ANNALY CAPITAL MANAGEMENT INC 10-Q

Item 1. Financial Statements 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 The Company manages a fund investing in participations in residential mortgage loans and mortgage-backed securities. The residential credit fund is deemed to be a VIE because the entity does not have sufficient equity at risk to permit the legal entity to finance its activities without additional subordinated financial support provided by any parties, including equity holders, as capital commitments are not considered equity at risk. 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 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. The Company elected the fair value option for participations issued with changes in fair value reflected in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss) to more accurately reflect the economics of the transfers as the underlying loans are carried at fair value through earnings. 9. DERIVATIVE INSTRUMENTS Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, U.S. Treasury and Secured Overnight Financing Rate (“SOFR”) futures contracts and certain forward purchase commitments. The Company may also enter into other types of mortgage derivatives such as interest-only securities, credit derivatives referencing the commercial mortgage-backed securities index and synthetic total return swaps. In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, U.S. Treasury futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value and terms of the derivative contract. In the case of market agreed coupon (“MAC”) interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swaps, which represents fair value of these swaps, to compensate for the out of market nature of such interest rate swaps. Subsequent changes in fair value from inception of these interest rate swaps are reflected within Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts. Derivatives are recognized as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on derivatives. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. 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 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. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. The Company may have outstanding interest rate swap agreements where the floating leg is linked to the SOFR, the overnight index swap rate or another index. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. 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 16 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain (loss) on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions are estimated using internal pricing models and compared to the counterparty market values. TBA Dollar Rolls – TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on the pricing provided by the Chicago Mercantile Exchange (“CME”). Forward Purchase Commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. 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) Interest rate swaps $ 14,137 $ 7,372 Interest rate swaptions 3,177 11,063 TBA derivatives 50,393 17,648 Futures contracts 1,800 71,065 Purchase commitments 12,277 8,385 Total derivative assets $ 81,784 $ 115,533 Liabilities Interest rate swaps $ 7,219 $ 16,385 Interest rate swaptions 2,099 11,931 TBA derivatives 3,092 13,163 Futures contracts 233,242 6,644 Purchase commitments 2,316 5,632 Total derivative liabilities $ 247,968 $ 53,755 17 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 35,205,637 3.40 % 3.69 % 1.29 3 - 6 years 18,864,704 2.73 % 3.81 % 4.57 6 - 10 years 18,106,627 3.39 % 3.72 % 7.69 Greater than 10 years 1,590,430 3.34 % 3.75 % 21.74 Total / Weighted average $ 73,767,398 3.20 % 3.73 % 4.14 December 31, 2025 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 29,577,637 3.55 % 3.88 % 1.36 3 - 6 years 14,646,904 2.67 % 3.99 % 4.54 6 - 10 years 17,018,427 3.03 % 3.90 % 7.25 Greater than 10 years 1,949,430 3.34 % 3.92 % 22.02 Total / Weighted average $ 63,192,398 3.15 % 3.92 % 4.23 (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 June 30, 2026, there were no forward starting swaps. There were $ 1.5 billion forward starting pay fixed swaps at December 31, 2025. (3) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. 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 (dollars in thousands) Long receive $ 830,000 3.54 % SOFR 7.45 5.22 Short receive ( 1,800,000 ) 3.23 % SOFR 3.44 5.22 December 31, 2025 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long receive $ 830,000 3.54 % SOFR 7.94 11.25 Short receive ( 1,800,000 ) 3.23 % SOFR 3.94 11.25 18 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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 (dollars in thousands) Purchase contracts $ 7,777,000 $ 7,659,953 $ 7,708,118 $ 48,165 Sale contracts ( 600,000 ) ( 490,380 ) ( 491,244 ) ( 864 ) Net TBA derivatives $ 7,177,000 $ 7,169,573 $ 7,216,874 $ 47,301 December 31, 2025 Purchase and Sale Contracts for TBA Derivatives Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 3,861,000 $ 3,805,867 $ 3,814,118 $ 8,251 Sale contracts ( 534,000 ) ( 553,266 ) ( 557,032 ) ( 3,766 ) 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 June 30, 2026 and December 31, 2025: June 30, 2026 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2 -year swap equivalent SOFR contracts $ 1,000,000 $ ( 1,000,000 ) 2.00 U.S. Treasury futures - 2 year — ( 1,400,000 ) 2.00 U.S. Treasury futures - 5 year — ( 825,000 ) 4.40 U.S. Treasury futures - 10 year and greater — ( 14,452,900 ) 10.86 U.S. swap futures - 10 year and greater — ( 110,000 ) 10.22 Total $ 1,000,000 $ ( 17,787,900 ) 9.80 December 31, 2025 Notional - Long Positions Notional - Short Positions Weighted Average Years to Maturity (dollars in thousands) 2 -year swap equivalent SOFR contracts $ 500,000 $ ( 500,000 ) 2.00 U.S. Treasury futures - 2 year — ( 3,658,000 ) 1.90 U.S. Treasury futures - 5 year 1,973,200 — 4.40 U.S. Treasury futures - 10 year and greater — ( 12,399,900 ) 11.33 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. 19 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements June 30, 2026 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 14,137 $ ( 5,366 ) $ — $ 8,771 Interest rate swaptions, at fair value 3,177 ( 2,099 ) — 1,078 TBA derivatives, at fair value 50,393 ( 36,890 ) ( 7,987 ) 5,516 Futures contracts, at fair value 1,800 ( 1,800 ) — — Purchase commitments 12,277 — — 12,277 Liabilities Interest rate swaps, at fair value $ 7,219 $ ( 7,219 ) $ — $ — Interest rate swaptions, at fair value 2,099 ( 2,099 ) — — TBA derivatives, at fair value 3,092 ( 3,092 ) — — Futures contracts, at fair value 233,242 ( 1,800 ) ( 231,442 ) — Purchase commitments 2,316 — — 2,316 December 31, 2025 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 7,372 $ ( 2,295 ) $ — $ 5,077 Interest rate swaptions, at fair value 11,063 ( 11,063 ) — — TBA derivatives, at fair value 17,648 ( 6,603 ) ( 8,760 ) 2,285 Futures contracts, at fair value 71,065 ( 6,644 ) — 64,421 Purchase commitments 8,385 — — 8,385 Liabilities Interest rate swaps, at fair value $ 16,385 $ ( 16,385 ) $ — $ — Interest rate swaptions, at fair value 11,931 ( 11,063 ) ( 300 ) 568 TBA derivatives, at fair value 13,163 ( 11,942 ) — 1,221 Futures contracts, at fair value 6,644 ( 6,644 ) — — Purchase commitments 5,632 — — 5,632 The effect of interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps (1) Realized Gains (Losses) on Termination of Interest Rate Swaps (1) Unrealized Gains (Losses) on Interest Rate Swaps (1) For the three months ended (dollars in thousands) 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). 20 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: 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 (dollars in thousands) Net TBA derivatives $ ( 164,932 ) $ 150,058 $ ( 14,874 ) Net interest rate swaptions — 1,043 1,043 Futures (1) 546,671 ( 527,268 ) 19,403 Purchase commitments — 10,543 10,543 Total $ 16,115 (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 (dollars in thousands) Net TBA derivatives $ ( 57,686 ) $ 74,703 $ 17,017 Net interest rate swaptions ( 9,230 ) 8,600 ( 630 ) Futures (1) 154,654 ( 224,081 ) ( 69,427 ) Purchase commitments — 2,580 2,580 Total $ ( 50,460 ) (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 Futures (1) 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 ) Futures (1) 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. 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 21 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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 liability position at June 30, 2026. 10. FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSR that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments and MSR into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instrument and MSR fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value in the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. 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. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Futures contracts and U.S. Treasury securities are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap, swaption and TBA derivative markets are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions and TBA derivatives markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions and TBA derivatives as Level 2. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial mortgage-backed securities carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, refer to the “Variable Interest Entities” Note for additional information. 22 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements The Company has classified its investments in MSR as Level 3. Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including discount rates, prepayment rates, delinquency rates and costs to service. Model valuations are then compared to valuations obtained from third party pricing providers. Management reviews the valuations received from third party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSR requires significant judgment by management and the third party pricing providers. 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 June 30, 2026 and December 31, 2025. There were no transfers between levels of the fair value hierarchy during the periods presented. June 30, 2026 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 87,768,578 $ — $ 87,768,578 Credit risk transfer securities — 46,872 — 46,872 Non-Agency mortgage-backed securities — 1,565,016 — 1,565,016 Commercial mortgage-backed securities — 135,019 — 135,019 Loans Residential mortgage loans — 7,280,979 — 7,280,979 Mortgage servicing rights — — 4,089,485 4,089,485 Interests in MSR — — 106,775 106,775 Assets transferred or pledged to securitization vehicles — 38,256,690 — 38,256,690 Derivative assets Interest rate swaps — 14,137 — 14,137 Other derivatives 1,800 65,847 — 67,647 Total assets $ 1,800 $ 135,133,138 $ 4,196,260 $ 139,331,198 Liabilities Debt issued by securitization vehicles $ — $ 34,366,098 $ — $ 34,366,098 Participations issued — 2,553,709 — 2,553,709 Derivative liabilities Interest rate swaps — 7,219 — 7,219 Other derivatives 233,242 7,507 — 240,749 Total liabilities $ 233,242 $ 36,934,533 $ — $ 37,167,775 23 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements December 31, 2025 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 89,628,654 $ — $ 89,628,654 Credit risk transfer securities — 213,800 — 213,800 Non-Agency mortgage-backed securities — 1,445,176 — 1,445,176 Loans Residential mortgage loans — 5,020,784 — 5,020,784 Mortgage servicing rights — — 3,645,865 3,645,865 Interests in MSR — — 28,626 28,626 Assets transferred or pledged to securitization vehicles — 32,067,433 — 32,067,433 Derivative assets Interest rate swaps — 7,372 — 7,372 Other derivatives 71,065 37,096 — 108,161 Total assets $ 71,065 $ 128,420,315 $ 3,674,491 $ 132,165,871 Liabilities Debt issued by securitization vehicles $ — $ 28,918,753 $ — $ 28,918,753 Participations issued — 1,932,655 — 1,932,655 U.S. Treasury securities sold, not yet purchased 2,396,724 — — 2,396,724 Derivative liabilities Interest rate swaps — 16,385 — 16,385 Other derivatives 6,644 30,726 — 37,370 Total liabilities $ 2,403,368 $ 30,898,519 $ — $ 33,301,887 Qualitative and Quantitative Information about Level 3 Fair Value Measurements The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements are described below. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently from changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply. For MSR, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSR, which in turn could result in a decline in the estimated fair value of MSR. Refer to the “Mortgage Servicing Rights” Note for additional information, including rollforwards. The following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. Unobservable Input (1) Range (Weighted Average) (2) June 30, 2026 December 31, 2025 Discount rate 5.6 % - 11.2 % ( 7.8 %) 4.7 % - 12.0 % ( 7.9 %) Prepayment rate 4.7 % - 18.7 % ( 5.9 %) 4.6 % - 22.8 % ( 5.8 %) Delinquency rate 0.2 % - 4.7 % ( 1.2 %) 0.2 % - 3.7 % ( 1.1 %) Cost to service $ 68 - $ 92 ($ 80 ) $ 68 - $ 93 ($ 82 ) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (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. 24 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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 Carrying Value Fair Value Carrying Value Fair Value Financial assets (dollars in thousands) Reverse repurchase agreements $ 33,047 $ 33,047 $ 34,389 $ 34,389 Financial liabilities Repurchase agreements $ 86,895,874 $ 86,895,874 $ 81,865,723 $ 81,865,723 Other secured financing 1,125,000 1,125,000 1,075,000 1,075,000 The carrying values of repurchase agreements and other secured financing approximate fair value and are considered Level 2 fair value measurements. 11. INTANGIBLE ASSETS Intangible assets, net Finite life intangible assets are amortized over their expected useful lives. 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. The following table presents the activity of finite lived intangible assets for the six months ended June 30, 2026. Intangible Assets, net (dollars in thousands) Beginning balance January 1, 2026 $ 6,726 Less: amortization expense ( 1,346 ) Ending balance June 30, 2026 $ 5,380 12. SECURED FINANCING Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements should be treated as a secured financing. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. 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 $ 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: 25 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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 (dollars in thousands) 1 day $ 35,324,478 $ — $ 26,890 $ — $ — $ 35,351,368 2 to 29 days 12,595,792 — 1,277,694 — — 13,873,486 30 to 59 days 27,132,432 — 904,094 — — 28,036,526 60 to 89 days 4,954,581 — 527,659 — — 5,482,240 90 to 119 days 1,909 — 87,054 — — 88,963 Over 119 days (1) 8,606 — 437,873 3,666,812 — 4,113,291 Total $ 80,017,798 $ — $ 3,261,264 $ 3,666,812 $ — $ 86,945,874 Amounts offset in accordance with netting arrangements ( 50,000 ) Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition $ 86,895,874 December 31, 2025 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Residential Mortgage Loans Commercial Mortgage-Backed Securities Total Repurchase Agreements (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — 2 to 29 days 43,487,076 96,162 1,371,672 — — 44,954,910 30 to 59 days 31,834,906 — 376,364 519,921 — 32,731,191 60 to 89 days 3,969,641 — 655,204 — — 4,624,845 90 to 119 days — — 18,763 165,305 — 184,068 Over 119 days (1) — — 275,341 1,532,712 — 1,808,053 Total $ 79,291,623 $ 96,162 $ 2,697,344 $ 2,217,938 $ — $ 84,303,067 Amounts offset in accordance with netting arrangements ( 2,437,344 ) 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 June 30, 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 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. June 30, 2026 December 31, 2025 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 83,047 $ 86,945,874 $ 2,471,733 $ 84,303,067 Amounts offset ( 50,000 ) ( 50,000 ) ( 2,437,344 ) ( 2,437,344 ) 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 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. The amount of collateral sold is reported at fair value in the Company’s Consolidated Statements of Financial Condition as U.S. Treasury securities sold, not yet purchased. 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 6.23 % 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. 26 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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. 13. CAPITAL STOCK (A) Common Stock 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 June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025 Par Value Common stock 1,456,750,000 1,456,750,000 750,574,308 706,972,452 $ 0.01 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 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. LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co., LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “2024 Sales Agents”). Under the terms of the 2024 Sales Agreements, the Company offered and sold shares of its common stock, having an aggregate offering price of up to $ 1.5 billion, from time to time through any of the 2024 Sales Agents (the “2024 At-The-Market Sales Program”). On May 8, 2025, the Company entered into separate Distribution Agency Agreements (collectively, the “Prior Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., BTIG, LLC, Citizens JMP Securities, LLC, Goldman Sachs & Co. LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co., LLC, Piper Sandler & Co., RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (the “Sales Agents”), which terminated and replaced the 2024 Sales Agreements. Under the terms of the Prior Sales Agreements, the Company offered and sold shares of its common stock, having an aggregate offering price of up to $ 2.0 billion, from time to time through any of the Sales Agents (the "Prior At-The-Market Sales Program"). On December 22, 2025, the Company entered into separate Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of the Sales Agents, which terminated and replaced the Prior Sales Agreements. 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 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 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. 27 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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) June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025 Fixed-rate (dollars in thousands) Series J 11,500,000 11,500,000 11,000,000 11,000,000 $ 265,911 $ 265,911 8.875 % 9/30/2030 NA NA Fixed-to-floating rate Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95 % 9/30/2022 9/30/2022 3M Term SOFR + 4.993 % Series G 17,000,000 17,000,000 17,000,000 17,000,000 411,335 411,335 6.50 % 3/31/2023 3/31/2023 3M Term SOFR + 4.172 % Series I 17,700,000 17,700,000 17,700,000 17,700,000 428,324 428,324 6.75 % 6/30/2024 6/30/2024 3M Term SOFR + 4.989 % Subtotal 63,500,000 63,500,000 63,500,000 63,500,000 $ 1,536,569 $ 1,536,569 Total 75,000,000 75,000,000 74,500,000 74,500,000 $ 1,802,480 $ 1,802,480 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. (2) For each series of fixed-to-floating rate cumulative redeemable preferred stock, the floating rate is calculated as 3-month CME Term SOFR (plus a spread adjustment of 0.26161 %) plus the spread specified in the prospectus. 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 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 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 and six months ended June 30, 2026 and 2025, no shares were repurchased under the Preferred Stock Repurchase Program. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: 28 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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) Dividends and dividend equivalents declared on common stock and share-based awards $ 565,881 $ 452,199 $ 1,080,171 $ 876,062 Distributions declared per common share $ 0.75 $ 0.70 $ 1.45 $ 1.40 Distributions paid to common stockholders after period end $ 562,931 $ 449,453 $ 562,931 $ 449,453 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 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 Dividends declared per share of series F preferred stock $ 0.560 $ 0.597 $ 1.118 $ 1.196 Dividends declared to series G preferred stockholders $ 8,738 $ 9,381 $ 17,350 $ 18,691 Dividends declared per share of series G preferred stock $ 0.514 $ 0.552 $ 1.021 $ 1.100 Dividends declared to series I preferred stockholders $ 10,011 $ 10,682 $ 19,881 $ 21,279 Dividends declared per share of series I preferred stock $ 0.566 $ 0.603 $ 1.123 $ 1.202 Dividends declared to series J preferred stockholders $ 6,169 $ — $ 12,271 $ — Dividends declared per share of series J preferred stock $ 0.561 $ — $ 1.116 $ — 14. INTEREST INCOME AND INTEREST EXPENSE Refer to the “Significant Accounting Policies” Note for details surrounding the Company’s accounting policy related to net interest income on securities and loans. The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows CMO (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential credit CRT (2) Prospective Non-QM (2) Prospective Prime (2) Prospective SBC (2) Prospective NPL/RPL (2) Prospective RTL (2) Prospective Prime jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) in the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022. Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities. (2) Changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss). (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 and six months ended June 30, 2026 and 2025. 29 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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) Agency securities $ 1,094,724 $ 875,937 $ 2,179,135 $ 1,696,119 Residential credit securities 30,679 36,853 62,101 77,060 Residential mortgage loans (1) 674,055 467,959 1,270,844 894,014 Commercial investment portfolio 4,664 163 6,286 1,218 Reverse repurchase agreements 8,076 37,981 18,762 67,590 Total interest income $ 1,812,198 $ 1,418,893 $ 3,537,128 $ 2,736,001 Interest expense Repurchase agreements $ 846,551 $ 775,918 $ 1,679,498 $ 1,536,701 Debt issued by securitization vehicles 438,892 312,383 837,025 595,975 Participations issued 38,562 30,738 71,455 57,782 U.S. Treasury securities sold, not yet purchased — 26,654 8,266 52,372 Total 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 (1) Includes assets transferred or pledged to securitization vehicles. 15. 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 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) 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 (1) 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 Weighted average shares of common stock outstanding-basic 738,926,270 620,208,712 730,798,630 603,770,531 Add: Effect of stock awards, if dilutive 1,329,977 894,506 1,519,091 1,111,764 Weighted average shares of common stock outstanding-diluted 740,256,247 621,103,218 732,317,721 604,882,295 Net income (loss) per share available (related) to common share Basic $ 1.06 $ 0.03 $ 1.40 $ 0.18 Diluted $ 1.06 $ 0.03 $ 1.40 $ 0.18 There were no potentially dilutive restricted stock units or performance stock units for the three and six months ended June 30, 2026 and 2025 . 16. INCOME TAXES 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. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100 % of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Annaly TRS, Inc. and certain subsidiaries of joint ventures, have made separate joint elections to treat these subsidiaries as TRSs. 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. 30 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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 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. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. The Company’s federal, state and local tax returns from 2022 and forward remain open for examination. 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) Federal $ ( 557 ) $ — $ 839 $ — State and local ( 69 ) — 104 13 Total current income tax expense (benefit) $ ( 626 ) $ — $ 943 $ 13 Deferred Tax Expense (Benefit) Federal $ 6,871 $ 385 $ 4,051 $ 7,607 State and local 654 55 386 1,087 Total deferred income tax expense (benefit) $ 7,525 $ 440 $ 4,437 $ 8,694 Total income tax expense (benefit) $ 6,899 $ 440 $ 5,380 $ 8,707 The difference between the Company's reported income tax provision and the U.S. federal statutory rate of 21.0 % is as follows: 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 % Non-taxable REIT income ( 158,799 ) ( 19.0 %) ( 8.8 %) ( 190,949 ) ( 17.0 %) ( 12.8 %) State and local taxes, net of federal income tax effect (1) 585 0.1 % 3.0 % 490 — % 3.0 % VIE and Other ( 8,201 ) ( 1.1 %) ( 14.5 %) ( 38,689 ) ( 3.4 %) ( 6.9 %) TRS Permanent Differences ( 1,967 ) ( 0.2 %) — % ( 1,442 ) ( 0.1 %) — % Change in valuation allowance — — % — % — — % — % Total provision $ 6,899 0.8 % 0.7 % $ 5,380 0.5 % 4.3 % (1) State and local taxes in New York made up the majority (greater than 50 percent) of the tax effect in this category. 31 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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. 17. SEGMENTS The Company operates in three reportable segments further described in the Description of Business Note. The accounting policies applied to the segments are the same as those described in the summary of significant accounting policies, with the exception of allocations between segments related to net interest income and other comprehensive income (loss), which are reflected in Other income (loss), and allocations between segments related to investment balances, which are presented net of associated financings in Total Assets. These allocations are made to reflect the economic hedging relationship between investments within different operating segments. Activities that are not directly attributable or not allocated to any of the three current operating segments (such as preferred stock dividends and corporate existence costs) are reported under Corporate and Other as reconciling items to the Company’s consolidated financial statements. The tables below summarize the result of operations and total assets by segment that are provided to the Chief Operating Decision Maker (CODM), which is the Company’s Operating Committee. 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 and six months ended June 30, 2026 and 2025: 32 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements Three Months Ended June 30, 2026 Agency Residential Credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 1,102,237 $ 709,961 $ — $ — $ 1,812,198 Interest expense 755,259 568,746 — — 1,324,005 Net interest income 346,978 141,215 — — 488,193 Servicing and related income — — 175,059 — 175,059 Servicing and related expense — — 17,835 — 17,835 Net servicing income — — 157,224 — 157,224 Other income (loss) 238,951 34,412 ( 25,231 ) ( 688 ) 247,444 Less: Total general and administrative expenses 18,968 19,600 11,018 8,603 58,189 Income (loss) before income taxes 566,961 156,027 120,975 ( 9,291 ) 834,672 Income taxes 581 1,772 4,546 — 6,899 Net income (loss) 566,380 154,255 116,429 ( 9,291 ) 827,773 Less: Net income (loss) attributable to noncontrolling interest — 5,100 — — 5,100 Net income (loss) attributable to Annaly 566,380 149,155 116,429 ( 9,291 ) 822,673 Dividends on preferred stock — — — 41,036 41,036 Net income (loss) available (related) to common stockholders 566,380 149,155 116,429 ( 50,327 ) 781,637 Unrealized gains (losses) on available-for-sale securities ( 23,400 ) — — — ( 23,400 ) Reclassification adjustment for net (gains) losses included in net income (loss) — — — — — Other comprehensive income (loss) ( 23,400 ) — — — ( 23,400 ) Comprehensive income (loss) 542,980 154,255 116,429 ( 9,291 ) 804,373 Comprehensive income (loss) attributable to noncontrolling interests — 5,100 — — 5,100 Comprehensive income (loss) attributable to Annaly $ 542,980 $ 149,155 $ 116,429 $ ( 9,291 ) $ 799,273 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 ( 23,400 ) — — — ( 23,400 ) Dividends declared, not yet paid — — — 562,931 562,931 Total assets Total assets $ 90,585,914 $ 48,138,201 $ 4,985,815 $ 31,246 $ 143,741,176 33 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements Three Months Ended June 30, 2025 Agency Residential Credit MSR Corporate & Other Consolidated (dollars in thousands) Interest income $ 913,267 $ 505,463 $ — $ 163 $ 1,418,893 Interest expense 731,316 414,222 — 155 1,145,693 Net interest income 181,951 91,241 — 8 273,200 Servicing and related income — — 141,670 — 141,670 Servicing and related expense — — 14,571 — 14,571 Net servicing income — — 127,099 — 127,099 Other income (loss) ( 252,852 ) ( 193 ) ( 39,372 ) 2,947 ( 289,470 ) Less: Total general and administrative expenses 16,551 15,917 9,243 8,307 50,018 Income (loss) before income taxes ( 87,452 ) 75,131 78,484 ( 5,352 ) 60,811 Income taxes ( 130 ) ( 8,217 ) 8,833 ( 46 ) 440 Net income (loss) ( 87,322 ) 83,348 69,651 ( 5,306 ) 60,371 Less: Net income (loss) attributable to noncontrolling interest — 3,272 — — 3,272 Net income (loss) attributable to Annaly ( 87,322 ) 80,076 69,651 ( 5,306 ) 57,099 Dividends on preferred stock — — — 37,260 37,260 Net income (loss) available (related) to common stockholders ( 87,322 ) 80,076 69,651 ( 42,566 ) 19,839 Unrealized gains (losses) on available-for-sale securities 33,559 — — — 33,559 Reclassification adjustment for net (gains) losses included in net income (loss) 13,797 — — — 13,797 Other comprehensive income (loss) 47,356 — — — 47,356 Comprehensive income (loss) ( 39,966 ) 83,348 69,651 ( 5,306 ) 107,727 Comprehensive income (loss) attributable to noncontrolling interests — 3,272 — — 3,272 Comprehensive income (loss) attributable to Annaly $ ( 39,966 ) $ 80,076 $ 69,651 $ ( 5,306 ) $ 104,455 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 47,356 — — — 47,356 Dividends declared, not yet paid — — — 449,453 449,453 Total assets Total assets $ 75,289,321 $ 32,919,304 $ 3,835,511 $ 97,756 $ 112,141,892 34 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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 ) Less: 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 Less: 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 Total assets $ 90,585,914 $ 48,138,201 $ 4,985,815 $ 31,246 $ 143,741,176 35 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. 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 ) Less: 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 Less: 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 Total assets $ 75,289,321 $ 32,919,304 $ 3,835,511 $ 97,756 $ 112,141,892 18. RISK MANAGEMENT The primary risks to the Company are liquidity and funding risk, investment/market risk, credit risk and operational risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral or liquidating some of the existing collateral to reduce borrowing levels. The Company may seek to mitigate the potential financial impact of these risks by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges. Weakness in the mortgage market, the shape of the yield curve, changes in the expectations for the volatility of future interest rates and deterioration of financial conditions in general may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies. 36 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, which exclude CRT securities issued by Freddie Mac and Fannie Mae, is guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities is backed by the full faith and credit of the U.S. government. The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on commercial mortgage-backed securities, residential mortgage loans, CRT securities and other non-Agency mortgage-backed securities. MSR values may also be adversely impacted by rising borrower delinquencies which would reduce servicing income and increase overall costs to service the underlying mortgage loans. The Company is exposed to risk of loss if an issuer, borrower or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, pre-purchase due diligence, maintaining qualifying collateral, continually assessing the creditworthiness of issuers, borrowers and counterparties, credit rating monitoring and active servicer oversight. The Company depends on third party service providers to perform various business processes related to its operations, including mortgage loan servicers and sub-servicers. The Company’s vendor management policy establishes procedures for engaging, onboarding and monitoring the performance of third party vendors. For mortgage loan servicers and sub-servicers, these procedures include assessing a vendor’s financial health as well as oversight of its compliance with applicable laws and regulations, cybersecurity and business continuity programs and security of personal information. 19. LEASE COMMITMENTS AND CONTINGENCIES The Company’s operating leases are primarily comprised of corporate office leases with remaining lease terms of approximately two years and sixteen years . The corporate office leases include options to extend for up to five years , however the extension terms were not included in the operating lease liability calculation. Leases with an initial term of 12 months or less are not recorded on the balance sheet. The Company recognizes lease expense for these leases on a straight-line basis over the lease term. 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) Operating lease right-of-use assets Other assets $ 25,975 Liabilities Operating lease liabilities (1) Other liabilities $ 34,222 Lease term and discount rate Weighted average remaining lease term 15.7 years Weighted average discount rate (1) 7.0 % Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 130 (1) For the Company’s leases that do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2026 (remaining) $ 131 2027 2,503 2028 3,854 2029 3,831 2030 3,831 Later years 48,210 Total lease payments $ 62,360 Less: imputed interest 28,138 Present value of lease liabilities $ 34,222 37 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 1. Financial Statements Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. 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 June 30, 2026 and December 31, 2025. 20. SUBSEQUENT EVENTS 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. 38 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. Management’s Discussion and Analysis ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS 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. 39 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. Management’s Discussion and Analysis INDEX TO ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Page Overview 41 Business Environment 41 Economic Environment 42 Income Tax Reform 42 Results of Operations 43 Net Income (Loss) Summary 44 Non-GAAP Financial Measures 46 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 Equity 46 Premium Amortization Expense 48 Economic Leverage and Economic Capital Ratios 48 Interest Income (excluding PAA), Economic Interest Expense and Economic Net Interest Income (excluding PAA) 49 Experienced and Projected Long-term CPR 50 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 Liabilities 51 Economic Interest Expense and Average Economic Cost of Interest Bearing Liabilities 52 Other Income (Loss) 53 General and Administrative Expenses 55 Return on Average Equity 55 Unrealized Gains and Losses - Available-for-Sale Investments 55 Financial Condition 56 Residential Securities 56 Contractual Obligations 58 Commitments and Contractual Obligations with Unconsolidated Entities 59 Capital Management 59 Stockholders’ Equity 59 Capital Stock 60 Leverage and Capital 61 Risk Management 61 Risk Appetite 61 Governance 62 Description of Risks 62 Liquidity and Funding Risk Management 63 Funding 63 Excess Liquidity 65 Maturity Profile and Interest Rate Sensitivity 66 Stress Testing 67 Liquidity Management Policies 67 Investment/Market Risk Management 67 Credit Risk Management 68 Counterparty Risk Management 69 Operational Risk Management 69 Compliance, Regulatory and Legal Risk Management 71 Critical Accounting Estimates 71 Valuation of Financial Instruments 71 Residential Securities 71 Residential Mortgage Loans 72 MSR 72 Interest Rate Swaps 72 Revenue Recognition 72 Consolidation of Variable Interest Entities 73 Use of Estimates 73 Glossary of Terms 74 40 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. Management’s Discussion and Analysis Overview We are a leading diversified capital manager with investment strategies across mortgage finance. Our principal business objective is to generate net income for distribution to our stockholders and optimize our returns through prudent management of our diversified investment strategies. We are an internally-managed Maryland corporation founded in 1997 that has elected to be taxed as a REIT. Our common stock is listed on the New York Stock Exchange under the symbol “NLY.” We use our capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on our assets and the cost of our borrowings and hedging activities. For a full discussion of our business, refer to the section titled “Business Overview” in our most recent Annual Report on Form 10-K. Business Environment 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. 41 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. 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%. U.S. 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 10-Year U.S. 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. 42 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. 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. 43 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES Item 2. 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) Less: 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 Less: 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 Less: 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 % 44 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES