 31, 2025, the Company had outstanding participations issued in residential mortgage loans of $ 2.5 billion and $ 1.9 billion, respectively.

As of June 30, 2026 and December 31, 2025, the Company had outstanding participations issued in residential mortgage loans of $ 2.6 billion and $ 1.9 billion, respectively.

These transfers do not meet the criteria for sale accounting and are accounted for as secured borrowings, thus the residential loans are reported as Loans, net and the associated liability is reported as Participations issued in the Consolidated Statements of Financial Condition.

8 unchanged sentences

The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S.

11 unchanged sentences

In accordance with a clearing organization’s rulebook, the Company presents the fair value of centrally cleared interest rate swaps net of variation margin pledged or received under such transactions.

At March 31, 2026 and December 31, 2025, ($ 2.2 ) billion and ($ 2.0 ) billion, respectively, of variation margin was reported as an adjustment to interest rate swaps, at fair value.

At June 30, 2026 and December 31, 2025, ($ 2.7 ) billion and ($ 2.0 ) billion, respectively, of variation margin was reported as an adjustment to interest rate swaps, at fair value.

Initial margin is reported in Cash and cash equivalents in the Consolidated Statements of Financial Condition.

5 unchanged sentences

Centrally cleared interest rate swaps, including MAC interest rate swaps, are generally fair valued using the DCO’s market values.

If an interest rate swap is terminated, the realized gain (loss) on the interest rate swap would be equal to the difference between the cash received or paid and fair value.

If an interest rate swap is

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

terminated, the realized gain (loss) on the interest rate swap would be equal to the difference between the cash received or paid and fair value.

Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates.

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The counterparties are required to deliver the committed loans on a “best efforts” basis.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

The following table summarizes fair value information about the Company’s derivative assets and liabilities at March 31, 2026 and December 31, 2025:

Derivatives Instruments March 31, 2026 December 31, 2025

The following table summarizes fair value information about the Company’s derivative assets and liabilities at June 30, 2026 and December 31, 2025:

Derivatives Instruments June 30, 2026 December 31, 2025

Assets (dollars in thousands)

11 unchanged sentences

Total derivative liabilities $ 247,968 $ 53,755

The following tables summarize certain characteristics of the Company’s interest rate swaps at March 31, 2026 and December 31, 2025:

March 31, 2026

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

The following tables summarize certain characteristics of the Company’s interest rate swaps at June 30, 2026 and December 31, 2025:

June 30, 2026

Maturity Current Notional (1)(2)

18 unchanged sentences

Total / Weighted average $ 63,192,398 3.15 % 3.92 % 4.23

(1) As of March 31, 2026, 98 % and 2 % of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.

(1) As of June 30, 2026, 98 % and 2 % of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.

As of December 31, 2025, 98 % and 2 % of the Company’s interest rate swaps were linked to SOFR and the Federal funds rate, respectively.

(2) As of March 31, 2026, notional amount includes $ 1.5 billion of forward starting pay fixed swaps.

(2) As of June 30, 2026, there were no forward starting swaps.

There were $ 1.5 billion forward starting pay fixed swaps at December 31, 2025.

1 unchanged sentence

As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

The following tables summarize certain characteristics of the Company’s swaptions at March 31, 2026 and December 31, 2025:

March 31, 2026

The following tables summarize certain characteristics of the Company’s swaptions at June 30, 2026 and December 31, 2025:

June 30, 2026

Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration

7 unchanged sentences

Short receive ( 1,800,000 ) 3.23 % SOFR 3.94 11.25

The following tables summarize certain characteristics of the Company’s TBA derivatives at March 31, 2026 and December 31, 2025:

March 31, 2026

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

The following tables summarize certain characteristics of the Company’s TBA derivatives at June 30, 2026 and December 31, 2025:

June 30, 2026

Purchase and Sale Contracts for TBA Derivatives Notional Implied Cost Basis Implied Market Value Net Carrying Value

9 unchanged sentences

Net TBA derivatives $ 3,327,000 $ 3,252,601 $ 3,257,086 $ 4,485

The following tables summarize certain characteristics of the Company’s futures derivatives at March 31, 2026 and December 31, 2025:

March 31, 2026

The following tables summarize certain characteristics of the Company’s futures derivatives at June 30, 2026 and December 31, 2025:

June 30, 2026

Notional - Long

11 unchanged sentences

— ( 14,452,900 ) 10.86

swap futures - 10 year and greater

— ( 110,000 ) 10.22

Total $ 1,000,000 $ ( 17,787,900 ) 9.80

14 unchanged sentences

Total $ 2,473,200 $ ( 16,557,900 ) 8.31

The Company presents derivative contracts on a gross basis in the Consolidated Statements of Financial Condition.

Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty.

The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset in the Company’s Consolidated Statements of Financial Condition at June 30, 2026 and December 31, 2025, respectively.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

The Company presents derivative contracts on a gross basis in the Consolidated Statements of Financial Condition.

Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty.

March 31, 2026

June 30, 2026

Amounts Eligible for Offset

5 unchanged sentences

Futures contracts, at fair value 1,800 ( 1,800 ) — —

340,091 ( 44,265 ) — 295,826

Purchase commitments 12,277 — — 12,277

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For the three months ended (dollars in thousands)

March 31, 2026 $ 96,847 $ ( 5,750 ) $ 231,826

March 31, 2025 $ 191,545 $ ( 43,789 ) $ ( 753,601 )

June 30, 2026 $ 87,458 $ — $ 448,853

June 30, 2025 $ 185,650 $ ( 31,792 ) $ ( 492,183 )

For the six months ended

June 30, 2026 $ 184,305 $ ( 5,750 ) $ 680,679

June 30, 2025 $ 377,195 $ ( 75,581 ) $ ( 1,245,784 )

(1) Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).

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The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:

Three Months Ended March 31, 2026

Three Months Ended June 30, 2026

Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives

4 unchanged sentences

Purchase commitments — 10,543 10,543

(1) For the three months ended March 31, 2026, includes $ 0.8 million of realized gain and ($3.5) million of unrealized loss related to interest rate futures and options other than treasury futures.

Three Months Ended March 31, 2025

(1) For the three months ended June 30, 2026, includes $ 1.8 million of realized gain and ($ 10.3 ) million of unrealized loss related to interest rate futures and options other than treasury futures.

Three Months Ended June 30, 2025

Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives

5 unchanged sentences

Total $ ( 50,460 )

(1) For the three months ended March 31, 2025, includes $ 9.0 million of realized gain related to interest rate futures and options other than treasury futures.

Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange.

(1) For the three months ended June 30, 2025, includes $ 0.5 million of realized gain and ($ 6.0 ) million of unrealized loss related to interest rate futures and options other than treasury futures.

Six Months Ended June 30, 2026

Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives

(dollars in thousands)

Net TBA derivatives $ ( 151,184 ) $ 42,816 $ ( 108,368 )

Net interest rate swaptions 20,230 1,945 22,175

477,150 ( 295,864 ) 181,286

Purchase commitments — 7,211 7,211

Total $ 102,304

(1) For the six months ended June 30, 2026, includes $ 2.5 million of realized gain and ($ 13.9 ) million of unrealized loss related to interest rate futures and options other than treasury futures.

Six Months Ended June 30, 2025

Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives

(dollars in thousands)

Net TBA derivatives $ ( 72,041 ) $ 119,236 $ 47,195

Net interest rate swaptions ( 9,230 ) — ( 9,230 )

68,298 ( 541,184 ) ( 472,886 )

Purchase commitments — 12,439 12,439

Total $ ( 422,482 )

(1) For the six months ended June 30, 2025, includes $ 9.5 million of realized gain and ($ 6.0 ) million of unrealized loss related to interest rate futures and options other than treasury futures.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange.

Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions.

The aggregate fair value of all derivative instruments with the aforementioned features were in a net asset position at March 31, 2026.

The aggregate fair value of all derivative instruments with the aforementioned features were in a net liability position at June 30, 2026.

FAIR VALUE MEASUREMENTS

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Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.

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For the fair value of debt issued by securitization vehicles, refer to the “Variable Interest Entities” Note for additional information.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

The Company has classified its investments in MSR as Level 3.

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Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements.

The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025.

The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025.

There were no transfers between levels of the fair value hierarchy during the periods presented.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

March 31, 2026

June 30, 2026

Level 1 Level 2 Level 3 Total

18 unchanged sentences

Total liabilities $ 233,242 $ 36,934,533 $ — $ 37,167,775

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

December 31, 2025

19 unchanged sentences

Total liabilities $ 2,403,368 $ 30,898,519 $ — $ 33,301,887

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

Qualitative and Quantitative Information about Level 3 Fair Value Measurements

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Range (Weighted Average) (2)

March 31, 2026 December 31, 2025

June 30, 2026 December 31, 2025

Discount rate 5.6 % - 11.2 % ( 7.8 %)

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(2) Weighted average discount rate computed based on the fair value of MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR.

The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at March 31, 2026 and December 31, 2025.

March 31, 2026 December 31, 2025

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at June 30, 2026 and December 31, 2025.

June 30, 2026 December 31, 2025

Value Carrying

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As part of the Company’s management internalization transaction, which closed on June 30, 2020, the Company recognized an intangible asset for the acquired assembled workforce of approximately $ 41.2 million based on the replacement cost of the employee base acquired by the Company.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

The following table presents the activity of finite lived intangible assets for the three months ended March 31, 2026.

The following table presents the activity of finite lived intangible assets for the six months ended June 30, 2026.

Intangible Assets, net

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amortization expense ( 1,346 )

Ending balance March 31, 2026

Ending balance June 30, 2026

SECURED FINANCING

6 unchanged sentences

The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows.

The Company had outstanding $ 85.1 billion and $ 81.9 billion of repurchase agreements with weighted average remaining maturities of 36 days and 35 days and weighted average rates of 3.87 % and 4.02 % at March 31, 2026 and December 31, 2025, respectively.

In connection with its residential mortgage loans, the Company had select arrangements with counterparties to enter into repurchase agreements for $ 5.3 billion with remaining capacity of $ 1.9 billion at March 31, 2026.

At March 31, 2026 and December 31, 2025, the repurchase agreements had the following remaining maturities and collateral types:

March 31, 2026

The Company had outstanding $ 86.9 billion and $ 81.9 billion of repurchase agreements with weighted average remaining maturities of 33 days and 35 days and weighted average rates of 3.85 % and 4.02 % at June 30, 2026 and December 31, 2025, respectively.

In connection with its residential mortgage loans, the Company had select arrangements with counterparties to enter into repurchase agreements for $ 6.1 billion with remaining capacity of $ 2.4 billion at June 30, 2026.

At June 30, 2026 and December 31, 2025, the repurchase agreements had the following remaining maturities and collateral types:

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

June 30, 2026

Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements

10 unchanged sentences

Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition $ 86,895,874

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

December 31, 2025

11 unchanged sentences

Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition $ 81,865,723

(1) Less than 1 % of repurchase agreements had a remaining maturity over 1 year at March 31, 2026 and December 31, 2025.

The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at March 31, 2026 and December 31, 2025.

(1) Less than 1 % of repurchase agreements had a remaining maturity over 1 year at June 30, 2026 and December 31, 2025.

Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.

March 31, 2026 December 31, 2025

June 30, 2026 December 31, 2025

Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements

3 unchanged sentences

Netted amounts $ 33,047 $ 86,895,874 $ 34,389 $ 81,865,723

The fair value of collateral received in connection with reverse repurchase agreements as of March 31, 2026 was $ 1.0 billion, of which the Company sold $ 0.0 billion.

The fair value of collateral received in connection with reverse repurchase agreements as of June 30, 2026 was $ 83.0 million, of which the Company sold $ 0.0 million.

The fair value of collateral received in connection with reverse repurchase agreements as of December 31, 2025 was $ 2.5 billion, of which the Company sold $ 2.4 billion.

1 unchanged sentence

Treasury securities sold, not yet purchased.

Other Secured Financing - As of March 31, 2026, the Company had $ 2.3 billion in total committed credit facilities to finance a portion of its MSR portfolio.

Outstanding borrowings under these facilities as of March 31, 2026 totaled $ 1.1 billion with maturities ranging between one to two years .

Other Secured Financing - As of June 30, 2026, the Company had $ 2.3 billion in total committed credit facilities to finance a portion of its MSR portfolio.

Outstanding borrowings under these facilities as of June 30, 2026 totaled $ 1.1 billion with maturities ranging between six months to two years .

As of December 31, 2025, the Company had $ 2.2 billion in total committed credit facilities to finance a portion of its MSR portfolio.

Outstanding borrowings under these facilities as of December 31, 2025 totaled $ 1.1 billion with maturities ranging between one to two years .

The weighted average interest rate of the borrowings was 6.27 % and 6.44 % as of March 31, 2026 and December 31, 2025, respectively.

The weighted average interest rate of the borrowings was 6.23 % and 6.44 % as of June 30, 2026 and December 31, 2025, respectively.

Borrowings are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition.

Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $ 90.1 billion and $ 425.6 million, respectively, at March 31, 2026 and $ 89.0 billion and $ 404.1 million, respectively, at December 31, 2025.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $ 91.1 billion and $ 434.3 million, respectively, at June 30, 2026 and $ 89.0 billion and $ 404.1 million, respectively, at December 31, 2025.

CAPITAL STOCK

(A) Common Stock

The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at March 31, 2026 and December 31, 2025.

The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at June 30, 2026 and December 31, 2025.

Shares authorized Shares issued and outstanding

March 31, 2026 December 31, 2025 March 31, 2026 December 31, 2025 Par Value

June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025 Par Value

1,456,750,000 1,456,750,000 750,574,308 706,972,452 $ 0.01

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

In January 2025, the Company announced that its Board authorized the repurchase of up to $ 1.5 billion of its outstanding shares of common stock through December 31, 2029 (the “Common Stock Repurchase Program”).

During the three months ended March 31, 2026 and 2025, no shares were repurchased under the Common Stock Repurchase Program.

During the three and six months ended June 30, 2026 and 2025, no shares were repurchased under the Common Stock Repurchase Program.

On September 20, 2024, the Company entered into separate Distribution Agency Agreements (collectively, the “2024 Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., Citizens JMP Securities, LLC, Goldman Sachs & Co.

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Under the terms of the Sales Agreements, the Company may offer and sell shares of its common stock, having an aggregate offering price of up to $ 2.5 billion, from time to time through any of the Sales Agents (the "Current At-The-Market Sales Program" and, together with the 2024 At-The-Market Sales Program and the Prior At-The-Market Sales Program, the "at-the-market sales program").

During the three months ended March 31, 2026, under the at-the-market sales program, the Company issued 22.3 million shares for proceeds of $ 508.5 million, net of commissions and fees.

During the three months ended March 31, 2025, under the at-the-market sales program, the Company issued 23.3 million shares for proceeds of $ 495.7 million, net of commissions and fees.

During the three and six months ended June 30, 2026, under the at-the-market sales program, the Company issued 20.3 million and 42.6 million shares for proceeds of $ 447.2 million and $ 955.7 million, respectively, each net of commissions and fees.

During the three and six months ended June 30, 2025, under the at-the-market sales program, the Company issued 39.7 million and 63.0 million shares for proceeds of $ 761.2 million and $ 1.3 billion, respectively, each net of commissions and fees.

(B) Preferred Stock

The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at March 31, 2026 and December 31, 2025.

The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at June 30, 2026 and December 31, 2025.

In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets.

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

Shares Authorized Shares Issued And Outstanding Carrying Value Contractual Rate Earliest Redemption Date (1)

Effective Date of Floating Rate Dividend Period Floating Annual Rate (2)

March 31, 2026 December 31, 2025 March 31, 2026 December 31, 2025 March 31, 2026 December 31, 2025

June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025

Fixed-rate (dollars in thousands)

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Each series of preferred stock has a par value of $ 0.01 per share and a liquidation and redemption price of $ 25.00 , plus accrued and unpaid dividends through their redemption date.

Through March 31, 2026, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock.

During the three months ended September 30, 2025, the Company issued 11,000,000 shares of its 8.875 % Series J Preferred Stock, which included the exercise by the underwriters of their option to purchase an additional 1,000,000 shares of Series J

ANNALY CAPITAL MANAGEMENT, INC.

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Financial Statements

Preferred Stock solely to cover over-allotments, for gross proceeds of $ 275.0 million before deducting the underwriting discount and other estimated offering expenses.

Through June 30, 2026, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock.

The Series F Fixed-to-Floating Rate Cumulative Preferred Stock, Series G Fixed-to-Floating Rate Cumulative Preferred Stock, Series I Fixed-to-Floating Rate Cumulative Preferred Stock and Series J Fixed-Rate Cumulative Preferred Stock rank senior to the common stock of the Company.

On December 31, 2024, the Board approved a repurchase plan for all of our existing outstanding Preferred Stock (as defined below) (the “Preferred Stock Repurchase Program”).

Under the terms of the Preferred Stock Repurchase Program, we are authorized to repurchase up to an aggregate of 63,500,000 shares of Preferred Stock, comprised of up to (i) 28,800,000 shares of its 6.95 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series F Preferred Stock”), (ii) 17,000,000 shares of its 6.50 % Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series G Preferred Stock”), and (iii) 17,700,000 shares of its 6.75 % Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series I Preferred Stock”, and together with Series F Preferred Stock and Series G Preferred Stock, the “Preferred Stock”).

The aggregate liquidation value of the Preferred Stock that may be repurchased by the Company pursuant to the Preferred Stock Repurchase Program, as of March 31, 2026, was approximately $ 1.6 billion.

On December 31, 2024, the Board approved a repurchase plan for all of our existing outstanding Fixed-to-Floating Rate Preferred Stock (as defined below) (the “Preferred Stock Repurchase Program”).

Under the terms of the Preferred Stock Repurchase Program, we are authorized to repurchase up to an aggregate of 63,500,000 shares of Fixed-to-Floating Rate Preferred Stock, comprised of up to (i) 28,800,000 shares of its 6.95 % Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series F Preferred Stock”), (ii) 17,000,000 shares of its 6.50 % Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series G Preferred Stock”), and (iii) 17,700,000 shares of its 6.75 % Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $ 0.01 per share (the “Series I Preferred Stock”, and together with Series F Preferred Stock and Series G Preferred Stock, the “Fixed-to-Floating Rate Preferred Stock”).

The aggregate liquidation value of the Fixed-to-Floating Rate Preferred Stock that may be repurchased by the Company pursuant to the Preferred Stock Repurchase Program, as of June 30, 2026, was approximately $ 1.6 billion.

The Preferred Stock Repurchase Program became effective on January 1, 2025 and will expire on December 31, 2029.

During the three months ended March 31, 2026 and 2025, no shares were repurchased under the Preferred Stock Repurchase Program.

During the three and six months ended June 30, 2026 and 2025, no shares were repurchased under the Preferred Stock Repurchase Program.

The following table provides a summary of the Company’s dividend distribution activity for the periods presented:

For the Three Months Ended

March 31, 2026 March 31, 2025

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

For the Three Months Ended For the Six Months Ended

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

(dollars in thousands, except per share data)

3 unchanged sentences

Distributions paid per common share after period end $ 0.75 $ 0.70 $ 0.75 $ 0.70

Date of distributions paid to common stockholders after period end April 30, 2026 April 30, 2025

Date of distributions paid to common stockholders after period end July 31, 2026 July 31, 2025 July 31, 2026 July 31, 2025

Dividends declared to series F preferred stockholders $ 16,118 $ 17,197 $ 32,186 $ 34,447

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Dividends declared per share of series J preferred stock $ 0.561 $ — $ 1.116 $ —

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

INTEREST INCOME AND INTEREST EXPENSE

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(3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.

The following table presents the components of the Company’s interest income and interest expense for the three months ended March 31, 2026 and 2025.

For the Three Months Ended

March 31, 2026 March 31, 2025

The following table presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2026 and 2025.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

For the Three Months Ended For the Six Months Ended

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

Interest income (dollars in thousands)

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(1) Includes assets transferred or pledged to securitization vehicles.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

NET INCOME (LOSS) PER COMMON SHARE

The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three months ended March 31, 2026 and 2025.

For the Three Months Ended

March 31, 2026 March 31, 2025

The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and six months ended June 30, 2026 and 2025.

For the Three Months Ended For the Six Months Ended

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

(dollars in thousands, except per share data)

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Diluted $ 1.06 $ 0.03 $ 1.40 $ 0.18

There were no potentially dilutive restricted stock units or performance stock units for the three months ended March 31, 2026 and March 31, 2025.

For the three months ended March 31, 2026, the Company was qualified to be taxed as a REIT under Code Sections 856 through 860.

There were no potentially dilutive restricted stock units or performance stock units for the three and six months ended June 30, 2026 and 2025 .

For the three months ended June 30, 2026, the Company was qualified to be taxed as a REIT under Code Sections 856 through 860.

As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders.

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As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return.

ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements.

As of March 31, 2026, the Company does not have any unrecognized tax benefits that would affect its financial position.

Thus, no accruals for penalties and interest were deemed necessary at March 31, 2026 and December 31, 2025.

As of June 30, 2026, the Company does not have any unrecognized tax benefits that would affect its financial position.

Thus, no accruals for penalties and interest were deemed necessary at June 30, 2026 and December 31, 2025.

The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT and, therefore, the Company generally does not pay income tax in such jurisdictions.

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The Company’s federal, state and local tax returns from 2022 and forward remain open for examination.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

During the three months ended March 31, 2026 and 2025, the Company recorded ($ 1.5 ) million and $ 8.3 million, respectively, of income tax expense (benefit) attributable to its TRSs.

Income tax expense (benefit) consists of the following:

For the Three Months Ended

March 31, 2026 March 31, 2025

(dollars in thousands)

During the three and six months ended June 30, 2026, the Company recorded $ 6.9 million and $ 5.4 million, respectively, of income tax expense attributable to its TRSs.

During the three and six months ended June 30, 2025, the Company recorded $ 0.4 million and $ 8.7 million, respectively, of income tax expense attributable to its TRSs.

For the Three Months Ended For the Six Months Ended

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

(dollars in thousands) (dollars in thousands)

Current Tax Expense (Benefit)

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federal statutory rate of 21.0 % is as follows:

For the Three Months Ended

March 31, 2026 March 31, 2025

(dollars in thousands) (percentage)

For the Three Months Ended For the Six Months Ended

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

(dollars in thousands) (percentage) (dollars in thousands) (percentage)

Statutory federal income tax rate $ 175,281 21.0 % 21.0 % $ 235,970 21.0 % 21.0 %

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(1) State and local taxes in New York made up the majority (greater than 50 percent) of the tax effect in this category.

During the three months ended March 31, 2026, the amount of cash income taxes paid by the Company (net of refunds) consists of the following:

For the Three Months Ended

March 31, 2026

(dollars in thousands)

State and local 54

Total income taxes paid (net of refunds) $ 54

As of March 31, 2026, the Company recorded a net deferred tax asset of $ 90.0 million resulting primarily from net operating loss carryforwards and securitization gains, and a net deferred tax liability of $ 149.1 million resulting primarily from unrealized gains on MSR, residential mortgage loans, and interest rate swaps, which are included in Other assets and Other liabilities, respectively, in the Consolidated Statements of Financial Condition.

As of March 31, 2026, no valuation allowance was established.

As of March 31, 2026, the Company's TRSs had approximately $ 81.6 million of net operating loss carryforwards for federal income tax purposes which may be available to offset future taxable income, including approximately $ 7.7 million of net operating loss carryforwards that are subject to an annual limitation under Internal Revenue Code Section 382 and $ 73.9 million that can be carried forward indefinitely.

ANNALY CAPITAL MANAGEMENT, INC.

1 unchanged sentence

Financial Statements

During the three and six months ended June 30, 2026, the amount of cash income taxes paid by the Company (net of refunds) consists of the following:

For the Three Months Ended For the Six Months Ended

June 30, 2026 June 30, 2026

(dollars in thousands)

Federal $ 550 $ 550

State and local 822 876

Total income taxes paid (net of refunds) $ 1,372 $ 1,426

As of June 30, 2026, the Company recorded a net deferred tax asset of $ 94.9 million resulting primarily from net operating loss carryforwards and securitization gains, and a net deferred tax liability of $ 161.4 million resulting primarily from unrealized gains on MSR, residential mortgage loans, forward purchase commitments, and interest rate swaps, which are included in Other assets and Other liabilities, respectively, in the Consolidated Statements of Financial Condition.

As of June 30, 2026, no valuation allowance was established.

As of June 30, 2026, the Company's TRSs had approximately $ 92.4 million of net operating loss carryforwards for federal income tax purposes which may be available to offset future taxable income, including approximately $ 7.7 million of net operating loss carryforwards that are subject to an annual limitation under Internal Revenue Code Section 382 and $ 84.7 million that can be carried forward indefinitely.

The Company operates in three reportable segments further described in the Description of Business Note.

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Comprehensive income is the measure of segment profit or loss that is determined in accordance with the measurement principles used in measuring the corresponding amounts in the consolidated financial statements and is a key determinant of the Company’s economic return (computed as the change in stockholders’ equity attributable to common stockholders plus common stock dividends declared divided by the prior period’s stockholders’ equity attributable to common stockholders), a measure which is used by the CODM to evaluate segment results and is one of the factors considered in determining capital allocation among the segments.

The following tables present the reportable operating segments related to the Company’s results of operations for the three months ended March 31, 2026 and 2025:

Three Months Ended March 31, 2026

The following tables present the reportable operating segments related to the Company’s results of operations for the three and six months ended June 30, 2026 and 2025:

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Three Months Ended June 30, 2026

Agency Residential Credit MSR Corporate & Other Consolidated

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Financial Statements

Three Months Ended March 31, 2025

Three Months Ended June 30, 2025

Agency Residential Credit MSR Corporate & Other Consolidated

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Total assets $ 75,289,321 $ 32,919,304 $ 3,835,511 $ 97,756 $ 112,141,892

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Six Months Ended June 30, 2026

Agency Residential Credit MSR Corporate & Other Consolidated

(dollars in thousands)

Interest income $ 2,196,530 $ 1,340,598 $ — $ — $ 3,537,128

Interest expense 1,520,703 1,075,541 — — 2,596,244

Net interest income 675,827 265,057 — — 940,884

Servicing and related income — — 334,192 — 334,192

Servicing and related expense — — 34,415 — 34,415

Net servicing income — — 299,777 — 299,777

Other income (loss) ( 95,592 ) 178,776 ( 88,029 ) ( 1,395 ) ( 6,240 )

Total general and administrative expenses 37,090 37,514 21,105 15,044 110,753

Income (loss) before income taxes 543,145 406,319 190,643 ( 16,439 ) 1,123,668

Income taxes 1,663 ( 3,681 ) 7,400 ( 2 ) 5,380

Net income (loss) 541,482 410,000 183,243 ( 16,437 ) 1,118,288

Net income (loss) attributable to noncontrolling interest — 12,963 — — 12,963

Net income (loss) attributable to Annaly 541,482 397,037 183,243 ( 16,437 ) 1,105,325

Dividends on preferred stock — — — 81,688 81,688

Net income (loss) available (related) to common stockholders 541,482 397,037 183,243 ( 98,125 ) 1,023,637

Unrealized gains (losses) on available-for-sale securities ( 68,448 ) — — — ( 68,448 )

Reclassification adjustment for net (gains) losses included in net income (loss) — — — — —

Other comprehensive income (loss) ( 68,448 ) — — — ( 68,448 )

Comprehensive income (loss) 473,034 410,000 183,243 ( 16,437 ) 1,049,840

Comprehensive income (loss) attributable to noncontrolling interests — 12,963 — — 12,963

Comprehensive income (loss) attributable to Annaly $ 473,034 $ 397,037 $ 183,243 $ ( 16,437 ) $ 1,036,877

Noncash investing and financing activities:

Receivable for unsettled trades 92,317 — 12,405 — 104,722

Payable for unsettled trades 262,764 14,443 54,379 — 331,586

Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment ( 68,448 ) — — — ( 68,448 )

Dividends declared, not yet paid — — — 562,931 562,931

Total assets $ 90,585,914 $ 48,138,201 $ 4,985,815 $ 31,246 $ 143,741,176

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Financial Statements

Six Months Ended June 30, 2025

Agency Residential Credit MSR Corporate & Other Consolidated

(dollars in thousands)

Interest income $ 1,762,467 $ 972,316 $ — $ 1,218 $ 2,736,001

Interest expense 1,449,569 792,396 — 865 2,242,830

Net interest income 312,898 179,920 — 353 493,171

Servicing and related income — — 282,105 — 282,105

Servicing and related expense — — 28,684 — 28,684

Net servicing income — — 253,421 — 253,421

Other income (loss) ( 419,777 ) 11,897 ( 42,333 ) 1,086 ( 449,127 )

Total general and administrative expenses 33,867 31,423 18,636 14,156 98,082

Income (loss) before income taxes ( 140,746 ) 160,394 192,452 ( 12,717 ) 199,383

Income taxes 160 ( 8,741 ) 17,343 ( 55 ) 8,707

Net income (loss) ( 140,906 ) 169,135 175,109 ( 12,662 ) 190,676

Net income (loss) attributable to noncontrolling interest — 9,353 — — 9,353

Net income (loss) attributable to Annaly ( 140,906 ) 159,782 175,109 ( 12,662 ) 181,323

Dividends on preferred stock — — — 74,417 74,417

Net income (loss) available (related) to common stockholders ( 140,906 ) 159,782 175,109 ( 87,079 ) 106,906

Unrealized gains (losses) on available-for-sale securities 198,436 — — — 198,436

Reclassification adjustment for net (gains) losses included in net income (loss) 79,200 — — — 79,200

Other comprehensive income (loss) 277,636 — — — 277,636

Comprehensive income (loss) 136,730 169,135 175,109 ( 12,662 ) 468,312

Comprehensive income (loss) attributable to noncontrolling interests — 9,353 — — 9,353

Comprehensive income (loss) attributable to Annaly $ 136,730 $ 159,782 $ 175,109 $ ( 12,662 ) $ 458,959

Noncash investing and financing activities:

Receivable for unsettled trades 1,104,920 — 29,976 — 1,134,896

Payable for unsettled trades 1,479,249 — 59,277 — 1,538,526

Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment 277,636 — — — 277,636

Dividends declared, not yet paid — — — 449,453 449,453

Total assets $ 75,289,321 $ 32,919,304 $ 3,835,511 $ 97,756 $ 112,141,892

RISK MANAGEMENT

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The Company recognizes lease expense for these leases on a straight-line basis over the lease term.

The lease cost for the three months ended March 31, 2026 and 2025 was $ 0.9 million and $ 1.1 million, respectively.

Supplemental information related to leases as of and for the three months ended March 31, 2026 was as follows:

Operating Leases Classification March 31, 2026

The lease cost for the three and six months ended June 30, 2026 was $ 0.9 million and $ 1.8 million, respectively.

The lease cost for the three and six months ended June 30, 2025 was $ 1.5 million and $ 2.7 million, respectively.

Supplemental information related to leases as of and for the six months ended June 30, 2026 was as follows:

Operating Leases Classification June 30, 2026

Assets (dollars in thousands)

22 unchanged sentences

In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements.

There were no material contingencies at March 31, 2026 and December 31, 2025.

There were no material contingencies at June 30, 2026 and December 31, 2025.

SUBSEQUENT EVENTS

In April 2026, the Company completed and closed four securitizations of residential mortgage loans, OBX 2026-NQM5, with a face value of $ 876.5 million, OBX 2026-AHC1, with a face value of $ 349.3 million, OBX 2026-INV2, with a face value of $ 383.8 million, and OBX 2026-CES1, with a face value of $ 210.9 million.

In July 2026, the Company completed and closed two securitizations of residential mortgage loans, OBX 2026-NQM9, with a face value of $ 1.0 billion, and OBX 2026-NQM10, with a face value of $ 937.8 million.

These securitizations represent financing transactions which provided and continue to provide non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.

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Business Environment

The first quarter of 2026 (“Q1 2026”) was shaped by significant geopolitical uncertainty, as the war between the United States, Israel, and Iran led to a substantial energy price shock, potentially posing challenges to U.S.

economic resilience.

Although the U.S.

remains better insulated from rising commodity prices than economies in Europe and Asia, the increase in oil and food prices has placed additional pressure on consumers who are already experiencing slower income growth, a labor market characterized by limited turnover, and persistent affordability constraints.

Despite the positive income effects from last year’s tax reform, U.S.

consumers appear more exposed to energy price shocks than they were in 2022.

Fixed income markets responded strongly to the geopolitical turmoil and higher commodity prices, resulting in a notable sell-off in Treasury yields during March.

Investors adjusted for higher near-term inflation and sought increased term premia, with short-term yields leading the interest rate sell-off.

Although volatility subsided in April following a ceasefire announcement, yield levels remain above their averages from earlier in 2026.

Expectations for Federal Reserve (the “Fed”) monetary policy have also shifted, with markets now pricing in a limited chance of an interest rate cut in 2026, compared to the expectation of multiple cuts before the start of the conflict in Iran at the end of February.

Fed officials appear inclined to wait for clearer economic signals before making further adjustments to the Federal Funds Target Rate.

Agency mortgage-backed securities (“Agency MBS”) experienced an eventful quarter, with spreads tightening sharply following the January 8, 2026 announcement that the Government Sponsored Enterprises (“GSEs”) would purchase $200 billion in Agency MBS, and widening later in the quarter due to increased rate volatility following the onset of the armed conflict in Iran.

Nonetheless, the quarter underscored strong demand for Agency MBS.

Additionally, U.S.

banking regulators released reproposed regulatory capital rules in March, which are more market-friendly than previous proposals and current standards.

These changes are expected to support bank lending in the residential mortgage sector, potentially boosting prime loan growth and reducing Agency MBS securitization rates.

Overall, this regulatory shift provides a favorable tailwind for housing finance.

During the quarter, Annaly generated an economic return of +1.5%, marking the tenth consecutive quarter in which we were able to deliver a positive economic return.

Economic leverage remained at conservative levels of 5.7x, and earnings per share available for distribution reached $0.76, once again surpassing the dividend, as it has for every quarter since it was increased a year ago.

The capital markets environment was supportive, enabling the raising of over $500 million in common equity through our at-the-market sales program.

Most of this capital was deployed into the Residential Credit and MSR businesses, increasing their combined allocation by six percentage points to 44% as our investment strategy focused on dynamic capital allocation across various business lines as relative value opportunities emerged.

Early in the quarter, Agency MBS became notably more expensive as the market absorbed the impact of the $200 billion GSE Agency MBS purchase announcement.

This prompted a strategic redeployment of capital away from Agency MBS towards the credit businesses, which offered more attractive risk-adjusted returns.

As the quarter progressed, Agency MBS spreads returned to more appealing valuations, supported by robust technical factors, resulting in a more balanced investing landscape moving forward.

By quarter-end, the Agency MBS portfolio stood at $92 billion in market value, a slight decrease from year-end, with Agency MBS assets representing 56% of the firm’s capital.

MBS richened in January, softened in February as investors diversified away from arguably tight spreads, and widened in March due to heightened volatility and risk-off sentiment linked to geopolitical events.

Despite wide fluctuations, the overall widening for the quarter was modest, with lower coupon securities outperforming.

Notably, the relative outperformance of Agency MBS during periods of geopolitical volatility is encouraging for the sector.

Compared to last year’s tariff-driven spread widening in April 2025, Q1 2026 valuations started higher, and implied interest rate volatility increased by more, but the magnitude of the widening was less than half of what was experienced last year, highlighting diversified demand.

Strong weekly flows to fixed income funds and collateralized mortgage obligation (“CMO”) issuance, absorbing over 30% of gross supply, further bolstered the sector, as banks increased purchases of CMO floaters.

The proposed changes to bank capital requirements should encourage banks to retain more loans, which could lower securitization rates and slow organic growth in Agency MBS.

The second quarter of 2026 (“Q2 2026”) was characterized by continued robust U.S.

economic growth, supported by consumer spending and technology-related investment, with labor market momentum improving relative to the softer trends experienced in the second half of 2025.

Inflation remained elevated, driven by energy shocks stemming from developments in the Middle East, residual effects from tariffs, and demand for computing equipment related to artificial intelligence (“AI”).

Against this backdrop, Federal Reserve (the “Fed”) officials discussed the potential for interest rate hikes, and interest rates rose over the quarter, led by the front end of the yield curve, as market pricing shifted from an expectation of roughly two 25 basis point (“bps”) cuts this year to the possibility of at least one hike.

In this environment, Annaly generated a portfolio economic return of 5.5% in Q2 2026, with earnings available for distribution (“EAD”) of $0.79 per share, once again exceeding the quarterly common stock dividend, which was increased to $0.75 per share.

This marked the ninth consecutive quarter in which EAD surpassed the dividend.

Economic leverage stood at 5.6x, and the Company raised approximately $447 million of common equity through our at-the-market (“ATM”) sales program during the quarter.

Agency mortgage-backed security (“MBS”) spreads tightened during the quarter, aided by a de-escalation of tensions in the Middle East that reduced implied volatility across financial markets.

Agency MBS technicals remained favorable, with fixed income fund inflows through the first half of 2026 (“1H 2026”) running at more than double the pace of the prior three years.

Overseas investors purchased approximately $65 billion of Agency MBS year-to-date, a marked shift from the net reductions recorded in the first halves of 2024 and 2025, while collateralized mortgage obligation (“CMO”) floater creation in 1H 2026 reached its highest level since 2011.

Elevated interest rates continued to limit the supply of fixed-rate MBS.

During the quarter, we shifted our portfolio exposure up in coupon, reducing approximately $4 billion of 4.5% coupon holdings in favor of 5.5% and 6.0% coupons, while new capital was invested primarily in production coupons and Agency commercial mortgage-backed securities (“CMBS”).

Our Agency portfolio grew by $2.8 billion during the quarter to $95.0 billion (including TBA exposure), representing 57% of the firm’s capital.

Specified pool holdings declined by four percentage points as a share of the aggregate portfolio over 1H 2026, reflecting improved dollar-roll implied financing, elevated valuations, strong early-year demand from the government-sponsored enterprises (“GSEs”), lower rate volatility, and a more benign prepayment outlook.

Specified pool valuations became more attractive as the GSEs slowed their purchases and became opportunistic sellers.

We expect future Agency investments to be more balanced across to-be-announced (“TBA”) securities and specified pools going forward, even as cheapest-to-deliver pool convexity continued to deteriorate.

Our Residential Credit portfolio ended the quarter at $10.4 billion in market value (on an economic basis), an increase of $35 million quarter-over-quarter, and represented approximately 22% of firm capital.

Residential credit spreads moved in line with broader credit markets, with “AAA”-rated spreads ending the quarter at 130 bps over the curve, approximately 10 bps tighter than at the onset, though residential credit modestly underperformed corporate credit amid record non-Agency gross issuance, which exceeded $150 billion year-to-date and was up approximately 50% year-over-year, putting private-label gross issuance on pace for its largest year since 2007.

Our correspondent channel produced $6.7 billion of locks and $5.1 billion of fundings during the quarter, while we purchased $7.1 billion of loans, including whole-loan bulk purchases and partnership securitizations, a quarterly record.

The quarter-end locked pipeline reflected a weighted average FICO score of 765 and a combined loan-to-value ratio of 67%.

Annaly remained the largest issuer of expanded credit mortgages and the second-largest issuer overall, closing 13 securitizations totaling $6.8 billion in unpaid principal balance (“UPB”) during the quarter, which generated approximately $613 million of proprietary investments.

Year-to-date, our securitization platform priced 26 securitizations totaling $14.5 billion across eight forms of residential collateral, including two $1 billion new-origination Non-QM transactions, the largest Non-QM transactions in several years.

Our residential credit portfolio continued to benefit from scale across loan sourcing, capital markets, originator relationships, and securitization.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Management’s Discussion and Analysis

In our mortgage servicing rights (“MSR”) business, the portfolio decreased modestly to $4.1 billion in market value during the quarter (including unsettled commitments), with capital allocation remaining at 21% of firm capital.

During the quarter, Annaly committed to purchase approximately $200 million of MSR and committed to sell nearly $220 million of MSR across two bulk pools, monetizing assets that had become more economic for holders with large servicing platforms.

Bulk supply decreased modestly from the first quarter but is expected to remain healthy through year-end, supported by originator profitability constraints and industry consolidation.

Our flow channel acquired a record $31 million in market value during the quarter, helping us acquire current-coupon MSR and offset portfolio paydowns.

Year-to-date, Annaly was the largest buyer of conventional MSR by servicing transfers and ranked fifth among non-bank Agency MBS servicers.

Economic Environment

Real gross domestic product (“GDP”) growth was 2.1% on a seasonally adjusted annualized rate (“SAAR”) basis in the first quarter of 2026 (“Q1 2026”), with consumption contributing 0.5% SAAR, private investment 7.9% SAAR, and government spending 0.5% SAAR, while net trade subtracted 1.3 percentage points from growth;

real final sales to domestic purchasers rose 1.7% SAAR.

Consumption is expected to have rebounded in the second quarter, tracking 1.5% SAAR quarter-to-date, while private investment is expected to remain robust given capital expenditures related to the AI buildout.

Inflation readings, as measured by the year-over-year changes in the Personal Consumption Expenditures (“PCE”) Price Index, remained elevated.

Headline PCE prices rose 0.45% month-over-month and 4.1% year-over-year in May, while core PCE, which excludes volatile food and energy prices, rose 0.32% month-over-month and 3.4% year-over-year.

June Consumer Price Index (“CPI”) data came in much better than expected, driven by a notable decline in energy prices (-5.7% month-over-month), soft core commodity prices (-0.1% month-over-month), and a slowdown in core services inflation (0.0% month-over-month);

as a result, headline CPI declined 42 bps month-over-month to 3.5% year-over-year, and core CPI declined 2 bps month-over-month to 2.6% year-over-year.

The labor market showed improving momentum during the quarter.

According to the Bureau of Labor Statistics, non-farm payrolls rose by 57,000 in June, bringing net job creation to 334,000 for the second quarter, compared with 218,000 in the first quarter and 116,000 for all of 2025.

The unemployment rate stood at 4.2%, its lowest monthly reading since June 2025, while the labor force participation rate fell to 61.5% for the quarter, its lowest level since early 2021.

Wage growth, as measured by the year-over-year change in Average Hourly Earnings, was 3.5%.

interest rates repriced sharply in Q2 2026 as inflation forecasts shifted meaningfully higher.

Treasury yields rose across the yield curve, led by the front end (2-year yields up 38 bps), as Fed pricing flipped from cuts to hikes, resulting in a flatter yield curve (2s10s down 23 bps during the quarter).

Market-based measures of short-term inflation expectations increased meaningfully alongside higher energy prices, and long-end yields reached year-to-date peaks.

Rate volatility, however, fell over the quarter.

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

June 30, 2026 March 31, 2026 June 30, 2025

30-Year mortgage current coupon 5.41% 5.38% 5.48%

Mortgage basis 94 bps 106 bps 125 bps

Treasury rate 4.47% 4.32% 4.23%

OIS SOFR Swaps

1-Month 3.66% 3.66% 4.33%

6-Month 3.87% 3.68% 4.15%

Income Tax Reform

On July 4, 2025, H.R.

1, also known as the One Big Beautiful Bill Act (the “OBBB”), was signed into law.

The OBBB makes material changes to U.S.

tax law, including some provisions that affect the taxation of REITs and their investors.

In particular, the OBBB (i) permanently extends the 20% deduction for “qualified REIT dividends” for individuals and other non-corporate taxpayers under Section 199A of the Code and (ii) increases the percentage limit under the REIT asset test applicable to taxable REIT subsidiaries from 20% to 25% for taxable years beginning after December 31, 2025.

The results of the OBBB changes are not expected to have a material effect on the Company’s financial operations or related disclosures.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Management’s Discussion and Analysis

Results of Operations

The results of our operations are affected by various factors, many of which are beyond our control.

Certain of such risks and uncertainties are described herein (see “Special Note Regarding Forward-Looking Statements” above) and in Part I, Item 1A.

“Risk Factors” of our most recent Annual Report on Form 10-K and in Part II, Item 1A.

“Risk Factors” in this Quarterly Report on Form 10-Q.

This Management Discussion and Analysis section contains analysis and discussion of financial results computed in accordance with U.S.

generally accepted accounting principles (“GAAP”) and non-GAAP measurements.

To supplement our consolidated financial statements, which are prepared and presented in accordance with GAAP, we provide non-GAAP financial measures to enhance investor understanding of our period-over-period operating performance and business trends, as well as for assessing our performance versus that of industry peers.

Refer to the “Non-GAAP Financial Measures” section for additional information.

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Management’s Discussion and Analysis

Net Income (Loss) Summary

The following table presents financial information related to our results of operations as of and for the three and six months ended June 30, 2026 and 2025.

As of and for the Three Months Ended June 30,

As of and for the Six Months Ended June 30,

2026 2025 2026 2025

(dollars in thousands, except per share data)

Interest income $ 1,812,198 $ 1,418,893 $ 3,537,128 $ 2,736,001

Interest expense 1,324,005 1,145,693 2,596,244 2,242,830

Net interest income 488,193 273,200 940,884 493,171

Servicing and related income 175,059 141,670 334,192 282,105

Servicing and related expense 17,835 14,571 34,415 28,684

Net servicing income 157,224 127,099 299,777 253,421

Other income (loss) 247,444 (289,470) (6,240) (449,127)

Total general and administrative expenses 58,189 50,018 110,753 98,082

Income (loss) before income taxes 834,672 60,811 1,123,668 199,383

Income taxes 6,899 440 5,380 8,707

Net income (loss) 827,773 60,371 1,118,288 190,676

Net income (loss) attributable to noncontrolling interests 5,100 3,272 12,963 9,353

Net income (loss) attributable to Annaly 822,673 57,099 1,105,325 181,323

Dividends on preferred stock 41,036 37,260 81,688 74,417

Net income (loss) available (related) to common stockholders $ 781,637 $ 19,839 $ 1,023,637 $ 106,906

Net income (loss) per share available (related) to common stockholders

Basic $ 1.06 $ 0.03 $ 1.40 $ 0.18

Diluted $ 1.06 $ 0.03 $ 1.40 $ 0.18

Weighted average number of common shares outstanding

Basic 738,926,270 620,208,712 730,798,630 603,770,531

Diluted 740,256,247 621,103,218 732,317,721 604,882,295

Other information

Investment portfolio at period-end $ 139,249,414 $ 107,525,878 $ 139,249,414 $ 107,525,878

Average total assets $ 141,139,384 $ 108,628,619 $ 139,296,202 $ 106,937,874

Average equity $ 16,652,094 $ 13,279,436 $ 16,488,033 $ 13,085,274

GAAP leverage at period-end (1)

7.4:1 7.1:1 7.4:1 7.1:1

GAAP capital ratio at period-end (2)

11.8 % 12.0 % 11.8 % 12.0 %

Annualized return (loss) on average total assets 2.35 % 0.22 % 1.61 % 0.36 %

Annualized return (loss) on average equity (3)

19.88 % 1.82 % 13.56 % 2.91 %

Net interest margin (4)

1.47 % 1.04 % 1.44 % 0.96 %

Average yield on interest earning assets (5)

5.44 % 5.42 % 5.40 % 5.31 %

Average GAAP cost of interest bearing liabilities (6)

4.28 % 4.76 % 4.29 % 4.76 %

Net interest spread 1.16 % 0.66 % 1.11 % 0.55 %

Weighted average experienced CPR for the period 11.6 % 8.7 % 10.9 % 7.9 %

Weighted average projected long-term CPR at period-end 11.0 % 9.1 % 11.0 % 9.1 %

Common stock book value per share $ 20.15 $ 18.45 $ 20.15 $ 18.45

Non-GAAP metrics *

Interest income (excluding PAA) $ 1,819,279 $ 1,415,031 $ 3,540,515 $ 2,744,435

Economic interest expense (6)

$ 1,225,164 $ 947,828 $ 2,390,038 $ 1,840,576

Economic net interest income (excluding PAA) $ 594,115 $ 467,203 $ 1,150,477 $ 903,859

Premium amortization adjustment cost (benefit) $ 7,081 $ (3,862) $ 3,387 $ 8,434

Earnings available for distribution (7)

$ 627,667 $ 489,906 $ 1,217,555 $ 951,763

Earnings available for distribution per average common share $ 0.79 $ 0.73 $ 1.55 $ 1.45

Annualized EAD return on average equity (excluding PAA) 15.12 % 14.86 % 14.82 % 14.65 %

Economic leverage at period-end (1)

5.6:1 5.8:1 5.6:1 5.8:1

Economic capital ratio at period-end (2)

14.9 % 14.3 % 14.9 % 14.3 %

Net interest margin (excluding PAA) (4)

1.76 % 1.71 % 1.74 % 1.70 %

Average yield on interest earning assets (excluding PAA) (5)

5.46 % 5.41 % 5.40 % 5.32 %

Average economic cost of interest bearing liabilities (6)

3.96 % 3.94 % 3.95 % 3.91 %

Net interest spread (excluding PAA) 1.50 % 1.47 % 1.45 % 1.41 %

ANNALY CAPITAL MANAGEMENT, INC.

AND SUBSIDIARIES

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements