# EDGAR Filing Document

**Accession Number:** 0001043219
**File Stem:** 0001043219-25-000012
**Filing Date:** 2025-10
**Character Count:** 811599
**Document Hash:** 5a9bc65cf96917f86c88921e515afe3d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001043219-25-000012.hdr.sgml**: 20251030

**ACCESSION NUMBER**: 0001043219-25-000012

**CONFORMED SUBMISSION TYPE**: 10-Q

**PUBLIC DOCUMENT COUNT**: 115

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251030

**DATE AS OF CHANGE**: 20251030

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ANNALY CAPITAL MANAGEMENT INC
- **CENTRAL INDEX KEY:** 0001043219
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]
- **ORGANIZATION NAME:** 05 Real Estate & Construction
- **EIN:** 223479661
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 10-Q
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 001-13447
- **FILM NUMBER:** 251435815

**BUSINESS ADDRESS:**
- **STREET 1:** 1211 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 212 696 0100

**MAIL ADDRESS:**
- **STREET 1:** 1211 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ANNALY MORTGAGE MANAGEMENT INC
- **DATE OF NAME CHANGE:** 19970729

?xml version='1.0' encoding='ASCII'? nly-20250930

**UNITED STATES**<br>**SECURITIES AND EXCHANGE COMMISSION**<br>WASHINGTON, D.C. 20549<br>

**FORM 10-Q** 

☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE QUARTERLY PERIOD ENDED: September 30, 2025

OR

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM _______________ TO _________________

COMMISSION FILE NUMBER: 1-13447

![nlya11.jpg](nly-20250930_g1.jpg)

**ANNALY CAPITAL MANAGEMENT INC** 

(Exact Name of Registrant as Specified in its Charter)

---

| | | |
|:---|:---|:---|
| **Maryland** | **Maryland** | **22-3479661** |
| (State or other jurisdiction of incorporation or organization) | (State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) |
| **1211 Avenue of the Americas** | **1211 Avenue of the Americas** | |
| **New York,** | **New York** | **10036** |
| (Address of principal executive offices) | (Address of principal executive offices) | (Zip Code) |

---

(212) 696-0100

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

---

| | | |
|:---|:---|:---|
| Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered |
| Common Stock, par value $0.01 per share | NLY | New York Stock Exchange |
| 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | NLY.F | New York Stock Exchange |
| 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | NLY.G | New York Stock Exchange |
| 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | NLY.I | New York Stock Exchange |
| 8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock | NLY.J | New York Stock Exchange |

---

------

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Large accelerated filer | ☑ | Accelerated <br>filer | ☐ | Non-accelerated filer | ☐ | Smaller reporting company | ☐ | Emerging growth company | ☐ |

---

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act). Yes ☐ No ☑

The number of shares of the registrant's Common Stock outstanding on October 24, 2025 was 683,031,214.

------

**WEBSITE AND SOCIAL MEDIA DISCLOSURE**

We use our website (www.annaly.com) and LinkedIn account (www.linkedin.com/company/annaly-capital-management) as channels of distribution of company information. The information we post through these channels may be deemed material. Accordingly, investors should monitor these channels, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, you may automatically receive email alerts and other information about Annaly when you enroll your email address by visiting the "News & Insights" section of our website, then clicking on "Subscribe" and completing the email notification form. Our website, any alerts and social media channels are not incorporated into this quarterly report on Form 10-Q.

------

---

| | |
|:---|:---|
| **ANNALY CAPITAL MANAGEMENT, INC.** | **ANNALY CAPITAL MANAGEMENT, INC.** |
| **FORM 10-Q** | **FORM 10-Q** |
| **TABLE OF CONTENTS** | **TABLE OF CONTENTS** |
| **[PART I - FINANCIAL INFORMATION](#ia14c6b16ec0f4c12ab12ccfc7d99086c_13)** | **Page** |
| **[Item 1. Financial Statements](#ia14c6b16ec0f4c12ab12ccfc7d99086c_16)** | **[1](#ia14c6b16ec0f4c12ab12ccfc7d99086c_13)** |
| &nbsp;&nbsp;[Consolidated Statements of Financial Condition at](#ia14c6b16ec0f4c12ab12ccfc7d99086c_19)September 30, 2025[(Unaudited) and](#ia14c6b16ec0f4c12ab12ccfc7d99086c_19)December 31, 2024[(Derived from the audited consolidated financial statements at December 31,](#ia14c6b16ec0f4c12ab12ccfc7d99086c_19)2024[)](#ia14c6b16ec0f4c12ab12ccfc7d99086c_19) | [1](#ia14c6b16ec0f4c12ab12ccfc7d99086c_19) |
| &nbsp;&nbsp;[Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the](#ia14c6b16ec0f4c12ab12ccfc7d99086c_22)three and nine[months ended](#ia14c6b16ec0f4c12ab12ccfc7d99086c_22)September 30, 2025[and](#ia14c6b16ec0f4c12ab12ccfc7d99086c_22)2024  | [2](#ia14c6b16ec0f4c12ab12ccfc7d99086c_22) |
| &nbsp;&nbsp;[Consolidated Statements of Stockholders' Equity (Unaudited) for the](#ia14c6b16ec0f4c12ab12ccfc7d99086c_34)three and nine[months ended](#ia14c6b16ec0f4c12ab12ccfc7d99086c_34)September 30, 2025[and](#ia14c6b16ec0f4c12ab12ccfc7d99086c_34)2024 | [3](#ia14c6b16ec0f4c12ab12ccfc7d99086c_34) |
| &nbsp;&nbsp;[Consolidated Statements of Cash Flows (Unaudited) for the](#ia14c6b16ec0f4c12ab12ccfc7d99086c_43)nine[months ended](#ia14c6b16ec0f4c12ab12ccfc7d99086c_43)September 30, 2025[and](#ia14c6b16ec0f4c12ab12ccfc7d99086c_43)2024 | [4](#ia14c6b16ec0f4c12ab12ccfc7d99086c_43) |
| &nbsp;&nbsp;[Notes to Consolidated Financial Statements (Unaudited)](#ia14c6b16ec0f4c12ab12ccfc7d99086c_46) | [5](#ia14c6b16ec0f4c12ab12ccfc7d99086c_46) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 1. Description of Business](#ia14c6b16ec0f4c12ab12ccfc7d99086c_52) | [5](#ia14c6b16ec0f4c12ab12ccfc7d99086c_52) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 2. Basis of Presentation](#ia14c6b16ec0f4c12ab12ccfc7d99086c_55) | [5](#ia14c6b16ec0f4c12ab12ccfc7d99086c_55) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 3. Significant Accounting Policies](#ia14c6b16ec0f4c12ab12ccfc7d99086c_58) | [5](#ia14c6b16ec0f4c12ab12ccfc7d99086c_58) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 4. Financial Instruments](#ia14c6b16ec0f4c12ab12ccfc7d99086c_61) | [8](#ia14c6b16ec0f4c12ab12ccfc7d99086c_61) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 5. Securities](#ia14c6b16ec0f4c12ab12ccfc7d99086c_64) | [8](#ia14c6b16ec0f4c12ab12ccfc7d99086c_64) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 6. Loans](#ia14c6b16ec0f4c12ab12ccfc7d99086c_67) | [12](#ia14c6b16ec0f4c12ab12ccfc7d99086c_67) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 7. Mortgage Servicing Rights](#ia14c6b16ec0f4c12ab12ccfc7d99086c_76) | [14](#ia14c6b16ec0f4c12ab12ccfc7d99086c_76) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 8. Variable Interest Entities](#ia14c6b16ec0f4c12ab12ccfc7d99086c_85) | [14](#ia14c6b16ec0f4c12ab12ccfc7d99086c_85) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 9. Derivative Instruments](#ia14c6b16ec0f4c12ab12ccfc7d99086c_88) | [16](#ia14c6b16ec0f4c12ab12ccfc7d99086c_88) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 10. Fair Value Measurements](#ia14c6b16ec0f4c12ab12ccfc7d99086c_100) | [21](#ia14c6b16ec0f4c12ab12ccfc7d99086c_100) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 11. Intangible Assets](#ia14c6b16ec0f4c12ab12ccfc7d99086c_106) | [24](#ia14c6b16ec0f4c12ab12ccfc7d99086c_106) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 12. Secured Financing](#ia14c6b16ec0f4c12ab12ccfc7d99086c_109) | [24](#ia14c6b16ec0f4c12ab12ccfc7d99086c_109) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 13. Capital Stock](#ia14c6b16ec0f4c12ab12ccfc7d99086c_112) | [26](#ia14c6b16ec0f4c12ab12ccfc7d99086c_112) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 14. Interest Income and Interest Expense](#ia14c6b16ec0f4c12ab12ccfc7d99086c_121) | [28](#ia14c6b16ec0f4c12ab12ccfc7d99086c_121) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 15. Net Income (Loss) per Common Share](#ia14c6b16ec0f4c12ab12ccfc7d99086c_130) | [29](#ia14c6b16ec0f4c12ab12ccfc7d99086c_130) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 16. Income Taxes](#ia14c6b16ec0f4c12ab12ccfc7d99086c_139) | [29](#ia14c6b16ec0f4c12ab12ccfc7d99086c_139) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 17. Segments](#ia14c6b16ec0f4c12ab12ccfc7d99086c_142) | [31](#ia14c6b16ec0f4c12ab12ccfc7d99086c_142) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 18. Risk Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_145) | [35](#ia14c6b16ec0f4c12ab12ccfc7d99086c_145) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 19. Lease Commitments and Contingencies](#ia14c6b16ec0f4c12ab12ccfc7d99086c_148) | [36](#ia14c6b16ec0f4c12ab12ccfc7d99086c_148) |
| &nbsp;&nbsp;&nbsp;&nbsp;[Note 20. Subsequent Events](#ia14c6b16ec0f4c12ab12ccfc7d99086c_151) | [37](#ia14c6b16ec0f4c12ab12ccfc7d99086c_151) |
| **[Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](#ia14c6b16ec0f4c12ab12ccfc7d99086c_154)** | **[38](#ia14c6b16ec0f4c12ab12ccfc7d99086c_154)** |
| &nbsp;&nbsp;[Special Note Regarding Forward-Looking Statements](#ia14c6b16ec0f4c12ab12ccfc7d99086c_160) | [38](#ia14c6b16ec0f4c12ab12ccfc7d99086c_160) |
| &nbsp;&nbsp;[Overview](#ia14c6b16ec0f4c12ab12ccfc7d99086c_166) | [40](#ia14c6b16ec0f4c12ab12ccfc7d99086c_166) |
| &nbsp;&nbsp;[Business Environment](#ia14c6b16ec0f4c12ab12ccfc7d99086c_172) | [40](#ia14c6b16ec0f4c12ab12ccfc7d99086c_172) |
| &nbsp;&nbsp;[Results of Operations](#ia14c6b16ec0f4c12ab12ccfc7d99086c_178) | [43](#ia14c6b16ec0f4c12ab12ccfc7d99086c_178) |
| &nbsp;&nbsp;[Financial Condition](#ia14c6b16ec0f4c12ab12ccfc7d99086c_262) | [56](#ia14c6b16ec0f4c12ab12ccfc7d99086c_262) |
| &nbsp;&nbsp;[Capital Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_274) | [59](#ia14c6b16ec0f4c12ab12ccfc7d99086c_274) |
| &nbsp;&nbsp;[Risk Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_286) | [62](#ia14c6b16ec0f4c12ab12ccfc7d99086c_286) |
| &nbsp;&nbsp;[Critical Accounting Estimates](#ia14c6b16ec0f4c12ab12ccfc7d99086c_331) | [71](#ia14c6b16ec0f4c12ab12ccfc7d99086c_331) |
| &nbsp;&nbsp;[Glossary of Terms](#ia14c6b16ec0f4c12ab12ccfc7d99086c_358) | [74](#ia14c6b16ec0f4c12ab12ccfc7d99086c_358) |
| **[Item 3. Quantitative and Qualitative Disclosures about Market Risk](#ia14c6b16ec0f4c12ab12ccfc7d99086c_361)** | **[83](#ia14c6b16ec0f4c12ab12ccfc7d99086c_361)** |
| **[Item 4. Controls and Procedures](#ia14c6b16ec0f4c12ab12ccfc7d99086c_364)** | **[83](#ia14c6b16ec0f4c12ab12ccfc7d99086c_364)** |
| **[PART II - OTHER INFORMATION](#ia14c6b16ec0f4c12ab12ccfc7d99086c_367)** |  |
| &nbsp;&nbsp;**[Item 1. Legal Proceedings](#ia14c6b16ec0f4c12ab12ccfc7d99086c_370)** | **[84](#ia14c6b16ec0f4c12ab12ccfc7d99086c_370)** |
| &nbsp;&nbsp;**[Item 1A. Risk Factors](#ia14c6b16ec0f4c12ab12ccfc7d99086c_373)** | **[84](#ia14c6b16ec0f4c12ab12ccfc7d99086c_373)** |
| &nbsp;&nbsp;**[Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](#ia14c6b16ec0f4c12ab12ccfc7d99086c_376)** | **[84](#ia14c6b16ec0f4c12ab12ccfc7d99086c_376)** |
| &nbsp;&nbsp;**[Item 5. Other Information](#ia14c6b16ec0f4c12ab12ccfc7d99086c_379)** | **[84](#ia14c6b16ec0f4c12ab12ccfc7d99086c_379)** |
| &nbsp;&nbsp;**[Item 6. Exhibits](#ia14c6b16ec0f4c12ab12ccfc7d99086c_385)** | **[84](#ia14c6b16ec0f4c12ab12ccfc7d99086c_385)** |
| **[SIGNATURES](#ia14c6b16ec0f4c12ab12ccfc7d99086c_391)** | **[II-1](#ia14c6b16ec0f4c12ab12ccfc7d99086c_391)** |

---

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

**PART I - FINANCIAL INFORMATION**

**ITEM 1. FINANCIAL STATEMENTS**<br>

---

| | | |
|:---|:---|:---|
| **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION<br>(dollars in thousands, except per share data)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION<br>(dollars in thousands, except per share data)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION<br>(dollars in thousands, except per share data)** |
| | **September 30,** | **December 31,** |
|  | **2025** | **2024** <sup>(1)</sup> |
|  | **(Unaudited)** |  |
| **Assets** |  |  |
| &nbsp;&nbsp;Cash and cash equivalents (includes pledged assets of $1,776,349 and $1,202,880, respectively) <sup>(2)</sup> | $**2096696** | $1488027 |
| &nbsp;&nbsp;Securities (includes pledged assets of $76,380,480 and $67,692,062, respectively) <sup>(3)</sup> | **85062725** | 69756447 |
| &nbsp;&nbsp;Loans, net (includes pledged assets of $3,954,154 and $2,754,028, respectively) <sup>(4)</sup> | **4008299** | 3546902 |
| &nbsp;&nbsp;Mortgage servicing rights (includes pledged assets of $3,164,697 and $2,460,252, respectively) | **3476181** | 2909134 |
| &nbsp;&nbsp;&nbsp;Interests in MSR | **35833** |  |
| &nbsp;&nbsp;&nbsp;Assets transferred or pledged to securitization vehicles | **29512309** | 21973188 |
| &nbsp;&nbsp;&nbsp;Derivative assets | **47899** | 225351 |
| &nbsp;&nbsp;&nbsp;Reverse repurchase agreements | **35004** |  |
| &nbsp;&nbsp;&nbsp;Receivable for unsettled trades | **185916** | 2201447 |
| &nbsp;&nbsp;&nbsp;Principal and interest receivable | **959435** | 1069038 |
| &nbsp;&nbsp;&nbsp;Intangible assets, net | **7398** | 9416 |
| &nbsp;&nbsp;&nbsp;Other assets | **433877** | 377434 |
| **Total assets** | $**125861572** | $103556384 |
| **Liabilities and stockholders' equity** |  |  |
| **Liabilities** |  |  |
| &nbsp;&nbsp;&nbsp;Repurchase agreements | $**75118963** | $65688923 |
| &nbsp;&nbsp;&nbsp;Other secured financing | **1025000** | 750000 |
| &nbsp;&nbsp;&nbsp;Debt issued by securitization vehicles | **26601790** | 19540678 |
| &nbsp;&nbsp;&nbsp;Participations issued | **1831657** | 1154816 |
| &nbsp;&nbsp;&nbsp;U.S. Treasury securities sold, not yet purchased | **2442570** | 2470629 |
| &nbsp;&nbsp;&nbsp;Derivative liabilities | **199100** | 59586 |
| &nbsp;&nbsp;&nbsp;Payable for unsettled trades | **2604278** | 308282 |
| &nbsp;&nbsp;&nbsp;Interest payable | **285080** | 268317 |
| &nbsp;&nbsp;&nbsp;Dividends payable | **476737** | 375932 |
| &nbsp;&nbsp;&nbsp;Other liabilities | **279818** | 242269 |
| **Total liabilities** | **110864993** | 90859432 |
| **Stockholders' equity** |  |  |
| &nbsp;&nbsp;Preferred stock, par value $0.01 per share, 75,000,000 and 63,500,000 authorized, 74,500,000 and 63,500,000 issued and outstanding, respectively | **1802480** | 1536569 |
| &nbsp;&nbsp;Common stock, par value $0.01 per share, 1,456,750,000 and 1,468,250,000 authorized, 681,052,317 and 578,357,118 issued and outstanding, respectively | **6811** | 5784 |
| &nbsp;&nbsp;&nbsp;Additional paid-in capital | **27352976** | 25257716 |
| &nbsp;&nbsp;&nbsp;Accumulated other comprehensive income (loss) | **(624387)** | (1017682) |
| &nbsp;&nbsp;&nbsp;Accumulated deficit | **(13626983)** | (13173146) |
| **Total stockholders' equity** | **14910897** | 12609241 |
| &nbsp;&nbsp;&nbsp;Noncontrolling interests | **85682** | 87711 |
| **Total equity** | **14996579** | 12696952 |
| **Total liabilities and equity** | $**125861572** | $103556384 |
| <sup>(1)</sup>Derived from the audited consolidated financial statements at December 31, 2024. | <sup>(1)</sup>Derived from the audited consolidated financial statements at December 31, 2024. | <sup>(1)</sup>Derived from the audited consolidated financial statements at December 31, 2024. |
| <sup>(2)</sup>Includes cash of consolidated Variable Interest Entities ("VIEs") of $5.6 million and $2.8 million at September 30, 2025 and December 31, 2024, respectively. | <sup>(2)</sup>Includes cash of consolidated Variable Interest Entities ("VIEs") of $5.6 million and $2.8 million at September 30, 2025 and December 31, 2024, respectively. | <sup>(2)</sup>Includes cash of consolidated Variable Interest Entities ("VIEs") of $5.6 million and $2.8 million at September 30, 2025 and December 31, 2024, respectively. |
| <sup>(3)</sup>Excludes $2.9 billion and $2.2 billion at September 30, 2025 and December 31, 2024, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company's Consolidated Statements of Financial Condition.  | <sup>(3)</sup>Excludes $2.9 billion and $2.2 billion at September 30, 2025 and December 31, 2024, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company's Consolidated Statements of Financial Condition.  | <sup>(3)</sup>Excludes $2.9 billion and $2.2 billion at September 30, 2025 and December 31, 2024, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company's Consolidated Statements of Financial Condition.  |
| <sup>(4)</sup>Includes $10.9 million and $10.0 million of residential mortgage loans held for sale at September 30, 2025 and December 31, 2024, respectively. | <sup>(4)</sup>Includes $10.9 million and $10.0 million of residential mortgage loans held for sale at September 30, 2025 and December 31, 2024, respectively. | <sup>(4)</sup>Includes $10.9 million and $10.0 million of residential mortgage loans held for sale at September 30, 2025 and December 31, 2024, respectively. |
| See notes to consolidated financial statements. | See notes to consolidated financial statements. | See notes to consolidated financial statements. |

---

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)<br>(dollars in thousands, except per share data)**<br>**(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)<br>(dollars in thousands, except per share data)**<br>**(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)<br>(dollars in thousands, except per share data)**<br>**(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)<br>(dollars in thousands, except per share data)**<br>**(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)<br>(dollars in thousands, except per share data)**<br>**(Unaudited)** |
| | **For The Three Months Ended September 30,** | **For The Three Months Ended September 30,** | **For The Nine Months Ended September 30,** | **For The Nine Months Ended September 30,** |
|  | **2025** | **2024** | **2025** | **2024** |
| **Net interest income** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest income | **1532497** | 1229341 | **4268498** | 3501154 |
| &nbsp;&nbsp;&nbsp;Interest expense | **1256747** | 1215940 | **3499577** | 3440646 |
| **Net interest income** | **275750** | 13401 | **768921** | 60508 |
| **Net servicing income** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Servicing and related income | **141356** | 122583 | **423461** | 358182 |
| &nbsp;&nbsp;&nbsp;Servicing and related expense | **15104** | 12988 | **43788** | 37821 |
| **Net servicing income** | **126252** | 109595 | **379673** | 320361 |
| **Other income (loss)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net gains (losses) on investments and other | **561927** | 1723713 | **1456242** | 160841 |
| &nbsp;&nbsp;&nbsp;Net gains (losses) on derivatives | **(92308)** | (1754010) | **(1458960)** | 53621 |
| &nbsp;&nbsp;&nbsp;Other, net | **13959** | 27438 | **37169** | 75596 |
| **Total other income (loss)** | **483578** | (2859) | **34451** | 290058 |
| **General and administrative expenses** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Compensation expense | **38393** | 34453 | **112273** | 96448 |
| &nbsp;&nbsp;&nbsp;Other general and administrative expenses | **11947** | 9468 | **36149** | 30934 |
| **Total general and administrative expenses** | **50340** | 43921 | **148422** | 127382 |
| **Income (loss) before income taxes** | **835240** | 76216 | **1034623** | 543545 |
| **Income taxes** | **(7823)** | (6135) | **884** | 4853 |
| **Net income (loss)** | **843063** | 82351 | **1033739** | 538692 |
| **Net income (loss) attributable to noncontrolling interests** | **10618** | 15906 | **19971** | 18838 |
| **Net income (loss) attributable to Annaly** | **832445** | 66445 | **1013768** | 519854 |
| **Dividends on preferred stock** <sup>(1)</sup> | **41127** | 41628 | **115544** | 115847 |
| **Net income (loss) available (related) to common stockholders** | **791318** | 24817 | **898224** | 404007 |
| **Net income (loss) per share available (related) to common stockholders** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Basic | **1.21** | 0.05 | **1.45** | 0.80 |
| &nbsp;&nbsp;&nbsp;Diluted | **1.20** | 0.05 | **1.44** | 0.80 |
| **Weighted average number of common shares outstanding** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Basic | **656335974** | 515729658 | **621484893** | 505800723 |
| &nbsp;&nbsp;&nbsp;Diluted | **657856427** | 516832152 | **622768481** | 506618143 |
| **Other comprehensive income (loss)** |  |  |  |  |
| **Net income (loss)** | **843063** | 82351 | **1033739** | 538692 |
| &nbsp;&nbsp;&nbsp;Unrealized gains (losses) on available-for-sale securities | **113281** | 428955 | **311717** | 92843 |
| &nbsp;&nbsp;&nbsp;Reclassification adjustment for net (gains) losses included in net income (loss) | **2378** | 15769 | **81578** | 530354 |
| **Other comprehensive income (loss)** | **115659** | 444724 | **393295** | 623197 |
| &nbsp;&nbsp;&nbsp;Comprehensive income (loss) | **958722** | 527075 | **1427034** | 1161889 |
| &nbsp;&nbsp;&nbsp;Comprehensive income (loss) attributable to noncontrolling interests | **10618** | 15906 | **19971** | 18838 |
| **Comprehensive income (loss) attributable to Annaly** | **948104** | 511169 | **1407063** | 1143051 |
| &nbsp;&nbsp;Dividends on preferred stock <sup>(1)</sup> | **41127** | 41628 | **115544** | 115847 |
| **Comprehensive income (loss) attributable to common stockholders** | **906977** | 469541 | **1291519** | 1027204 |
| <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's 8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock (the "Series J Preferred Stock") as of September 30, 2025. | <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's 8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock (the "Series J Preferred Stock") as of September 30, 2025. | <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's 8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock (the "Series J Preferred Stock") as of September 30, 2025. | <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's 8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock (the "Series J Preferred Stock") as of September 30, 2025. | <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's 8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock (the "Series J Preferred Stock") as of September 30, 2025. |
| See notes to consolidated financial statements. |  |  |  |  |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

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| | | | | |
|:---|:---|:---|:---|:---|
| **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY<br>(dollars in thousands, except per share data)<br>(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY<br>(dollars in thousands, except per share data)<br>(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY<br>(dollars in thousands, except per share data)<br>(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY<br>(dollars in thousands, except per share data)<br>(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY<br>(dollars in thousands, except per share data)<br>(Unaudited)** |
| | **For The Three Months Ended September 30,** | **For The Three Months Ended September 30,** | **For The Nine Months Ended September 30,** | **For The Nine Months Ended September 30,** |
|  | **2025** | **2024** | **2025** | **2024** |
| **Preferred stock** |  |  |  |  |
| &nbsp;&nbsp;Beginning of period | $**1536569** | $1536569 | $**1536569** | $1536569 |
| &nbsp;&nbsp;Issuance | **265911** |  | **265911** |  |
| **End of period** | $**1802480** | $1536569 | $**1802480** | $1536569 |
| **Common stock** |  |  |  |  |
| &nbsp;&nbsp;Beginning of period | $**6421** | $5010 | $**5784** | $5001 |
| &nbsp;&nbsp;Issuance | **390** | 570 | **1021** | 576 |
| &nbsp;&nbsp;Stock-based award activity | **—** |  | **6** | 3 |
| **End of period** | $**6811** | $5580 | $**6811** | $5580 |
| **Additional paid-in capital** |  |  |  |  |
| &nbsp;&nbsp;Beginning of period | $**26520657** | $23694663 | $**25257716** | $23672391 |
| &nbsp;&nbsp;Issuance | **822731** | 1148881 | **2078388** | 1159774 |
| &nbsp;&nbsp;Stock-based award activity | **9588** | 8060 | **16872** | 19439 |
| **End of period** | $**27352976** | $24851604 | $**27352976** | $24851604 |
| **Accumulated other comprehensive income (loss)** |  |  |  |  |
| &nbsp;&nbsp;Beginning of period | $**(740046)** | $(1156927) | $**(1017682)** | $(1335400) |
| &nbsp;&nbsp;Unrealized gains (losses) on available-for-sale securities | **113281** | 428955 | **311717** | 92843 |
| &nbsp;&nbsp;Reclassification adjustment for net (gains) losses included in net income (loss) | **2378** | 15769 | **81578** | 530354 |
| **End of period** | $**(624387)** | $(712203) | $**(624387)** | $(712203) |
| **Accumulated deficit** |  |  |  |  |
| &nbsp;&nbsp;Beginning of period | $**(13942302)** | $(12898191) | $**(13173146)** | $(12622768) |
| &nbsp;&nbsp;Net income (loss) attributable to Annaly | **832445** | 66445 | **1013768** | 519854 |
| &nbsp;&nbsp;Dividends declared on preferred stock <sup>(1)</sup> | **(37466)** | (41628) | **(111883)** | (115847) |
| &nbsp;&nbsp;Dividends and dividend equivalents declared on common stock and stock-based awards <sup>(1)</sup> | **(479660)** | (364914) | **(1355722)** | (1019527) |
| **End of period** | $**(13626983)** | $(13238288) | $**(13626983)** | $(13238288) |
| **Total stockholder's equity** | $**14910897** | $12443262 | $**14910897** | $12443262 |
| **Noncontrolling interests** |  |  |  |  |
| &nbsp;&nbsp;Beginning of period | $**93064** | $81780 | $**87711** | $89298 |
| &nbsp;&nbsp;Net income (loss) attributable to noncontrolling interests | **10618** | 15906 | **19971** | 18838 |
| &nbsp;&nbsp;Equity contributions from (distributions to) noncontrolling interests | **(18000)** | (999) | **(22000)** | (11449) |
| **End of period** | $**85682** | $96687 | $**85682** | $96687 |
| **Total equity** | $**14996579** | $12539949 | $**14996579** | $12539949 |
| <sup>(1)</sup> Refer to the "Capital Stock" Note for dividends per share for each class of shares. | <sup>(1)</sup> Refer to the "Capital Stock" Note for dividends per share for each class of shares. | <sup>(1)</sup> Refer to the "Capital Stock" Note for dividends per share for each class of shares. | <sup>(1)</sup> Refer to the "Capital Stock" Note for dividends per share for each class of shares. | <sup>(1)</sup> Refer to the "Capital Stock" Note for dividends per share for each class of shares. |
| See notes to consolidated financial statements. |  |  |  |  |

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------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

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| | | |
|:---|:---|:---|
| **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES**<br> **CONSOLIDATED STATEMENTS OF CASH FLOWS**<br>**(dollars in thousands)**<br>**(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES**<br> **CONSOLIDATED STATEMENTS OF CASH FLOWS**<br>**(dollars in thousands)**<br>**(Unaudited)** | **ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES**<br> **CONSOLIDATED STATEMENTS OF CASH FLOWS**<br>**(dollars in thousands)**<br>**(Unaudited)** |
| | **For The Nine Months Ended September 30,** | **For The Nine Months Ended September 30,** |
|  | **2025** | **2024** |
| **Cash flows from operating activities** |  |  |
| &nbsp;&nbsp;&nbsp;Net income (loss) | $**1033739** | $538692 |
| **Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities** |  |  |
| &nbsp;&nbsp;&nbsp;Amortization of premiums and discounts of investments, net | **176712** | 95697 |
| &nbsp;&nbsp;&nbsp;Amortization of securitized debt premiums and discounts and deferred financing costs | **(18577)** | 7127 |
| &nbsp;&nbsp;&nbsp;Depreciation, amortization and other noncash expenses | **26090** | 23180 |
| &nbsp;&nbsp;&nbsp;Net (gains) losses on investments and derivatives | **571804** | 731542 |
| &nbsp;&nbsp;&nbsp;Income (loss) from unconsolidated joint ventures | **(573)** | (3119) |
| &nbsp;&nbsp;&nbsp;Payments on purchases of loans held for sale | **(154086)** | (37978) |
| &nbsp;&nbsp;&nbsp;Proceeds from sales and repayments of loans held for sale | **153190** | 38063 |
| &nbsp;&nbsp;&nbsp;Proceeds from U.S. Treasury securities | **4855429** | 6083273 |
| &nbsp;&nbsp;&nbsp;Payments on U.S. Treasury securities | **(4977675)** | (6181017) |
| &nbsp;&nbsp;&nbsp;Net receipts (payments) on derivatives | **(1735541)** | (967289) |
| **Net change in** |  |  |
| &nbsp;&nbsp;&nbsp;Other assets | **(23252)** | (8787) |
| &nbsp;&nbsp;&nbsp;Interest receivable | **107289** | 176430 |
| &nbsp;&nbsp;&nbsp;Interest payable | **16763** | (11540) |
| &nbsp;&nbsp;&nbsp;Other liabilities | **17256** | 17910 |
| **Net cash provided by (used in) operating activities** | **48568** | 502184 |
| **Cash flows from investing activities** |  |  |
| &nbsp;&nbsp;&nbsp;Payments on purchases of securities | **(26670451)** | (22984768) |
| &nbsp;&nbsp;&nbsp;Proceeds from sales of securities | **11727813** | 17254884 |
| &nbsp;&nbsp;&nbsp;Principal payments on securities | **5855619** | 4875202 |
| &nbsp;&nbsp;&nbsp;Payments on purchases and origination of loans | **(12662479)** | (9304025) |
| &nbsp;&nbsp;&nbsp;Proceeds from sales of loans | **1221545** | 414706 |
| &nbsp;&nbsp;&nbsp;Principal payments on loans | **3827244** | 1625155 |
| &nbsp;&nbsp;&nbsp;Payments on purchases of MSR | **(710020)** | (701418) |
| &nbsp;&nbsp;&nbsp;Proceeds from sales of MSR | **1871** | 66269 |
| &nbsp;&nbsp;&nbsp;Payments on purchases of interests in MSR | **(32240)** |  |
| &nbsp;&nbsp;&nbsp;Proceeds from reverse repurchase agreements | **510513471** | 442510370 |
| &nbsp;&nbsp;&nbsp;Payments on reverse repurchase agreements | **(510548475)** | (442510370) |
| &nbsp;&nbsp;&nbsp;Distributions in excess of cumulative earnings from unconsolidated joint ventures | **6669** | 19264 |
| **Net cash provided by (used in) investing activities** | **(17469433)** | (8734731) |
| **Cash flows from financing activities** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from repurchase agreements and other secured financing | **5139522507** | 4316726746 |
| &nbsp;&nbsp;&nbsp;Payments on repurchase agreements and other secured financing | **(5129802568)** | (4314490574) |
| &nbsp;&nbsp;&nbsp;Proceeds from issuances of securitized debt | **10220521** | 8236251 |
| &nbsp;&nbsp;&nbsp;Principal payments on securitized debt | **(3210527)** | (1478171) |
| &nbsp;&nbsp;&nbsp;Payments on purchases of securitized debt | **(260618)** |  |
| &nbsp;&nbsp;&nbsp;Payment of deferred financing cost | **(10921)** | (2783) |
| &nbsp;&nbsp;&nbsp;Proceeds from participations issued | **5461827** | 2984799 |
| &nbsp;&nbsp;&nbsp;Payments on repurchases of participations issued | **(4773265)** | (3605523) |
| &nbsp;&nbsp;&nbsp;Principal payments on participations issued | **(67519)** | (40805) |
| &nbsp;&nbsp;&nbsp;Net contributions (distributions) from (to) noncontrolling interests | **(22000)** | (11449) |
| &nbsp;&nbsp;&nbsp;Net proceeds from stock offerings, direct purchases and dividend reinvestments | **2345320** | 1160350 |
| &nbsp;&nbsp;&nbsp;Settlement of stock-based awards in satisfaction of withholding tax requirements | **(13936)** | (6157) |
| &nbsp;&nbsp;&nbsp;Dividends paid | **(1359287)** | (1092126) |
| **Net cash provided by (used in) financing activities** | **18029534** | 8380558 |
| **Net (decrease) increase in cash and cash equivalents** | **608669** | 148011 |
| **Cash and cash equivalents including cash pledged as collateral, beginning of period** | **1488027** | 1412148 |
| **Cash and cash equivalents including cash pledged as collateral, end of period** | $**2096696** | $1560159 |
| **Supplemental disclosure of cash flow information** |  |  |
| **Interest received** | $**3090755** | $2787729 |
| **Interest paid (excluding interest paid on interest rate swaps)** | $**2564763** | $2907352 |
| **Net interest received (paid) on interest rate swaps** | $**912571** | $1353022 |
| **Taxes received (paid)** | $**(353)** | $(1127) |
| **Noncash investing and financing activities** |  |  |
| **Receivable for unsettled trades** | $**185916** | $766341 |
| **Payable for unsettled trades** | $**2604278** | $1885286 |
| **Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment** | $**393295** | $623197 |
| **Dividends declared, not yet paid** | $**476737** | $362731 |
| **Derecognition of assets of consolidated VIEs** | $**285612** | $— |
| **Derecognition of securitized debt of consolidated VIEs** | $**260785** | $— |
| See notes to consolidated financial statements. | See notes to consolidated financial statements. | See notes to consolidated financial statements. |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

**ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES<br>NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)**

**1. DESCRIPTION OF BUSINESS**<br>

Annaly Capital Management, Inc. (the "Company" or "Annaly") is a Maryland corporation that commenced operations on February 18, 1997. The Company is a leading diversified capital manager with investment strategies across mortgage finance. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, credit risk transfer ("CRT") securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans and mortgage servicing rights ("MSR"). The Company's principal business objective is to generate net income for distribution to its stockholders and optimize its returns through prudent management of its diversified investment strategies.

Annaly is an internally-managed company that has elected to be taxed as a Real Estate Investment Trust ("REIT") as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the "Code").

The Company's three investment groups are primarily comprised of the following:

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| | |
|:---|:---|
| **Investment Groups** | **Description** |
| &nbsp;&nbsp;&nbsp;**Annaly Agency Group** | Invests in Agency mortgage-backed securities ("MBS") collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae and complementary investments within the Agency market, including Agency commercial MBS. |
| &nbsp;&nbsp;&nbsp;**Annaly Residential Credit Group** | Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets. |
| &nbsp;&nbsp;&nbsp;**Annaly Mortgage Servicing Rights Group** | Invests in MSR, which provide the right to service residential mortgage loans in exchange for a portion of the interest payments made on the loans. |

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**2. BASIS OF PRESENTATION**<br>

The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles ("GAAP").

The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company's most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2024 (the "2024 Form 10-K"). The consolidated financial information as of December 31, 2024 has been derived from audited consolidated financial statements included in the Company's 2024 Form 10-K.

The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates.

In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year.

**3. SIGNIFICANT ACCOUNTING POLICIES**<br>

The Company's significant accounting policies are described below or are included elsewhere in these notes to the consolidated financial statements.

***Principles of Consolidation*** – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity ("VOE") or a variable interest entity ("VIE"). All intercompany balances and transactions have been eliminated in consolidation.

***Voting Interest Entities*** – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE.

***Variable Interest Entities*** – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE's

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE.

The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes the Company's consolidation conclusion to change. Refer to the "Variable Interest Entities" Note for further information.

***Equity Method Investments*** - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in Other assets with income or loss included in Other, net.

***Cash and Cash Equivalents –*** Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company's interest rate swaps and other derivatives totaled $1.8 billion and $1.2 billion at September 30, 2025 and December 31, 2024, respectively.

***Fair Value Measurements and the Fair Value Option*** – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option ("FVO"). The Company chooses to elect the FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO has been elected are presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the FVO refer to the table in the "Financial Instruments" Note.

Refer to the "Fair Value Measurements" Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments.

***Offsetting Assets and Liabilities -*** The Company elected to present all derivative instruments on a gross basis as discussed in the "Derivative Instruments" Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they meet the offsetting criteria. Refer to the "Secured Financing" Note for further discussion on reverse repurchase and repurchase agreements.

***Derivative Instruments –*** 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. Refer to the "Derivative Instruments" Note for further discussion.

***Stock-Based Compensation*** – The Company measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company's common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Stock-based awards that contain market-based conditions are valued using a model.

Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Compensation expense for awards with market conditions is recognized irrespective of the probability of the market condition being achieved and is not reversed if the market condition is not met. Stock-based awards that do not require future service (i.e., vested awards) are expensed immediately. Forfeitures are recorded when they occur. The Company generally issues new shares of common stock upon delivery of stock-based awards.

***Interest Income -*** The Company recognizes interest income primarily on Residential Securities (as defined in the "Securities" Note), residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not received is recognized as Interest receivable in the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item in the Consolidated Statements of Comprehensive Income (Loss).

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

For its securities, the Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security's acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.

Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis.

Premiums or discounts associated with the purchase of multifamily securities are amortized or accreted into interest income based upon their contractual payment terms. If a prepayment occurs, an adjustment is made to the unpaid principal balance and unamortized premium or discount in the current period and the original effective yield continues to be applied.

Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss).

If collection of a loan's principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower.

The Company has made an accounting policy election not to measure an allowance for loans losses for accrued interest receivable. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as interest income.

Refer to the "Interest Income and Interest Expense" Note for further discussion of interest income.

***Income Taxes*** – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries ("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 its taxable income. Refer to the "Income Taxes" Note for further discussion on income taxes.

**Recent Accounting Pronouncements**

The Company considers the applicability and impact of all Accounting Standard Updates ("ASUs"). The Company reviewed recently issued ASUs and determined that they were not expected to have a significant impact on the Company's consolidated financial statements when adopted or did not have a significant impact on the Company's consolidated financial statements upon adoption.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

**4. FINANCIAL INSTRUMENTS**<br>

The following table presents characteristics for certain of the Company's financial instruments at September 30, 2025 and December 31, 2024.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** <sup>(1)</sup> | **Financial Instruments** <sup>(1)</sup> | **Financial Instruments** <sup>(1)</sup> | **Financial Instruments** <sup>(1)</sup> | **Financial Instruments** <sup>(1)</sup> |
| **Balance Sheet Line Item** | **Type / Form** | **Measurement Basis** | **September 30, 2025** | **December 31, 2024** |
| | **Assets** | **(dollars in thousands)** | | |
| &nbsp;&nbsp;&nbsp;Securities | &nbsp;&nbsp;Agency mortgage-backed securities <sup>(2)</sup> | Fair value, with unrealized gains (losses) through other comprehensive income | $**7248273** | $8234911 |
| &nbsp;&nbsp;&nbsp;Securities | &nbsp;&nbsp;Agency mortgage-backed securities <sup>(3)</sup> | Fair value, with unrealized gains (losses) through earnings | **76069546** | 59199157 |
| &nbsp;&nbsp;&nbsp;Securities | &nbsp;&nbsp;&nbsp;Residential credit risk transfer securities | Fair value, with unrealized gains (losses) through earnings | **330647** | 754915 |
| &nbsp;&nbsp;&nbsp;Securities | &nbsp;&nbsp;&nbsp;Non-agency mortgage-backed securities | Fair value, with unrealized gains (losses) through earnings | **1414259** | 1493186 |
| &nbsp;&nbsp;&nbsp;Securities | &nbsp;&nbsp;&nbsp;Commercial real estate debt investments - CMBS | Fair value, with unrealized gains (losses) through earnings | **—** | 74278 |
| **Total securities** |  |  | **85062725** | 69756447 |
| &nbsp;&nbsp;&nbsp;Loans, net | &nbsp;&nbsp;&nbsp;Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | **4008299** | 3546902 |
| &nbsp;&nbsp;&nbsp;Interests in MSR | &nbsp;&nbsp;&nbsp;Interest in net servicing cash flows | Fair value, with unrealized gains (losses) through earnings | **35833** |  |
| &nbsp;&nbsp;&nbsp;Assets transferred or pledged to securitization vehicles | &nbsp;&nbsp;&nbsp;Residential mortgage loans | Fair value, with unrealized gains (losses) through earnings | **29512309** | 21973188 |
| &nbsp;&nbsp;&nbsp;Reverse repurchase agreements | &nbsp;&nbsp;&nbsp;Reverse repurchase agreements | Amortized cost | **35004** |  |
|  | **Liabilities** |  |  |  |
| &nbsp;&nbsp;&nbsp;Repurchase agreements | &nbsp;&nbsp;&nbsp;Repurchase agreements | Amortized cost | $**75118963** | $65688923 |
| &nbsp;&nbsp;&nbsp;Other secured financing | &nbsp;&nbsp;&nbsp;Loans | Amortized cost | **1025000** | 750000 |
| &nbsp;&nbsp;&nbsp;Debt issued by securitization vehicles | &nbsp;&nbsp;&nbsp;Securities | Fair value, with unrealized gains (losses) through earnings | **26601790** | 19540678 |
| &nbsp;&nbsp;&nbsp;Participations issued | &nbsp;&nbsp;&nbsp;Participations issued | Fair value, with unrealized gains (losses) through earnings | **1831657** | 1154816 |
| &nbsp;&nbsp;&nbsp;U.S. Treasury securities sold, not yet purchased | &nbsp;&nbsp;&nbsp;Securities | Fair value, with unrealized gains (losses) through earnings | **2442570** | 2470629 |
| <sup>(1)</sup> Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial instruments whereas directly held MSR are considered servicing assets or obligations.<br><sup>(2)</sup> Includes Agency pass-through, collateralized mortgage obligation ("CMO") and multifamily securities purchased prior to July 1, 2022.<br><sup>(3)</sup> Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, CMO and multifamily securities. | <sup>(1)</sup> Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial instruments whereas directly held MSR are considered servicing assets or obligations.<br><sup>(2)</sup> Includes Agency pass-through, collateralized mortgage obligation ("CMO") and multifamily securities purchased prior to July 1, 2022.<br><sup>(3)</sup> Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, CMO and multifamily securities. | <sup>(1)</sup> Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial instruments whereas directly held MSR are considered servicing assets or obligations.<br><sup>(2)</sup> Includes Agency pass-through, collateralized mortgage obligation ("CMO") and multifamily securities purchased prior to July 1, 2022.<br><sup>(3)</sup> Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, CMO and multifamily securities. | <sup>(1)</sup> Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial instruments whereas directly held MSR are considered servicing assets or obligations.<br><sup>(2)</sup> Includes Agency pass-through, collateralized mortgage obligation ("CMO") and multifamily securities purchased prior to July 1, 2022.<br><sup>(3)</sup> Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, CMO and multifamily securities. | <sup>(1)</sup> Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. Interests in MSR are considered financial instruments whereas directly held MSR are considered servicing assets or obligations.<br><sup>(2)</sup> Includes Agency pass-through, collateralized mortgage obligation ("CMO") and multifamily securities purchased prior to July 1, 2022.<br><sup>(3)</sup> Includes interest-only securities and reverse mortgages and, effective July 1, 2022, newly purchased Agency pass-through, CMO and multifamily securities. |

---

**5. SECURITIES**<br>

The Company's investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company's intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis.

Available-for-sale debt securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Effective July 1, 2022, the Company elected the fair value option for any newly purchased Agency mortgage-backed securities in order to simplify the accounting for these securities. During the three and nine months ended September 30, 2025, $621.8 million and $1.6 billion, respectively, of unrealized gains (losses) on the Agency mortgage-backed securities, for which the fair value option was elected, were reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). During the three and nine months ended September 30, 2024, $1.7 billion and $762.8 million, respectively, of unrealized gains (losses) on the Agency mortgage-backed securities, for which the fair value option was elected, were reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss). Agency mortgage-backed securities purchased prior to July 1, 2022, are still classified as available-for-sale with changes in fair value recognized in other comprehensive income. The Company has also elected the fair value option for CRT securities, interest only securities, Non-Agency and commercial mortgage-backed securities in order to simplify the accounting. Transactions for regular-way securities are recorded on trade date, including to-be-announced ("TBA") securities that meet the regular-way

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

securities scope exception from derivative accounting. Gains and losses on disposals of securities are recorded on trade date based on the specific identification method.

***Impairment*** – Management evaluates available-for-sale securities where the fair value option has not been elected and held-to-maturity debt securities for impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss) as a securities loss provision and reflected as an allowance for credit losses on securities in the Consolidated Statements of Financial Condition, while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). When the fair value of a held-to-maturity security is less than the cost, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security.

***Agency Mortgage-Backed Securities* -** The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association ("Ginnie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac") or the Federal National Mortgage Association ("Fannie Mae") (collectively, "Agency mortgage-backed securities").

Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis. TBA securities without intent to accept delivery ("TBA derivatives") are accounted for as derivatives as discussed in the "Derivative Instruments" Note.

***CRT Securities -*** CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors.

***Non-Agency Mortgage-Backed Securities* -** The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, prime jumbo loan, non-qualified mortgage loan ("Non-QM"), small balance commercial loan ("SBC"), non-performing loan ("NPL"), re-performing loan ("RPL") and residential transition loan ("RTL") securitizations.

Agency mortgage-backed securities, non-Agency mortgage-backed securities and residential CRT securities are referred to herein as "Residential Securities." Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio.

***Commercial Mortgage-Backed Securities ("Commercial Securities") -*** The Company invests in Commercial Securities such as conduit, credit CMBS, single-asset single borrower and collateralized loan obligations.

The following table represents a rollforward of the activity for the Company's securities for the nine months ended September 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Agency <br>Securities** | **Residential Credit Securities** | **Commercial <br>Securities** | **Total** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;Beginning balance January 1, 2025 | $**67434068** | $**2248101** | $**74278** | $**69756447** |
| &nbsp;&nbsp;&nbsp;Purchases | **28423701** | **541147** | **—** | **28964848** |
| &nbsp;&nbsp;Sales | **(9340711)** | **(392498)** | **(41814)** | **(9775023)** |
| &nbsp;&nbsp;&nbsp;Principal paydowns | **(5185889)** | **(633432)** | **(32451)** | **(5851772)** |
| &nbsp;&nbsp;&nbsp;(Amortization) / accretion | **(117471)** | **(4798)** | **(80)** | **(122349)** |
| &nbsp;&nbsp;&nbsp;Fair value adjustment | **2104121** | **(13614)** | **67** | **2090574** |
| **Ending balance September 30, 2025** | $**83317819** | $**1744906** | $**—** | $**85062725** |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

The following tables present the Company's securities portfolio that were carried at their fair value at September 30, 2025 and December 31, 2024:

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
| | **Principal /<br>Notional** | **Remaining Premium** | **Remaining Discount** | **Amortized<br>Cost** | **Unrealized<br>Gains** | **Unrealized<br>Losses** | **Estimated Fair Value** |
| **Agency** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Fixed-rate pass-through | $**76814459** | $**1411294** | $**(1292553)** | $**76933200** | $**742793** | $**(973432)** | $**76702561** |
| &nbsp;&nbsp;&nbsp;Adjustable-rate pass-through | **123092** | **7773** | **(34)** | **130831** | **1788** | **(5333)** | **127286** |
| &nbsp;&nbsp;&nbsp;CMO | **2845** | **13** | **—** | **2858** | **—** | **(115)** | **2743** |
| &nbsp;&nbsp;&nbsp;Interest-only | **4724425** | **625831** | **—** | **625831** | **36966** | **(88472)** | **574325** |
| &nbsp;&nbsp;Multifamily <sup>(1)</sup> | **34199391** | **563100** | **(14128)** | **5872077** | **72841** | **(34014)** | **5910904** |
| **Total agency securities** | $**115864212** | $**2608011** | $**(1306715)** | $**83564797** | $**854388** | $**(1101366)** | $**83317819** |
| **Residential credit** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Credit risk transfer | $**312945** | $**1111** | $**(3031)** | $**311025** | $**19648** | $**(26)** | $**330647** |
| &nbsp;&nbsp;&nbsp;Non-QM | **319048** | **270** | **(2534)** | **316784** | **3393** | **(8069)** | **312108** |
| &nbsp;&nbsp;Prime <sup>(2)</sup> | **2324593** | **31472** | **(9940)** | **127699** | **3468** | **(696)** | **130471** |
| &nbsp;&nbsp;&nbsp;SBC | **194277** | **22** | **(10549)** | **183750** | **5110** | **(5512)** | **183348** |
| &nbsp;&nbsp;&nbsp;NPL/RPL | **451673** | **3438** | **(21882)** | **433229** | **4675** | **(2536)** | **435368** |
| &nbsp;&nbsp;&nbsp;RTL | **174097** | **16** | **(544)** | **173569** | **1226** | **(40)** | **174755** |
| &nbsp;&nbsp;Prime jumbo (>=2010 vintage) <sup>(3)</sup> | **11908492** | **101317** | **(30632)** | **164056** | **18321** | **(4168)** | **178209** |
| **Total residential credit securities** | $**15685125** | $**137646** | $**(79112)** | $**1710112** | $**55841** | $**(21047)** | $**1744906** |
| **Total residential securities** | $**131549337** | $**2745657** | $**(1385827)** | $**85274909** | $**910229** | $**(1122413)** | $**85062725** |
| **Commercial** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Commercial securities | $**—** | $**—** | $**—** | $**—** | $**—** | $**—** | $**—** |
| **Total securities** | $**131549337** | $**2745657** | $**(1385827)** | $**85274909** | $**910229** | $**(1122413)** | $**85062725** |
|  | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|  | **Principal /<br>Notional** | **Remaining Premium** | **Remaining Discount** | **Amortized<br>Cost** | **Unrealized<br>Gains** | **Unrealized<br>Losses** | **Estimated Fair Value** |
| **Agency** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Fixed-rate pass-through | $65010762 | $1329117 | $(1178444) | $65161435 | $130742 | $(2242503) | $63049674 |
| &nbsp;&nbsp;&nbsp;Adjustable-rate pass-through | 157123 | 11936 | (42) | 169017 | 2216 | (8995) | 162238 |
| &nbsp;&nbsp;&nbsp;CMO | 87467 | 1459 |  | 88926 |  | (15242) | 73684 |
| &nbsp;&nbsp;&nbsp;Interest-only | 3437570 | 493803 |  | 493803 | 14843 | (127914) | 380732 |
| &nbsp;&nbsp;Multifamily <sup>(1)</sup> | 26216351 | 514726 | (11830) | 3844575 | 7644 | (110454) | 3741765 |
| &nbsp;&nbsp;&nbsp;Reverse mortgages | 24916 | 2499 |  | 27415 |  | (1440) | 25975 |
| **Total agency investments** | $94934189 | $2353540 | $(1190316) | $69785171 | $155445 | $(2506548) | $67434068 |
| **Residential credit** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Credit risk transfer | $707169 | $1608 | $(3581) | $705196 | $49819 | $(100) | $754915 |
| &nbsp;&nbsp;&nbsp;Non-QM | 172368 | 35 | (1724) | 170679 | 2694 | (8481) | 164892 |
| &nbsp;&nbsp;Prime <sup>(2)</sup> | 1881111 | 27484 | (10416) | 100039 | 2857 | (779) | 102117 |
| &nbsp;&nbsp;&nbsp;SBC | 253045 | 12 | (11624) | 241433 | 3632 | (11493) | 233572 |
| &nbsp;&nbsp;&nbsp;NPL/RPL | 702720 | 4540 | (21897) | 685363 | 3168 | (6091) | 682440 |
| &nbsp;&nbsp;&nbsp;RTL | 151100 |  | (134) | 150966 | 1030 | (144) | 151852 |
| &nbsp;&nbsp;Prime jumbo (>=2010 vintage) <sup>(3)</sup> | 10334669 | 84431 | (30385) | 146285 | 17072 | (5044) | 158313 |
| **Total residential credit securities** | $14202182 | $118110 | $(79761) | $2199961 | $80272 | $(32132) | $2248101 |
| **Total residential securities** | $109136371 | $2471650 | $(1270077) | $71985132 | $235717 | $(2538680) | $69682169 |
| **Commercial** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Commercial securities | $74151 | $193 | $— | $74344 | $38 | $(104) | $74278 |
| **Total securities** | $109210522 | $2471843 | $(1270077) | $72059476 | $235755 | $(2538784) | $69756447 |
| <sup>(1)</sup> Principal/Notional amount includes $28.9 billion and $22.9 billion of Agency Multifamily interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(2)</sup> Principal/Notional amount includes $2.2 billion and $1.8 billion of Prime interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(3)</sup> Principal/Notional amount includes $11.8 billion and $10.2 billion of Prime Jumbo interest-only securities as of September 30, 2025 and December 31, 2024, respectively. | <sup>(1)</sup> Principal/Notional amount includes $28.9 billion and $22.9 billion of Agency Multifamily interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(2)</sup> Principal/Notional amount includes $2.2 billion and $1.8 billion of Prime interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(3)</sup> Principal/Notional amount includes $11.8 billion and $10.2 billion of Prime Jumbo interest-only securities as of September 30, 2025 and December 31, 2024, respectively. | <sup>(1)</sup> Principal/Notional amount includes $28.9 billion and $22.9 billion of Agency Multifamily interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(2)</sup> Principal/Notional amount includes $2.2 billion and $1.8 billion of Prime interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(3)</sup> Principal/Notional amount includes $11.8 billion and $10.2 billion of Prime Jumbo interest-only securities as of September 30, 2025 and December 31, 2024, respectively. | <sup>(1)</sup> Principal/Notional amount includes $28.9 billion and $22.9 billion of Agency Multifamily interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(2)</sup> Principal/Notional amount includes $2.2 billion and $1.8 billion of Prime interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(3)</sup> Principal/Notional amount includes $11.8 billion and $10.2 billion of Prime Jumbo interest-only securities as of September 30, 2025 and December 31, 2024, respectively. | <sup>(1)</sup> Principal/Notional amount includes $28.9 billion and $22.9 billion of Agency Multifamily interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(2)</sup> Principal/Notional amount includes $2.2 billion and $1.8 billion of Prime interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(3)</sup> Principal/Notional amount includes $11.8 billion and $10.2 billion of Prime Jumbo interest-only securities as of September 30, 2025 and December 31, 2024, respectively. | <sup>(1)</sup> Principal/Notional amount includes $28.9 billion and $22.9 billion of Agency Multifamily interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(2)</sup> Principal/Notional amount includes $2.2 billion and $1.8 billion of Prime interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(3)</sup> Principal/Notional amount includes $11.8 billion and $10.2 billion of Prime Jumbo interest-only securities as of September 30, 2025 and December 31, 2024, respectively. | <sup>(1)</sup> Principal/Notional amount includes $28.9 billion and $22.9 billion of Agency Multifamily interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(2)</sup> Principal/Notional amount includes $2.2 billion and $1.8 billion of Prime interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(3)</sup> Principal/Notional amount includes $11.8 billion and $10.2 billion of Prime Jumbo interest-only securities as of September 30, 2025 and December 31, 2024, respectively. | <sup>(1)</sup> Principal/Notional amount includes $28.9 billion and $22.9 billion of Agency Multifamily interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(2)</sup> Principal/Notional amount includes $2.2 billion and $1.8 billion of Prime interest-only securities as of September 30, 2025 and December 31, 2024, respectively.<br><sup>(3)</sup> Principal/Notional amount includes $11.8 billion and $10.2 billion of Prime Jumbo interest-only securities as of September 30, 2025 and December 31, 2024, respectively. |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

The following table presents the Company's Agency mortgage-backed securities portfolio by issuing Agency at September 30, 2025 and December 31, 2024:

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| | | |
|:---|:---|:---|
| | **September 30, 2025** | **December 31, 2024** |
| **Investment Type** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Fannie Mae | $**79289917** | $63211517 |
| &nbsp;&nbsp;&nbsp;Freddie Mac | **3887883** | 4115085 |
| &nbsp;&nbsp;&nbsp;Ginnie Mae | **140019** | 107466 |
| **Total** | $**83317819** | $67434068 |

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Actual maturities of the Company's Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on the underlying mortgages.

The following table summarizes the Company's Residential Securities at September 30, 2025 and December 31, 2024, according to their estimated weighted average life classifications:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| | **Estimated Fair Value** | **Amortized<br>Cost** | **Estimated Fair Value** | **Amortized<br>Cost** |
| **Estimated weighted average life** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Less than one year | $**271081** | $**268967** | $407856 | $408090 |
| &nbsp;&nbsp;&nbsp;Greater than one year through five years | **5251891** | **5193314** | 1308898 | 1325093 |
| &nbsp;&nbsp;&nbsp;Greater than five years through ten years | **77747853** | **78033301** | 66027670 | 68242391 |
| &nbsp;&nbsp;&nbsp;Greater than ten years | **1791900** | **1779327** | 1937745 | 2009558 |
| **Total** | $**85062725** | $**85274909** | $69682169 | $71985132 |

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The estimated weighted average lives of the Residential Securities at September 30, 2025 and December 31, 2024 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected.

The following table presents the gross unrealized losses and estimated fair value of the Company's Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at September 30, 2025 and December 31, 2024.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| | **Estimated Fair Value** <sup>(1)</sup> | **Gross Unrealized Losses** <sup>(1)</sup> | **Number of Securities** <sup>(1)</sup> | **Estimated Fair Value** <sup>(1)</sup> | **Gross Unrealized Losses** <sup>(1)</sup> | **Number of Securities** <sup>(1)</sup> |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Less than 12 months | $**12781** | $**(208)** | **3** | $49820 | $(1477) | 34 |
| &nbsp;&nbsp;&nbsp;12 Months or more | **7093209** | **(629117)** | **1292** | 8054162 | (1020427) | 1377 |
| **Total** | $**7105990** | $**(629325)** | **1295** | $8103982 | $(1021904) | 1411 |
| <sup>(1)</sup> Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, CMOs and multifamily securities. | <sup>(1)</sup> Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, CMOs and multifamily securities. | <sup>(1)</sup> Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, CMOs and multifamily securities. | <sup>(1)</sup> Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, CMOs and multifamily securities. | <sup>(1)</sup> Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, CMOs and multifamily securities. | <sup>(1)</sup> Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, CMOs and multifamily securities. | <sup>(1)</sup> Excludes interest-only mortgage-backed securities and reverse mortgages, and effective July 1, 2022, newly purchased Agency pass-through, CMOs and multifamily securities. |

---

The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities have an actual or implied credit rating that is the same as that of the U.S. government. An impairment has not been recognized in earnings related to these investments because the decline in value is not related to credit quality, the Company currently has not made a decision to sell the securities nor is it more likely than not that the securities will be required to be sold before recovery.

During the three and nine months ended September 30, 2025, the Company disposed of $1.3 billion and $9.7 billion amortized cost basis of Residential Securities, respectively. During the three and nine months ended September 30, 2024, the Company disposed of $2.8 billion and $16.0 billion amortized cost basis of Residential Securities, respectively. The following table presents the Company's net gains (losses) from the disposal of Residential Securities for the three and nine months ended September 30, 2025 and 2024, which is included in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

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| | | | |
|:---|:---|:---|:---|
| | **Gross Realized Gains** | **Gross Realized Losses** | **Net Realized Gains (Losses)** |
| **For the three months ended** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**11353** | $**(9554)** | $**1799** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $26983 | $(35258) | $(8275) |
| **For the nine months ended** |  |  |  |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**85463** | $**(164028)** | $**(78565)** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $67209 | $(888683) | $(821474) |

---

**6. LOANS**<br>

The Company invests in residential loans. Loans are classified as either held for investment or held for sale. Loans are eligible to be accounted for under the fair value option. If loans are elected under the fair value option, they are carried at fair value with changes in fair value recognized in earnings. Otherwise, loans held for investment are carried at cost less impairment and loans held for sale are accounted for at the lower of cost or fair value.

Excluding loans transferred or pledged to securitization vehicles, as of September 30, 2025 and December 31, 2024, the Company had $4.0 billion and $3.5 billion, respectively, of loans for which the fair value option was elected. If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, the loans are classified as held for sale. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of loans held for sale on an individual loan basis. The carrying value of the Company's residential loans held for sale was $10.9 million and $10.0 million at September 30, 2025 and December 31, 2024, respectively.

The following table presents the activity of the Company's loan investments, excluding loans transferred or pledged to securitization vehicles, for the nine months ended September 30, 2025:

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| | |
|:---|:---|
| | **Residential Loans** |
| | **(dollars in thousands)** |
| &nbsp;&nbsp;Beginning balance January 1, 2025 | $**3546902** |
| &nbsp;&nbsp;Purchases / originations / draws <sup>(1)</sup> | **12841249** |
| &nbsp;&nbsp;Sales and transfers <sup>(2)</sup> | **(12205575)** |
| &nbsp;&nbsp;&nbsp;Principal payments | **(217068)** |
| &nbsp;&nbsp;&nbsp;Gains / (losses) | **58550** |
| &nbsp;&nbsp;&nbsp;(Amortization) / accretion | **(15759)** |
| **Ending balance September 30, 2025** | $**4008299** |
| <sup>(1)</sup> Includes residential loans acquired from exercise of optional redemption provisions of securitization vehicles with a carrying value of $290.4 million during the nine months ended September 30, 2025.<br><sup>(2)</sup> Includes transfer of residential loans to securitization vehicles with a carrying value of $10.9 billion during the nine months ended September 30, 2025. | <sup>(1)</sup> Includes residential loans acquired from exercise of optional redemption provisions of securitization vehicles with a carrying value of $290.4 million during the nine months ended September 30, 2025.<br><sup>(2)</sup> Includes transfer of residential loans to securitization vehicles with a carrying value of $10.9 billion during the nine months ended September 30, 2025. |

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***Residential***

The Company's residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company's residential loans are accounted for under the fair value option with changes in fair value reflected in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). The Company also consolidates securitization trusts in which it retained securities because it also has certain powers and rights to direct the activities of such trusts. Refer to the "Variable Interest Entities" Note for further information related to the Company's consolidated residential mortgage loan trusts.

The mortgage loans are secured by first or second liens on primarily one-to-four family residential properties. A subsidiary of the Company has engaged a third party to act as its custodian, agent and bailee for the purposes of receiving and holding certain documents, instruments and papers related to the residential mortgage loans it purchases. Pursuant to the custodial agreement, the custodian segregates and maintains continuous custody of all documents constituting the mortgage file with respect to each mortgage loan owned by the subsidiary in secure and fire resistant facilities and in a manner consistent with the standard of care employed by prudent mortgage loan document custodians. At or prior to the funding of any residential mortgage loan, the related seller, pursuant to the terms of our mortgage loan purchase agreement, must deliver to the custodian the mortgage loan documents including the mortgage note, the mortgage and other related loan documents. In addition, a complete credit file for the related mortgage and borrower must be delivered to the subsidiary prior to the date of purchase.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at September 30, 2025 and December 31, 2024:

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| | | |
|:---|:---|:---|
| | **September 30, 2025** | **December 31, 2024** |
| | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Fair value | $**33520608** | $25520090 |
| &nbsp;&nbsp;&nbsp;Unpaid principal balance | $**33602207** | $26297725 |

---

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2025 and 2024 for these investments:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **For the Three Months Ended** | **For the Three Months Ended** | **For the Nine Months Ended** | **For the Nine Months Ended** |
| | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Interest income | $**505527** | $346031 | $**1399541** | $899867 |
| &nbsp;&nbsp;Net gains (losses) on disposal of investments <sup>(1)</sup> | **(11534)** | 1535 | **(35842)** | (1810) |
| &nbsp;&nbsp;Net unrealized gains (losses) on instruments measured at fair value through earnings <sup>(1)</sup> | **174112** | 558161 | **508993** | 469462 |
| **Total included in net income (loss)** | $**668105** | $905727 | $**1872692** | $1367519 |
| <sup>(1)</sup> These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss). | <sup>(1)</sup> These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss). | <sup>(1)</sup> These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss). | <sup>(1)</sup> These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss). | <sup>(1)</sup> These amounts are presented in the line item Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (loss). |

---

The following table provides the geographic concentrations based on the unpaid principal balances at September 30, 2025 and December 31, 2024 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

---

| | | | |
|:---|:---|:---|:---|
| **Geographic Concentrations of Residential Mortgage Loans** | **Geographic Concentrations of Residential Mortgage Loans** | **Geographic Concentrations of Residential Mortgage Loans** | **Geographic Concentrations of Residential Mortgage Loans** |
| **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| **Property location** | **% of Balance** | **Property location** | **% of Balance** |
| &nbsp;&nbsp;&nbsp;California | **39.7%** | &nbsp;&nbsp;&nbsp;California | 39.5% |
| &nbsp;&nbsp;&nbsp;New York | **11.2%** | &nbsp;&nbsp;&nbsp;New York | 10.9% |
| &nbsp;&nbsp;&nbsp;Florida | **9.1%** | &nbsp;&nbsp;&nbsp;Florida | 10.1% |
| &nbsp;&nbsp;&nbsp;Texas | **5.4%** | &nbsp;&nbsp;&nbsp;Texas | 5.4% |
| &nbsp;&nbsp;&nbsp;All other (none individually greater than 5%) | **34.6%** | &nbsp;&nbsp;&nbsp;All other (none individually greater than 5%) | 34.1% |
| **Total** | **100.0%** |  | 100.0% |

---

The following table provides additional data on the Company's residential mortgage loans, including loans transferred or pledged to securitization vehicles, at September 30, 2025 and December 31, 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| | **Portfolio**<br>**Range** | **Portfolio Weighted<br>Average** | **Portfolio**<br>**Range** | **Portfolio Weighted Average** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Unpaid principal balance | **$1 - $4396** | **$463** | $1 - $4396 | $471 |
| &nbsp;&nbsp;&nbsp;Interest rate | **2.00% - 18.00%** | **6.66%** | 2.00% - 18.00% | 6.43% |
| &nbsp;&nbsp;&nbsp;Maturity | **9/1/2029 - 10/1/2065** | **9/26/2053** | 7/1/2029 - 12/1/2064 | 2/3/2053 |
| &nbsp;&nbsp;&nbsp;FICO score at loan origination | **549 - 850** | **760** | 549 - 850 | 758 |
| &nbsp;&nbsp;&nbsp;Loan-to-value ratio at loan origination | **1% - 100%** | **67%** | 2% - 100% | 68% |

---

At September 30, 2025 and December 31, 2024, approximately 14% and 16%, respectively, of the carrying value of the Company's residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate. At September 30, 2025, the aggregate fair value and unpaid principal balance of loans ninety days or more past due and in nonaccrual status was $423.1 million (of which $384.9 million has been pledged or transferred to securitization vehicles), and $426.2 million, respectively. The non-accrual balances represent approximately 1% of the total loan portfolio. The weighted average loan-to-value ratio at loan origination for loans in non-accrual status was 73%. The recorded investment of residential mortgage loans secured by residential real estate properties for which formal foreclosure proceedings are in process according to the requirements of the applicable jurisdiction was $181.2 million at September 30, 2025.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

**7. MORTGAGE SERVICING RIGHTS** <br>

MSR represent the rights and obligations associated with servicing pools of residential mortgage loans. The Company and its subsidiaries do not originate or directly service residential mortgage loans. Rather, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSR. The Company generally intends to hold the MSR as investments and elected to account for all of its investments in MSR at fair value. As such, they are recognized at fair value in the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

The following table presents activity related to MSR for the three and nine months ended September 30, 2025 and 2024:

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| | | | | |
|:---|:---|:---|:---|:---|
| **Mortgage Servicing Rights** | **Three Months Ended** | **Three Months Ended** | **Nine Months Ended** | **Nine Months Ended** |
| **Mortgage Servicing Rights** | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Fair value, beginning of period | $**3281190** | $2785614 | $**2909134** | $2122196 |
| &nbsp;&nbsp;Purchases <sup>(1)</sup> | **283437** | 64750 | **719468** | 701377 |
| &nbsp;&nbsp;&nbsp;Sales | **—** | (68635) | **—** | (69703) |
| **Change in fair value due to:** |  |  |  |  |
| &nbsp;&nbsp;Changes in valuation inputs or assumptions <sup>(2)</sup> | **(28647)** | (42752) | **12585** | 63286 |
| &nbsp;&nbsp;&nbsp;Other changes, including realization of expected cash flows | **(59799)** | (45920) | **(165006)** | (124099) |
| **Fair value, end of period** | $**3476181** | $2693057 | $**3476181** | $2693057 |
| <sup>(1)</sup> Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.<br><sup>(2)</sup> Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. | <sup>(1)</sup> Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.<br><sup>(2)</sup> Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. | <sup>(1)</sup> Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.<br><sup>(2)</sup> Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. | <sup>(1)</sup> Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.<br><sup>(2)</sup> Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. | <sup>(1)</sup> Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.<br><sup>(2)</sup> Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |

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**8. VARIABLE INTEREST ENTITIES**<br>

The Company's exposure to the obligations of its VIEs is generally limited to the Company's investment in the VIEs of $3.0 billion at September 30, 2025. Assets of the VIEs may only be used to settle obligations of the VIEs. Creditors of the VIEs have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the VIEs. No gains or losses were recognized upon consolidation of existing VIEs. Interest income and expense are recognized using the effective interest method.

***Residential Securitizations***

The Company also invests in residential mortgage-backed securities issued by entities that are VIEs because they do not have sufficient equity at risk for the entities to finance their activities without additional subordinated financial support from other parties. The Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs' economic performance. For these entities, the Company's maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these VIEs. Refer to the "Securities" Note for further information on Residential Securities.

***OBX Trusts***

Residential securitizations are issued by entities generally referred to collectively as the "OBX Trusts." These securitizations represent financing transactions that provide non-recourse financing to the Company and are collateralized by residential mortgage loans purchased by the Company. Residential securitizations closed as of September 30, 2025 are included in the following table:

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

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| | | |
|:---|:---|:---|
| **Securitization** | **Date of Closing** | **Face Value at Closing** |
| | | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM1 | January 2025 | $618433 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM2 | February 2025 | $719218 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM3 | February 2025 | $577442 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM4 | March 2025 | $625807 |
| &nbsp;&nbsp;&nbsp;OBX 2025-HE1 | March 2025 | $216455 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM5 | March 2025 | $334879 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM6 | April 2025 | $553236 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM7 | April 2025 | $572441 |
| &nbsp;&nbsp;&nbsp;OBX 2025-J1 | May 2025 | $325702 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM8 | May 2025 | $595560 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM9 | May 2025 | $275711 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM10 | June 2025 | $623602 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM11 | June 2025 | $650072 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM12 | July 2025 | $274468 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM13 | July 2025 | $662708 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM14 | August 2025 | $701027 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM15 | August 2025 | $697303 |
| &nbsp;&nbsp;&nbsp;OBX 2025-HE2 | August 2025 | $216324 |
| &nbsp;&nbsp;&nbsp;OBX 2025-J2 | September 2025 | $304395 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM16 | September 2025 | $708473 |
| &nbsp;&nbsp;&nbsp;OBX 2025-NQM17 | September 2025 | $298662 |

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The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts' performance and holds a variable interest that could be potentially significant to these VIEs. Although the residential mortgage loans have been sold for bankruptcy and state law purposes, the transfers of the residential mortgage loans to the OBX Trusts did not qualify for sale accounting and are reflected as intercompany secured borrowings that are eliminated upon consolidation. Effective August 1, 2022, upon initial consolidation of new securitization entities, the Company elected to apply the measurement alternative for consolidated collateralized financing entities in order to simplify the accounting and valuation processes. The liabilities of these securitization entities are deemed to be more observable and are used to measure the fair value of the assets.

As of September 30, 2025 and December 31, 2024, a total carrying value of $26.3 billion and $19.5 billion, respectively, of bonds were held by third parties and the Company retained $3.0 billion and $2.3 billion, respectively, of MBS, which were eliminated in consolidation. The contractual principal amount of the OBX Trusts' debt held by third parties was $26.8 billion and $20.5 billion at September 30, 2025 and December 31, 2024, respectively. During the three months ended September 30, 2025 and 2024, the Company recorded ($92.9) million and ($430.4) million, respectively, and ($322.9) million and ($339.6) million during the nine months ended September 30, 2025 and 2024, respectively, of unrealized gains (losses) on debt held by third parties issued by OBX Trusts, which is reported in Net gains (losses) on investments and other in the Company's Consolidated Statements of Comprehensive Income (Loss).

In September 2025, the Company exercised its optional redemption on OBX 2022-NQM8 and liquidated the securitization trust. Upon deconsolidation, there was a $0.4 million gain recognized in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

***Structured Repurchase Transaction***

The Company pledged securities retained from its OBX Trusts to a new structured repurchase transaction, OBX 2025-SR1, to diversify its financing sources. The OBX 2025-SR1 Trust is deemed to be a VIE because the entity does not have sufficient equity at risk to finance its activities without additional subordinated financial support. The Company is deemed to be the primary beneficiary and consolidates the OBX 2025-SR1 Trust because it has power to direct the activities that most significantly impact the OBX Trusts' performance and holds a variable interest that could be potentially significant to these VIEs. The securities issued by the OBX 2025-SR1 Trust are recognized as Debt issued by securitization vehicles in the Consolidated Statements of Financial Condition with changes in 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 investments and other.

The Company incurred $8.1 million and $5.0 million of costs during the three months ended September 30, 2025 and 2024, respectively, and $20.6 million and $14.0 million of costs during the nine months ended September 30, 2025 and 2024, respectively, in connection with these securitizations that were expensed as incurred.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

***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 September 30, 2025 and December 31, 2024, the Company had outstanding participations issued in residential mortgage loans of $1.8 billion and $1.2 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**<br>

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 September 30, 2025 and December 31, 2024, ($1.9) billion and ($3.3) 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 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.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

*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 exchange pricing.

*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 September 30, 2025 and December 31, 2024:

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| | | |
|:---|:---|:---|
| **Derivatives Instruments** | **September 30, 2025** | **December 31, 2024** |
| **Assets** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Interest rate swaps | $**4198** | $21226 |
| &nbsp;&nbsp;&nbsp;TBA derivatives | **24074** | 8635 |
| &nbsp;&nbsp;&nbsp;Futures contracts | **10232** | 190980 |
| &nbsp;&nbsp;&nbsp;Purchase commitments | **9395** | 4510 |
| **Total derivative assets** | $**47899** | $225351 |
| **Liabilities** |  |  |
| &nbsp;&nbsp;&nbsp;Interest rate swaps | $**25350** | $7212 |
| &nbsp;&nbsp;&nbsp;TBA derivatives | **13598** | 30539 |
| &nbsp;&nbsp;&nbsp;Futures contracts | **157255** | 16650 |
| &nbsp;&nbsp;&nbsp;Purchase commitments | **2897** | 5185 |
| **Total derivative liabilities** | $**199100** | $59586 |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

The following tables summarize certain characteristics of the Company's interest rate swaps at September 30, 2025 and December 31, 2024:

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| | | | | |
|:---|:---|:---|:---|:---|
| **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
| **Maturity** | **Current Notional** <sup>(1)(2)</sup> | **Weighted Average Pay Rate** | **Weighted Average Receive Rate** | **Weighted Average Years to Maturity** <sup>(3)</sup> |
| **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;0 - 3 years | **27644137** | **3.58%** | **4.24%** | **1.50** |
| &nbsp;&nbsp;3 - 6 years | **14396904** | **2.75%** | **4.30%** | **4.71** |
| &nbsp;&nbsp;6 - 10 years | **17994427** | **2.98%** | **4.27%** | **7.45** |
| &nbsp;&nbsp;Greater than 10 years | **1949430** | **3.37%** | **4.26%** | **22.27** |
| **Total / Weighted average** | **61984898** | **3.16%** | **4.27%** | **4.54** |
| **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| **Maturity** | **Current Notional** <sup>(1)(2)</sup> | **Weighted Average <br>Pay Rate** | **Weighted Average Receive Rate** | **Weighted Average Years to Maturity** <sup>(3)</sup> |
| **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;0 - 3 years | 30411229 | 3.49% | 4.48% | 1.14 |
| &nbsp;&nbsp;3 - 6 years | 12764021 | 3.15% | 4.50% | 4.27 |
| &nbsp;&nbsp;6 - 10 years | 21318937 | 2.55% | 4.53% | 7.63 |
| &nbsp;&nbsp;Greater than 10 years | 1559384 | 3.40% | 4.41% | 23.25 |
| **Total / Weighted average** | 66053571 | 3.11% | 4.50% | 4.36 |
| <sup>(1)</sup> As of September 30, 2025, 98% and 2% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2024, 95% and 5% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively.<br><sup>(2)</sup> As of September 30, 2025, notional amount includes $1.5 billion of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2024.<br><sup>(3)</sup> 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. | <sup>(1)</sup> As of September 30, 2025, 98% and 2% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2024, 95% and 5% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively.<br><sup>(2)</sup> As of September 30, 2025, notional amount includes $1.5 billion of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2024.<br><sup>(3)</sup> 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. | <sup>(1)</sup> As of September 30, 2025, 98% and 2% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2024, 95% and 5% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively.<br><sup>(2)</sup> As of September 30, 2025, notional amount includes $1.5 billion of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2024.<br><sup>(3)</sup> 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. | <sup>(1)</sup> As of September 30, 2025, 98% and 2% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2024, 95% and 5% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively.<br><sup>(2)</sup> As of September 30, 2025, notional amount includes $1.5 billion of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2024.<br><sup>(3)</sup> 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. | <sup>(1)</sup> As of September 30, 2025, 98% and 2% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively. As of December 31, 2024, 95% and 5% of the Company's interest rate swaps were linked to SOFR and the Federal funds rate, respectively.<br><sup>(2)</sup> As of September 30, 2025, notional amount includes $1.5 billion of forward starting pay fixed swaps. There were no forward starting swaps at December 31, 2024.<br><sup>(3)</sup> 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 TBA derivatives at September 30, 2025 and December 31, 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
| **Purchase and Sale Contracts for TBA Derivatives** | **Notional** | **Implied Cost Basis** | **Implied Market Value** | **Net Carrying Value** |
| **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Purchase contracts | $**4389000** | $**4207018** | $**4217539** | $**10521** |
| &nbsp;&nbsp;&nbsp;Sale contracts | **(215000)** | **(225579)** | **(225624)** | **(45)** |
| **Net TBA derivatives** | $**4174000** | $**3981439** | $**3991915** | $**10476** |
| **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| **Purchase and Sale Contracts for TBA Derivatives** | **Notional** | **Implied Cost Basis** | **Implied Market Value** | **Net Carrying Value** |
| **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Purchase contracts | $4237000 | $4239001 | $4209341 | $(29660) |
| &nbsp;&nbsp;&nbsp;Sale contracts | (1120000) | (1080943) | (1073187) | 7756 |
| **Net TBA derivatives** | $3117000 | $3158058 | $3136154 | $(21904) |

---

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

The following tables summarize certain characteristics of the Company's futures derivatives at September 30, 2025 and December 31, 2024:

---

| | | | |
|:---|:---|:---|:---|
| **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
| | **Notional - Long<br>Positions** | **Notional - Short<br>Positions** | **Weighted Average<br>Years to Maturity** |
| | **(dollars in thousands)** | | |
| &nbsp;&nbsp;U.S. Treasury futures - 2 year | $**—** | $**(3658000)** | **2.00** |
| &nbsp;&nbsp;U.S. Treasury futures - 5 year | **1783700** | **—** | **4.40** |
| &nbsp;&nbsp;U.S. Treasury futures - 10 year and greater | **—** | **(11869500)** | **11.95** |
| **Total** | $**1783700** | $**(15527500)** | **9.07** |
| **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|  | **Notional - Long<br>Positions** | **Notional - Short<br>Positions** | **Weighted Average<br>Years to Maturity** |
|  | **(dollars in thousands)** |  |  |
| &nbsp;&nbsp;U.S. Treasury futures - 2 year | $6511600 | $— | 1.98 |
| &nbsp;&nbsp;U.S. Treasury futures - 5 year | 1960500 |  | 4.40 |
| &nbsp;&nbsp;U.S. Treasury futures - 10 year and greater |  | (9840500) | 11.05 |
| **Total** | $8472100 | $(9840500) | 7.11 |

---

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 September 30, 2025 and December 31, 2024, respectively.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
| | | **Amounts Eligible for Offset** | **Amounts Eligible for Offset** | |
| | **Gross Amounts** | **Financial Instruments** | **Cash Collateral** | **Net Amounts** |
| **Assets** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Interest rate swaps, at fair value | $**4198** | $**(971)** | $**—** | $**3227** |
| &nbsp;&nbsp;&nbsp;TBA derivatives, at fair value | **24074** | **(12960)** | **(9910)** | **1204** |
| &nbsp;&nbsp;&nbsp;Futures contracts, at fair value | **10232** | **(10232)** | **—** | **—** |
| &nbsp;&nbsp;&nbsp;Purchase commitments | **9395** | **—** | **—** | **9395** |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest rate swaps, at fair value | $**25350** | $**(23440)** | $**—** | $**1910** |
| &nbsp;&nbsp;&nbsp;TBA derivatives, at fair value | **13598** | **(9482)** | **—** | **4116** |
| &nbsp;&nbsp;&nbsp;Futures contracts, at fair value | **157255** | **(10232)** | **(147023)** | **—** |
| &nbsp;&nbsp;&nbsp;Purchase commitments | **2897** | **—** | **—** | **2897** |
| **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
|  |  | **Amounts Eligible for Offset** | **Amounts Eligible for Offset** |  |
|  | **Gross Amounts** | **Financial Instruments** | **Cash Collateral** | **Net Amounts** |
| **Assets** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Interest rate swaps, at fair value | $21226 | $(8138) | $— | $13088 |
| &nbsp;&nbsp;&nbsp;TBA derivatives, at fair value | 8635 | (879) | (929) | 6827 |
| &nbsp;&nbsp;&nbsp;Futures contracts, at fair value | 190980 | (16650) |  | 174330 |
| &nbsp;&nbsp;&nbsp;Purchase commitments | 4510 |  |  | 4510 |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest rate swaps, at fair value | $7212 | $(7212) | $— | $— |
| &nbsp;&nbsp;&nbsp;TBA derivatives, at fair value | 30539 | (19495) |  | 11044 |
| &nbsp;&nbsp;&nbsp;Futures contracts, at fair value | 16650 | (16650) |  |  |
| &nbsp;&nbsp;&nbsp;Purchase commitments | 5185 |  |  | 5185 |

---

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

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)** | **Location on Consolidated Statements of Comprehensive Income (Loss)** | **Location on Consolidated Statements of Comprehensive Income (Loss)** | **Location on Consolidated Statements of Comprehensive Income (Loss)** |
| | **Net Interest Component of Interest Rate Swaps** <sup>(1)</sup> | **Realized Gains (Losses) on Termination of Interest Rate Swaps** <sup>(1)</sup> | **Unrealized Gains (Losses) on Interest Rate Swaps** <sup>(1)</sup> |
| **For the three months ended** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**191891** | $**(3187)** | $**(188961)** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $317483 | $(94016) | $(1582495) |
| **For the nine months ended** |  |  |  |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**569086** | $**(78768)** | $**(1434745)** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $946004 | $(96532) | $(584109) |
| &nbsp;&nbsp;&nbsp;&nbsp;<sup>(1)</sup> Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). | &nbsp;&nbsp;&nbsp;&nbsp;<sup>(1)</sup> Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). | &nbsp;&nbsp;&nbsp;&nbsp;<sup>(1)</sup> Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). | &nbsp;&nbsp;&nbsp;&nbsp;<sup>(1)</sup> Included in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss). |

---

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

---

| | | | |
|:---|:---|:---|:---|
| **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** | **Three Months Ended September 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)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Net TBA derivatives | $**163432** | $**(86855)** | $**76577** |
| &nbsp;&nbsp;Futures <sup>(1)</sup> | **(383194)** | **219832** | **(163362)** |
| &nbsp;&nbsp;&nbsp;Purchase commitments | **—** | **(5266)** | **(5266)** |
| **Total** |  |  | $**(92051)** |
| <sup>(1)</sup> For the three months ended September 30, 2025, includes $5.1 million of realized gain and $5.8 million of unrealized gain related to SOFR futures. | <sup>(1)</sup> For the three months ended September 30, 2025, includes $5.1 million of realized gain and $5.8 million of unrealized gain related to SOFR futures. | <sup>(1)</sup> For the three months ended September 30, 2025, includes $5.1 million of realized gain and $5.8 million of unrealized gain related to SOFR futures. | <sup>(1)</sup> For the three months ended September 30, 2025, includes $5.1 million of realized gain and $5.8 million of unrealized gain related to SOFR futures. |

---

---

| | | | |
|:---|:---|:---|:---|
| **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** |
| **Derivative Instruments** | **Realized Gain (Loss)** | **Unrealized Gain (Loss)** | **Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives** |
| **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Net TBA derivatives | $40561 | $(18181) | $22380 |
| &nbsp;&nbsp;&nbsp;Net interest rate swaptions | (21180) | (113792) | (134972) |
| &nbsp;&nbsp;Futures <sup>(1)</sup> | (362660) | 71146 | (291514) |
| &nbsp;&nbsp;&nbsp;Purchase commitments |  | 9124 | 9124 |
| **Total** |  |  | $(394982) |
| <sup>(1)</sup> For the three months ended September 30, 2024, includes $35.5 million realized gain and $1.8 million of unrealized gain related to SOFR futures. | <sup>(1)</sup> For the three months ended September 30, 2024, includes $35.5 million realized gain and $1.8 million of unrealized gain related to SOFR futures. | <sup>(1)</sup> For the three months ended September 30, 2024, includes $35.5 million realized gain and $1.8 million of unrealized gain related to SOFR futures. | <sup>(1)</sup> For the three months ended September 30, 2024, includes $35.5 million realized gain and $1.8 million of unrealized gain related to SOFR futures. |

---

---

| | | | |
|:---|:---|:---|:---|
| **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** | **Nine Months Ended September 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)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Net TBA derivatives | $**91391** | $**32381** | $**123772** |
| &nbsp;&nbsp;&nbsp;Net interest rate swaptions | **(9230)** | **—** | **(9230)** |
| &nbsp;&nbsp;Futures <sup>(1)</sup> | **(314896)** | **(321352)** | **(636248)** |
| &nbsp;&nbsp;&nbsp;Purchase commitments | **—** | **7173** | **7173** |
| **Total** |  |  | $**(514533)** |
| <sup>(1)</sup> For the nine months ended September 30, 2025, includes $5.7 million of realized gain related to SOFR futures and $9.0 million of realized gain related to SOFR futures options. | <sup>(1)</sup> For the nine months ended September 30, 2025, includes $5.7 million of realized gain related to SOFR futures and $9.0 million of realized gain related to SOFR futures options. | <sup>(1)</sup> For the nine months ended September 30, 2025, includes $5.7 million of realized gain related to SOFR futures and $9.0 million of realized gain related to SOFR futures options. | <sup>(1)</sup> For the nine months ended September 30, 2025, includes $5.7 million of realized gain related to SOFR futures and $9.0 million of realized gain related to SOFR futures options. |

---

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

---

| | | | |
|:---|:---|:---|:---|
| **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** |
| **Derivative Instruments** | **Realized Gain (Loss)** | **Unrealized Gain (Loss)** | **Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives** |
| **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Net TBA derivatives | $15694 | $12649 | $28343 |
| &nbsp;&nbsp;&nbsp;Net interest rate swaptions | (33511) | (59304) | (92815) |
| &nbsp;&nbsp;Futures <sup>(1)</sup> | (323113) | 170973 | (152140) |
| &nbsp;&nbsp;&nbsp;Purchase commitments |  | 4870 | 4870 |
| **Total** |  |  | $(211742) |
| <sup>(1)</sup> For the nine months ended September 30, 2024, includes $35.5 million of realized gain related to SOFR futures and ($6.8) million of realized loss related to SOFR futures options. | <sup>(1)</sup> For the nine months ended September 30, 2024, includes $35.5 million of realized gain related to SOFR futures and ($6.8) million of realized loss related to SOFR futures options. | <sup>(1)</sup> For the nine months ended September 30, 2024, includes $35.5 million of realized gain related to SOFR futures and ($6.8) million of realized loss related to SOFR futures options. | <sup>(1)</sup> For the nine months ended September 30, 2024, includes $35.5 million of realized gain related to SOFR futures and ($6.8) million of realized loss related to SOFR futures options. |

---

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

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 September 30, 2025 of $152.2 million, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized.

**10. FAIR VALUE MEASUREMENTS**<br>

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

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

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 and swaption markets and TBA derivatives 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.

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 September 30, 2025 and December 31, 2024. There were no transfers between levels of the fair value hierarchy during the periods presented.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
| | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| **Securities** | | | | |
| &nbsp;&nbsp;&nbsp;Agency mortgage-backed securities | $**—** | $**83317819** | $**—** | $**83317819** |
| &nbsp;&nbsp;&nbsp;Credit risk transfer securities | **—** | **330647** | **—** | **330647** |
| &nbsp;&nbsp;&nbsp;Non-Agency mortgage-backed securities | **—** | **1414259** | **—** | **1414259** |
| **Loans** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Residential mortgage loans | **—** | **4008299** | **—** | **4008299** |
| **Mortgage servicing rights** | **—** | **—** | **3476181** | **3476181** |
| **Interests in MSR** | **—** | **—** | **35833** | **35833** |
| **Assets transferred or pledged to securitization vehicles** | **—** | **29512309** | **—** | **29512309** |
| **Derivative assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest rate swaps | **—** | **4198** | **—** | **4198** |
| &nbsp;&nbsp;&nbsp;Other derivatives | **10232** | **33469** | **—** | **43701** |
| **Total assets** | $**10232** | $**118621000** | $**3512014** | $**122143246** |
| **Liabilities** |  |  |  |  |
| **Debt issued by securitization vehicles** | $**—** | $**26601790** | $**—** | $**26601790** |
| **Participations issued** | **—** | **1831657** | **—** | **1831657** |
| **U.S. Treasury securities sold, not yet purchased** | **2442570** | **—** | **—** | **2442570** |
| **Derivative liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest rate swaps | **—** | **25350** | **—** | **25350** |
| &nbsp;&nbsp;&nbsp;Other derivatives | **157255** | **16495** | **—** | **173750** |
| **Total liabilities** | $**2599825** | $**28475292** | $**—** | $**31075117** |

---

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| **Securities** | | | | |
| &nbsp;&nbsp;&nbsp;Agency mortgage-backed securities | $— | $67434068 | $— | $67434068 |
| &nbsp;&nbsp;&nbsp;Credit risk transfer securities |  | 754915 |  | 754915 |
| &nbsp;&nbsp;&nbsp;Non-Agency mortgage-backed securities |  | 1493186 |  | 1493186 |
| &nbsp;&nbsp;&nbsp;&nbsp;Commercial mortgage-backed securities |  | 74278 |  | 74278 |
| **Loans** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Residential mortgage loans |  | 3546902 |  | 3546902 |
| **Mortgage servicing rights** |  |  | 2909134 | 2909134 |
| **Assets transferred or pledged to securitization vehicles** |  | 21973188 |  | 21973188 |
| **Derivative assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest rate swaps |  | 21226 |  | 21226 |
| &nbsp;&nbsp;&nbsp;Other derivatives | 190980 | 13145 |  | 204125 |
| **Total assets** | $190980 | $95310908 | $2909134 | $98411022 |
| **Liabilities** |  |  |  |  |
| **Debt issued by securitization vehicles** | $— | $19540678 | $— | $19540678 |
| **Participations issued** |  | 1154816 |  | 1154816 |
| **U.S. Treasury securities sold, not yet purchased** | 2470629 |  |  | 2470629 |
| **Derivative liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest rate swaps |  | 7212 |  | 7212 |
| &nbsp;&nbsp;&nbsp;Other derivatives | 16650 | 35724 |  | 52374 |
| **Total liabilities** | $2487279 | $20738430 | $— | $23225709 |

---

***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** <sup>(1)</sup> | **Range (Weighted Average)** <sup>(2)</sup> | **Range (Weighted Average)** <sup>(2)</sup> |
| | **September 30, 2025** | **December 31, 2024** |
| Discount rate | **5.1% - 11.8% (7.8%)** | 7.4% - 12.4% (8.4%) |
| Prepayment rate | **4.5% - 23.8% (5.8%)** | 4.7% - 17.2% (5.6%) |
| Delinquency rate | **0.2% - 3.2% (1.0%)** | 0.2% - 4.1% (1.3%) |
| Cost to service | **$78 - $95 ($86)** | $83 - $99 ($87) |
| <sup>(1)</sup> Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.<br><sup>(2)</sup> 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. | <sup>(1)</sup> Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.<br><sup>(2)</sup> 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. | <sup>(1)</sup> Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.<br><sup>(2)</sup> 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. |

---

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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 September 30, 2025 and December 31, 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| | **Carrying<br>Value** | **Fair<br>Value** | **Carrying<br>Value** | **Fair<br>Value** |
| **Financial liabilities** | | | | |
| Repurchase agreements | **$75118963** | **$75118963** | $65688923 | $65688923 |
| Other secured financing | **1025000** | **1025000** | 750000 | 750000 |

---

The carrying values of repurchase agreements and other secured financing approximate fair value and are considered Level 2 fair value measurements.

**11. INTANGIBLE ASSETS**<br>

***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 nine months ended September 30, 2025.

---

| | |
|:---|:---|
| **Intangible Assets, net** | **Intangible Assets, net** |
| **(dollars in thousands)** | **(dollars in thousands)** |
| Beginning balance January 1, 2025 | $9416 |
| &nbsp;&nbsp;Less: amortization expense | (2018) |
| **Ending balance September 30, 2025** | $7398 |

---

**12. SECURED FINANCING**<br>

***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 $75.1 billion and $65.7 billion of repurchase agreements with weighted average remaining maturities of 49 days and 32 days and weighted average rates of 4.36% and 4.76% at September 30, 2025 and December 31, 2024, respectively. In connection with its residential mortgage loans, the Company had select arrangements with counterparties to enter into repurchase agreements for $4.3 billion with remaining capacity of $2.5 billion at September 30, 2025.

At September 30, 2025 and December 31, 2024, the repurchase agreements had the following remaining maturities and collateral types:

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
| | **Agency Mortgage-Backed Securities** | **CRTs** | **Non-Agency Mortgage-Backed Securities** | **Residential Mortgage Loans** | **Commercial Mortgage-Backed Securities** | **Total Repurchase Agreements** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;1 day | $**31428894** | $**—** | $**46133** | $**—** | $**—** | $**31475027** |
| &nbsp;&nbsp;&nbsp;2 to 29 days | **1128459** | **188520** | **786088** | **—** | **—** | **2103067** |
| &nbsp;&nbsp;&nbsp;30 to 59 days | **13069517** | **—** | **544223** | **445868** | **—** | **14059608** |
| &nbsp;&nbsp;&nbsp;60 to 89 days | **22173764** | **—** | **574103** | **211837** | **—** | **22959704** |
| &nbsp;&nbsp;&nbsp;90 to 119 days | **4499627** | **—** | **79295** | **—** | **—** | **4578922** |
| &nbsp;&nbsp;Over 119 days <sup>(1)</sup> | **2764725** | **—** | **536307** | **1122103** | **—** | **4423135** |
| **Total** | $**75064986** | $**188520** | $**2566149** | $**1779808** | $**—** | $**79599463** |
| Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | **(4480500)** |
| **Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition** | **Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition** | **Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition** | **Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition** | **Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition** | **Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition** | $**75118963** |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** | **December 31, 2024** |
| | **Agency Mortgage-Backed Securities** | **Agency Mortgage-Backed Securities** | **CRTs** | **CRTs** | **Non-Agency Mortgage-Backed Securities** | **Residential Mortgage Loans** | **Residential Mortgage Loans** | **Commercial Mortgage-Backed Securities** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;1 day | $|  | $|  | $| $|  | $| $|  |
| &nbsp;&nbsp;&nbsp;2 to 29 days | 28603831 | 28603831 | 405341 | 405341 | 861271 |  |  | 66010 | 29936453 | 29936453 |
| &nbsp;&nbsp;&nbsp;30 to 59 days | 34496443 | 34496443 | 116087 | 116087 | 682037 | 251357 | 251357 |  | 35545924 | 35545924 |
| &nbsp;&nbsp;&nbsp;60 to 89 days | 692255 | 692255 | 47583 | 47583 | 545684 |  |  |  | 1285522 | 1285522 |
| &nbsp;&nbsp;&nbsp;90 to 119 days | 2085 | 2085 |  |  | 60383 |  |  |  | 62468 | 62468 |
| &nbsp;&nbsp;Over 119 days <sup>(1)</sup> |  |  |  |  | 332040 | 1139604 | 1139604 |  | 1471644 | 1471644 |
| Total | $| 63794614 | $| 569011 | $| $| 1390961 | $| $| 68302011 |
| Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | Amounts offset in accordance with netting arrangements | (2613088) | (2613088) |
| Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | $| 65688923 |
| <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. | <sup>(1)</sup> Less than 1% of repurchase agreements had a remaining maturity over 1 year at September 30, 2025 and December 31, 2024. |

---

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 September 30, 2025 and December 31, 2024. Refer to the "Derivative Instruments" Note for information related to the effect of netting arrangements on the Company's derivative instruments.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** |
| | **Reverse Repurchase Agreements** | **Repurchase Agreements** | **Reverse Repurchase Agreements** | **Repurchase Agreements** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Gross amounts | $**4515504** | $**79599463** | $2613088 | $68302011 |
| &nbsp;&nbsp;&nbsp;Amounts offset | **(4480500)** | **(4480500)** | (2613088) | (2613088) |
| **Netted amounts** | $**35004** | $**75118963** | $— | $65688923 |

---

The fair value of collateral received in connection with reverse repurchase agreements as of September 30, 2025 was $4.5 billion, of which the Company sold $2.4 billion. The fair value of collateral received in connection with reverse repurchase agreements as of December 31, 2024 was $2.6 billion, of which the Company sold $2.5 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 September 30, 2025, the Company had $2.1 billion in total committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under these facilities as of September 30, 2025 totaled $1.0 billion with maturities ranging between two months to two years. As of December 31, 2024, the Company had $1.6 billion in total committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under these facilities as of December 31, 2024 totaled $750.0 million with maturities ranging between one month to two years. The weighted average interest rate of the borrowings was 6.94% and 7.21% as of September 30, 2025 and December 31, 2024, respectively. Borrowings are reported in Other secured financing in the Company's Consolidated Statements of Financial Condition.

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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 $81.7 billion and $374.6 million, respectively, at September 30, 2025 and $71.8 billion and $332.7 million, respectively, at December 31, 2024.

**13. CAPITAL STOCK**<br>

(A)&nbsp;&nbsp;&nbsp;&nbsp;Common Stock

The following table provides a summary of the Company's common shares authorized, and issued and outstanding at September 30, 2025 and December 31, 2024.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Shares authorized** | **Shares authorized** | **Shares issued and outstanding** | **Shares issued and outstanding** | |
| | **September 30, 2025** | **December 31, 2024** | **September 30, 2025** | **December 31, 2024** | **Par Value** |
| &nbsp;&nbsp;Common stock | **1456750000** | 1468250000 | **681052317** | 578357118 | $0.01 |

---

In January 2022, 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, 2024 (the "Prior Common Stock Repurchase Program"). 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 "Current Common Stock Repurchase Program"). The Current Common Stock Repurchase Program replaced the Prior Common Stock Repurchase Program. During the three and nine months ended September 30, 2025 and 2024, no shares were repurchased under the Current Common Stock Repurchase Program or the Prior Common Stock Repurchase Program, respectively.

On September 20, 2024, 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., 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 "Prior Sales Agents"). 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 $1.5 billion, from time to time through any of the Prior Sales Agents (the "Prior At-The-Market Sales Program").

On May 8, 2025, the Company entered into separate Distribution Agency Agreements (collectively, the "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 Prior Sales Agreements. Under the terms of the Sales Agreements, the Company may offer and sell shares of our common stock, having an aggregate offering price of up to $2.0 billion (the "Shares"), from time to time through any of the Sales Agents (the "Current At-The-Market Sales Program" and, together with the Prior At-The-Market Sales Program, the "at-the-market sales program").

During the three and nine months ended September 30, 2025, under the at-the-market sales program, the Company issued 39.0 million and 102.0 million shares for proceeds of $823.3 million and $2.1 billion, respectively, each net of commissions and fees. During the three and nine months ended September 30, 2024, under the at-the-market sales program, the Company issued 57.0 million and 57.6 million shares for proceeds of $1.1 billion and $1.2 billion, respectively, each net of commissions and fees.

(B)&nbsp;&nbsp;&nbsp;&nbsp;Preferred Stock

The following is a summary of the Company's cumulative redeemable preferred stock outstanding at September 30, 2025 and December 31, 2024. In the event of a liquidation or dissolution of the Company, the Company's then outstanding preferred stock takes precedence over the Company's common stock with respect to payment of dividends and the distribution of assets.

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

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| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Shares Authorized** | **Shares Authorized** | **Shares Issued And Outstanding** | **Shares Issued And Outstanding** | **Carrying Value** | **Carrying Value** | **Carrying Value** | **Carrying Value** | **Contractual Rate** | **Earliest Redemption Date** <sup>(1)</sup> | **Effective Date of Floating Rate Dividend Period** | **Floating Annual Rate** <sup>(2)</sup> |
| | **September 30, 2025** | **December 31, 2024** | **September 30, 2025** | **December 31, 2024** | **September 30, 2025** | **September 30, 2025** | **December 31, 2024** | **December 31, 2024** | **Contractual Rate** | **Earliest Redemption Date** <sup>(1)</sup> | **Effective Date of Floating Rate Dividend Period** | **Floating Annual Rate** <sup>(2)</sup> |
| **Fixed-rate** | **Fixed-rate** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Series J | **11500000** |  | **11000000** |  | **265911** | **265911** |  |  | 8.875% | 9/30/2030 | NA | NA |
| **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** | **Fixed-to-floating rate** |
| &nbsp;&nbsp;&nbsp;Series F | **28800000** | 28800000 | **28800000** | 28800000 | **696910** | **696910** | 696910 | 696910 | 6.95% | 9/30/2022 | 9/30/2022 | 3M Term SOFR + 4.993% |
| &nbsp;&nbsp;&nbsp;Series G | **17000000** | 17000000 | **17000000** | 17000000 | **411335** | **411335** | 411335 | 411335 | 6.50% | 3/31/2023 | 3/31/2023 | 3M Term SOFR + 4.172% |
| &nbsp;&nbsp;&nbsp;Series I | **17700000** | 17700000 | **17700000** | 17700000 | **428324** | **428324** | 428324 | 428324 | 6.75% | 6/30/2024 | 6/30/2024 | 3M Term SOFR + 4.989% |
| **Total** | **75000000** | 63500000 | **74500000** | 63500000 | **$** | **1802480** | $| 1536569 |  |  |  |  |
| <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> 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 September 30, 2025, the Company had declared and paid all required quarterly dividends on the Company's preferred stock.

During the three and nine months ended September 30, 2025, the Company issued 11,000,000 shares of its 8.875% Series J Preferred Stock, which included the exercise by the underwriters of their option to purchase an additional 1,000,000 shares of Series J Preferred Stock solely to cover over-allotments, for gross proceeds of $275 million before deducting the underwriting discount and other estimated offering expenses.

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

On December 31, 2024, the Board approved a repurchase plan for all of our existing outstanding Preferred Stock (as defined below) (the "Preferred Stock Repurchase Program"). Under the terms of the Preferred Stock Repurchase Program, we are authorized to repurchase up to an aggregate of 63,500,000 shares of Preferred Stock, comprised of up to (i) 28,800,000 shares of its 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "Series F Preferred Stock"), (ii) 17,000,000 shares of its 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "Series G Preferred Stock"), and (iii) 17,700,000 shares of its 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "Series I Preferred Stock", and together with Series F Preferred Stock and Series G Preferred Stock, the "Preferred Stock"). The aggregate liquidation value of the Preferred Stock that may be repurchased by the Company pursuant to the Preferred Stock Repurchase Program, as of September 30, 2025, was approximately $1.6 billion.

The Preferred Stock Repurchase Program became effective on January 1, 2025 and will expire on December 31, 2029, and replaced the Preferred Stock repurchase program, which was effective from November 2, 2022 and expired on December 31, 2024 (the "Prior Preferred Stock Repurchase Program"). No shares were repurchased with respect to the Preferred Stock Repurchase Program during the three and nine months ended September 30, 2025 or the Prior Preferred Stock Repurchase Program during the three and nine months ended September 30, 2024.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

(C)&nbsp;&nbsp;&nbsp;&nbsp;Distributions to Stockholders

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **For the Three Months Ended** | **For the Three Months Ended** | **For the Nine Months Ended** | **For the Nine Months Ended** |
| | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** |
| &nbsp;&nbsp;&nbsp;Dividends and dividend equivalents declared on common stock and share-based awards | $**479660** | $364914 | $**1355722** | $1019527 |
| &nbsp;&nbsp;&nbsp;Distributions declared per common share | $**0.70** | $0.65 | $**2.10** | $1.95 |
| &nbsp;&nbsp;&nbsp;Distributions paid to common stockholders after period end | $**476737** | $362731 | $**476737** | $362731 |
| &nbsp;&nbsp;&nbsp;Distributions paid per common share after period end | $**0.70** | $0.65 | $**0.70** | $0.65 |
| &nbsp;&nbsp;&nbsp;Date of distributions paid to common stockholders after period end | **October 31, 2025** | October 31, 2024 | **October 31, 2025** | October 31, 2024 |
| &nbsp;&nbsp;&nbsp;Dividends declared to series F preferred stockholders | $**17190** | $19055 | $**51637** | $57142 |
| &nbsp;&nbsp;&nbsp;Dividends declared per share of series F preferred stock | $**0.597** | $0.662 | $**1.793** | $1.984 |
| &nbsp;&nbsp;&nbsp;Dividends declared to series G preferred stockholders | $**9481** | $10606 | $**28172** | $31804 |
| &nbsp;&nbsp;&nbsp;Dividends declared per share of series G preferred stock | $**0.558** | $0.624 | $**1.657** | $1.871 |
| &nbsp;&nbsp;&nbsp;Dividends declared to series I preferred stockholders | $**10795** | $11967 | $**32074** | $26901 |
| &nbsp;&nbsp;&nbsp;Dividends declared per share of series I preferred stock | $**0.610** | $0.676 | $**1.812** | $1.520 |
| &nbsp;&nbsp;&nbsp;Dividends declared to series J preferred stockholders | $**—** | $— | $**—** | $— |
| &nbsp;&nbsp;&nbsp;Dividends declared per share of series J preferred stock | $**—** | $— | $**—** | $— |

---

**14. INTEREST INCOME AND INTEREST EXPENSE**<br>

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** | |
| &nbsp;&nbsp;Fixed-rate pass-through <sup>(1)</sup> | Effective yield <sup>(3)</sup> |
| &nbsp;&nbsp;Adjustable-rate pass-through <sup>(1)</sup> | Effective yield <sup>(3)</sup> |
| &nbsp;&nbsp;Multifamily <sup>(1)</sup> | Contractual Cash Flows |
| &nbsp;&nbsp;CMO <sup>(1)</sup> | Effective yield <sup>(3)</sup> |
| &nbsp;&nbsp;Reverse mortgages <sup>(2)</sup> | Prospective |
| &nbsp;&nbsp;Interest-only <sup>(2)</sup> | Prospective |
| **Residential credit** |  |
| &nbsp;&nbsp;CRT <sup>(2)</sup> | Prospective |
| &nbsp;&nbsp;Non-QM <sup>(2)</sup> | Prospective |
| &nbsp;&nbsp;Prime <sup>(2)</sup> | Prospective |
| &nbsp;&nbsp;SBC <sup>(2)</sup> | Prospective |
| &nbsp;&nbsp;NPL/RPL <sup>(2)</sup> | Prospective |
| &nbsp;&nbsp;RTL <sup>(2)</sup> | Prospective |
| &nbsp;&nbsp;Prime jumbo <sup>(2)</sup> | Prospective |
| <sup>(1)</sup> 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.<br><sup>(2)</sup> Changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss).<br><sup>(3)</sup> 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. | <sup>(1)</sup> 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.<br><sup>(2)</sup> Changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss).<br><sup>(3)</sup> 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. |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

The following table presents the components of the Company's interest income and interest expense for the three and nine months ended September 30, 2025 and 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **For the Three Months Ended** | **For the Three Months Ended** | **For the Nine Months Ended** | **For the Nine Months Ended** |
| | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| **Interest income** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Agency securities | $**949511** | $789403 | $**2645630** | $2331698 |
| &nbsp;&nbsp;&nbsp;Residential credit securities | **33462** | 49863 | **110522** | 156754 |
| &nbsp;&nbsp;Residential mortgage loans <sup>(1)</sup> | **505527** | 346031 | **1399541** | 899867 |
| &nbsp;&nbsp;Commercial investment portfolio <sup>(1)</sup> | **—** | 2240 | **1218** | 8235 |
| &nbsp;&nbsp;&nbsp;Reverse repurchase agreements | **43997** | 41804 | **111587** | 104600 |
| **Total interest income** | $**1532497** | $1229341 | $**4268498** | $3501154 |
| **Interest expense** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Repurchase agreements | $**852175** | $942780 | $**2388876** | $2722304 |
| &nbsp;&nbsp;&nbsp;Debt issued by securitization vehicles | **349959** | 234299 | **945934** | 596128 |
| &nbsp;&nbsp;&nbsp;Participations issued | **28651** | 17834 | **86433** | 57841 |
| &nbsp;&nbsp;&nbsp;U.S. Treasury securities sold, not yet purchased | **25962** | 21027 | **78334** | 64373 |
| **Total interest expense** | **1256747** | 1215940 | **3499577** | 3440646 |
| **Net interest income** | $**275750** | $13401 | $**768921** | $60508 |
| <sup>(1)</sup> Includes assets transferred or pledged to securitization vehicles. | <sup>(1)</sup> Includes assets transferred or pledged to securitization vehicles. | <sup>(1)</sup> Includes assets transferred or pledged to securitization vehicles. | <sup>(1)</sup> Includes assets transferred or pledged to securitization vehicles. | <sup>(1)</sup> Includes assets transferred or pledged to securitization vehicles. |

---

**15. NET INCOME (LOSS) PER COMMON SHARE**<br>

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 nine months ended September 30, 2025 and 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **For the Three Months Ended** | **For the Three Months Ended** | **For the Nine Months Ended** | **For the Nine Months Ended** |
| | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** |
| &nbsp;&nbsp;&nbsp;Net income (loss) | $**843063** | $82351 | $**1033739** | $538692 |
| &nbsp;&nbsp;&nbsp;Net income (loss) attributable to noncontrolling interests | **10618** | 15906 | **19971** | 18838 |
| **Net income (loss) attributable to Annaly** | **832445** | 66445 | **1013768** | 519854 |
| &nbsp;&nbsp;Dividends on preferred stock <sup>(1)</sup> | **41127** | 41628 | **115544** | 115847 |
| **Net income (loss) available (related) to common stockholders** | $**791318** | $24817 | $**898224** | $404007 |
| **Weighted average shares of common stock outstanding-basic** | **656335974** | 515729658 | **621484893** | 505800723 |
| &nbsp;&nbsp;&nbsp;Add: Effect of stock awards, if dilutive | **1520453** | 1102494 | **1283588** | 817420 |
| **Weighted average shares of common stock outstanding-diluted** | **657856427** | 516832152 | **622768481** | 506618143 |
| **Net income (loss) per share available (related) to common share** |  |  |  |  |
| **Basic** | $**1.21** | $0.05 | $**1.45** | $0.80 |
| **Diluted** | $**1.20** | $0.05 | $**1.44** | $0.80 |
| <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025. | <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025. | <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025. | <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025. | <sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025. |

---

 

The computations of diluted net income (loss) per share available (related) to common share for the three and nine months ended September 30, 2025 exclude approximately 1 thousand shares and 0 shares, respectively, and for the three and nine months ended September 30, 2024 exclude 0 shares and approximately 2 thousand shares, respectively, of potentially dilutive restricted stock units and performance stock units because their effect would have been anti-dilutive.

**16. INCOME TAXES**<br>

For the three months ended September 30, 2025, 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.

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

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.

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. 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 September 30, 2025 and December 31, 2024.

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 2021 and forward remain open for examination.

During the three and nine months ended September 30, 2025, the Company recorded ($7.8) million and $0.9 million, respectively, of income tax expense/(benefit) attributable to its TRSs. During the three and nine months ended September 30, 2024, the Company recorded ($6.1) million and $4.9 million, respectively, of income tax expense/(benefit) attributable to its TRSs. Income tax expense/(benefit) consists of the following:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **For the Three Months Ended** | **For the Three Months Ended** | **For the Nine Months Ended** | **For the Nine Months Ended** |
| | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| **Current Tax Expense (Benefit)** | | | | |
| &nbsp;&nbsp;&nbsp;Federal | $**20** | $— | $**20** | $— |
| &nbsp;&nbsp;&nbsp;State and local | **—** | 28 | **13** | 41 |
| **Total current income tax expense (benefit)** | $**20** | $28 | $**33** | $41 |
| **Deferred Tax Expense (Benefit)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Federal | $**(6862)** | $(5393) | $**745** | $4210 |
| &nbsp;&nbsp;&nbsp;State and local | **(981)** | (770) | **106** | 602 |
| **Total deferred income tax expense (benefit)** | $**(7843)** | $(6163) | $**851** | $4812 |
| **Total income tax expense (benefit)** | $**(7823)** | $(6135) | $**884** | $4853 |

---

The difference between the Company's reported income tax provision and the U.S. federal statutory rate of 21.0% and state income tax rates is as follows:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **For the Three Months Ended** | **For the Three Months Ended** | **For the Nine Months Ended** | **For the Nine Months Ended** |
| | **September 30, 2025** | **September 30, 2024** | **September 30, 2025** | **September 30, 2024** |
| &nbsp;&nbsp;&nbsp;Statutory federal income tax rate | **21.0%** | 21.0% | **21.0%** | 21.0% |
| &nbsp;&nbsp;&nbsp;Non-taxable REIT income | **(22.6** **%)** | (3.2%) | **(20.7** **%)** | (19.9%) |
| &nbsp;&nbsp;&nbsp;State and local taxes | **3.0%** | 3.0% | **3.0%** | 3.0% |
| &nbsp;&nbsp;&nbsp;VIE and Other | **(2.4** **%)** | (28.9%) | **(3.2** **%)** | (3.2%) |
| &nbsp;&nbsp;&nbsp;Change in valuation allowance | **—%** | —% | **—%** | —% |
| **Total provision** | **(1.0** **%)** | (8.1%) | **0.1%** | 0.9% |

---

As of September 30, 2025, the Company recorded a net deferred tax asset of $89.4 million resulting primarily from loss carryforwards and securitization gains, and a net deferred tax liability of $159.3 million resulting primarily from unrealized gains on MSR, residential mortgage loans, and interest rate swaps, which are included in Other assets and Other liabilities, respectively, in the Consolidated Statements of Financial Condition. As of September 30, 2025, no valuation allowance was established.

As of September 30, 2025, the Company's TRSs had approximately $97.9 million of net operating loss carryforwards for federal income tax purposes which may be available to offset future taxable income, including approximately $7.9 million of

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

net operating loss carryforwards that are subject to an annual limitation under Internal Revenue Code Section 382 and $90.0 million that can be carried forward indefinitely.

As of September 30, 2025, the Company's TRSs had approximately $30.4 million of capital loss carryforwards for federal income tax purposes which can be carried back three years and forward up to five years to offset capital gains.

**17. SEGMENTS**<br>

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 investments in commercial mortgage-backed securities, 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 nine months ended September 30, 2025 and 2024:

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** | **Three Months Ended September 30, 2025** |
| | **Agency** | **Resi-credit** | **MSR** | **Corporate & Other** | **Consolidated** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Interest income | $**992588** | $**539909** | $**—** | $**—** | $**1532497** |
| &nbsp;&nbsp;&nbsp;Interest expense | **811177** | **445570** | **—** | **—** | **1256747** |
| **Net interest income** | **181411** | **94339** | **—** | **—** | **275750** |
| &nbsp;&nbsp;&nbsp;Servicing and related income | **—** | **—** | **141356** | **—** | **141356** |
| &nbsp;&nbsp;&nbsp;Servicing and related expense | **—** | **—** | **15104** | **—** | **15104** |
| **Net servicing income** | **—** | **—** | **126252** | **—** | **126252** |
| **Other income (loss)** | **495445** | **32343** | **(45910)** | **1700** | **483578** |
| **Less: Total general and administrative expenses** | **17827** | **16755** | **9423** | **6335** | **50340** |
| **Income (loss) before income taxes** | **659029** | **109927** | **70919** | **(4635)** | **835240** |
| **Income taxes** | **(281)** | **(7158)** | **(341)** | **(43)** | **(7823)** |
| **Net income (loss)** | **659310** | **117085** | **71260** | **(4592)** | **843063** |
| **Less: Net income (loss) attributable to noncontrolling interest** | **—** | **10618** | **—** | **—** | **10618** |
| **Net income (loss) attributable to Annaly** | **659310** | **106467** | **71260** | **(4592)** | **832445** |
| **Dividends on preferred stock** | **—** | **—** | **—** | **41127** | **41127** |
| **Net income (loss) available (related) to common stockholders** | **659310** | **106467** | **71260** | **(45719)** | **791318** |
| &nbsp;&nbsp;&nbsp;Unrealized gains (losses) on available-for-sale securities | **113281** | **—** | **—** | **—** | **113281** |
| &nbsp;&nbsp;Reclassification adjustment for net (gains) losses included in net income (loss) | **2378** | **—** | **—** | **—** | **2378** |
| **Other comprehensive income (loss)** | **115659** | **—** | **—** | **—** | **115659** |
| &nbsp;&nbsp;Comprehensive income (loss) | **774969** | **117085** | **71260** | **(4592)** | **958722** |
| &nbsp;&nbsp;Comprehensive income (loss) attributable to noncontrolling interests | **—** | **10618** | **—** | **—** | **10618** |
| **Comprehensive income (loss) attributable to Annaly** | $**774969** | $**106467** | $**71260** | $**(4592)** | $**948104** |
| **Noncash investing and financing activities:** |  |  |  |  |  |
| **Receivable for unsettled trades** | **179767** | **—** | **6149** | **—** | **185916** |
| **Payable for unsettled trades** | **2497495** | **22067** | **84716** | **—** | **2604278** |
| **Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment** | **115659** | **—** | **—** | **—** | **115659** |
| **Dividends declared, not yet paid** | **—** | **—** | **—** | **476737** | **476737** |
| **Total assets** |  |  |  |  |  |
| **Total assets** | $**85802242** | $**35811143** | $**4147960** | $**100227** | $**125861572** |

---

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** | **Three Months Ended September 30, 2024** |
| | **Agency** | **Resi-credit** | **MSR** | **Corporate & Other** | **Consolidated** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Interest income | $830407 | $396694 | $— | $2240 | $1229341 |
| &nbsp;&nbsp;&nbsp;Interest expense | 885982 | 328440 |  | 1518 | 1215940 |
| **Net interest income** | (55575) | 68254 |  | 722 | 13401 |
| &nbsp;&nbsp;&nbsp;Servicing and related income |  |  | 122583 |  | 122583 |
| &nbsp;&nbsp;&nbsp;Servicing and related expense |  |  | 12988 |  | 12988 |
| **Net servicing income** |  |  | 109595 |  | 109595 |
| **Other income (loss)** | (6658) | 36028 | (33967) | 1738 | (2859) |
| **Less: Total general and administrative expenses** | 16154 | 13868 | 8876 | 5023 | 43921 |
| **Income (loss) before income taxes** | (78387) | 90414 | 66752 | (2563) | 76216 |
| **Income taxes** | 23 | (8263) | 2126 | (21) | (6135) |
| **Net income (loss)** | (78410) | 98677 | 64626 | (2542) | 82351 |
| **Less: Net income (loss) attributable to noncontrolling interest** |  | 15906 |  |  | 15906 |
| **Net income (loss) attributable to Annaly** | (78410) | 82771 | 64626 | (2542) | 66445 |
| **Dividends on preferred stock** |  |  |  | 41628 | 41628 |
| **Net income (loss) available (related) to common stockholders** | (78410) | 82771 | 64626 | (44170) | 24817 |
| &nbsp;&nbsp;&nbsp;Unrealized gains (losses) on available-for-sale securities | 428955 |  |  |  | 428955 |
| &nbsp;&nbsp;Reclassification adjustment for net (gains) losses included in net income (loss) | 15769 |  |  |  | 15769 |
| **Other comprehensive income (loss)** | 444724 |  |  |  | 444724 |
| &nbsp;&nbsp;Comprehensive income (loss) | 366314 | 98677 | 64626 | (2542) | 527075 |
| &nbsp;&nbsp;Comprehensive income (loss) attributable to noncontrolling interests |  | 15906 |  |  | 15906 |
| **Comprehensive income (loss) attributable to Annaly** | $366314 | $82771 | $64626 | $(2542) | $511169 |
| **Noncash investing and financing activities:** |  |  |  |  |  |
| **Receivable for unsettled trades** | 727124 |  | 39217 |  | 766341 |
| **Payable for unsettled trades** | 1811196 |  | 74090 |  | 1885286 |
| **Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment** | 444724 |  |  |  | 444724 |
| **Dividends declared, not yet paid** |  |  |  | 362731 | 362731 |
| **Total assets** |  |  |  |  |  |
| **Total assets** | $71699019 | $26235097 | $3371113 | $210766 | $101515995 |

---

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** | **Nine Months Ended September 30, 2025** |
| | **Agency** | **Resi-credit** | **MSR** | **Corporate & Other** | **Consolidated** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Interest income | $**2755055** | $**1512225** | $**—** | $**1218** | $**4268498** |
| &nbsp;&nbsp;&nbsp;Interest expense | **2260746** | **1237966** | **—** | **865** | **3499577** |
| **Net interest income** | **494309** | **274259** | **—** | **353** | **768921** |
| &nbsp;&nbsp;&nbsp;Servicing and related income | **—** | **—** | **423461** | **—** | **423461** |
| &nbsp;&nbsp;&nbsp;Servicing and related expense | **—** | **—** | **43788** | **—** | **43788** |
| **Net servicing income** | **—** | **—** | **379673** | **—** | **379673** |
| **Other income (loss)** | **75668** | **44240** | **(88243)** | **2786** | **34451** |
| **Less: Total general and administrative expenses** | **51694** | **48178** | **28059** | **20491** | **148422** |
| **Income (loss) before income taxes** | **518283** | **270321** | **263371** | **(17352)** | **1034623** |
| **Income taxes** | **(121)** | **(15899)** | **17002** | **(98)** | **884** |
| **Net income (loss)** | **518404** | **286220** | **246369** | **(17254)** | **1033739** |
| **Less: Net income (loss) attributable to noncontrolling interest** | **—** | **19971** | **—** | **—** | **19971** |
| **Net income (loss) attributable to Annaly** | **518404** | **266249** | **246369** | **(17254)** | **1013768** |
| **Dividends on preferred stock** | **—** | **—** | **—** | **115544** | **115544** |
| **Net income (loss) available (related) to common stockholders** | **518404** | **266249** | **246369** | **(132798)** | **898224** |
| &nbsp;&nbsp;&nbsp;Unrealized gains (losses) on available-for-sale securities | **311717** | **—** | **—** | **—** | **311717** |
| &nbsp;&nbsp;Reclassification adjustment for net (gains) losses included in net income (loss) | **81578** | **—** | **—** | **—** | **81578** |
| **Other comprehensive income (loss)** | **393295** | **—** | **—** | **—** | **393295** |
| &nbsp;&nbsp;Comprehensive income (loss) | **911699** | **286220** | **246369** | **(17254)** | **1427034** |
| &nbsp;&nbsp;Comprehensive income (loss) attributable to noncontrolling interests | **—** | **19971** | **—** | **—** | **19971** |
| **Comprehensive income (loss) attributable to Annaly** | $**911699** | $**266249** | $**246369** | $**(17254)** | $**1407063** |
| **Noncash investing and financing activities:** |  |  |  |  |  |
| **Receivable for unsettled trades** | **179767** | **—** | **6149** | **—** | **185916** |
| **Payable for unsettled trades** | **2497495** | **22067** | **84716** | **—** | **2604278** |
| **Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment** | **393295** | **—** | **—** | **—** | **393295** |
| **Dividends declared, not yet paid** | **—** | **—** | **—** | **476737** | **476737** |
| **Total assets** |  |  |  |  |  |
| **Total assets** | $**85802242** | $**35811143** | $**4147960** | $**100227** | $**125861572** |

---

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 1. Financial Statements**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** | **Nine Months Ended September 30, 2024** |
| | **Agency** | **Resi-credit** | **MSR** | **Corporate & Other** | **Consolidated** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Interest income | $2433672 | $1059247 | $— | $8235 | $3501154 |
| &nbsp;&nbsp;&nbsp;Interest expense | 2563077 | 872118 |  | 5451 | 3440646 |
| **Net interest income** | (129405) | 187129 |  | 2784 | 60508 |
| &nbsp;&nbsp;&nbsp;Servicing and related income |  |  | 358182 |  | 358182 |
| &nbsp;&nbsp;&nbsp;Servicing and related expense |  |  | 37821 |  | 37821 |
| **Net servicing income** |  |  | 320361 |  | 320361 |
| **Other income (loss)** | 109384 | 189851 | (12513) | 3336 | 290058 |
| **Less: Total general and administrative expenses** | 47604 | 39690 | 25977 | 14111 | 127382 |
| **Income (loss) before income taxes** | (67625) | 337290 | 281871 | (7991) | 543545 |
| **Income taxes** | 748 | (9966) | 14195 | (124) | 4853 |
| **Net income (loss)** | (68373) | 347256 | 267676 | (7867) | 538692 |
| **Less: Net income (loss) attributable to noncontrolling interest** |  | 18838 |  |  | 18838 |
| **Net income (loss) attributable to Annaly** | (68373) | 328418 | 267676 | (7867) | 519854 |
| **Dividends on preferred stock** |  |  |  | 115847 | 115847 |
| **Net income (loss) available (related) to common stockholders** | (68373) | 328418 | 267676 | (123714) | 404007 |
| &nbsp;&nbsp;&nbsp;Unrealized gains (losses) on available-for-sale securities | 92843 |  |  |  | 92843 |
| &nbsp;&nbsp;Reclassification adjustment for net (gains) losses included in net income (loss) | 530354 |  |  |  | 530354 |
| **Other comprehensive income (loss)** | 623197 |  |  |  | 623197 |
| &nbsp;&nbsp;Comprehensive income (loss) | 554824 | 347256 | 267676 | (7867) | 1161889 |
| &nbsp;&nbsp;Comprehensive income (loss) attributable to noncontrolling interests |  | 18838 |  |  | 18838 |
| **Comprehensive income (loss) attributable to Annaly** | $554824 | $328418 | $267676 | $(7867) | $1143051 |
| **Noncash investing and financing activities:** |  |  |  |  |  |
| **Receivable for unsettled trades** | 727124 |  | 39217 |  | 766341 |
| **Payable for unsettled trades** | 1811196 |  | 74090 |  | 1885286 |
| **Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment** | 623197 |  |  |  | 623197 |
| **Dividends declared, not yet paid** |  |  |  | 362731 | 362731 |
| **Total assets** |  |  |  |  |  |
| **Total assets** | $71699019 | $26235097 | $3371113 | $210766 | $101515995 |

---

**18. RISK MANAGEMENT**<br>

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.

------

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** <br>

The Company's operating leases are primarily comprised of corporate office leases with remaining lease terms of approximately two years and seventeen 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 nine months ended September 30, 2025 was $1.5 million and $4.2 million, respectively. The lease cost for the three and nine months ended September 30, 2024 was $0.8 million and $2.5 million, respectively.

Supplemental information related to leases as of and for the nine months ended September 30, 2025 was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Operating Leases** | **Classification** | **September 30, 2025** |  |  |
| **Operating Leases** | **Classification** | **September 30, 2025** | **Assets** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Operating lease right-of-use assets | Other assets | $**26814** |  |  |
| **Liabilities** | **Liabilities** | **Liabilities** |  |  |
| &nbsp;&nbsp;Operating lease liabilities <sup>(1)</sup> | Other liabilities | $**31606** |  |  |
| **Lease term and discount rate** | **Lease term and discount rate** | **Lease term and discount rate** |  |  |
| &nbsp;&nbsp;&nbsp;Weighted average remaining lease term |  | **16.4 years** |  |  |
| &nbsp;&nbsp;Weighted average discount rate <sup>(1)</sup> |  | **7.0%** |  |  |
| **Cash paid for amounts included in the measurement of lease liabilities** | **Cash paid for amounts included in the measurement of lease liabilities** | **Cash paid for amounts included in the measurement of lease liabilities** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Operating cash flows from operating leases |  | $**3086** |  |  |
| <sup>(1)</sup> 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. | <sup>(1)</sup> 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. | <sup>(1)</sup> 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)** |
| &nbsp;&nbsp;&nbsp;2025 (remaining) | $**63** |
| &nbsp;&nbsp;&nbsp;2026 | **261** |
| &nbsp;&nbsp;&nbsp;2027 | **2503** |
| &nbsp;&nbsp;&nbsp;2028 | **3854** |
| &nbsp;&nbsp;&nbsp;2029 | **3831** |
| &nbsp;&nbsp;&nbsp;Later years | **52041** |
| **Total lease payments** | $**62553** |
| &nbsp;&nbsp;&nbsp;Less imputed interest | **30947** |
| **Present value of lease liabilities** | $**31606** |

---

------

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 September 30, 2025 and December 31, 2024.

**20. SUBSEQUENT EVENTS**<br>

In October 2025, the Company completed and closed three securitizations of residential mortgage loans: OBX 2025-NQM18, with a face value of $743.2 million and OBX 2025-J3, with a face value of $359.4 million, and OBX 2025-NQM19, with a face value of $707.2 million. These securitizations represent financing transactions which provided non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.

------

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**<br>

**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.*

------

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** | **INDEX TO ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS** |
|  | Page |
| **[Overview](#ia14c6b16ec0f4c12ab12ccfc7d99086c_166)** | **[40](#ia14c6b16ec0f4c12ab12ccfc7d99086c_166)** |
| **[Business Environment](#ia14c6b16ec0f4c12ab12ccfc7d99086c_172)** | **[40](#ia14c6b16ec0f4c12ab12ccfc7d99086c_172)** |
| &nbsp;&nbsp;[Economic Environment](#ia14c6b16ec0f4c12ab12ccfc7d99086c_175) | [41](#ia14c6b16ec0f4c12ab12ccfc7d99086c_175) |
| &nbsp;&nbsp;[Income Tax Reform](#ia14c6b16ec0f4c12ab12ccfc7d99086c_2606) | [42](#ia14c6b16ec0f4c12ab12ccfc7d99086c_2606) |
| **[Results of Operations](#ia14c6b16ec0f4c12ab12ccfc7d99086c_178)** | **[43](#ia14c6b16ec0f4c12ab12ccfc7d99086c_178)** |
| &nbsp;&nbsp;[Net Income (Loss) Summary](#ia14c6b16ec0f4c12ab12ccfc7d99086c_181) | [44](#ia14c6b16ec0f4c12ab12ccfc7d99086c_181) |
| &nbsp;&nbsp;[Non-GAAP Financial Measures](#ia14c6b16ec0f4c12ab12ccfc7d99086c_190) | [46](#ia14c6b16ec0f4c12ab12ccfc7d99086c_190) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Earnings Available for Distribution[,](#ia14c6b16ec0f4c12ab12ccfc7d99086c_193)Earnings Available for Distribution[Attributable to Common Stockholders,](#ia14c6b16ec0f4c12ab12ccfc7d99086c_193)Earnings Available for Distribution[Per Average Common Share and Annualized EAD Return on Average Equity](#ia14c6b16ec0f4c12ab12ccfc7d99086c_193) | [46](#ia14c6b16ec0f4c12ab12ccfc7d99086c_193) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Premium Amortization Expense](#ia14c6b16ec0f4c12ab12ccfc7d99086c_202) | [48](#ia14c6b16ec0f4c12ab12ccfc7d99086c_202) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Economic Leverage and Economic Capital Ratios](#ia14c6b16ec0f4c12ab12ccfc7d99086c_211) | [48](#ia14c6b16ec0f4c12ab12ccfc7d99086c_211) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Interest Income (excluding PAA), Economic Interest Expense and Economic Net Interest Income (excluding PAA)](#ia14c6b16ec0f4c12ab12ccfc7d99086c_214) | [49](#ia14c6b16ec0f4c12ab12ccfc7d99086c_214) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Experienced and Projected Long-term CPR](#ia14c6b16ec0f4c12ab12ccfc7d99086c_223) | [51](#ia14c6b16ec0f4c12ab12ccfc7d99086c_223) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[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](#ia14c6b16ec0f4c12ab12ccfc7d99086c_229) | [51](#ia14c6b16ec0f4c12ab12ccfc7d99086c_229) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Economic Interest Expense and Average Economic Cost of Interest Bearing Liabilities](#ia14c6b16ec0f4c12ab12ccfc7d99086c_238) | [52](#ia14c6b16ec0f4c12ab12ccfc7d99086c_238) |
| &nbsp;&nbsp;[Other Income (Loss)](#ia14c6b16ec0f4c12ab12ccfc7d99086c_244) | [53](#ia14c6b16ec0f4c12ab12ccfc7d99086c_244) |
| &nbsp;&nbsp;[General and Administrative Expenses](#ia14c6b16ec0f4c12ab12ccfc7d99086c_247) | [55](#ia14c6b16ec0f4c12ab12ccfc7d99086c_247) |
| &nbsp;&nbsp;[Return on Average Equity](#ia14c6b16ec0f4c12ab12ccfc7d99086c_253) | [55](#ia14c6b16ec0f4c12ab12ccfc7d99086c_253) |
| &nbsp;&nbsp;[Unrealized Gains and Losses](#ia14c6b16ec0f4c12ab12ccfc7d99086c_259) - Available-for-Sale Investments | [55](#ia14c6b16ec0f4c12ab12ccfc7d99086c_259) |
| **[Financial Condition](#ia14c6b16ec0f4c12ab12ccfc7d99086c_262)** | **[56](#ia14c6b16ec0f4c12ab12ccfc7d99086c_262)** |
| &nbsp;&nbsp;[Residential Securities](#ia14c6b16ec0f4c12ab12ccfc7d99086c_265) | [56](#ia14c6b16ec0f4c12ab12ccfc7d99086c_265) |
| &nbsp;&nbsp;[Contractual Obligations](#ia14c6b16ec0f4c12ab12ccfc7d99086c_268) | [59](#ia14c6b16ec0f4c12ab12ccfc7d99086c_268) |
| &nbsp;&nbsp;[Commitments and Contractual Obligations with Unconsolidated Entities](#ia14c6b16ec0f4c12ab12ccfc7d99086c_271) | [59](#ia14c6b16ec0f4c12ab12ccfc7d99086c_271) |
| **[Capital Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_274)** | **[59](#ia14c6b16ec0f4c12ab12ccfc7d99086c_274)** |
| &nbsp;&nbsp;[Stockholders' Equity](#ia14c6b16ec0f4c12ab12ccfc7d99086c_277) | [60](#ia14c6b16ec0f4c12ab12ccfc7d99086c_277) |
| &nbsp;&nbsp;[Capital Stock](#ia14c6b16ec0f4c12ab12ccfc7d99086c_280) | [60](#ia14c6b16ec0f4c12ab12ccfc7d99086c_280) |
| &nbsp;&nbsp;[Leverage and Capital](#ia14c6b16ec0f4c12ab12ccfc7d99086c_283) | [61](#ia14c6b16ec0f4c12ab12ccfc7d99086c_283) |
| **[Risk Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_286)** | **[62](#ia14c6b16ec0f4c12ab12ccfc7d99086c_286)** |
| &nbsp;&nbsp;[Risk Appetite](#ia14c6b16ec0f4c12ab12ccfc7d99086c_289) | [62](#ia14c6b16ec0f4c12ab12ccfc7d99086c_289) |
| &nbsp;&nbsp;[Governance](#ia14c6b16ec0f4c12ab12ccfc7d99086c_292) | [62](#ia14c6b16ec0f4c12ab12ccfc7d99086c_292) |
| &nbsp;&nbsp;[Description of Risks](#ia14c6b16ec0f4c12ab12ccfc7d99086c_295) | [63](#ia14c6b16ec0f4c12ab12ccfc7d99086c_295) |
| &nbsp;&nbsp;[Liquidity and Funding Risk Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_298) | [63](#ia14c6b16ec0f4c12ab12ccfc7d99086c_298) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Funding](#ia14c6b16ec0f4c12ab12ccfc7d99086c_301) | [63](#ia14c6b16ec0f4c12ab12ccfc7d99086c_301) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Excess Liquidity](#ia14c6b16ec0f4c12ab12ccfc7d99086c_304) | [65](#ia14c6b16ec0f4c12ab12ccfc7d99086c_304) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Maturity Profile](#ia14c6b16ec0f4c12ab12ccfc7d99086c_307) and Interest Rate Sensitivity | [66](#ia14c6b16ec0f4c12ab12ccfc7d99086c_307) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Stress Testing](#ia14c6b16ec0f4c12ab12ccfc7d99086c_310) | [67](#ia14c6b16ec0f4c12ab12ccfc7d99086c_310) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Liquidity Management Policies](#ia14c6b16ec0f4c12ab12ccfc7d99086c_313) | [67](#ia14c6b16ec0f4c12ab12ccfc7d99086c_313) |
| &nbsp;&nbsp;[Investment/Market Risk Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_316) | [67](#ia14c6b16ec0f4c12ab12ccfc7d99086c_316) |
| &nbsp;&nbsp;[Credit Risk Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_319) | [68](#ia14c6b16ec0f4c12ab12ccfc7d99086c_319) |
| &nbsp;&nbsp;[Counterparty Risk Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_322) | [69](#ia14c6b16ec0f4c12ab12ccfc7d99086c_322) |
| &nbsp;&nbsp;[Operational Risk Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_325) | [69](#ia14c6b16ec0f4c12ab12ccfc7d99086c_325) |
| &nbsp;&nbsp;[Compliance, Regulatory and Legal Risk Management](#ia14c6b16ec0f4c12ab12ccfc7d99086c_328) | [71](#ia14c6b16ec0f4c12ab12ccfc7d99086c_328) |
| **[Critical Accounting Estimates](#ia14c6b16ec0f4c12ab12ccfc7d99086c_331)** | **[71](#ia14c6b16ec0f4c12ab12ccfc7d99086c_331)** |
| &nbsp;&nbsp;[Valuation of Financial Instruments](#ia14c6b16ec0f4c12ab12ccfc7d99086c_334) | [71](#ia14c6b16ec0f4c12ab12ccfc7d99086c_334) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Residential Securities](#ia14c6b16ec0f4c12ab12ccfc7d99086c_337) | [71](#ia14c6b16ec0f4c12ab12ccfc7d99086c_337) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Residential Mortgage Loans](#ia14c6b16ec0f4c12ab12ccfc7d99086c_340) | [72](#ia14c6b16ec0f4c12ab12ccfc7d99086c_340) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[MSR](#ia14c6b16ec0f4c12ab12ccfc7d99086c_343) | [72](#ia14c6b16ec0f4c12ab12ccfc7d99086c_343) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[Interest Rate Swaps](#ia14c6b16ec0f4c12ab12ccfc7d99086c_346) | [72](#ia14c6b16ec0f4c12ab12ccfc7d99086c_346) |
| &nbsp;&nbsp;[Revenue Recognition](#ia14c6b16ec0f4c12ab12ccfc7d99086c_349) | [72](#ia14c6b16ec0f4c12ab12ccfc7d99086c_349) |
| &nbsp;&nbsp;[Consolidation of Variable Interest Entities](#ia14c6b16ec0f4c12ab12ccfc7d99086c_352) | [73](#ia14c6b16ec0f4c12ab12ccfc7d99086c_352) |
| &nbsp;&nbsp;[Use of Estimates](#ia14c6b16ec0f4c12ab12ccfc7d99086c_355) | [73](#ia14c6b16ec0f4c12ab12ccfc7d99086c_355) |
| &nbsp;&nbsp;[Glossary of Terms](#ia14c6b16ec0f4c12ab12ccfc7d99086c_358) | [74](#ia14c6b16ec0f4c12ab12ccfc7d99086c_358) |

---

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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 U.S. economy remained resilient in the third quarter of 2025 ("Q3 2025"), with growth roughly on pace with the prior quarter ("Q2 2025") ahead of a government shutdown that began October 1, 2025, which has delayed official economic data for September. Growth was supported by healthy consumer spending, particularly from high earners, and strong business investment related to artificial intelligence ("AI"), despite lingering uncertainty around tariffs and immigration. Inflation remained well above the Federal Reserve's (the "Fed") inflation target, though the anticipated uptick in goods inflation resulting from higher tariffs has been more muted than expected thus far. However, labor market conditions weakened, with hiring slowing to roughly 30,000 jobs per month for the period between June and August 2025. Although the unemployment rate has moved only slightly higher over the same period, the Fed cut interest rates at its Federal Open Market Committee ("FOMC") meeting in September as the outlook highlights growing risks to the Fed's employment mandate.

U.S. Treasury yields fell modestly in Q3 2025 and the yield curve steepened, as markets expected modestly lower policy rates going forward. In addition, concerns about the U.S. debt outlook eased following the passage of tax reform in Congress in early July 2025, robust tariff revenues – currently are running at approximately $30 billion per month – and a shift in Treasury issuance towards the front-end of the yield curve. The reduced concerns led to lower Treasury term premia and a widening in swap spreads, which benefited our portfolio given the current allocation of swaps in our hedge book. In addition, interest rate volatility declined to the lowest levels since the onset of the Fed's hiking cycle in 2022, providing another benefit to our portfolio by lowering convexity costs and helping to tighten Agency MBS spreads.

In this environment, Annaly generated earnings available for distribution of $0.73 per share, thereby outearning our current dividend, which was raised in the first quarter of the year, for the fourth consecutive quarter – and delivered an economic return of 8.1% for Q3 2025 and 11.5% for 2025 year-to-date. Annaly's economic leverage decreased slightly to 5.7x while cash and unencumbered Agency MBS totaled $5.9 billion, with total assets available for financing increasing to $8.8 billion during the quarter. Moreover, we remained opportunistic in the capital markets by raising approximately $1.1 billion of equity in the third quarter, including $823 million through our at-the-market sales program. We also issued Annaly's first preferred stock issuance since 2019, and the first non-rated residential mortgage REIT preferred issuance since September 2022, raising $275 million in gross proceeds before deducting the underwriting discount and other estimated offering expenses. While all three of our businesses grew over the quarter, most of the new capital was deployed into MBS given lower realized interest rate and mortgage basis volatility and still historically attractive spreads relative to swap hedges.

Our Agency MBS portfolio ended the quarter at $87.3 billion in market value, up 10% quarter-over-quarter, as MBS performance was supported by the constructive macro backdrop. Early in the quarter, we added MBS in line with our accretive capital raise across the coupon stack and added roughly $1.1 billion in Agency CMBS. However, as higher coupons started to look more attractive, we favored specified pools in 5.5% and 6.0% coupons to further our methodical portfolio construction of recent quarters. As of September 30, 2025, nearly three-quarters of our 6.0% coupon specified pool holdings and 95% of our 6.5% coupon specified pool holdings have medium-to-high quality characteristics that provide call protection as rates rally.

Supply and demand technical factors continued to improve in the Agency MBS sector as fixed income flows were an estimated 50% higher than the same quarter a year ago. In addition, CMO creation has been running at over $30 billion per month, which has helped distribute MBS supply to a wider range of investors. Mortgage spreads tightened by 8 to 12 basis points ("bps") relative to Treasury hedges over the course of the quarter, with lower and intermediate coupons showing the strongest performance. As mortgage rates declined to the lowest levels in nearly a year, investors increased their prepayment expectations on recently issued higher coupon mortgages, in turn shortening the duration of the securities and negatively impacting their return potential. This quickly shifted investor demand from production coupons to lower and intermediate coupons, with little recent production driving them to outperform.

Within our hedge portfolio, we added hedges alongside new asset purchases, with a bias toward swap hedges in the front end of the yield curve. The additional interest income from hedging with swaps provides adequate compensation for assuming the risk

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

of swap spread tightening. Further out the curve our hedge allocation is more balanced between swap and Treasury-based hedges, though our hedge allocation increased modestly in Q3 2025.

Overall, we remain optimistic with respect to the Agency MBS sector. While spreads have tightened meaningfully in Q3 2025, it was achieved with minimal support from banks or overseas investors. The continuation of the Fed cutting cycle should make MBS more attractive for the overseas community and potential regulatory reform is anticipated to help spur bank demand. Interest rate volatility should remain subdued as the Fed continues their path towards a neutral policy setting, while a steeper curve is likely to reduce option costs for our MBS portfolio.

Our Residential Credit business saw its portfolio increase by $265 million to $6.9 billion in economic market value of assets during the quarter. Investment grade assets in the residential credit market tightened during the quarter with Non-QM "AAA"-rated securities roughly 15 bps tighter, providing a supportive backdrop for securitization issuance, which is running at the second largest gross issuance since 2008 at $160 billion year-to-date. Within this environment, we believe Onslow Bay's securitization platform continues to be well positioned to benefit from the growth of the private label market, demonstrated by closing a record eight securitizations for $3.9 billion in unpaid principal balance ("UPB") in Q3 2025, generating $479 million of high yielding, proprietary securities for Annaly and our joint venture. Onslow Bay has now priced 24 securitizations, including 3 after the end of the third quarter, representing $12.4 billion of UPB since the beginning of 2025, solidifying Annaly as the largest non-bank issuer in the residential credit market.

The strong securitization volumes came as the Onslow Bay correspondent channel also achieved record setting quarterly volumes across both loan locks and fundings, while remaining disciplined regarding our credit strategy. The correspondent channel locked $6.2 billion and funded $4.0 billion in whole loans in Q3 2025 with the quarter end locked pipeline representing a 765 weighted-average FICO score, a 68% weighted-average combined loan-to-value ratio and over 96% first lien exposure. In addition, Annaly redeemed OBX 2022-NQM8 during the quarter, exercising the transaction's three-year call as we expect there to be significant embedded value in our late 2022 vintage and 2023 vintage Non-QM issuances given current securitization cost of funds and pricing in the Non-QM whole loan market.

The housing market continues to experience little to slightly negative home price appreciation on a year-over-year basis, as consistently elevated mortgage rates weigh on affordability. We expect continued pressure on housing into the winter seasonals as "available for sale" inventory has increased, although cumulative depreciation should be modest given the longer-term, positive housing market fundamentals. For now, we intend to remain disciplined by maintaining a high credit quality portfolio with a continued focus on manufacturing proprietary assets through our market leading correspondent channel. Approximately 75% of our residential credit exposure is comprised of OBX securities and residential whole loans, providing full control over both the acquisition and management of the assets.

In our mortgage servicing rights ("MSR") business, we purchased roughly $17 billion in UPB across three bulk packages and our flow network during the quarter. In addition, we announced a new partnership with PennyMac Financial Services ("Pennymac"), adding another industry leading mortgage originator and servicer to our existing set of "best-in-class" subservicing and recapture partners. As part of this new relationship, we agreed to purchase $12 billion of low note rate MSR from Pennymac, whereby Pennymac will perform all subservicing and recapture responsibilities for the portfolio sold.

Meanwhile, we believe our MSR portfolio should remain insulated against a potential spike in refinancing activity, as the aggregate borrower is approximately 300 bps out of the money with a 3.27% note rate and the portfolio continues to exhibit highly predictable, durable cash flows, paying 4.6 CPR over the last three months ended September 30, 2025. The associated fundamentals remained positive as well, evidenced by the portfolio's serious delinquencies being unchanged at 50 bps, escrow balances increasing 7% year-over-year, better-than-expected float income, and declining subservicing costs given increased technological investments across our servicing partners.

Looking ahead, we remain optimistic about our portfolio's ability to deliver attractive risk-adjusted returns. We expect our investment strategies to be well-positioned for the balance of 2025 given declining macro-volatility, additional expected Fed interest rate cuts and healthy fixed income demand. While our outlook remains positive, we have carefully built our portfolio to guard against uncertainty and are flexible in the current investing climate with historically low leverage and significant liquidity. We believe Annaly's diversified housing finance model has yielded proven results, having generated a 13% average annual economic return over the trailing three year period since scaling each business.

Economic return, earnings available for distribution and economic leverage are non-GAAP financial measures. Refer to "Non-GAAP Financial Measures" for additional information, including a reconciliation to their most directly comparable GAAP results.

***Economic Environment***

Delays in official economic data releases due to the ongoing government shutdown have limited our ability to gauge the current state of the U.S. economy. Nonetheless, real economic growth appears to have remained strong in Q3 2025 with the Bloomberg median economists' forecast indicating that gross domestic product rose 2.7% on a seasonally adjusted annualized rate

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

("SAAR"), above the 1.6% SAAR average growth seen in the first half of 2025. Measures of consumption through the month of August show healthy consumer spending with consumption growth tracking 2.8% SAAR in the third quarter – a growth rate consistent with the 2.9% SAAR expansion in 2024 and a rebound from the 1.5% SAAR gain in the first six months of the year. However, consumers – especially lower income consumers – seem cautious as low savings rates, a slowing labor market, and declining confidence appear to weigh on spending behavior going forward. Of note, nonresidential investment activity – particularly related to AI – rebounded in the third quarter while residential investment activity remained muted.

The labor market continued to slow in Q3 2025. According to the Bureau of Labor Statistics, seasonally adjusted total non-farm payroll employment rose an average of 55,500 workers per month in the first two months of the third quarter, below the nearly 83,000 workers per month gained in the first half of 2025 or the nearly 168,000 workers per month gained in 2024. The unemployment rate has gradually ticked up, reaching 4.3% as of August – the highest reading since October 2021. Yet, the supply and demand for workers remained in balance with the ratio of job openings per unemployed at 0.98 in August, compared to 1.42 in December 2023. At the same time, wage growth, as measured by the year-over-year change in Average Hourly Earnings, dropped moderately to 3.7% in August from 3.9% at the beginning of the year.

Inflation readings, as measured by the year-over-year changes in the Personal Consumption Expenditures ("PCE") Price Index, remain above the Fed's 2% inflation target, and disinflationary progress has stalled. Total PCE prices over the 12 months ended in August increased marginally to 2.7% compared to the 2.6% recorded by the same metric in June. Core PCE inflation, which excludes volatile food and energy prices, also ticked up to 2.9% in August from 2.8% in June. While tariff-related inflation pressures have been uneven and overall lower-than-expected, the inflation trend has leveled off, driven by rising goods prices and sticky services prices. Moreover, the forecast for inflation remains uncertain due to the most significant increase in the effective tariff rate in decades, whose full impact has yet to materialize.

The Fed conducts monetary policy with a dual mandate: full employment and price stability. Despite the slow progress on inflation, the FOMC cut the target range for the Federal Funds rate by 25 bps to 4.00% - 4.25% at their September meeting given the weakness in the labor market. Updated forecasts from the FOMC showed a median of two additional 25 bps cuts for the remainder of 2025, and one 25 bp per year in 2026 and 2027. Fed Chair Jerome Powell highlighted that the risk of weak employment growth had risen, which justified a lower rate path under their risk management framework but also argued for maintaining a restrictive stance while the FOMC assesses the appropriate monetary policy response. The updated economic forecast now expects higher growth and gradual improvement in the unemployment rate across the projection horizon while inflation projections for 2026 rose. Meanwhile, regarding the FOMC's balance sheet policy, the Fed did not make any additional announcements and maintained its monthly redemption cap of Treasury and Agency MBS holdings at $5 billion and $35 billion, respectively.

The continued resilience of the U.S. economy supported strong financial market performance in the third quarter, with both equities and bonds rebounding from tariff-related concerns in Q2 2025. Equity market strength was driven by the ongoing AI boom, solid corporate earnings, and the Fed's rate cut. Meanwhile, the Fed's easing bias pushed interest rate expectations lower, particularly at the front end of the Treasury curve, while longer-dated Treasuries continued to reflect caution around fiscal risks and persistent inflation. The 10-year Treasury yield ended the quarter at 4.15%, down 8 bps from the prior quarter, and interest rate volatility fell to its lowest levels in many years. In this low volatility environment the mortgage basis, defined as the spread between the 30-year Agency MBS coupon and 10-year U.S. Treasury rate, tightened by 20 bps over the quarter.

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

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| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **June 30, 2025** | **December 31, 2024** | **September 30, 2024** |
| &nbsp;&nbsp;&nbsp;30-Year mortgage current coupon | **5.20%** | 5.48% | 5.83% | 4.96% |
| &nbsp;&nbsp;&nbsp;Mortgage basis | **105 bps** | 125 bps | 126 bps | 118 bps |
| &nbsp;&nbsp;&nbsp;10-Year U.S. Treasury rate | **4.15%** | 4.23% | 4.57% | 3.78% |
| **OIS SOFR Swaps** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1-Month | **4.13%** | 4.33% | 4.32% | 4.86% |
| &nbsp;&nbsp;&nbsp;6-Month | **3.83%** | 4.15% | 4.25% | 4.31% |

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***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

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

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.

**Results of Operations**

The results of our operations are affected by various factors, many of which are beyond our control. Certain of such risks and uncertainties are described herein (see "Special Note Regarding Forward-Looking Statements" above) and in Part I, Item 1A. "Risk Factors" of our most recent Annual Report on Form 10-K and in Part II, Item 1A. "Risk Factors" in this Quarterly Report on Form 10-Q.

This Management Discussion and Analysis section contains analysis and discussion of financial results computed in accordance with U.S. generally accepted accounting principles ("GAAP") and non-GAAP measurements. To supplement our consolidated financial statements, which are prepared and presented in accordance with GAAP, we provide non-GAAP financial measures to enhance investor understanding of our period-over-period operating performance and business trends, as well as for assessing our performance versus that of industry peers.

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

------

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**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 nine months ended September 30, 2025 and 2024.

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| | | | | |
|:---|:---|:---|:---|:---|
| | **As of and for the Three Months Ended September 30,** | **As of and for the Three Months Ended September 30,** | **As of and for the Nine Months Ended September 30,** | **As of and for the Nine Months Ended September 30,** |
| | **2025** | **2024** | **2025** | **2024** |
| | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** |
| &nbsp;&nbsp;&nbsp;Interest income | $**1532497** | $1229341 | $**4268498** | $3501154 |
| &nbsp;&nbsp;&nbsp;Interest expense | **1256747** | 1215940 | **3499577** | 3440646 |
| **Net interest income** | **275750** | 13401 | **768921** | 60508 |
| &nbsp;&nbsp;&nbsp;Servicing and related income | **141356** | 122583 | **423461** | 358182 |
| &nbsp;&nbsp;&nbsp;Servicing and related expense | **15104** | 12988 | **43788** | 37821 |
| **Net servicing income** | **126252** | 109595 | **379673** | 320361 |
| **Other income (loss)** | **483578** | (2859) | **34451** | 290058 |
| **Less: Total general and administrative expenses** | **50340** | 43921 | **148422** | 127382 |
| **Income (loss) before income taxes** | **835240** | 76216 | **1034623** | 543545 |
| **Income taxes** | **(7823)** | (6135) | **884** | 4853 |
| **Net income (loss)** | **843063** | 82351 | **1033739** | 538692 |
| **Less: Net income (loss) attributable to noncontrolling interests** | **10618** | 15906 | **19971** | 18838 |
| **Net income (loss) attributable to Annaly** | **832445** | 66445 | **1013768** | 519854 |
| **Less: Dividends on preferred stock** <sup>(1)</sup> | **41127** | 41628 | **115544** | 115847 |
| **Net income (loss) available (related) to common stockholders** | $**791318** | $24817 | $**898224** | $404007 |
| **Net income (loss) per share available (related) to common stockholders** |  |  |  |  |
| **Basic** | $**1.21** | $0.05 | $**1.45** | $0.80 |
| **Diluted** | $**1.20** | $0.05 | $**1.44** | $0.80 |
| **Weighted average number of common shares outstanding** |  |  |  |  |
| **Basic** | **656335974** | 515729658 | **621484893** | 505800723 |
| **Diluted** | **657856427** | 516832152 | **622768481** | 506618143 |
| **Other information** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment portfolio at period-end | $**122095347** | $97742854 | $**122095347** | $97742854 |
| &nbsp;&nbsp;&nbsp;Average total assets | $**119001732** | $97592286 | $**111668799** | $94973839 |
| &nbsp;&nbsp;&nbsp;Average equity | $**14235471** | $11901427 | $**13563101** | $11661014 |
| &nbsp;&nbsp;GAAP leverage at period-end <sup>(2)</sup> | **7.1:1** | 6.9:1 | **7.1:1** | 6.9:1 |
| &nbsp;&nbsp;GAAP capital ratio at period-end <sup>(3)</sup> | **11.9%** | 12.4% | **11.9%** | 12.4% |
| &nbsp;&nbsp;&nbsp;Annualized return (loss) on average total assets | **2.83%** | 0.34% | **1.23%** | 0.76% |
| &nbsp;&nbsp;Annualized return (loss) on average equity <sup>(4)</sup> | **23.69%** | 2.77% | **10.16%** | 6.16% |
| &nbsp;&nbsp;Net interest margin <sup>(5)</sup> | **0.97%** | 0.06% | **0.96%** | 0.09% |
| &nbsp;&nbsp;Average yield on interest earning assets <sup>(6)</sup> | **5.40%** | 5.16% | **5.34%** | 5.07% |
| &nbsp;&nbsp;Average GAAP cost of interest bearing liabilities <sup>(7)</sup> | **4.73%** | 5.42% | **4.75%** | 5.42% |
| &nbsp;&nbsp;&nbsp;Net interest spread | **0.67%** | (0.26%) | **0.59%** | (0.35%) |
| &nbsp;&nbsp;&nbsp;Weighted average experienced CPR for the period | **8.6%** | 7.6% | **8.1%** | 7.0% |
| &nbsp;&nbsp;&nbsp;Weighted average projected long-term CPR at period-end | **10.4%** | 11.9% | **10.4%** | 11.9% |
| &nbsp;&nbsp;&nbsp;Common stock book value per share | $**19.25** | $19.54 | $**19.25** | $19.54 |
| **Non-GAAP metrics \*** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Interest income (excluding PAA) | $**1550887** | $1250706 | $**4295322** | $3512200 |
| &nbsp;&nbsp;Economic interest expense <sup>(7)</sup> | $**1051717** | $882244 | $**2892293** | $2459504 |
| &nbsp;&nbsp;&nbsp;Economic net interest income (excluding PAA) | $**499170** | $368462 | $**1403029** | $1052696 |
| &nbsp;&nbsp;&nbsp;Premium amortization adjustment cost (benefit) | $**18390** | $21365 | $**26824** | $11046 |
| &nbsp;&nbsp;Earnings available for distribution <sup>(8)</sup> | $**519882** | $382509 | $**1471645** | $1117610 |
| &nbsp;&nbsp;Earnings available for distribution per average common share <sup>(1)</sup> | $**0.73** | $0.66 | $**2.18** | $1.98 |
| &nbsp;&nbsp;&nbsp;Annualized EAD return on average equity (excluding PAA) | **14.70%** | 12.95% | **14.56%** | 12.88% |
| &nbsp;&nbsp;Economic leverage at period-end <sup>(2)</sup> | **5.7:1** | 5.7:1 | **5.7:1** | 5.7:1 |
| &nbsp;&nbsp;Economic capital ratio at period-end <sup>(3)</sup> | **14.8%** | 14.6% | **14.8%** | 14.6% |
| &nbsp;&nbsp;Net interest margin (excluding PAA) <sup>(5)</sup> | **1.70%** | 1.52% | **1.70%** | 1.51% |
| &nbsp;&nbsp;Average yield on interest earning assets (excluding PAA) <sup>(6)</sup> | **5.46%** | 5.25% | **5.37%** | 5.09% |
| &nbsp;&nbsp;Average economic cost of interest bearing liabilities <sup>(7)</sup> | **3.96%** | 3.93% | **3.93%** | 3.87% |
| &nbsp;&nbsp;&nbsp;Net interest spread (excluding PAA) | **1.50%** | 1.32% | **1.44%** | 1.22% |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

\* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(2)</sup> GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and U.S. Treasury securities sold, not yet purchased divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from economic leverage.<br><sup>(3)</sup> GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and net of debt issued by securitization vehicles and participations issued.<br><sup>(4)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(5)</sup> Net interest margin represents our interest income less interest expense divided by the average interest earning assets. Net interest margin does not include net interest component of interest rate swaps. Net interest margin (excluding PAA) represents the sum of our interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average outstanding TBA contract balances.<br><sup>(6)</sup> Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).<br><sup>(7)</sup> Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(8)</sup> Excludes dividends on preferred stock.<br>

*<u>GAAP</u>*

Net income (loss) was $843.1 million, which includes $10.6 million attributable to noncontrolling interests, or $1.21 per average basic common share, for the three months ended September 30, 2025, compared to $82.4 million, which includes $15.9 million attributable to noncontrolling interests, or $0.05 per average basic common share, for the same period in 2024. We attribute the majority of the change in net income (loss) to favorable changes in net gains (losses) on derivatives, net interest income, and net servicing income, partially offset by an unfavorable change in net gains (losses) on investments and other. Net gains (losses) on derivatives was ($92.3) million for the three months ended September 30, 2025 compared to ($1.8) billion for the same period in 2024. Net interest income for the three months ended September 30, 2025 was $275.8 million, compared to $13.4 million for the same period in 2024. Net servicing income for the three months ended September 30, 2025 was $126.3 million, compared to $109.6 million for the same period in 2024. Net gains (losses) on investments and other was $561.9 million for the three months ended September 30, 2025, compared to $1.7 billion for the same period in 2024.

Net income (loss) was $1.0 billion, which includes $20.0 million attributable to noncontrolling interests, or $1.45 per average basic common share, for the nine months ended September 30, 2025, compared to $538.7 million, which includes $18.8 million attributable to noncontrolling interests, or $0.80 per average basic common share, for the same period in 2024. We attribute the majority of the change in net income (loss) to favorable changes in net gains (losses) on investments and other, net interest income, and net servicing income, partially offset by an unfavorable change in net gains (losses) on derivatives. Net gains (losses) on investments and other was $1.5 billion for the nine months ended September 30, 2025, compared to $160.8 million for the same period in 2024. Net interest income for the nine months ended September 30, 2025 was $768.9 million, compared to $60.5 million for the same period in 2024. Net servicing income for the nine months ended September 30, 2025 was $379.7 million, compared to $320.4 million for the same period in 2024. Net gains on derivatives for the nine months ended September 30, 2025 was ($1.5) billion, compared to $53.6 million for the same period in 2024. Refer to the section titled "Other income (loss)" located within this Item 2 for additional information related to these changes.

*<u>Non-GAAP</u>*

Earnings available for distribution were $519.9 million, or $0.73 per average common share, for the three months ended September 30, 2025, compared to $382.5 million, or $0.66 per average common share, for the same period in 2024. The change in earnings available for distribution during the three months ended September 30, 2025, compared to the same period in 2024, was primarily due to higher coupon income, resulting from higher residential mortgage loan and securities balances and purchasing securities higher up in the coupon stack. This change was partially offset by an unfavorable change in the net interest component of interest rate swaps and higher interest expense resulting from higher securitized debt balances from new securitizations and higher average rates, partially offset by lower interest expense on repurchase agreements from lower average rates despite higher average repurchase agreement balances.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

Earnings available for distribution were $1.5 billion, or $2.18 per average common share, for the nine months ended September 30, 2025, compared to $1.1 billion, or $1.98 per average common share, for the same period in 2024. The change in earnings available for distribution during the nine months ended September 30, 2025, compared to the same period in 2024, was primarily due to higher coupon income, resulting from higher residential mortgage loan and securities balances and purchasing securities higher up in the coupon stack, and higher net servicing income on higher balances. This change was partially offset by an unfavorable change in the net interest component of interest rate swaps, higher interest expense resulting from higher securitized debt balances from new securitizations and higher average rates, partially offset by lower interest expense on repurchase agreements from lower average rates despite higher average repurchase agreement balances.

***Non-GAAP Financial Measures***

To supplement our consolidated financial statements, which are prepared and presented in accordance with GAAP, we provide the following non-GAAP financial measures:

&nbsp;&nbsp;&nbsp;&nbsp;• earnings available for distribution ("EAD");

&nbsp;&nbsp;&nbsp;&nbsp;• earnings available for distribution attributable to common stockholders;

&nbsp;&nbsp;&nbsp;&nbsp;• earnings available for distribution per average common share;

&nbsp;&nbsp;&nbsp;&nbsp;• annualized EAD return on average equity;

&nbsp;&nbsp;&nbsp;&nbsp;• economic leverage;

&nbsp;&nbsp;&nbsp;&nbsp;• economic capital ratio;

&nbsp;&nbsp;&nbsp;&nbsp;• interest income (excluding PAA);

&nbsp;&nbsp;&nbsp;&nbsp;• economic interest expense;

&nbsp;&nbsp;&nbsp;&nbsp;• economic net interest income (excluding PAA);

&nbsp;&nbsp;&nbsp;&nbsp;• average yield on interest earning assets (excluding PAA);

&nbsp;&nbsp;&nbsp;&nbsp;• average economic cost of interest bearing liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;• net interest margin (excluding PAA); and

&nbsp;&nbsp;&nbsp;&nbsp;• net interest spread (excluding PAA).

These measures should not be considered a substitute for, or superior to, financial measures computed in accordance with GAAP. While intended to offer a fuller understanding of our results and operations, non-GAAP financial measures also have limitations. For example, we may calculate our non-GAAP metrics, such as earnings available for distribution, or the PAA, differently than our peers making comparative analysis difficult. Additionally, in the case of non-GAAP measures that exclude the PAA, the amount of amortization expense excluding the PAA is not necessarily representative of the amount of future periodic amortization nor is it indicative of the term over which we will amortize the remaining unamortized premium. Changes to actual and estimated prepayments will impact the timing and amount of premium amortization and, as such, both GAAP and non-GAAP results.

These non-GAAP measures provide additional detail 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. Additional information pertaining to our use of these non-GAAP financial measures, including discussion of how each such measure may be useful to investors, and reconciliations to their most directly comparable GAAP results are provided below.

*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*

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 generate net income by earning a net interest spread on our investment portfolio, which is a function of interest income from our investment portfolio less financing, hedging and operating costs. Earnings available for distribution, which is defined as the sum of (a) economic net interest income, (b) TBA dollar roll income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding amortization of intangibles, non-EAD income allocated to equity method investments and other non-EAD components of other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non-recurring items), and (f) income taxes (excluding the income tax effect of non-EAD income (loss) items), and excludes (g) the PAA representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to our Agency mortgage-backed securities, is used by management and, we believe, used by analysts and investors to measure our progress in achieving our principal business objective.

We seek to fulfill our principal business objective through a variety of factors including portfolio construction, the degree of market risk exposure and related hedge profile, and the use and forms of leverage, all while operating within the parameters of our capital allocation policy and risk governance framework.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

We believe these non-GAAP measures provide management and investors with additional details regarding our underlying operating results and investment portfolio trends by (i) making adjustments to account for the disparate reporting of changes in fair value where certain instruments are reflected in GAAP net income (loss) while others are reflected in other comprehensive income (loss), and (ii) by excluding certain unrealized, non-cash or episodic components of GAAP net income (loss) in order to provide additional transparency into the operating performance of our portfolio. In addition, EAD serves as a useful indicator for investors in evaluating our performance and ability to pay dividends. Annualized EAD return on average equity, which is calculated by dividing earnings available for distribution over average stockholders' equity, provides investors with additional detail on the earnings available for distribution generated by our invested equity capital.

The following table presents a reconciliation of GAAP financial results to non-GAAP earnings available for distribution for the periods presented:

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **For the Three Months Ended September 30,** | **For the Three Months Ended September 30,** | **For the Three Months Ended September 30,** | **For the Three Months Ended September 30,** | **For the Nine Months Ended September 30,** | **For the Nine Months Ended September 30,** | **For the Nine Months Ended September 30,** | **For the Nine Months Ended September 30,** |
| | **2025** | **2025** | **2024** | **2024** | **2025** | **2025** | **2024** | **2024** |
| | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** | **(dollars in thousands, except per share data)** |
| &nbsp;&nbsp;&nbsp;GAAP net income (loss) | **$** | **843063** | $| 82351 | **$** | **1033739** | $| 538692 |
| **Adjustments to exclude reported realized and unrealized (gains) losses** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;Net (gains) losses on investments and other <sup>(1)</sup> | **(560957)** | **(560957)** | (1724051) | (1724051) | **(1454781)** | **(1454781)** | (161057) | (161057) |
| &nbsp;&nbsp;Net (gains) losses on derivatives <sup>(2)</sup> | **284199** | **284199** | 2071493 | 2071493 | **2028046** | **2028046** | 892383 | 892383 |
| **Other adjustments** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Amortization of intangibles | **673** | **673** | 673 | 673 | **2018** | **2018** | 2019 | 2019 |
| &nbsp;&nbsp;Non-EAD (income) loss allocated to equity method investments <sup>(3)</sup> | **376** | **376** | 1465 | 1465 | **120** | **120** | 1158 | 1158 |
| &nbsp;&nbsp;Transaction expenses and non-recurring items <sup>(4)</sup> | **8117** | **8117** | 4966 | 4966 | **20605** | **20605** | 14032 | 14032 |
| &nbsp;&nbsp;&nbsp;Income tax effect of non-EAD income (loss) items | **(6742)** | **(6742)** | (9248) | (9248) | **1616** | **1616** | (2150) | (2150) |
| &nbsp;&nbsp;TBA dollar roll income <sup>(5)</sup> | **9019** | **9019** | (1132) | (1132) | **27546** | **27546** | 729 | 729 |
| &nbsp;&nbsp;MSR amortization <sup>(6)</sup> | **(72081)** | **(72081)** | (62480) | (62480) | **(203318)** | **(203318)** | (169201) | (169201) |
| &nbsp;&nbsp;&nbsp;EAD attributable to noncontrolling interests | **(4175)** | **(4175)** | (2893) | (2893) | **(10770)** | **(10770)** | (10041) | (10041) |
| &nbsp;&nbsp;&nbsp;Premium amortization adjustment cost (benefit) | **18390** | **18390** | 21365 | 21365 | **26824** | **26824** | 11046 | 11046 |
| **Earnings available for distribution** <sup>\*</sup> | **519882** | **519882** | 382509 | 382509 | **1471645** | **1471645** | 1117610 | 1117610 |
| &nbsp;&nbsp;Dividends on preferred stock <sup>(7)</sup> | **41127** | **41127** | 41628 | 41628 | **115544** | **115544** | 115847 | 115847 |
| **Earnings available for distribution attributable to common stockholders** <sup>\*</sup> | **$** | **478755** | $| 340881 | **$** | **1356101** | $| 1001763 |
| **GAAP net income (loss) per average common share** <sup>(7)</sup> | **$** | **1.21** | $| 0.05 | **$** | **1.45** | $| 0.80 |
| **Earnings available for distribution per average common share** <sup>\* (7)</sup> | **$** | **0.73** | $| 0.66 | **$** | **2.18** | $| 1.98 |
| **Annualized GAAP return (loss) on average equity** <sup>(8)</sup> | **23.69** | **23.69%** | 2.77 | 2.77% | **10.16** | **10.16%** | 6.16 | 6.16% |
| **Annualized EAD return on average equity** <sup>\*</sup> | **14.70** | **14.70%** | 12.95 | 12.95% | **14.56** | **14.56%** | 12.88 | 12.88% |
| \* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Includes write-downs or recoveries which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $191.9 million and $317.5 million for the three months ended September 30, 2025 and 2024, respectively, and $569.1 million and $946.0 million for the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(3)</sup> Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(4)</sup> Represents costs incurred in connection with securitizations of residential whole loans. <br><sup>(5)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(6)</sup> MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.<br><sup>(7)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(8)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively. | \* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Includes write-downs or recoveries which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $191.9 million and $317.5 million for the three months ended September 30, 2025 and 2024, respectively, and $569.1 million and $946.0 million for the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(3)</sup> Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(4)</sup> Represents costs incurred in connection with securitizations of residential whole loans. <br><sup>(5)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(6)</sup> MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.<br><sup>(7)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(8)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively. | \* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Includes write-downs or recoveries which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $191.9 million and $317.5 million for the three months ended September 30, 2025 and 2024, respectively, and $569.1 million and $946.0 million for the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(3)</sup> Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(4)</sup> Represents costs incurred in connection with securitizations of residential whole loans. <br><sup>(5)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(6)</sup> MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.<br><sup>(7)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(8)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively. | \* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Includes write-downs or recoveries which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $191.9 million and $317.5 million for the three months ended September 30, 2025 and 2024, respectively, and $569.1 million and $946.0 million for the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(3)</sup> Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(4)</sup> Represents costs incurred in connection with securitizations of residential whole loans. <br><sup>(5)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(6)</sup> MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.<br><sup>(7)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(8)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively. | \* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Includes write-downs or recoveries which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $191.9 million and $317.5 million for the three months ended September 30, 2025 and 2024, respectively, and $569.1 million and $946.0 million for the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(3)</sup> Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(4)</sup> Represents costs incurred in connection with securitizations of residential whole loans. <br><sup>(5)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(6)</sup> MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.<br><sup>(7)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(8)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively. | \* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Includes write-downs or recoveries which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $191.9 million and $317.5 million for the three months ended September 30, 2025 and 2024, respectively, and $569.1 million and $946.0 million for the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(3)</sup> Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(4)</sup> Represents costs incurred in connection with securitizations of residential whole loans. <br><sup>(5)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(6)</sup> MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.<br><sup>(7)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(8)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively. | \* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Includes write-downs or recoveries which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $191.9 million and $317.5 million for the three months ended September 30, 2025 and 2024, respectively, and $569.1 million and $946.0 million for the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(3)</sup> Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(4)</sup> Represents costs incurred in connection with securitizations of residential whole loans. <br><sup>(5)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(6)</sup> MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.<br><sup>(7)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(8)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively. | \* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Includes write-downs or recoveries which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $191.9 million and $317.5 million for the three months ended September 30, 2025 and 2024, respectively, and $569.1 million and $946.0 million for the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(3)</sup> Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(4)</sup> Represents costs incurred in connection with securitizations of residential whole loans. <br><sup>(5)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(6)</sup> MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.<br><sup>(7)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(8)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively. | \* Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Includes write-downs or recoveries which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $191.9 million and $317.5 million for the three months ended September 30, 2025 and 2024, respectively, and $569.1 million and $946.0 million for the nine months ended September 30, 2025 and 2024, respectively.<br><sup>(3)</sup> Represents unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(4)</sup> Represents costs incurred in connection with securitizations of residential whole loans. <br><sup>(5)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).<br><sup>(6)</sup> MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.<br><sup>(7)</sup> The three and nine months ended September 30, 2025 include cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.<br><sup>(8)</sup> Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 5.92% and 0.69% for the three months ended September 30, 2025 and 2024, respectively, and 7.62% and 4.62% for the the nine months ended September 30, 2025 and 2024, respectively. |

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From time to time, we enter into TBA forward contracts as an alternate means of investing in and financing Agency MBS. A TBA contract is an agreement to purchase or sell, for future delivery, an Agency MBS with a specified issuer, term and coupon. A TBA dollar roll represents a transaction where TBA contracts with the same terms but different settlement dates are simultaneously bought and sold. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the "drop". The drop is a reflection of the expected net interest income from an investment in similar Agency MBS, net of an implied financing cost, that would be foregone as a result of settling the contract in the later month rather than in the earlier month. The drop between the current settlement month price and the forward settlement month price occurs because in the TBA dollar roll market, the party providing the financing is the party that would retain all principal and interest payments accrued during the financing period. Accordingly, TBA dollar roll income

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

generally represents the economic equivalent of the net interest income earned on the underlying Agency MBS less an implied financing cost.

TBA dollar roll transactions are accounted for under GAAP as a series of derivatives transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency MBS. We record TBA derivatives at fair value in our Consolidated Statements of Financial Condition and recognize periodic changes in fair value in Net gains (losses) on derivatives in our Consolidated Statements of Comprehensive Income (Loss), which includes both unrealized and realized gains and losses on derivatives.

TBA dollar roll income is calculated as the difference in price between two TBA contracts with the same terms but different settlement dates multiplied by the notional amount of the TBA contract. Although accounted for as derivatives, TBA dollar rolls capture the economic equivalent of net interest income, or carry, on the underlying Agency MBS (interest income less an implied cost of financing). TBA dollar roll income is reported as a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).

*Premium Amortization Expense*

In accordance with GAAP, we amortize or accrete premiums or discounts into interest income for our Agency MBS, excluding interest-only securities, multifamily and reverse mortgages, taking into account estimates of future principal prepayments in the calculation of the effective yield. We recalculate the effective yield as differences between anticipated and actual prepayments occur. Using third party models and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security's acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.

Our GAAP metrics include the unadjusted impact of amortization and accretion associated with this method. Certain of our non-GAAP metrics exclude the effect of the PAA, which quantifies the component of premium amortization representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term Constant Prepayment Rate ("CPR").

The following table illustrates the impact of the PAA on premium amortization expense for our Residential Securities portfolio for the periods presented:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **For the Three Months Ended September 30,** | **For the Three Months Ended September 30,** | **For the Nine Months Ended September 30,** | **For the Nine Months Ended September 30,** |
| | **2025** | **2024** | **2025** | **2024** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Premium amortization expense | $**36719** | $53448 | $**122269** | $90617 |
| &nbsp;&nbsp;&nbsp;Less: PAA cost (benefit) | **18390** | 21365 | **26824** | 11046 |
| **Premium amortization expense (excluding PAA)** | $**18329** | $32083 | $**95445** | $79571 |

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*Economic Leverage and Economic Capital Ratios*

We use 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. Our capital structure is designed to offer an efficient complement of funding sources to generate positive risk-adjusted returns for our stockholders while maintaining appropriate liquidity to support our business and meet our financial obligations under periods of market stress. To maintain our desired capital profile, we utilize a mix of debt and equity funding. Debt funding may include the use of repurchase agreements, loans, securitizations, participations issued, lines of credit, asset backed lending facilities, corporate bond issuance, convertible bonds or other liabilities. Equity capital primarily consists of common and preferred stock.

Our economic leverage ratio is computed as the sum of recourse debt, cost basis of TBA derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, and U.S Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from economic leverage.

The following table presents a reconciliation of GAAP debt to economic debt for purposes of calculating our economic leverage ratio for the periods presented:

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

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| | | |
|:---|:---|:---|
| | **As of** | **As of** |
| | **September 30, 2025** | **September 30, 2024** |
| **Economic leverage ratio reconciliation** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;Repurchase agreements | $**75118963** | $64310276 |
| &nbsp;&nbsp;Other secured financing | **1025000** | 600000 |
| &nbsp;&nbsp;Debt issued by securitization vehicles | **26601790** | 18709118 |
| &nbsp;&nbsp;Participations issued | **1831657** | 467006 |
| &nbsp;&nbsp;U.S. Treasury securities sold, not yet purchased | **2442570** | 2043519 |
| **Total GAAP debt** | $**107019980** | $86129919 |
| **Less Non-recourse debt:** |  |  |
| &nbsp;&nbsp;Debt issued by securitization vehicles | $**(26601790)** | $(18709118) |
| &nbsp;&nbsp;Participations issued | **(1831657)** | (467006) |
| **Total recourse debt** | $**78586533** | $66953795 |
| **Plus / (Less):** |  |  |
| &nbsp;&nbsp;Cost basis of TBA derivatives | **3981439** | 3333873 |
| &nbsp;&nbsp;Payable for unsettled trades | **2604278** | 1885286 |
| &nbsp;&nbsp;Receivable for unsettled trades | **(185916)** | (766341) |
| **Economic debt** <sup>\*</sup> | $**84986334** | $71406613 |
| **Total equity** | $**14996579** | $12539949 |
| **Economic leverage ratio** <sup>\*</sup> | **5.7:1** | 5.7:1 |
| <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures. | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures. | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures. |

---

The following table presents a reconciliation of GAAP total assets to economic total assets for purposes of calculating our economic capital ratio for the periods presented:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **As of** | **As of** | **As of** | **As of** |
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2024** | **September 30, 2024** |
| **Economic capital ratio reconciliation** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| **Total GAAP assets** | **$** | **125861572** | $| 101515995 |
| **Less:** |  |  |  |  |
| &nbsp;&nbsp;Gross unrealized gains on TBA derivatives <sup>(1)</sup> | **(24074)** | **(24074)** | (2869) | (2869) |
| &nbsp;&nbsp;Debt issued by securitization vehicles | **(26601790)** | **(26601790)** | (18709118) | (18709118) |
| &nbsp;&nbsp;Participations issued | **(1831657)** | **(1831657)** | (467006) | (467006) |
| **Plus:** |  |  |  |  |
| &nbsp;&nbsp;Implied market value of TBA derivatives | **3991915** | **3991915** | 3328141 | 3328141 |
| **Total economic assets** <sup>\*</sup> | **$** | **101395966** | $| 85665143 |
| **Total equity** | **$** | **14996579** | $| 12539949 |
| **Economic capital ratio** <sup>(2) \*</sup> | **14.8%** | **14.8%** | 14.6% | 14.6% |
| <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Included in Derivative assets in the Consolidated Statements of Financial Condition.<br><sup>(2)</sup> Economic capital ratio is computed as total equity divided by total economic assets. | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Included in Derivative assets in the Consolidated Statements of Financial Condition.<br><sup>(2)</sup> Economic capital ratio is computed as total equity divided by total economic assets. | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Included in Derivative assets in the Consolidated Statements of Financial Condition.<br><sup>(2)</sup> Economic capital ratio is computed as total equity divided by total economic assets. | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Included in Derivative assets in the Consolidated Statements of Financial Condition.<br><sup>(2)</sup> Economic capital ratio is computed as total equity divided by total economic assets. | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the disclosure within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Included in Derivative assets in the Consolidated Statements of Financial Condition.<br><sup>(2)</sup> Economic capital ratio is computed as total equity divided by total economic assets. |

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*Interest Income (excluding PAA), Economic Interest Expense and Economic Net Interest Income (excluding PAA)*

Interest income (excluding PAA) represents interest income excluding the effect of the premium amortization adjustment, and serves as the basis for deriving average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA) and net interest margin (excluding PAA), which are discussed below. We believe this measure provides management and investors with additional detail to enhance their understanding of our operating results and trends by excluding the component of premium amortization expense representing the cumulative effect of quarter-over-quarter changes in estimated long-term prepayment speeds related to our Agency MBS (other than interest-only securities, multifamily and reverse mortgages), which can obscure underlying trends in the performance of the portfolio.

Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). We use interest rate swaps to manage our exposure to changing interest rates on repurchase agreements by economically hedging cash flows associated with these borrowings. Accordingly, adding the net interest component of interest rate swaps to interest

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with additional information about the cost of our financing strategy. We may use MAC interest rate swaps in which we may receive or make a payment at the time of entering into such interest rate swap to compensate for the off-market nature of such interest rate swap. In accordance with GAAP, upfront payments associated with MAC interest rate swaps are not reflected in the net interest component of interest rate swaps, which is presented in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).

Similarly, economic net interest income (excluding PAA), as computed below, provides investors with additional information to enhance their understanding of the net economics of our primary business operations.

The following tables present a reconciliation of GAAP interest income and GAAP interest expense to non-GAAP interest income (excluding PAA), economic interest expense and economic net interest income (excluding PAA), respectively, for the periods presented:

**<u>Interest Income (excluding PAA)</u>**

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| | | | |
|:---|:---|:---|:---|
| | **GAAP Interest Income** | **PAA Cost<br>(Benefit)** | **Interest Income (excluding PAA)** <sup>\*</sup> |
| **For the three months ended** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**1532497** | $**18390** | $**1550887** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $1229341 | $21365 | $1250706 |
| **For the nine months ended** |  |  |  |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**4268498** | $**26824** | $**4295322** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $3501154 | $11046 | $3512200 |
| \* Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures. | \* Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures. | \* Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures. | \* Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures. |

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**<u>Economic Interest Expense and Economic Net Interest Income (excluding PAA)</u>**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **GAAP<br>Interest<br>Expense** | **Add: Net Interest Component of Interest Rate Swaps and Net Interest on Initial Margin** | **Economic Interest**<br>**Expense \*** <sup>(1)</sup> | **GAAP Net<br>Interest<br>Income** | **Less: Net Interest Component<br>of Interest Rate Swaps and Net Interest on Initial Margin** | **Economic<br>Net Interest<br>Income \*** | **Add: PAA<br>Cost<br>(Benefit)** | **Economic Net Interest Income (excluding PAA) \*** |
| **For the three months ended** | **For the three months ended** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**1256747** | $**(205030)** | $**1051717** | $**275750** | $**(205030)** | $**480780** | $**18390** | $**499170** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $1215940 | $(333696) | $882244 | $13401 | $(333696) | $347097 | $21365 | $368462 |
| **For the nine months ended** | **For the nine months ended** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**3499577** | $**(607284)** | $**2892293** | $**768921** | $**(607284)** | $**1376205** | $**26824** | $**1403029** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $3440646 | $(981142) | $2459504 | $60508 | $(981142) | $1041650 | $11046 | $1052696 |
| <sup>\*</sup> Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to disclosures within this section above for additional information on non-GAAP financial measures.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

*Experienced and Projected Long-Term CPR*

Prepayment speeds, as reflected by the CPR and interest rates vary according to the type of investment, conditions in financial markets, competition and other factors, none of which can be predicted with any certainty. In general, as prepayment speeds and expectations of prepayment speeds on our Agency MBS portfolio increase, related purchase premium amortization increases, thereby reducing the yield on such assets. The following table presents the weighted average experienced CPR and weighted average projected long-term CPR on our Agency MBS portfolio as of and for the periods presented.

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| | | |
|:---|:---|:---|
| | **Experienced CPR** <sup>(1)</sup> | **Projected Long-term CPR** <sup>(2)</sup> |
| **For the three months ended** | | |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | **8.6%** | **10.4%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | 7.6% | 11.9% |
| **For the nine months ended** |  |  |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | **8.1%** | **10.4%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | 7.0% | 11.9% |
| <sup>(1)</sup> For the three and nine months ended September 30, 2025 and 2024, respectively.<br><sup>(2)</sup> At September 30, 2025 and 2024, respectively. | <sup>(1)</sup> For the three and nine months ended September 30, 2025 and 2024, respectively.<br><sup>(2)</sup> At September 30, 2025 and 2024, respectively. | <sup>(1)</sup> For the three and nine months ended September 30, 2025 and 2024, respectively.<br><sup>(2)</sup> At September 30, 2025 and 2024, respectively. |

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*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*

Net interest spread (excluding PAA), which is the difference between the average yield on interest earning assets (excluding PAA) and the average economic cost of interest bearing liabilities, which represents annualized economic interest expense divided by average interest bearing liabilities, and net interest margin (excluding PAA), which is calculated as the sum of interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average TBA contract balances, provide management with additional measures of our profitability that management relies upon in monitoring the performance of the business.

Disclosure of these measures, which are presented below, provides investors with additional detail regarding how management evaluates our performance.

**<u>Net Interest Spread (excluding PAA)</u>**

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Average Interest Earning** <br>**&nbsp;&nbsp;&nbsp;&nbsp;Assets** <sup>(1)</sup> | **Interest Income (excluding PAA)** <sup>\*</sup> | **Average Yield on Interest Earning Assets (excluding PAA)** <sup>\*</sup> | **Average Interest Bearing Liabilities** <sup>(2)</sup> | **Economic Interest Expense** <sup>\* (2)</sup> | **Average Economic Cost of Interest Bearing Liabilities \*** <sup>(2)</sup> | **Economic Net Interest Income (excluding PAA)** <sup>\*</sup> | **Net Interest Spread (excluding PAA)** <sup>\*</sup> |
| **For the three months ended** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**113522223** | $**1550887** | **5.46%** | $**103994302** | $**1051717** | **3.96%** | $**499170** | **1.50%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $95379071 | $1250706 | 5.25% | $87819655 | $882244 | 3.93% | $368462 | 1.32% |
| **For the nine months ended** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**106592290** | $**4295322** | **5.37%** | $**97090093** | $**2892293** | **3.93%** | $**1403029** | **1.44%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $92042244 | $3512200 | 5.09% | $83467666 | $2459504 | 3.87% | $1052696 | 1.22% |
| \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Based on amortized cost.<br><sup>(2)</sup> Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Based on amortized cost.<br><sup>(2)</sup> Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Based on amortized cost.<br><sup>(2)</sup> Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Based on amortized cost.<br><sup>(2)</sup> Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Based on amortized cost.<br><sup>(2)</sup> Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Based on amortized cost.<br><sup>(2)</sup> Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Based on amortized cost.<br><sup>(2)</sup> Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Based on amortized cost.<br><sup>(2)</sup> Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Based on amortized cost.<br><sup>(2)</sup> Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**<u>Net Interest Margin (excluding PAA)</u>**

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Interest Income (excluding PAA)** <sup>\*</sup> | **TBA Dollar Roll Income** <sup>(1)</sup> | **Economic Interest Expense \*** <sup>(2)</sup> | **Subtotal** | **Average Interest Earnings Assets** | **Average TBA Contract Balances** | **Subtotal** | **Net Interest Margin (excluding PAA) \*** |
| **For the three months ended** | **For the three months ended** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**1550887** | **9019** | **(1051717)** | $**508189** | $**113522223** | **6356708** | $**119878931** | **1.70%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $1250706 | (1132) | (882244) | $367330 | $95379071 | 973713 | $96352784 | 1.52% |
| **For the nine months ended** | **For the nine months ended** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**4295322** | **27546** | **(2892293)** | $**1430575** | $**106592290** | **5733408** | $**112325698** | **1.70%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $3512200 | 729 | (2459504) | $1053425 | $92042244 | 707431 | $92749675 | 1.51% |
| <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives.<br><sup>(2)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives.<br><sup>(2)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives.<br><sup>(2)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives.<br><sup>(2)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives.<br><sup>(2)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives.<br><sup>(2)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives.<br><sup>(2)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives.<br><sup>(2)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>\*</sup> Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> TBA dollar roll income represents a component of Net gains (losses) on derivatives.<br><sup>(2)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). |

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*Economic Interest Expense and Average Economic Cost of Interest Bearing Liabilities*

Typically, our largest expense is the cost of interest bearing liabilities and the net interest component of interest rate swaps. The following table shows our average interest bearing liabilities and average economic cost of interest bearing liabilities as compared to average one-month and average six-month SOFR for the periods presented.

**<u>Average Economic Cost of Interest Bearing Liabilities</u>**

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Average<br>Interest Bearing<br>Liabilities** | **Interest Bearing Liabilities at<br>Period End** | **Economic**<br>**Interest**<br>**Expense \*** <sup>(1)</sup> | **Average Economic** <br>**Cost of**<br>**Interest**<br>**Bearing**<br>**Liabilities** <sup>\*</sup> | **Average<br>One-<br>Month<br>Term SOFR** | **Average<br>Six-<br>Month<br>Term SOFR** | **Average<br>One-Month Term SOFR <br>Relative to<br>Average Six-<br>Month Term SOFR** | **Average Economic Cost<br>of Interest<br>Bearing<br>Liabilities<br>Relative to<br>Average One-<br>Month Term SOFR** | **Average Economic Cost<br>of Interest<br>Bearing<br>Liabilities<br>Relative to<br>Average Six-Month Term SOFR** |
| **For the three months ended** | **For the three months ended** | **For the three months ended** | **For the three months ended** | **For the three months ended** | **For the three months ended** | **For the three months ended** | **For the three months ended** | **For the three months ended** | **For the three months ended** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**103994302** | $**105994980** | $**1051717** | **3.96%** | **4.29%** | **4.05%** | **0.24%** | **(0.33** **%)** | **(0.09** **%)** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $87819655 | $85529919 | $882244 | 3.93% | 5.22% | 4.82% | 0.40% | (1.29%) | (0.89%) |
| **For the nine months ended** | **For the nine months ended** | **For the nine months ended** | **For the nine months ended** | **For the nine months ended** | **For the nine months ended** | **For the nine months ended** | **For the nine months ended** | **For the nine months ended** | **For the nine months ended** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**97090093** | $**105994980** | $**2892293** | **3.93%** | **4.31%** | **4.16%** | **0.15%** | **(0.38** **%)** | **(0.23** **%)** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $83467666 | $85529919 | $2459504 | 3.87% | 5.29% | 5.10% | 0.19% | (1.42%) | (1.23%) |
| \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). | \* Represents a non-GAAP financial measure. Refer to the "Non-GAAP Financial Measures" section for additional information.<br><sup>(1)</sup> Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). |

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Economic interest expense increased by $169.5 million for the three months ended September 30, 2025, compared to the same period in 2024, primarily due to the reduction in the net interest component of interest rate swaps, which was $191.9 million for the three months ended September 30, 2025, compared to $317.5 million for the same period in 2024. Adding to this increase was higher interest expense on increased securitized debt balances from new securitizations, partially offset by lower interest expense on repurchase agreements from lower average rates despite higher average balances.

Economic interest expense increased by $432.8 million for the nine months ended September 30, 2025 compared to the same period in 2024, primarily due to the reduction in the net interest component of interest rate swaps, which was $569.1 million for the nine months ended September 30, 2025, compared to $946.0 million for the same period in 2024. Adding to this increase was higher securitized debt balances from new securitizations, partially offset by lower interest expense on repurchase agreements from lower average rates despite higher average balances.

We do not manage our portfolio to have a pre-designated amount of borrowings at quarter or year end. Our borrowings at period end are a snapshot of our borrowings as of a date, and this number may differ from average borrowings over the period

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

for a number of reasons. The mortgage-backed securities we own pay principal and interest towards the end of each month and the mortgage-backed securities we purchase are typically settled during the beginning of the month. As a result, depending on the amount of mortgage-backed securities we have committed to purchase, we may retain the principal and interest we receive in the prior month, or we may use it to pay down our borrowings. Moreover, we generally use interest rate swaps, swaptions and other derivative instruments to hedge our portfolio, and as we pledge or receive collateral under these agreements, our borrowings on any given day may be increased or decreased. Our average borrowings during a quarter may differ from period end borrowings as we implement our portfolio management strategies and risk management strategies over changing market conditions by increasing or decreasing leverage. Additionally, these numbers may differ during periods when we conduct equity capital raises, as in certain instances we may purchase additional assets and increase leverage in anticipation of an equity capital raise. Since our average borrowings and period end borrowings can be expected to differ, we believe our average borrowings during a period provide a more accurate representation of our exposure to the risks associated with leverage than our period end borrowings.

At September 30, 2025 and December 31, 2024, the majority of our debt represented repurchase agreements and other secured financing arrangements collateralized by a pledge of our Residential Securities, residential mortgage loans, and MSR. All of our Residential Securities are currently accepted as collateral for these borrowings. However, we limit our borrowings, and thus our potential asset growth, in order to maintain unused borrowing capacity and maintain the liquidity and strength of our balance sheet.

***Other Income (Loss)***

*For the Three Months Ended September 30, 2025 and 2024*

Net Gains (Losses) on Investments and Other

Net gains (losses) on disposal of investments was ($87.8) million for the three months ended September 30, 2025, compared to ($169.1) million for the same period in 2024. For the three months ended September 30, 2025, we disposed of Residential Securities with a carrying value of $1.3 billion for an aggregate net gain (loss) of $1.8 million. For the same period in 2024, we disposed of Residential Securities with a carrying value of $2.8 billion for an aggregate net gain (loss) of ($8.3) million. Realized gains (losses) on U.S. Treasury securities sold, not yet purchased was ($26.0) million for the three months ended September 30, 2025, compared to ($117.1) million for the same period in 2024.

Net unrealized gains (losses) on instruments measured at fair value through earnings was $649.7 million for the three months ended September 30, 2025, compared to $1.9 billion for the same period in 2024, primarily due to unfavorable changes in unrealized gains (losses) on Agency MBS of ($1.2) billion, securitized residential whole loans of consolidated VIEs of ($385.3) million, non-Agency MBS of ($27.0) million, and U.S. Treasury securities sold, not yet purchased of ($19.4) million, partially offset by favorable changes in residential securitized debt of consolidated VIEs of $336.4 million and MSR of $13.4 million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the three months ended September 30, 2025 was ($0.3) million, compared to ($1.4) billion for the same period in 2024, primarily attributable to favorable changes in unrealized gains (losses) on interest rate swaps and realized gains (losses) on termination or maturity of interest rate swaps, partially offset by an unfavorable change in net interest component of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($189.0) million for the three months ended September 30, 2025, compared to ($1.6) billion for the same period in 2024. Realized gains (losses) on termination or maturity of interest rate swaps was ($3.2) million for the three months ended September 30, 2025, compared to ($94.0) million for the same period in 2024, which reflected our termination or maturity of fixed-rate payer and receiver interest rate swaps with notional amounts of $1.6 billion and $68.0 million, respectively, compared to $5.1 billion notional amount of fixed-rate payer interest rate swaps for the same period in 2024. Net interest component on interest rate swaps was $191.9 million for the three months ended September 30, 2025, compared to $317.5 million for the same period in 2024.

Net gains (losses) on other derivatives was ($92.1) million for the three months ended September 30, 2025, compared to ($395.0) million for the same period in 2024. The change in net gains (losses) on other derivatives was primarily due to favorable changes in net gains (losses) on interest rate swaptions, which was $0.0 million for the three months ended September 30, 2025, compared to ($135.0) million for the same period in 2024, net gains (losses) on futures, which was ($163.4) million for the three months ended September 30, 2025, compared to ($291.5) million for the same period in 2024, and net gains (losses) on TBA derivatives, which was $76.6 million for the three months ended September 30, 2025, compared to $22.4 million for the same period in 2024, partially offset by an unfavorable change in net gains (losses) on purchase commitments,

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

which was ($5.3) million for the three months ended September 30, 2025, compared to $9.1 million for the same period in 2024.

Other, Net

Other, net includes brokerage and commission fees, due diligence costs, securitization expenses, and interest on custodial balances. We also report in Other, net items whose amounts, either individually or in the aggregate, would not, in the opinion of management, be meaningful to readers of the financial statements. Given the nature of certain components of this line item, balances may fluctuate from period to period. Other, net for the three months ended September 30, 2025 was $14.0 million, compared to $27.4 million for the same period in 2024, primarily attributable to an increase in MSR financing expenses, a decrease in net interest income on initial margin related to interest rate swaps, and an increase in securitization related costs, partially offset by an increase in advisory income, and interest on custodial balances.

*For the Nine Months Ended September 30, 2025 and 2024* 

Net Gains (Losses) on Investments and Other

Net gains (losses) on disposal of investments and other was ($220.7) million for the nine months ended September 30, 2025, compared to ($1.1) billion for the same period in 2024. For the nine months ended September 30, 2025, we disposed of Residential Securities with a carrying value of $9.7 billion for an aggregate net gain (loss) of ($78.6) million. For the same period in 2024, we disposed of Residential Securities with a carrying value of $16.0 billion for an aggregate net gain (loss) of ($821.5) million. Realized gains (losses) on U.S. Treasury securities sold, not yet purchased was $17.8 million for the nine months ended September 30, 2025, compared to ($126.0) million for the same period in 2024.

Net unrealized gains (losses) on instruments measured at fair value through earnings was $1.7 billion for the nine months ended September 30, 2025, compared to $1.2 billion for the same period in 2024, primarily due to favorable changes on Agency MBS of $856.6 million, residential whole loans of $29.2 million, securitized debt of consolidated VIEs of $15.6 million, and securitized residential whole loans of consolidated VIEs of $9.2 million, partially offset by unfavorable changes in U.S. Treasury securities sold, not yet purchased of ($229.5) million, non-Agency MBS of ($102.2) million, MSR of ($63.0) million, CRT securities of ($34.6) million, and participations issued of ($16.2) million.

Net Gains (Losses) on Derivatives

Net gains (losses) on interest rate swaps for the nine months ended September 30, 2025 was ($944.4) million, compared to $265.4 million for the same period in 2024, attributable to unfavorable changes in unrealized gains (losses) on interest rate swaps and the change in the net interest component of interest rate swaps, partially offset by favorable changes in realized gains (losses) on termination of interest rate swaps. Unrealized gains (losses) on interest rate swaps was ($1.4) billion for the nine months ended September 30, 2025, compared to ($584.1) million for the same period in 2024. Net interest component on interest rate swaps was $569.1 million for the nine months ended September 30, 2025, compared to $946.0 million for the same period in 2024. Realized gains (losses) on termination of interest rate swaps was ($78.8) million for the nine months ended September 30, 2025, compared to ($96.5) million for the same period in 2024, which reflected our termination of fixed-rate payer and receiver interest rate swaps with notional amounts of $17.1 billion and $3.2 billion, respectively, compared to fixed-rate payer and receiver interest rate swaps with notional amounts of $7.7 billion and $3.3 billion, respectively, for the same period in 2024.

Net gains (losses) on other derivatives was ($514.5) million for the nine months ended September 30, 2025, compared to ($211.7) million for the same period in 2024. The change in net gains (losses) on other derivatives was primarily due to unfavorable changes in net gains (losses) on futures, which was ($636.2) million for the nine months ended September 30, 2025, compared to ($152.1) million for the same period in 2024, partially offset by favorable changes in TBA derivatives, which was $123.8 million for the nine months ended September 30, 2025, compared to $28.3 million for the same period in 2024, and net gains (losses) on interest rate swaptions, which was ($9.2) million for the nine months ended September 30, 2025, compared to ($92.8) million for the same period in 2024.

Other, Net

Other, net for the nine months ended September 30, 2025 was $37.2 million, compared to $75.6 million for the same period in 2024, primarily attributable to an increase in MSR financing expenses, a decrease in net interest income on initial margin related to interest rate swaps, and an increase in securitization related costs, partially offset by an increase in interest on custodial balances, advisory income, and conduit transaction fees.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

***General and Administrative Expenses***

General and administrative ("G&A") expenses consist of compensation and other expenses. The following table shows our total G&A expenses as compared to average total assets and average equity for the periods presented.

**<u>G&A Expenses and Operating Expense Ratios</u>**

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| | | | |
|:---|:---|:---|:---|
| | **Total G&A<br>Expenses** | **Total G&A Expenses/Average Assets** | **Total G&A Expenses/Average Equity** |
| **For the three months ended** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**50340** | **0.17%** | **1.41%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $43921 | 0.18% | 1.48% |
| **For the nine months ended** |  |  |  |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**148422** | **0.18%** | **1.46%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | $127382 | 0.18% | 1.46% |

---

G&A expenses were $50.3 million for the three months ended September 30, 2025, an increase of $6.4 million compared to the same period in 2024. The change in the period was primarily due to an increase in compensation expenses and higher expenses related to professional fees, rent and technology.

G&A expenses were $148.4 million for the nine months ended September 30, 2025, an increase of $21.0 million compared to the same period in 2024. The change in the period was primarily due to an increase in compensation expenses and higher expenses related to rent, professional fees and technology.

***Return on Average Equity***

The following table shows the components of our annualized return on average equity for the periods presented.

**<u>Components of Annualized Return on Average Equity</u>**

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Economic Net Interest Income/ Average Equity** <sup>(1)</sup> | **Net Servicing Income/Average Equity** | **Other Income (Loss)/Average Equity** <sup>(2)</sup> | **G&A Expenses/ Average Equity** | **Income<br>Taxes/ Average Equity** | **Return on<br>Average Equity** |
| **For the three months ended** | | | | | | |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | **13.14%** | **3.55%** | **8.19%** | **(1.41** **%)** | **0.22%** | **23.69%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | 11.12% | 3.68% | (10.76%) | (1.48%) | 0.21% | 2.77% |
| **For the nine months ended** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | **13.15%** | **3.73%** | **(5.25** **%)** | **(1.46** **%)** | **(0.01** **%)** | **10.16%** |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | 11.51% | 3.66% | (7.49%) | (1.46%) | (0.06%) | 6.16% |
| <sup>(1)</sup> Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> Other income (loss) excludes the net interest component of interest rate swaps. | <sup>(1)</sup> Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> Other income (loss) excludes the net interest component of interest rate swaps. | <sup>(1)</sup> Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> Other income (loss) excludes the net interest component of interest rate swaps. | <sup>(1)</sup> Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> Other income (loss) excludes the net interest component of interest rate swaps. | <sup>(1)</sup> Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> Other income (loss) excludes the net interest component of interest rate swaps. | <sup>(1)</sup> Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> Other income (loss) excludes the net interest component of interest rate swaps. | <sup>(1)</sup> Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).<br><sup>(2)</sup> Other income (loss) excludes the net interest component of interest rate swaps. |

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***Unrealized Gains and Losses - Available-for-Sale Investments***

The unrealized fluctuations in market values of our available-for-sale Agency MBS, for which the fair value option is not elected, do not impact our GAAP net income (loss) but rather are reflected on our balance sheet by changing the carrying value of the asset and stockholders' equity under accumulated other comprehensive income (loss). As a result of this fair value accounting treatment, our book value and book value per share are likely to fluctuate far more than if we used amortized cost accounting. As a result, comparisons with companies that use amortized cost accounting for some or all of their balance sheet may not be meaningful.

The following table shows cumulative unrealized gains and losses on our available-for-sale investments reflected in the Consolidated Statements of Financial Condition.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

---

| | | |
|:---|:---|:---|
| | **September 30, 2025** | **December 31, 2024** |
| | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Unrealized gain | $**4937** | $4221 |
| &nbsp;&nbsp;&nbsp;Unrealized loss | **(629324)** | (1021903) |
| **Accumulated other comprehensive income (loss)** | $**(624387)** | $(1017682) |

---

Unrealized changes in the estimated fair value of available-for-sale investments may have a direct effect on our potential earnings and dividends: positive changes will increase our equity base and allow us to increase our borrowing capacity while negative changes tend to reduce borrowing capacity. A very large negative change in the net fair value of our available-for-sale Residential Securities might impair our liquidity position, requiring us to sell assets with the potential result of realized losses upon sale.

The fair value of these securities being less than amortized cost at September 30, 2025 is solely due to market conditions and not the quality of the assets. Substantially all of the Agency MBS have an actual or implied credit rating that is the same as that of the U.S. government. The investments do not require an allowance for credit losses because we currently have the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that we will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. Also, we are guaranteed payment of the principal and interest amounts of the securities by the respective issuing Agency.

**Financial Condition**

Total assets were $125.9 billion and $103.6 billion at September 30, 2025 and December 31, 2024, respectively. The change was primarily due to increases in securities of $15.3 billion, securitized residential whole loans of consolidated VIEs of $7.5 billion, cash and cash equivalents of $608.7 million, mortgage servicing rights of $567.0 million, and residential mortgage loans of $461.4 million, partially offset by decreases in receivables for unsettled trades of $2.0 billion, derivative assets of $177.5 million and principal and interest receivable of $109.6 million. Our portfolio composition, net equity allocation and debt-to-net equity ratio by asset class were as follows at September 30, 2025.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Agency MBS** | **Residential Credit** <sup>(1)</sup> | **MSR** | **Total** |
| **Assets** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Fair value | $**83317819** | $**35265514** | $**3512014** | $**122095347** |
| &nbsp;&nbsp;Implied market value of derivatives <sup>(2)</sup> | **3991915** | **—** | **—** | **3991915** |
| **Debt** | **Debt** | **Debt** | **Debt** | **Debt** |
| &nbsp;&nbsp;&nbsp;Repurchase agreements | **70609233** | **4509730** | **—** | **75118963** |
| &nbsp;&nbsp;Implied cost basis of derivatives <sup>(2)</sup> | **3981439** | **—** | **—** | **3981439** |
| &nbsp;&nbsp;&nbsp;Other secured financing | **—** | **—** | **1025000** | **1025000** |
| &nbsp;&nbsp;&nbsp;Debt issued by securitization vehicles | **—** | **26601790** | **—** | **26601790** |
| &nbsp;&nbsp;&nbsp;Participations issued | **—** | **1831657** | **—** | **1831657** |
| &nbsp;&nbsp;&nbsp;U.S. Treasury securities sold, not yet purchased | **2472871** | **24368** | **(54669)** | **2442570** |
| &nbsp;&nbsp;&nbsp;Net forward purchases | **2317728** | **22067** | **78567** | **2418362** |
| **Other** | **Other** | **Other** | **Other** | **Other** |
| &nbsp;&nbsp;&nbsp;Net other assets / liabilities | **1638416** | **286848** | **403834** | **2329098** |
| **Net equity allocated** | $**9566879** | $**2562750** | $**2866950** | $**14996579** |
| **Net equity allocated (%)** | **64%** | **17%** | **19%** | **100%** |
| **Debt/net equity ratio** <sup>(3)</sup> | **7.6:1** | **12.9:1** | **0.3:1** | **7.1:1** |
| <sup>(1)</sup> Fair value includes residential loans held for sale, commercial assets and liabilities and assets and liabilities associated with non-controlling interests.<br><sup>(2)</sup> Derivatives include TBA contracts under Agency MBS.<br><sup>(3)</sup> Represents the debt/net equity ratio as determined using amounts in the Consolidated Statements of Financial Condition. | <sup>(1)</sup> Fair value includes residential loans held for sale, commercial assets and liabilities and assets and liabilities associated with non-controlling interests.<br><sup>(2)</sup> Derivatives include TBA contracts under Agency MBS.<br><sup>(3)</sup> Represents the debt/net equity ratio as determined using amounts in the Consolidated Statements of Financial Condition. | <sup>(1)</sup> Fair value includes residential loans held for sale, commercial assets and liabilities and assets and liabilities associated with non-controlling interests.<br><sup>(2)</sup> Derivatives include TBA contracts under Agency MBS.<br><sup>(3)</sup> Represents the debt/net equity ratio as determined using amounts in the Consolidated Statements of Financial Condition. | <sup>(1)</sup> Fair value includes residential loans held for sale, commercial assets and liabilities and assets and liabilities associated with non-controlling interests.<br><sup>(2)</sup> Derivatives include TBA contracts under Agency MBS.<br><sup>(3)</sup> Represents the debt/net equity ratio as determined using amounts in the Consolidated Statements of Financial Condition. | <sup>(1)</sup> Fair value includes residential loans held for sale, commercial assets and liabilities and assets and liabilities associated with non-controlling interests.<br><sup>(2)</sup> Derivatives include TBA contracts under Agency MBS.<br><sup>(3)</sup> Represents the debt/net equity ratio as determined using amounts in the Consolidated Statements of Financial Condition. |

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***Residential Securities***

Substantially all of our Agency MBS at September 30, 2025 and December 31, 2024 were backed by single-family residential mortgage loans and were secured with a first lien position on the underlying single-family properties. Our mortgage-backed securities were largely Fannie Mae, Freddie Mac or Ginnie Mae pass through certificates or CMOs, which have an actual or implied credit rating that is the same as that of the U.S. government. We carry all of our Agency MBS at fair value in the Consolidated Statements of Financial Condition.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

We accrete discount balances as an increase to interest income over the expected life of the related interest earning assets and we amortize premium balances as a decrease to interest income over the expected life of the related interest earning assets. At September 30, 2025 and December 31, 2024 we had in our Consolidated Statements of Financial Condition a total of $1.4 billion and $1.3 billion, respectively, of unamortized discount (which is the difference between the remaining principal value and current amortized cost of our Residential Securities acquired at a price below principal value) and a total of $2.7 billion and $2.5 billion, respectively, of unamortized premium (which is the difference between the remaining principal value and the current amortized cost of our Residential Securities acquired at a price above principal value).

The weighted average experienced prepayment speed on our Agency MBS portfolio for the three months ended September 30, 2025 and 2024 was 8.6% and 7.6%, respectively. The weighted average experienced prepayment speed on our Agency MBS portfolio for the nine months ended September 30, 2025 and 2024 was 8.1% and 7.0%, respectively. The weighted average projected long-term prepayment speed on our Agency MBS portfolio as of September 30, 2025 and 2024 was 10.4% and 11.9%, respectively.

Given our current portfolio composition, if mortgage principal prepayment rates were to increase over the life of our mortgage-backed securities, all other factors being equal, our net interest income would decrease during the life of these mortgage-backed securities as we would be required to amortize our net premium balance into income over a shorter time period. Similarly, if mortgage principal prepayment rates were to decrease over the life of our mortgage-backed securities, all other factors being equal, our net interest income would increase during the life of these mortgage-backed securities as we would amortize our net premium balance over a longer time period.

The following table presents our Residential Securities that were carried at fair value at September 30, 2025 and December 31, 2024.

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| | | |
|:---|:---|:---|
| | **September 30, 2025** | **December 31, 2024** |
| | **Estimated Fair Value** | **Estimated Fair Value** |
| **Agency** | | |
| &nbsp;&nbsp;&nbsp;Fixed-rate pass-through | $**76702561** | $63049674 |
| &nbsp;&nbsp;&nbsp;Adjustable-rate pass-through | **127286** | 162238 |
| &nbsp;&nbsp;&nbsp;CMO | **2743** | 73684 |
| &nbsp;&nbsp;&nbsp;Interest-only | **574325** | 380732 |
| &nbsp;&nbsp;&nbsp;Multifamily | **5910904** | 3741765 |
| &nbsp;&nbsp;&nbsp;Reverse mortgages | **—** | 25975 |
| **Total agency securities** | $**83317819** | $67434068 |
| **Residential credit** |  |  |
| &nbsp;&nbsp;&nbsp;Credit risk transfer | $**330647** | $754915 |
| &nbsp;&nbsp;&nbsp;Non-QM | **312108** | 164892 |
| &nbsp;&nbsp;&nbsp;Prime | **130471** | 102117 |
| &nbsp;&nbsp;&nbsp;SBC | **183348** | 233572 |
| &nbsp;&nbsp;&nbsp;NPL/RPL | **435368** | 682440 |
| &nbsp;&nbsp;&nbsp;RTL | **174755** | 151852 |
| &nbsp;&nbsp;&nbsp;Prime jumbo (>= 2010 vintage) | **178209** | 158313 |
| **Total residential credit securities** | $**1744906** | $2248101 |
| **Total Residential Securities** | $**85062725** | $69682169 |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

The following table summarizes certain characteristics of our Residential Securities (excluding interest-only mortgage-backed securities) and interest-only mortgage-backed securities at September 30, 2025 and December 31, 2024.

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| | | |
|:---|:---|:---|
| | **September 30, 2025** | **December 31, 2024** |
| **Residential Securities** <sup>(1)</sup> | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Principal amount | $**83915079** | $70783559 |
| &nbsp;&nbsp;&nbsp;Net premium | **80312** | 110212 |
| &nbsp;&nbsp;&nbsp;Amortized cost | **83995391** | 70893771 |
| &nbsp;&nbsp;&nbsp;Amortized cost / principal amount | **100.10%** | 100.16% |
| &nbsp;&nbsp;&nbsp;Carrying value | **83836013** | 68717038 |
| &nbsp;&nbsp;&nbsp;Carrying value / principal amount | **99.91%** | 97.08% |
| &nbsp;&nbsp;&nbsp;Weighted average coupon rate | **5.09%** | 5.02% |
| &nbsp;&nbsp;&nbsp;Weighted average yield | **5.02%** | 4.96% |
| **Adjustable-rate Residential Securities** <sup>(1)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Principal amount | $**495051** | $951400 |
| &nbsp;&nbsp;&nbsp;Weighted average coupon rate | **8.14%** | 8.41% |
| &nbsp;&nbsp;&nbsp;Weighted average yield | **7.72%** | 7.59% |
| &nbsp;&nbsp;Weighted average term to next adjustment <sup>(2)</sup> | **5 Months** | 6 Months |
| &nbsp;&nbsp;Weighted average lifetime cap <sup>(3)</sup> | **9.46%** | 9.33% |
| &nbsp;&nbsp;&nbsp;Principal amount at period end as % of total residential securities | **0.59%** | 1.34% |
| **Fixed-rate Residential Securities** <sup>(1)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Principal amount | $**83420028** | $69832159 |
| &nbsp;&nbsp;&nbsp;Weighted average coupon rate | **5.07%** | 4.97% |
| &nbsp;&nbsp;&nbsp;Weighted average yield | **5.00%** | 4.93% |
| &nbsp;&nbsp;&nbsp;Principal amount at period end as % of total residential securities | **99.41%** | 98.66% |
| **Interest-only Residential Securities** |  |  |
| &nbsp;&nbsp;&nbsp;Notional amount | $**47634258** | $38352812 |
| &nbsp;&nbsp;&nbsp;Net premium | **1279518** | 1091361 |
| &nbsp;&nbsp;&nbsp;Amortized cost | **1279518** | 1091361 |
| &nbsp;&nbsp;&nbsp;Amortized cost / notional amount | **2.69%** | 2.85% |
| &nbsp;&nbsp;&nbsp;Carrying value | **1226712** | 965131 |
| &nbsp;&nbsp;&nbsp;Carrying value / notional amount | **2.58%** | 2.52% |
| &nbsp;&nbsp;&nbsp;Weighted average coupon rate | **0.57%** | 0.46% |
| &nbsp;&nbsp;&nbsp;Weighted average yield | **3.74%** | 2.40% |
| <sup>(1)</sup> Excludes interest-only MBS.<br><sup>(2)</sup> Excludes non-Agency MBS and CRT securities.<br><sup>(3)</sup> Excludes non-Agency MBS and CRT securities as this attribute is not applicable to these asset classes. | <sup>(1)</sup> Excludes interest-only MBS.<br><sup>(2)</sup> Excludes non-Agency MBS and CRT securities.<br><sup>(3)</sup> Excludes non-Agency MBS and CRT securities as this attribute is not applicable to these asset classes. | <sup>(1)</sup> Excludes interest-only MBS.<br><sup>(2)</sup> Excludes non-Agency MBS and CRT securities.<br><sup>(3)</sup> Excludes non-Agency MBS and CRT securities as this attribute is not applicable to these asset classes. |

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The following tables summarize certain characteristics of our Residential Credit portfolio at September 30, 2025.

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Payment Structure** | **Payment Structure** | **Investment Characteristics** <sup>(1)</sup> | **Investment Characteristics** <sup>(1)</sup> | **Investment Characteristics** <sup>(1)</sup> | **Investment Characteristics** <sup>(1)</sup> |
| **Product** | **Estimated Fair Value** | **Senior** | **Subordinate** | **Coupon** | **Credit Enhancement** | **60+<br>Delinquencies** | **3M VPR** <sup>(2)</sup> |
| **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Credit risk transfer | $**330647** | $**—** | $**330647** | **9.27%** | **1.54%** | **1.14%** | **6.25%** |
| &nbsp;&nbsp;&nbsp;Non-QM | **312108** | **—** | **312108** | **7.06%** | **7.71%** | **3.30%** | **17.08%** |
| &nbsp;&nbsp;&nbsp;Prime | **130471** | **110013** | **20458** | **6.02%** | **18.84%** | **3.59%** | **5.13%** |
| &nbsp;&nbsp;&nbsp;SBC | **183348** | **20618** | **162730** | **7.26%** | **25.67%** | **14.83%** | **22.16%** |
| &nbsp;&nbsp;&nbsp;NPL/RPL | **435368** | **117239** | **318129** | **7.31%** | **21.06%** | **51.68%** | **6.64%** |
| &nbsp;&nbsp;&nbsp;RTL | **174755** | **145478** | **29277** | **7.19%** | **18.93%** | **4.80%** | **59.25%** |
| &nbsp;&nbsp;&nbsp;Prime jumbo (>=2010 vintage) | **178209** | **107341** | **70868** | **5.05%** | **1.07%** | **0.85%** | **7.34%** |
| &nbsp;&nbsp;&nbsp;**Total/weighted average** | $**1744906** | $**500689** | $**1244217** | **7.40%** | **13.83%** | **17.52%** | **16.35%** |
| <sup>(1)</sup> Investment characteristics exclude the impact of interest-only securities. <br><sup>(2)</sup> Represents the 3 month voluntary prepayment rate ("VPR"). | <sup>(1)</sup> Investment characteristics exclude the impact of interest-only securities. <br><sup>(2)</sup> Represents the 3 month voluntary prepayment rate ("VPR"). | <sup>(1)</sup> Investment characteristics exclude the impact of interest-only securities. <br><sup>(2)</sup> Represents the 3 month voluntary prepayment rate ("VPR"). | <sup>(1)</sup> Investment characteristics exclude the impact of interest-only securities. <br><sup>(2)</sup> Represents the 3 month voluntary prepayment rate ("VPR"). | <sup>(1)</sup> Investment characteristics exclude the impact of interest-only securities. <br><sup>(2)</sup> Represents the 3 month voluntary prepayment rate ("VPR"). | <sup>(1)</sup> Investment characteristics exclude the impact of interest-only securities. <br><sup>(2)</sup> Represents the 3 month voluntary prepayment rate ("VPR"). | <sup>(1)</sup> Investment characteristics exclude the impact of interest-only securities. <br><sup>(2)</sup> Represents the 3 month voluntary prepayment rate ("VPR"). | <sup>(1)</sup> Investment characteristics exclude the impact of interest-only securities. <br><sup>(2)</sup> Represents the 3 month voluntary prepayment rate ("VPR"). |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Bond Coupon** | **Bond Coupon** | **Bond Coupon** | **Bond Coupon** | |
| **Product** | **ARM** | **Fixed** | **Floater** | **Interest-Only** | **Estimated Fair Value** |
| **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Credit risk transfer | $**—** | $**—** | $**330647** | $**—** | $**330647** |
| &nbsp;&nbsp;&nbsp;Non-QM | **1320** | **310788** | **—** | **—** | **312108** |
| &nbsp;&nbsp;&nbsp;Prime | **—** | **98701** | **—** | **31770** | **130471** |
| &nbsp;&nbsp;&nbsp;SBC | **—** | **176868** | **6480** | **—** | **183348** |
| &nbsp;&nbsp;&nbsp;NPL/RPL | **—** | **424118** | **11195** | **55** | **435368** |
| &nbsp;&nbsp;&nbsp;RTL | **—** | **174755** | **—** | **—** | **174755** |
| &nbsp;&nbsp;&nbsp;Prime jumbo (>=2010 vintage) | **—** | **51622** | **19246** | **107341** | **178209** |
| **Total** | $**1320** | $**1236852** | $**367568** | $**139166** | $**1744906** |

---

***Contractual Obligations***

The following table summarizes the effect on our liquidity and cash flows from contractual obligations at September 30, 2025. The table does not include the effect of net interest rate payments on our interest rate swap agreements. The net swap payments will fluctuate based on monthly changes in the receive rate. At September 30, 2025, the interest rate swaps had a net fair value of ($21.2) million.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Within One<br>Year** | **One to Three<br>Years** | **Three to Five<br>Years** | **More than<br>Five Years** | **Total** |
|  | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Repurchase agreements | $**74840852** | $**278111** | $**—** | $**—** | $**75118963** |
| &nbsp;&nbsp;Interest expense on repurchase agreements <sup>(1)</sup> | **449527** | **6146** | **—** | **—** | **455673** |
| &nbsp;&nbsp;&nbsp;Other secured financing | **250000** | **775000** | **—** | **—** | **1025000** |
| &nbsp;&nbsp;Interest expense on other secured financing <sup>(1)</sup> | **57833** | **20935** | **—** | **—** | **78768** |
| &nbsp;&nbsp;&nbsp;Debt issued by securitization vehicles (principal) | **—** | **—** | **—** | **27098983** | **27098983** |
| &nbsp;&nbsp;&nbsp;Interest expense on debt issued by securitization vehicles | **1499940** | **2999880** | **2999880** | **46555027** | **54054727** |
| &nbsp;&nbsp;&nbsp;Participations issued (principal) | **—** | **—** | **—** | **1772035** | **1772035** |
| &nbsp;&nbsp;&nbsp;Interest expense on participations issued | **120655** | **241310** | **241310** | **2978253** | **3581528** |
| &nbsp;&nbsp;&nbsp;Long-term operating lease obligations | **259** | **5465** | **7662** | **49167** | **62553** |
| **Total** | $**77219066** | $**4326847** | $**3248852** | $**78453465** | $**163248230** |
| <sup>(1)</sup> Interest expense on repurchase agreements and other secured financing calculated based on rates at September 30, 2025. | <sup>(1)</sup> Interest expense on repurchase agreements and other secured financing calculated based on rates at September 30, 2025. | <sup>(1)</sup> Interest expense on repurchase agreements and other secured financing calculated based on rates at September 30, 2025. | <sup>(1)</sup> Interest expense on repurchase agreements and other secured financing calculated based on rates at September 30, 2025. | <sup>(1)</sup> Interest expense on repurchase agreements and other secured financing calculated based on rates at September 30, 2025. | <sup>(1)</sup> Interest expense on repurchase agreements and other secured financing calculated based on rates at September 30, 2025. |

---

In the coming periods, we expect to continue to finance our Residential Securities in a manner that is largely consistent with our current operations via repurchase agreements. We may use securitization structures, credit facilities, or other term financing structures to finance certain of our assets. During the nine months ended September 30, 2025, we received $5.9 billion from principal repayments and $11.7 billion in cash from disposal of Securities. During the nine months ended September 30, 2024, we received $4.9 billion from principal repayments and $17.3 billion in cash from disposal of Securities.

***Commitments and Contractual Obligations with Unconsolidated Entities***

We do not have any commitments or contractual obligations arising from arrangements with unconsolidated entities that have or are reasonably likely to have a material effect on our financial condition, revenues or expenses, results of operations, liquidity, cash requirements or capital resources.

**Capital Management**

Maintaining a strong balance sheet that can support the business even in times of economic stress and market volatility is of critical importance to our business strategy. A strong and robust capital position is essential to executing our investment strategy. Our capital strategy is predicated on a strong capital position, which enables us to execute our investment strategy regardless of the market environment. Our capital policy defines the parameters and principles supporting a comprehensive capital management practice.

The major risks impacting capital are liquidity and funding risk, investment/market risk, credit risk, counterparty risk, operational risk and compliance, regulatory and legal risk. For further discussion of the risks we are subject to, please see Part I,

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

Item 1A. "Risk Factors" in 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.

Capital requirements are based on maintaining levels above approved thresholds, ensuring the quality of our capital appropriately reflects our asset mix, market and funding structure. In the event we fall short of our internal thresholds, we will consider appropriate actions which may include asset sales, changes in asset mix, reductions in asset purchases or originations, issuance of capital or other capital enhancing or risk reduction strategies.

***Stockholders' Equity***

The following table provides a summary of total stockholders' equity at September 30, 2025 and December 31, 2024:

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| | | |
|:---|:---|:---|
| | **September 30, 2025** | **December 31, 2024** |
| **Stockholders' equity** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;6.95% Series F fixed-to-floating rate cumulative redeemable preferred stock | $**696910** | $696910 |
| &nbsp;&nbsp;&nbsp;6.50% Series G fixed-to-floating rate cumulative redeemable preferred stock | **411335** | 411335 |
| &nbsp;&nbsp;&nbsp;6.75% Series I fixed-to-floating rate cumulative redeemable preferred stock | **428324** | 428324 |
| &nbsp;&nbsp;&nbsp;8.875% Series J fixed-rate cumulative redeemable preferred stock | **265911** |  |
| &nbsp;&nbsp;&nbsp;Common stock | **6811** | 5784 |
| &nbsp;&nbsp;&nbsp;Additional paid-in capital | **27352976** | 25257716 |
| &nbsp;&nbsp;&nbsp;Accumulated other comprehensive income (loss) | **(624387)** | (1017682) |
| &nbsp;&nbsp;&nbsp;Accumulated deficit | **(13626983)** | (13173146) |
| **Total stockholders' equity** | $**14910897** | $12609241 |

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***Capital Stock***

*Common Stock*

In January 2022, we announced that our Board authorized the repurchase of up to $1.5 billion of our outstanding shares of common stock through December 31, 2024 (the "Prior Common Stock Repurchase Program"). In January 2025, we announced that our Board authorized the repurchase of up to $1.5 billion of our outstanding shares of common stock through December 31, 2029 (the "Current Common Stock Repurchase Program"). The Current Common Stock Repurchase Program replaced the Prior Common Stock Repurchase Program. During the three and nine months ended September 30, 2025 and 2024, no shares were repurchased under the Current Common Stock Repurchase Program or the Prior Common Stock Repurchase Program, respectively.

Purchases made pursuant to the Current Common Stock Repurchase Program will be made in either the open market or in privately negotiated transactions from time to time as permitted by securities laws and other legal requirements. The timing, manner, price and amount of any repurchases will be determined by us in our discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate us to acquire any particular amount of common stock and the program may be suspended or discontinued at our discretion without prior notice.

On September 20, 2024, we entered into separate Distribution Agency Agreements (collectively, the "Prior 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 "Prior Sales Agents"). Under the terms of the Prior Sales Agreements, we offered and sold shares of our common stock, having an aggregate offering price of up to $1.5 billion, from time to time through any of the Prior Sales Agents (the "Prior At-The-Market Sales Program").

On May 8, 2025, we entered into separate Distribution Agency Agreements (collectively, the "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 Prior Sales Agreements. Under the terms of the Sales Agreements, we may offer and sell shares of our common stock, having an aggregate offering price of up to $2.0 billion (the "Shares"), from time to time through any of the Sales Agents (the "Current At-The-Market Sales Program" and, together with the Prior At-The-Market Sales Program, the "at-the-market sales program").

During the three and nine months ended September 30, 2025, under the at-the-market sales program, we issued 39.0 million and 102.0 million shares for proceeds of $823.3 million and $2.1 billion, respectively, each net of commissions and fees. During the

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

three and nine months ended September 30, 2024, under the at-the-market sales program, we issued 57.0 million and 57.6 million shares for proceeds of $1.1 billion and $1.2 billion, respectively, each net of commissions and fees. Refer to the "Capital Stock" Note located within Item 1 for additional information related to the at-the-market sales program.

*Preferred Stock*

On December 31, 2024, the Board approved a repurchase plan for all of our existing outstanding Preferred Stock (as defined below) (the "Preferred Stock Repurchase Program"). Under the terms of the Preferred Stock Repurchase Program, we are authorized to repurchase up to an aggregate of 63,500,000 shares of Preferred Stock, comprised of up to (i) 28,800,000 shares of our 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 our 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 our 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "Series I Preferred Stock", and together with Series F Preferred Stock and Series G Preferred Stock, the "Preferred Stock"). The aggregate liquidation value of the Preferred Stock that may be repurchased by us pursuant to the Preferred Stock Repurchase Program, as of September 30, 2025, was approximately $1.6 billion.

The Preferred Stock Repurchase Program became effective on January 1, 2025 and will expire on December 31, 2029, and replaced the Preferred Stock repurchase program, which was effective from November 2, 2022 and expired on December 31, 2024 (the "Prior Preferred Stock Repurchase Program"). No shares were repurchased with respect to the Preferred Stock Repurchase Program during the three and nine months ended September 30, 2025 and the Prior Preferred Stock Repurchase Program during the three and nine months ended September 30, 2024.

Purchases made pursuant to the Current Preferred Stock Repurchase Program will be made in either the open market or in privately negotiated transactions from time to time as permitted by securities laws and other legal requirements. The timing, manner, price and amount of any repurchases will be determined by us in our discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate us to acquire any particular amount of Preferred Stock and the program may be suspended or discontinued at our discretion without prior notice.

During the three and nine months ended September 30, 2025, we issued 11,000,000 shares of our Series J Preferred Stock, which included the exercise by the underwriters of their option to purchase an additional 1,000,000 shares of Series J Preferred Stock solely to cover over-allotments, for gross proceeds of $275 million before deducting the underwriting discount and other estimated offering expenses.

***Leverage and Capital***

We believe that it is prudent to maintain conservative GAAP leverage ratios and economic leverage ratios as there may be continued volatility in the mortgage and credit markets. Our capital policy governs our capital and leverage position including setting limits. Based on the guidelines, we generally expect to maintain an economic leverage ratio of less than 10:1. Our actual economic leverage ratio varies from time to time based upon various factors, including our management's opinion of the level of risk of our assets and liabilities, our liquidity position, our level of unused borrowing capacity, the availability of credit, over-collateralization levels required by lenders when we pledge assets to secure borrowings and our assessment of domestic and international market conditions.

Our GAAP leverage ratio at September 30, 2025 and December 31, 2024 was 7.1:1 and 7.1:1, respectively. Our economic leverage ratio, which is computed as the sum of Recourse Debt, cost basis of TBA derivatives outstanding, and net forward purchases (sales) of investments divided by total equity was 5.7:1 and 5.5:1, at September 30, 2025 and December 31, 2024, respectively. Our GAAP capital ratio at September 30, 2025 and December 31, 2024 was 11.9% and 12.3%, respectively. Our economic capital ratio, which represents our ratio of stockholders' equity to total economic assets (inclusive of the implied market value of TBA derivatives and net of debt issued by securitization vehicles and participations issued), was 14.8% and 14.8% at September 30, 2025 and December 31, 2024, respectively. Economic leverage ratio and economic capital ratio are non-GAAP financial measures. Refer to the "Non-GAAP Financial Measures" section for additional information, including reconciliations to their most directly comparable GAAP results.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**Risk Management**

We are subject to a variety of risks in the ordinary conduct of our business. The effective management of these risks is of critical importance to the overall success of Annaly. The objective of our risk management framework is to identify, measure and monitor these risks.

Our risk management framework is intended to facilitate a holistic, enterprise-wide view of risk. We believe we have built a strong and collaborative risk management culture throughout Annaly focused on awareness which supports appropriate understanding and management of our key risks. Each employee is accountable for identifying, monitoring and managing risk within their area of responsibility.

***Risk Appetite***

We maintain a firm-wide risk appetite statement which defines the types and levels of risk we are willing to take in order to achieve our business objectives, and reflects our risk management philosophy. We engage in risk activities based on our core expertise that aim to enhance value for our stockholders. Our activities focus on income generation and capital preservation through proactive portfolio management, supported by a conservative liquidity and leverage posture.

The risk appetite statement asserts the following key risk parameters to guide our investment management activities:

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| | |
|:---|:---|
| **Risk Parameter** | **Description** |
| &nbsp;&nbsp;&nbsp;**Portfolio Composition** | We will maintain a portfolio comprised of target assets approved by our Board and in accordance with our capital allocation policy. |
| &nbsp;&nbsp;&nbsp;**Leverage** | We generally expect to maintain an economic leverage ratio no greater than 10:1 considerate of our overall capital allocation framework. |
| &nbsp;&nbsp;&nbsp;**Liquidity Risk** | We will seek to maintain an unencumbered asset portfolio sufficient to meet our liquidity needs under adverse market conditions. |
| &nbsp;&nbsp;&nbsp;**Interest Rate Risk** | We will seek to manage interest rate risk to protect the portfolio from adverse rate movements utilizing derivative instruments targeting both income and capital preservation. |
| &nbsp;&nbsp;&nbsp;**Credit Risk** | We will seek to manage credit risk by making investments which conform to our specific investment policy parameters and optimize risk-adjusted returns. |
| &nbsp;&nbsp;&nbsp;**Capital Preservation** | We will seek to protect our capital base through disciplined risk management practices. |
| &nbsp;&nbsp;&nbsp;**Operational Risk** | We will seek to limit impacts to our business through disciplined operational risk management practices addressing areas including but not limited to, management of key third party relationships (i.e. originators, sub-servicers), human capital management, cybersecurity and technology related matters, business continuity and financial reporting risk. |
| &nbsp;&nbsp;&nbsp;**Compliance, Regulatory and Legal** | We will seek to comply with regulatory requirements needed to maintain our REIT status and our exemption from registration under the Investment Company Act and the licenses and approvals of our regulated and licensed subsidiaries. |

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***Governance***

Risk management begins with our Board, through the review and oversight of the risk management framework, and executive management, through the ongoing formulation of risk management practices and related execution in managing risk. The Board exercises its oversight of risk management primarily through the Risk Committee and Audit Committee with support from the other Board Committees. The Risk Committee is responsible for oversight of our risk governance structure, risk management (operational and market risk) and risk assessment guidelines and policies and our risk appetite. The Audit Committee is responsible for oversight of the quality and integrity of our accounting, internal controls and financial reporting practices, including independent auditor selection, evaluation and review, and oversight of the internal audit function. The Risk Committee and the Audit Committee jointly oversee practices and policies related to cybersecurity and receive regular reports from management throughout the year on cybersecurity and related risks. The Management Development and Compensation Committee is responsible for oversight of risk related to our compensation policies and practices and other human capital matters such as succession and culture. The Nominating/Corporate Governance Committee assists the Board in its oversight of our corporate governance framework and the annual self-evaluation of the Board, and the Corporate Responsibility Committee assists the Board in its oversight of any matters that may present reputational or environmental sustainability risk to us. The full Board has overall responsibility for this oversight, and the Corporate Responsibility Committee meets jointly with other Committees from time to time in order to review areas of shared responsibility.

Risk assessment and risk management are the responsibility of our management. A series of management committees has oversight or decision-making responsibilities for risk management activities. Membership of these committees is reviewed

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

regularly to ensure the appropriate personnel are engaged in the risk management process. Three primary management committees have been established to provide a comprehensive framework for risk management. The management committees responsible for our risk management include the Enterprise Risk Committee ("ERC"), Asset / Liability Committee ("ALCO") and the Financial Reporting and Disclosure Committee ("FRDC"). Each of these committees reports to our management Operating Committee, which is responsible for oversight and management of our operations, including oversight and approval authority over all aspects of our enterprise risk management.

Audit Services is an independent function with reporting lines to the Audit Committee. Audit Services is responsible for performing our internal audit activities, which includes independently assessing and validating key controls within the risk management framework.

Our compliance group is responsible for oversight of our regulatory compliance. Our Chief Compliance Officer has reporting lines to the Audit Committee.

***Description of Risks***

We are subject to a variety of risks due to the business we operate. Risk categories are an important component of a robust enterprise-wide risk management framework.

We have identified the following primary categories that we utilize to identify, assess, measure and monitor risk.

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| | |
|:---|:---|
| **Risk** | **Description** |
| **Liquidity and Funding Risk** | Risk to earnings, capital or business resulting from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding. |
| **Investment/Market Risk** | Risk to earnings, capital or business resulting in the decline in value of our assets or an increase in the costs of financing caused by changes in market variables, such as interest rates, which affect the values of investment securities and other investment instruments. |
| **Credit Risk** | Risk to earnings, capital or business resulting from an obligor's failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in lending and investing activities. |
| **Counterparty Risk** | Risk to earnings, capital or business resulting from a counterparty's failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in funding, hedging and investing activities. |
| **Operational Risk** | Risk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems (including business continuity planning), human factors or external events. This risk also applies to our use of proprietary and third party models, software vendors and data providers, and oversight of third party service providers such as sub-servicers, due diligence firms etc. |
| **Compliance, Regulatory and Legal Risk** | Risk to earnings, capital, reputation or conduct of business arising from violations of, or nonconformance with internal and external applicable rules and regulations, losses resulting from lawsuits or adverse judgments, or from changes in the regulatory environment that may impact our business model. |

---

***Liquidity and Funding Risk Management***

Our liquidity and funding risk management strategy is designed to ensure the availability of sufficient resources to support our business and meet our financial obligations under both normal and adverse market and business environments. Our liquidity and funding risk management practices consist of the following primary elements:

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| | |
|:---|:---|
| **Element** | **Description** |
| **Funding** | Availability of diverse and stable sources of funds. |
| **Excess Liquidity** | Excess liquidity primarily in the form of unencumbered assets and cash. |
| **Maturity Profile** | Diversity and tenor of liabilities and modest use of leverage. |
| **Stress Testing** | Scenario modeling to measure the resiliency of our liquidity position. |
| **Liquidity Management Policies** | Comprehensive policies including monitoring, risk limits and an escalation protocol. |

---

*Funding*

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

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

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

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

To reduce our liquidity risk we maintain a laddered approach to our repurchase agreements. At September 30, 2025 and December 31, 2024, the weighted average days to maturity was 49 days and 32 days, respectively.

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

At September 30, 2025, we had total financial assets and cash pledged against existing liabilities of $80.3 billion. The weighted average haircut was approximately 3% on repurchase agreements. The quality and character of the Residential Securities that we pledge as collateral under the repurchase agreements and interest rate swaps did not materially change at September 30, 2025, compared to the same period in 2024, and our counterparties did not materially alter any requirements, including required haircuts, related to the collateral we pledge under repurchase agreements and interest rate swaps during the three months ended September 30, 2025.

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

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Repurchase Agreements** | **Repurchase Agreements** | **Reverse Repurchase Agreements** | **Reverse Repurchase Agreements** |
| | **Average Daily<br>Amount Outstanding** | **Ending Amount Outstanding** | **Average Daily<br>Amount Outstanding** | **Ending Amount Outstanding** |
| **For the three months ended** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;September 30, 2025 | $**74041222** | $**75118963** | $**3871747** | $**35004** |
| &nbsp;&nbsp;&nbsp;June 30, 2025 | 67699628 | 66541378 | 3434050 |  |
| &nbsp;&nbsp;&nbsp;March 31, 2025 | 66724268 | 61659460 | 2721386 |  |
| &nbsp;&nbsp;&nbsp;December 31, 2024 | 68092016 | 65688923 | 2778970 |  |
| &nbsp;&nbsp;&nbsp;September 30, 2024 | 67092629 | 64310276 | 3041120 |  |
| &nbsp;&nbsp;&nbsp;June 30, 2024 | 63043218 | 60787994 | 2322479 |  |
| &nbsp;&nbsp;&nbsp;March 31, 2024 | 64027388 | 58975232 | 2323485 |  |
| &nbsp;&nbsp;&nbsp;December 31, 2023 | 61924576 | 62201543 | 1340204 |  |
| &nbsp;&nbsp;&nbsp;September 30, 2023 | 66020036 | 64693821 | 257097 |  |

---

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

The following table provides information on our repurchase agreements and other secured financing by maturity date at September 30, 2025. The weighted average remaining maturity on our repurchase agreements and other secured financing was 54 days at September 30, 2025:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** | **September 30, 2025** |
| | **Principal Balance** | **Principal Balance** | **Weighted Average Rate** | **% of Total** |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;1 day | **$** | **26994527** | **4.38%** | **35.4%** |
| &nbsp;&nbsp;&nbsp;2 to 29 days | **2103067** | **2103067** | **4.90%** | **2.8%** |
| &nbsp;&nbsp;&nbsp;30 to 59 days | **14059608** | **14059608** | **4.38%** | **18.5%** |
| &nbsp;&nbsp;&nbsp;60 to 89 days | **23209704** | **23209704** | **4.27%** | **30.5%** |
| &nbsp;&nbsp;&nbsp;90 to 119 days | **4578922** | **4578922** | **4.18%** | **6.0%** |
| &nbsp;&nbsp;Over 119 days <sup>(1)</sup> | **5198135** | **5198135** | **5.06%** | **6.8%** |
| **Total** | **$** | **76143963** | **4.40%** | **100.0%** |
| <sup>(1)</sup> Approximately 1% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year. | <sup>(1)</sup> Approximately 1% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year. | <sup>(1)</sup> Approximately 1% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year. | <sup>(1)</sup> Approximately 1% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year. | <sup>(1)</sup> Approximately 1% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year. |

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

We also finance our investments in residential mortgage loans through the issuance of securitization transactions sponsored by our wholly-owned subsidiary Onslow Bay Financial LLC ("Onslow Bay") under the Onslow Bay private-label securitization program. In order to increase financing optionality for our Onslow Bay platform, during the quarter we renewed or extended existing facilities and upsized one facility by $100 million.

The following table presents our outstanding debt balances and associated weighted average rates and days to maturity at September 30, 2025:

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| | | | | |
|:---|:---|:---|:---|:---|
| | | **Weighted Average Rate** | **Weighted Average Rate** | |
| | **Principal Balance** | **As of Period End** | **For the Quarter** | **Weighted Average**<br>**Days to Maturity** <sup>(1)</sup> |
| | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Repurchase agreements | $**75118963** | **4.36%** | **4.50%** | **49** |
| &nbsp;&nbsp;&nbsp;Other secured financing | **1025000** | **6.94%** | **7.00%** | **399** |
| &nbsp;&nbsp;Debt issued by securitization vehicles <sup>(2)</sup> | **27098983** | **5.54%** | **5.30%** | **12974** |
| &nbsp;&nbsp;Participations issued <sup>(2)</sup> | **1772035** | **6.65%** | **6.58%** | **10835** |
| **Total indebtedness** | $**105014981** |  |  |  |
| <sup>(1)</sup> Determined based on estimated weighted-average lives of the underlying debt instruments.<br><sup>(2)</sup> Non-recourse to Annaly. | <sup>(1)</sup> Determined based on estimated weighted-average lives of the underlying debt instruments.<br><sup>(2)</sup> Non-recourse to Annaly. | <sup>(1)</sup> Determined based on estimated weighted-average lives of the underlying debt instruments.<br><sup>(2)</sup> Non-recourse to Annaly. | <sup>(1)</sup> Determined based on estimated weighted-average lives of the underlying debt instruments.<br><sup>(2)</sup> Non-recourse to Annaly. | <sup>(1)</sup> Determined based on estimated weighted-average lives of the underlying debt instruments.<br><sup>(2)</sup> Non-recourse to Annaly. |

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*Excess Liquidity*

Our primary source of liquidity is the availability of unencumbered assets which may be provided as collateral to support additional funding needs. We target minimum thresholds of available, unencumbered assets to maintain excess liquidity. The following table illustrates our asset portfolio available to support potential collateral obligations and funding needs.

Assets are considered encumbered if pledged as collateral against an existing liability, and therefore are no longer available to support additional funding. An asset is considered unencumbered if it has not been pledged or securitized. The following table also provides the carrying amount of our encumbered and unencumbered financial assets at September 30, 2025:

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| | | | |
|:---|:---|:---|:---|
| | **Encumbered Assets** | **Unencumbered Assets** | **Total** |
| **Financial assets** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Cash and cash equivalents | $**1776349** | $**320347** | $**2096696** |
| &nbsp;&nbsp;Reverse repurchase agreements <sup>(1)</sup> | **35004** | **—** | **35004** |
| **Investments, at carrying value** <sup>(2)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;Agency mortgage-backed securities | **75369462** | **5610031** | **80979493** |
| &nbsp;&nbsp;&nbsp;Credit risk transfer securities | **253257** | **77390** | **330647** |
| &nbsp;&nbsp;&nbsp;Non-agency mortgage-backed securities | **757761** | **634432** | **1392193** |
| &nbsp;&nbsp;Residential mortgage loans <sup>(3)</sup> | **33177126** | **343482** | **33520608** |
| &nbsp;&nbsp;&nbsp;MSR | **3164697** | **311484** | **3476181** |
| &nbsp;&nbsp;&nbsp;Interests in MSR | **—** | **35833** | **35833** |
| &nbsp;&nbsp;Other assets <sup>(4)</sup> | **—** | **50506** | **50506** |
| **Total financial assets** | $**114533656** | $**7383505** | $**121917161** |
| <sup>(1)</sup> The collateral received in connection with reverse repurchase agreements was repledged as of September 30, 2025.<br><sup>(2)</sup> The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported in the Consolidated Statements of Financial Condition.<br><sup>(3)</sup> Includes assets transferred or pledged to securitization vehicles.<br><sup>(4)</sup> Includes commercial real estate investments and interests in certain joint ventures. | <sup>(1)</sup> The collateral received in connection with reverse repurchase agreements was repledged as of September 30, 2025.<br><sup>(2)</sup> The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported in the Consolidated Statements of Financial Condition.<br><sup>(3)</sup> Includes assets transferred or pledged to securitization vehicles.<br><sup>(4)</sup> Includes commercial real estate investments and interests in certain joint ventures. | <sup>(1)</sup> The collateral received in connection with reverse repurchase agreements was repledged as of September 30, 2025.<br><sup>(2)</sup> The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported in the Consolidated Statements of Financial Condition.<br><sup>(3)</sup> Includes assets transferred or pledged to securitization vehicles.<br><sup>(4)</sup> Includes commercial real estate investments and interests in certain joint ventures. | <sup>(1)</sup> The collateral received in connection with reverse repurchase agreements was repledged as of September 30, 2025.<br><sup>(2)</sup> The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported in the Consolidated Statements of Financial Condition.<br><sup>(3)</sup> Includes assets transferred or pledged to securitization vehicles.<br><sup>(4)</sup> Includes commercial real estate investments and interests in certain joint ventures. |

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We maintain liquid assets in order to satisfy our current and future obligations in normal and stressed operating environments. These are held as the primary means of liquidity risk mitigation. The composition of our liquid assets is also considered and is subject to certain parameters. The composition is monitored for concentration risk, including in respect of our deposits of our cash and cash equivalents, and asset type. We believe the assets we consider liquid can be readily converted into cash, through liquidation or by being used as collateral in financing arrangements (including as additional collateral to support existing financial arrangements). Our balance sheet also generates liquidity on an on-going basis through mortgage principal and interest repayments and net earnings held prior to payment of dividends. The following table presents our liquid assets as a percentage of total assets at September 30, 2025:

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

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| | |
|:---|:---|
| | **Carrying Value** <sup>(1)</sup> |
| **Liquid assets** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;Cash and cash equivalents | $**2096696** |
| &nbsp;&nbsp;Residential Securities <sup>(2)</sup> | **82702278** |
| &nbsp;&nbsp;Residential mortgage loans <sup>(3)</sup> | **4008299** |
| **Total liquid assets** | $**88807273** |
| **Percentage of liquid assets to carrying amount of encumbered and unencumbered financial assets** <sup>(4)</sup> | **96.12%** |
| <sup>(1)</sup> Carrying value approximates the market value of assets. The assets listed in this table include $80.3 billion of assets that have been pledged as collateral against existing liabilities at September 30, 2025. Please refer to the Encumbered and Unencumbered Assets table for related information.<br><sup>(2)</sup> The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported in the Consolidated Statements of Financial Condition.<br><sup>(3)</sup> Excludes securitized residential mortgage loans transferred or pledged to consolidated VIEs carried at fair value of $29.5 billion.<br><sup>(4)</sup> Denominator is computed based on the carrying amount of encumbered and unencumbered financial assets, excluding assets transferred or pledged to securitization vehicles, of $29.5 billion. | <sup>(1)</sup> Carrying value approximates the market value of assets. The assets listed in this table include $80.3 billion of assets that have been pledged as collateral against existing liabilities at September 30, 2025. Please refer to the Encumbered and Unencumbered Assets table for related information.<br><sup>(2)</sup> The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported in the Consolidated Statements of Financial Condition.<br><sup>(3)</sup> Excludes securitized residential mortgage loans transferred or pledged to consolidated VIEs carried at fair value of $29.5 billion.<br><sup>(4)</sup> Denominator is computed based on the carrying amount of encumbered and unencumbered financial assets, excluding assets transferred or pledged to securitization vehicles, of $29.5 billion. |

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*Maturity Profile and Interest Rate Sensitivity*

We consider the profile of our assets, liabilities and derivatives when managing both liquidity risk as well as investment/market risk. We determine the amount of liquid assets that are required to be held by monitoring several liquidity metrics. We utilize several modeling techniques to analyze our current and potential obligations including the expected cash flows from our assets, liabilities and derivatives. The following table illustrates the expected final maturities and cash flows of our assets, liabilities and derivatives. The table is based on a static portfolio and assumes no reinvestment of asset cash flows and no future liabilities are entered into. In assessing the maturity of our assets, liabilities and off-balance sheet obligations, we use the stated maturities, or our prepayment expectations for assets and liabilities that exhibit prepayment characteristics. Cash and cash equivalents are included in the 'Less than 3 Months' maturity bucket, as they are typically held for a short period of time.

With respect to each maturity bucket, our maturity gap is considered negative when the amount of maturing liabilities exceeds the amount of maturing assets. A negative gap increases our liquidity risk as we must enter into future liabilities.

Our interest rate sensitivity gap is the difference between interest earning assets and interest bearing liabilities maturing or re-pricing within a given time period. Unlike the calculation of maturity gap, interest rate sensitivity gap includes the effect of our interest rate swaps. A gap is considered positive when the amount of interest-rate sensitive assets exceeds the amount of interest-rate sensitive liabilities. A gap is considered negative when the amount of interest-rate sensitive liabilities exceeds interest-rate sensitive assets. During a period of rising interest rates, a negative gap would tend to adversely affect net interest income, while a positive gap would tend to result in an increase in net interest income. During a period of falling interest rates, a negative gap would tend to result in an increase in net interest income, while a positive gap would tend to affect net interest income adversely. Because different types of assets and liabilities with the same or similar maturities may react differently to changes in overall market rates or conditions, changes in interest rates may affect net interest income positively or negatively even if assets and liabilities were perfectly matched in each maturity category. The amount of assets and liabilities utilized to compute our interest rate sensitivity gap was determined in accordance with the contractual terms of the assets and liabilities, except that adjustable-rate loans and securities are included in the period in which their interest rates are first scheduled to adjust and not in the period in which they mature. The effects of interest rate swaps, whereby we generally pay a fixed rate and receive a floating rate and effectively lock in our financing costs for a longer term, are also reflected in our interest rate sensitivity gap.

The interest rate sensitivity of our assets and liabilities in the following table at September 30, 2025 could vary substantially based on actual prepayment experience.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Less than 3<br>Months** | **3-12<br> Months** | **More than 1 Year to 3 Years** | **3 Years and Over** | **Total** |
| **Financial assets** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| **Cash and cash equivalents** | $**2096696** | $**—** | $**—** | $**—** | $**2096696** |
| **Reverse repurchase agreements** | **—** | **—** | **—** | **35004** | **35004** |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency mortgage-backed securities (principal) | **—** | **115** | **62162** | **82201224** | **82263501** |
| &nbsp;&nbsp;&nbsp;&nbsp;Residential credit risk transfer securities (principal) | **4664** | **5841** | **57466** | **244974** | **312945** |
| &nbsp;&nbsp;&nbsp;&nbsp;Non-agency mortgage-backed securities (principal) | **27867** | **229566** | **439841** | **641359** | **1338633** |
| &nbsp;&nbsp;&nbsp;&nbsp;Commercial mortgage-backed securities (principal) | **—** | **—** | **—** | **—** | **—** |
| **Total securities** | **32531** | **235522** | **559469** | **83087557** | **83915079** |
| **Loans (principal)** | **—** | **—** | **—** | **3878557** | **3878557** |
| **Assets transferred or pledged to securitization vehicles (principal)** | **—** | **—** | **—** | **29723650** | **29723650** |
| **Total financial assets - maturity** | **2129227** | **235522** | **559469** | **116724768** | **119648986** |
| &nbsp;&nbsp;&nbsp;&nbsp;Effect of utilizing reset dates <sup>(1)</sup> | **30290520** | **547022** | **683950** | **(31521492)** | **—** |
| **Total financial assets - interest rate sensitive** | $**32419747** | $**782544** | $**1243419** | $**85203276** | $**119648986** |
| **Financial liabilities** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Repurchase agreements | $**66116906** | $**8723946** | $**278111** | $**—** | $**75118963** |
| &nbsp;&nbsp;&nbsp;&nbsp;Debt issued by securitization vehicles (principal) | **—** | **—** | **—** | **27098983** | **27098983** |
| &nbsp;&nbsp;&nbsp;&nbsp;Participations issued (principal) | **—** | **—** | **—** | **1772035** | **1772035** |
| &nbsp;&nbsp;&nbsp;U.S. Treasury securities sold, not yet purchased | **2442570** | **—** | **—** | **—** | **2442570** |
| **Total financial liabilities - maturity** | **68559476** | **8723946** | **278111** | **28871018** | **106432551** |
| &nbsp;&nbsp;&nbsp;&nbsp;Effect of utilizing reset dates <sup>(1)(2)</sup> | **(59158681)** | **1205554** | **26168855** | **31784272** | **—** |
| **Total financial liabilities - interest rate sensitive** | $**9400795** | $**9929500** | $**26446966** | $**60655290** | $**106432551** |
| **Maturity gap** | $**(66430249)** | $**(8488424)** | $**281358** | $**87853750** | $**13216435** |
| **Cumulative maturity gap** | $**(66430249)** | $**(74918673)** | $**(74637315)** | $**13216435** |  |
| **Interest rate sensitivity gap** | $**23018952** | $**(9146956)** | $**(25203547)** | $**24547986** | $**13216435** |
| **Cumulative rate sensitivity gap** | $**23018952** | $**13871996** | $**(11331551)** | $**13216435** |  |
| <sup>(1)</sup>Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable.<br><sup>(2)</sup>Includes effect of interest rate swaps. | <sup>(1)</sup>Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable.<br><sup>(2)</sup>Includes effect of interest rate swaps. | <sup>(1)</sup>Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable.<br><sup>(2)</sup>Includes effect of interest rate swaps. | <sup>(1)</sup>Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable.<br><sup>(2)</sup>Includes effect of interest rate swaps. | <sup>(1)</sup>Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable.<br><sup>(2)</sup>Includes effect of interest rate swaps. | <sup>(1)</sup>Maturity gap utilizes stated maturities, or prepayment expectations for assets that exhibit prepayment characteristics, while interest rate sensitivity gap utilizes reset dates, if applicable.<br><sup>(2)</sup>Includes effect of interest rate swaps. |

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The methodologies we employ for evaluating interest rate risk include an analysis of our interest rate "gap," measurement of the duration and convexity of our portfolio and sensitivities to interest rates and spreads.

*Stress Testing*

We utilize liquidity stress testing to ensure we have sufficient liquidity under a variety of scenarios and stresses. These stress tests assist with the management of our pool of liquid assets and influence our current and future funding plans. The stresses applied include market-wide and firm-specific stresses.

*Liquidity Management Policies*

We utilize a comprehensive liquidity policy structure to inform our liquidity risk management practices including monitoring and measurement, along with well-defined key risk indicators. Both quantitative and qualitative targets are utilized to measure the ongoing stability and condition of the liquidity position, and include the level and composition of unencumbered assets, as well as the sustainability of the funding composition under stress conditions.

We also monitor early warning metrics designed to measure the quality and depth of liquidity sources based upon both company-specific and market conditions. The metrics assist in assessing our liquidity conditions and are integrated into our escalation protocol.

***Investment/Market Risk Management***

One of the primary risks we are subject to is investment/market risk. Changes in the level of interest rates can affect our net interest income, which is the difference between the income we earn on our interest earning assets and the interest expense incurred from interest bearing liabilities and derivatives. Changes in the level of interest rates and spreads can also affect the value of our assets and potential realization of gains or losses from the sale of these assets. We may utilize a variety of financial

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

instruments, including interest rate swaps, swaptions, options, futures and other hedges, in order to limit the adverse effects of interest rates on our results. In the case of interest rate swaps, we utilize contracts linked to SOFR but may also enter into interest rate swaps where the floating leg is linked to the overnight index swap rate or another index. In addition, we may use MAC interest rate swaps in which we may receive or make a payment at the time of entering such interest rate swap to compensate for the off-market nature of such interest rate swap. MAC interest rate swaps offer price transparency, flexibility and more efficient portfolio administration through compression which is the process of reducing the number of unique interest rate swap contracts and replacing them with fewer contracts containing market defined terms. Our portfolio and the value of our portfolio, including derivatives, may be adversely affected as a result of changing interest rates and spreads.

We simulate a wide variety of interest rate scenarios in evaluating our risk. Scenarios are run to capture our sensitivity to changes in interest rates, spreads and the shape of the yield curve. We also consider the assumptions affecting our analysis such as those related to prepayments. In addition to predefined interest rate scenarios, we utilize Value-at-Risk measures to estimate potential losses in the portfolio over various time horizons utilizing various confidence levels. The following tables estimate the potential changes in economic net interest income over a twelve month period and the immediate effect on our portfolio market value (inclusive of derivative instruments), should interest rates instantaneously increase or decrease by 25, 50 or 75 basis points, and the effect of portfolio market value if mortgage option-adjusted spreads instantaneously increase or decrease by 5, 15 or 25 basis points (assuming shocks are parallel and instantaneous). All changes to income and portfolio market value are measured as percentage changes from the projected net interest income and portfolio value at the base interest rate scenario. The net interest income simulations incorporate the interest expense effect of rate resets on liabilities and derivatives as well as the amortization expense and reinvestment of principal based on the prepayments on our securities, which varies based on the level of rates. The results assume no management actions in response to the rate or spread changes. The following table presents estimates at September 30, 2025. Actual results could differ materially from these estimates.

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| | | | |
|:---|:---|:---|:---|
| **Change in Interest Rate** <sup>(1)</sup> | **Estimated Percentage Change in Portfolio Value** <sup>(2)</sup> | **Estimated Change as a**<br>**% on NAV** <sup>(2)(3)</sup> | **Projected Percentage Change in Economic Net Interest Income** <sup>(4)</sup> |
| -75 Basis points | **(0.2%)** | **(1.7%)** | **(2.4%)** |
| -50 Basis points | **—%** | **(0.3%)** | **(1.3%)** |
| -25 Basis points | **—%** | **0.2%** | **(0.4%)** |
| +25 Basis points | **(0.1%)** | **(0.9%)** | **(0.3%)** |
| +50 Basis points | **(0.3%)** | **(2.4%)** | **(1.1%)** |
| +75 Basis points | **(0.6%)** | **(4.4%)** | **(2.6%)** |
| **MBS Spread Shock** <sup>(1)</sup> | **Estimated Change in**<br>**Portfolio Market Value** <sup>(2)</sup> | **Estimated Change as a**<br> **% on NAV** <sup>(2)(3)</sup> |  |
| -25 Basis points | **1.3%** | **9.7%** |  |
| -15 Basis points | **0.8%** | **5.8%** |  |
| -5 Basis points | **0.3%** | **1.9%** |  |
| +5 Basis points | **(0.3%)** | **(1.9%)** |  |
| +15 Basis points | **(0.8%)** | **(5.7%)** |  |
| +25 Basis points | **(1.3%)** | **(9.5%)** |  |
| <sup>(1)</sup> Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates.<br><sup>(2)</sup> Scenarios include securities, residential mortgage loans, MSR and derivative instruments.<br><sup>(3)</sup> NAV represents book value of equity.<br><sup>(4)</sup> Scenarios include securities, residential mortgage loans, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>(1)</sup> Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates.<br><sup>(2)</sup> Scenarios include securities, residential mortgage loans, MSR and derivative instruments.<br><sup>(3)</sup> NAV represents book value of equity.<br><sup>(4)</sup> Scenarios include securities, residential mortgage loans, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>(1)</sup> Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates.<br><sup>(2)</sup> Scenarios include securities, residential mortgage loans, MSR and derivative instruments.<br><sup>(3)</sup> NAV represents book value of equity.<br><sup>(4)</sup> Scenarios include securities, residential mortgage loans, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). | <sup>(1)</sup> Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates.<br><sup>(2)</sup> Scenarios include securities, residential mortgage loans, MSR and derivative instruments.<br><sup>(3)</sup> NAV represents book value of equity.<br><sup>(4)</sup> Scenarios include securities, residential mortgage loans, repurchase agreements, other secured financing and interest rate swaps. Economic net interest income includes the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). |

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***Credit Risk Management***

Key risk parameters have been established to specify our credit risk appetite. We seek to manage credit risk by making investments which conform to the firm's specific investment policy parameters and optimize risk-return attributes.

While we do not expect to encounter credit risk in our Agency mortgage-backed securities, we face credit risk on the non-Agency mortgage-backed securities and CRT securities in our portfolio. In addition, we are also exposed to credit risk on residential mortgage loans and commercial real estate investments. MSR values may also be impacted through reduced servicing fees and higher costs to service the underlying mortgage loans due to borrower performance. Generally, we are subject to risk of loss if an issuer or borrower fails to perform its contractual obligations. We have established policies and procedures for mitigating credit risk, including establishing and reviewing limits for credit exposure. In the case of residential mortgage loans and MSR, we may engage a third party to perform due diligence on a sample of loans that we believe sufficiently represents the entire pool. Once an investment is made, our ongoing surveillance process includes regular reviews, analysis and oversight of investments by our investment personnel and appropriate committee. We review credit and other risks

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

of loss associated with each investment. Our management monitors the overall portfolio risk and determines estimates of provision for loss. Additionally, ALCO has oversight of our credit risk exposure.

Our portfolio composition, based on balance sheet values, at September 30, 2025 and December 31, 2024 was as follows:

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| | | |
|:---|:---|:---|
| | **September 30, 2025** | **December 31, 2024** |
| **Category** | | |
| &nbsp;&nbsp;&nbsp;Agency mortgage-backed securities | **68.2%** | 68.6% |
| &nbsp;&nbsp;&nbsp;Credit risk transfer securities | **0.3%** | 0.8% |
| &nbsp;&nbsp;&nbsp;Non-agency mortgage-backed securities | **1.2%** | 1.5% |
| &nbsp;&nbsp;Residential mortgage loans <sup>(1)</sup> | **27.5%** | 26.0% |
| &nbsp;&nbsp;&nbsp;Commercial mortgage-backed securities | **—%** | 0.1% |
| &nbsp;&nbsp;Mortgage servicing rights <sup>(2)</sup> | **2.8%** | 3.0% |
| <sup>(1)</sup> Includes assets transferred or pledged to securitization vehicles.<br><sup>(2)</sup> Includes interests in MSR. | <sup>(1)</sup> Includes assets transferred or pledged to securitization vehicles.<br><sup>(2)</sup> Includes interests in MSR. | <sup>(1)</sup> Includes assets transferred or pledged to securitization vehicles.<br><sup>(2)</sup> Includes interests in MSR. |

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***Counterparty Risk Management***

Our use of repurchase and derivative agreements and trading activities create exposure to counterparty risk relating to potential losses that could be recognized if the counterparties to these agreements fail to perform their obligations under the contracts. In the event of default by a counterparty, we could have difficulty obtaining our assets pledged as collateral. A significant portion of our investments are financed with repurchase agreements by pledging our Residential Securities as collateral to the applicable lender. The collateral we pledge generally exceeds the amount of the borrowings under each agreement. If the counterparty to the repurchase agreement defaults on its obligations and we are not able to recover our pledged asset, we are at risk of losing the over-collateralization or haircut. The amount of this exposure is the difference between the amount loaned to us plus interest due to the counterparty and the fair value of the collateral pledged by us to the lender including accrued interest receivable on such collateral.

We also use interest rate swaps and other derivatives that are not centrally cleared to manage interest rate risk. Under these agreements, we pledge securities and cash as collateral or settle variation margin payments as part of a margin arrangement.

If a counterparty were to default on its obligations, we would be exposed to a loss to a derivative counterparty to the extent that the amount of our securities or cash pledged exceeded the unrealized loss on the associated derivative and we were not able to recover the excess collateral. Additionally, we would be exposed to a loss to a derivative counterparty to the extent that our unrealized gains on derivative instruments exceeded the amount of the counterparty's securities or cash pledged to us.

We monitor our exposure to counterparties across several dimensions including by type of arrangement, collateral type, counterparty type, ratings and geography. Additionally, ALCO has oversight of our counterparty exposure. The following table summarizes our exposure to counterparties by geography at September 30, 2025:

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Number of Counterparties** | **Secured Financing** <sup>(1)</sup> | **Interest Rate Swaps at Fair Value** | **Exposure** <sup>(2)</sup> |
| **Geography** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** | **(dollars in thousands)** |
| &nbsp;&nbsp;&nbsp;North America | **21** | $**58667332** | $**(16217)** | $**3885242** |
| &nbsp;&nbsp;&nbsp;Europe | **10** | **13002589** | **(4935)** | **948449** |
| &nbsp;&nbsp;&nbsp;Asia (non-Japan) | **1** | **488886** | **—** | **15377** |
| &nbsp;&nbsp;&nbsp;Japan | **4** | **3985156** | **—** | **871114** |
| **Total** | **36** | $**76143963** | $**(21152)** | $**5720182** |
| <sup>(1)</sup> Includes repurchase agreements and other secured financing.<br><sup>(2)</sup> Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement and other secured financing and derivatives for each counterparty. | <sup>(1)</sup> Includes repurchase agreements and other secured financing.<br><sup>(2)</sup> Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement and other secured financing and derivatives for each counterparty. | <sup>(1)</sup> Includes repurchase agreements and other secured financing.<br><sup>(2)</sup> Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement and other secured financing and derivatives for each counterparty. | <sup>(1)</sup> Includes repurchase agreements and other secured financing.<br><sup>(2)</sup> Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement and other secured financing and derivatives for each counterparty. | <sup>(1)</sup> Includes repurchase agreements and other secured financing.<br><sup>(2)</sup> Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement and other secured financing and derivatives for each counterparty. |

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***Operational Risk Management***

We are subject to operational risk in each of our business and support functions. Operational risk may arise from internal or external sources including human error, fraud, systems issues, process change, vendors, business interruptions and other external events. We manage operational risk through a variety of tools including processes, policies and procedures that cover topics such as business continuity, personal conduct, cybersecurity and vendor management. Other tools include Risk and Control Self Assessment ("RCSA") testing, including disaster recovery/testing; systems controls, including access controls; training, including phishing exercises and cybersecurity awareness training; and monitoring, which includes the use of key risk

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

indicators. Our Operational Risk Management team conducts a disaster recovery exercise on an annual basis and periodically conducts other operational risk tabletop exercises. Employee-level lines of defense against operational risk include proper segregation of incompatible duties, activity-level internal controls over financial reporting, the empowerment of business units to identify and mitigate operational risk sources, testing by our internal audit staff, and our overall governance framework.

Operational Risk Management responsibilities are overseen by the ERC. The ERC is responsible for supporting the Operating Committee in the implementation, ongoing monitoring, and evaluation of the effectiveness of the enterprise-wide risk management framework. This oversight authority includes review of the strategies, processes, policies, and practices established by management to identify, assess, measure, and manage enterprise-wide risk.

Cybersecurity is part of our enterprise-wide risk management framework. Processes for assessing, identifying and managing cybersecurity risks include cybersecurity risk assessments, use of key risk indicators, vendor cybersecurity risk management, employee training, including phishing exercises and cybersecurity awareness training, penetration testing, evaluation of cybersecurity insurance and periodic engagements by our internal audit department, which validates whether our cybersecurity program and information security practices align with relevant parts of the National Institute of Standards and Technology ("NIST") framework. We periodically engage penetration testing companies and law firms to assist in these processes. When we do so, we hire reputable companies, limit their access to only information necessary for the specific purpose and maintain security controls around confidential information, including personal information. We also maintain a Cybersecurity Incident Response Plan ("Response Plan") with processes to identify, contain, mitigate and escalate cybersecurity incidents, utilizing cross-functional expertise and external resources as needed. We conduct periodic tabletop exercises to test our Response Plan and our reaction to various business disruption events, and the results of these tabletop exercises are reported to the Cybersecurity Committee and the ERC.

We also have processes in place to oversee and identify material risks from cybersecurity threats associated with our use of third party service providers upon which we depend to perform various business processes related to our operations, including mortgage loan servicers and sub-servicers. Our vendor management and IT policies establish 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. We also have processes to evaluate and classify cybersecurity risk related to sensitive data held by key third party service providers on their systems.

The Cybersecurity Committee has primary responsibility for these processes to manage cybersecurity risks, under the oversight of the ERC. Daily monitoring of cybersecurity defenses is performed by the IT Infrastructure Team and any issues are escalated to the Cybersecurity Committee as needed. The Cybersecurity Committee regularly meets to discuss both routine oversight of cybersecurity processes, policies and procedures and management of any cyber-specific events, including escalation to the ERC, the executive leadership team and/or the Board, as appropriate.

The Cybersecurity Committee includes representatives from Operational Risk Management, Information Technology, Legal, Mortgage Operations and Internal Controls. Certain members of the Cybersecurity Committee have relevant qualifications such as extensive work experience implementing data security measures, developing cybersecurity policies and procedures and assessing, managing and reporting cybersecurity risk. Members also participate in cybersecurity-related professional organizations that discuss industry threats, challenges and solutions to cybersecurity issues.

The Cybersecurity Committee regularly discusses cybersecurity risk management and best practices with the ERC and with the Audit and Risk Committees of our Board. The Audit and Risk Committees jointly oversee processes, practices and policies related to cybersecurity and receive joint and individual presentations from management and external experts on cyber technology-related risks. Two members of our Board have completed the Carnegie Mellon/NACD Cyber-Risk Oversight Program and earned the CERT Certificate in Cybersecurity Oversight and one member of our Board has completed the NACD Master Class: Cyber-Risk Oversight Program.

To date, we have not detected any risks from cybersecurity threats that have materially affected us. However, even though we take steps to employ reasonable cybersecurity defenses, not every cybersecurity incident can be prevented or detected. We also may be held responsible for cybersecurity threats affecting our third party service providers, including servicers and sub-servicers, some of whom have reported breaches in the past. Therefore, while we are not aware of any cybersecurity threats or incidents that are reasonably likely to have a material effect on our business strategy, results of operations, the likelihood and severity of such risks are difficult to predict. For further discussion, please see the risk factors titled "We are highly dependent on information systems and networks, many of which are operated by third parties" and "Cyberattacks or other information security breaches of our Company's, service providers' or counterparties' systems or network affect our business, reputation and financial condition" 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.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

***Compliance, Regulatory and Legal Risk Management***

Our business is organized as a REIT, and we seek to continue to meet the requirements for taxation as a REIT. The determination that we are a REIT requires an analysis of various factual matters and circumstances. Accordingly, we closely monitor our REIT status within our risk management program. We also regularly assess our risk management in respect of our regulated and licensed subsidiaries, which include our registered broker-dealer subsidiary Arcola, our subsidiary that is registered with the SEC as an investment adviser under the Investment Advisers Act and our subsidiary that operates as a licensed mortgage aggregator and master servicer.

The financial services industry is highly regulated and receives significant attention from regulators, which may impact both our company and our business strategy. Our investments in residential whole loans and MSR require us to comply with applicable state and federal laws and regulations and maintain appropriate governmental licenses, approvals and exemptions. We proactively monitor the potential impact regulation may have both directly and indirectly on us. We maintain a process to actively monitor both actual and potential legal action that may affect us. Our risk management framework is designed to identify, measure and monitor these risks under oversight of the ERC.

We currently rely on the exemption from registration provided by Section 3(c)(5)(C) of the Investment Company Act, and we seek to continue to meet the requirements for this exemption from registration. The determination that we qualify for this exemption from registration depends on various factual matters and circumstances. Accordingly, in conjunction with our legal department, we closely monitor our compliance with Section 3(c)(5)(C) of the Investment Company Act within our risk management program. Compliance with Section 3(c)(5)(C) of the Investment Company Act is monitored by the FRDC.

**Critical Accounting Estimates**

The preparation of our consolidated financial statement in accordance with generally accepted accounting principles in the United States requires us to make estimates, judgments and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses. Actual results may differ materially from these estimates and changes in assumptions could have a significant effect on the consolidated financial statements. Our critical accounting policies that require us to make significant judgments or estimates are described below. For more information on these critical accounting policies and other significant accounting policies, refer to the Note titled "Significant Accounting Policies" in the Notes to the Consolidated Financial Statements included in Item 1. "Financial Statements."

***Valuation of Financial Instruments***

*Residential Securities*

Description: We carry Residential Securities at estimated fair value. There is an active market for our Agency mortgage-backed securities, CRT securities and non-Agency mortgage-backed securities.

Judgments and Uncertainties: Since we primarily invest in securities that can be valued using quoted prices for actively traded assets, there is a high degree of observable inputs and less subjectivity in measuring fair value. Internal fair values are determined using quoted prices from the TBA securities market, the Treasury curve and the underlying characteristics of the individual securities, which may include coupon, periodic and life caps, reset dates and the expected life of the security. While prepayment rates may be difficult to predict and require estimation and judgment in the valuation of Agency mortgage-backed securities, we use several third party models to validate prepayment speeds used in fair value measurements of Residential Securities. All internal fair values are compared to external pricing sources and/or dealer quotes to determine reasonableness. Additionally, securities used as collateral for repurchase agreements are priced daily by counterparties to ensure sufficient collateralization, providing additional verification of our internal pricing.

Sensitivity of Estimates to Change: Changes in underlying assumptions used in estimating fair value impact the carrying value of the Residential Securities as well as their yield. For example, an increase in CPR would decrease the carrying value and yield of our Agency mortgage-backed securities. Our valuations are most sensitive to changes in interest rate, which also impacts prepayment speeds. Refer to the Experienced and Projected Long-Term CPR, Financial Condition – Residential Securities and the interest rate sensitivity and interest rate and MBS spread shock analysis and discussions within this Item 2 for further information.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

*Residential Mortgage Loans*

Description: We elected to account for Residential Mortgage Loans at fair value. There is an active market for the residential whole loans in which we invest.

Judgments and Uncertainties: Since we primarily invest in residential loans that can be valued using actively quoted prices for similar assets, there are observable inputs in measuring fair value. Internal fair values are determined using quoted prices for similar market transactions, the swap curve and the underlying characteristics of the individual loans, which may include loan term, coupon, and reset dates. While prepayment rates may be difficult to predict and are a significant estimate requiring judgment in the valuation of residential whole loans, we validate prepayment speeds against those provided by independent pricing analytic providers specializing in residential mortgage loans. Internal fair values are generally compared to external pricing sources to determine reasonableness.

Sensitivity of Estimates to Change: Changes to model assumptions, including prepayment speeds may significantly impact the fair value estimate of residential mortgage loans as well as unrealized gains and losses and yield on these assets. Our valuations are most sensitive to changes in interest rate, which also impacts prepayment speeds. Refer to the interest rate sensitivity and interest rate shock analysis and discussions within this Item 2 for further information.

*MSR*

Description: We elected to account for MSR at fair value. The market for MSR is considered less active and transparent compared to securities. As such fair value estimates for our investment in MSR are obtained from models, which use significant unobservable inputs in their valuations.

Judgments and Uncertainties: These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. 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.

Sensitivity of Estimates to Change: Changes in the underlying assumptions used to estimate the fair value of MSR impact the carrying value as well as the related unrealized gains and losses recognized. For further discussion of the sensitivity of the model inputs refer to the Note titled "Fair Value Measurements" in the Notes to the Consolidated Financial Statements included in Item 1. "Financial Statements."

*Interest Rate Swaps*

Description: We are required to account for derivative assets and liabilities at fair value, which may or may not be cleared through a derivative clearing organization. We value our cleared interest rate swaps using the prices provided by the derivatives clearing organization. We value uncleared derivatives using internal models with prices compared to counterparty marks.

Judgments and Uncertainties: We use the overnight indexed swap ("OIS") curve, the SOFR curve, or SOFR forward rates as an input to value substantially all of our uncleared interest rate swaps. Consistent with market practice, we exchange collateral (also called margin) based on the fair values of our interest rate swaps. Through this margining process, we may be able to compare our recorded fair value with the fair value calculated by the counterparty or derivatives clearing organization, providing additional verification of our recorded fair value of the uncleared interest rate swaps.

Sensitivity of Estimates to Change: Changes in the OIS curve will impact the carrying value of our interest rate swap assets and liabilities. Our valuations are most sensitive to changes in interest rate, which also impacts prepayment speeds. Refer to the interest rate sensitivity and interest rate shock analysis and discussions within this Item 2 for further information.

***Revenue Recognition***

Description: Interest income from coupon payments is accrued based on the outstanding principal amounts of the Residential Securities and their contractual terms. Premiums and discounts associated with the purchase of the Residential Securities are amortized or accreted into interest income over the projected lives of the securities using the interest method. Gains or losses on sales of Residential Securities are recorded on trade date based on the specific identification method.

Judgments and Uncertainties: To aid in determining projected lives of the securities, we use third party model and market information to project prepayment speeds. Our prepayment speed projections incorporate underlying loan characteristics (i.e., coupon, term, original loan size, original loan-to-value ratio, etc.) and market data, including interest rate and home price index

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

forecasts and expert judgment. Prepayment speeds vary according to the type of investment, conditions in the financial markets and other factors and cannot be predicted with any certainty.

Sensitivity of Estimates to Change: Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results. Adjustments are made for actual prepayment activity as it relates to calculating the effective yield. The sensitivity of changes in interest rates to our economic net interest income is included in the interest rate shock analysis and discussions within this Item 2 for further information.

***Consolidation of Variable Interest Entities***

Description: We are required to determine if it is required to consolidate entities in which it holds a variable interest.

Judgments and Uncertainties: Determining whether an entity has a controlling financial interest in a VIE requires significant judgment related to assessing the purpose and design of the VIE and determination of the activities that most significantly impact its economic performance. We must also identify explicit and implicit variable interests in the entity and consider our involvement in both the design of the VIE and its ongoing activities. To determine whether consolidation of the VIE is required, we must apply judgment to assess whether we have the power to direct the most significant activities of the VIE and whether we have either the rights to receive benefits or the obligation to absorb losses that could be potentially significant to the VIE.

***Use of Estimates***

The use of GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**Glossary of Terms**

**A**

**Adjustable-Rate Loan / Security**

A loan / security on which interest rates are adjusted at regular intervals according to predetermined criteria. The adjustable interest rate is tied to an objective, published interest rate index.

**Agency**

Refers to a federally chartered corporation, such as the Federal National Mortgage Association, or the Federal Home Loan Mortgage Corporation, or an agency of the U.S. Government, such as the Government National Mortgage Association.

**Agency Mortgage-Backed Securities**

Refers to residential mortgage-backed securities that are issued or guaranteed by an Agency.

**Amortization**

Liquidation of a debt through installment payments. Amortization also refers to the process of systematically reducing a recognized asset or liability (e.g., a purchase premium or discount for a debt security) with an offset to earnings.

**Average GAAP Cost of Interest Bearing Liabilities and Average Economic Cost of Interest Bearing Liabilities** 

Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities is a non-GAAP financial measure that reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities.

**Average Life**

On a mortgage-backed security, the average time to receipt of each dollar of principal, weighted by the amount of each principal prepayment, based on prepayment assumptions.

**Average Yield on Interest Earnings Assets and Average Yield on Interest Earnings Assets (excluding PAA)**

Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is a non-GAAP financial measure that is calculated using annualized interest income (excluding PAA).

**B**

**Basis Point ("bp" or "bps")**

One hundredth of one percent, used in expressing differences in interest rates. One basis point is 0.01% of yield. For example, a bond's yield that changed from 3.00% to 3.50% would be said to have moved 50 basis points.

**Benchmark**

A bond or an index referencing a basket of bonds whose terms are used for comparison with other bonds of similar maturity. The global financial market typically looks to U.S. Treasury securities as benchmarks.

**Beneficial Owner**

One who benefits from owning a security, even if the security's title of ownership is in the name of a broker or bank.

**Board**

Refers to the board of directors of Annaly.

**Bond**

The written evidence of debt, bearing a stated rate or stated rates of interest, or stating a formula for determining that rate, and maturing on a date certain, on which date and upon presentation a fixed sum of money plus interest (usually represented by interest coupons attached to the bond) is payable to the holder or owner. Bonds are long-term securities with an original maturity of greater than one year.

**Book Value Per Share**

Calculated by summing common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit and dividing that number by the total common shares outstanding.

**Broker**

Generic name for a securities firm engaged in both buying and selling securities on behalf of customers or its own account.

**C**

**Capital Buffer**

Includes unencumbered financial assets which can be either sold or utilized as collateral to meet liquidity needs.

**Capital Ratio (GAAP Capital Ratio)**

Calculated as total stockholders' equity divided by total assets.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**Carry**

The amount an asset earns over its hedging and financing costs. A positive carry happens when the rate on the securities being financed is greater than the rate on the funds borrowed. A negative carry is when the rate on the funds borrowed is greater than the rate on the securities that are being financed.

**Collateral**

Securities, cash or property pledged by a borrower or party to a derivative contract to secure payment of a loan or derivative. If the borrower fails to repay the loan or defaults under the derivative contract, the secured party may take ownership of the collateral.

**Collateralized Loan Obligation ("CLO")**

A securitization collateralized by loans and other debt instruments.

**Collateralized Mortgage Obligation ("CMO")**

A multiclass bond backed by a pool of mortgage pass-through securities or mortgage loans.

**Commodity Futures Trading Commission ("CFTC")**

An independent U.S. federal agency established by the Commodity Futures Trading Commission Act of 1974. The CFTC regulates the swaps, commodity futures and options markets. Its goals include the promotion of competitive and efficient futures markets and the protection of investors against manipulation, abusive trade practices and fraud.

**Commercial Mortgage-Backed Security ("CMBS" or "Commercial Securities")**

Securities collateralized by a pool of mortgages on commercial real estate in which all principal and interest from the mortgages flow to certificate holders in a defined sequence or manner.

**Constant Prepayment Rate ("CPR")**

The percentage of outstanding mortgage loan principal that prepays in one year, based on the annualization of the Single Monthly Mortality, which reflects the outstanding mortgage loan principal that prepays in one month.

**Convexity**

A measure of the change in a security's duration with respect to changes in interest rates. The more convex a security is, the more its duration will change with interest rate changes. Negative convexity refers to the properties of an MBS in which the relationship between price and yield is not linear. Compared to a comparable duration treasury bond, the price of an MBS security increases less when yields fall and decreases more when yields rise, due to changes in expected prepayment behavior from the underlying borrower.

**Counterparty**

One of two entities in a transaction. For example, in the bond market a counterparty can be a state or local government, a broker-dealer or a corporation.

**Coupon**

The interest rate on a bond that is used to compute the amount of interest due on a periodic basis.

**Credit and Counterparty Risk**

Risk to earnings, capital or business, resulting from an obligor's or counterparty's failure to meet the terms of any contract or otherwise failure to perform as agreed. Credit and counterparty risk is present in lending, investing, funding and hedging activities.

**Credit Derivatives**

Derivative instruments that have one or more underlyings related to the credit risk of a specified entity (or group of entities) or an index that exposes the seller to potential loss from specified credit-risk related events. An example is credit derivatives referencing the commercial mortgage-backed securities index.

**Credit Risk Transfer ("CRT") Securities**

Credit Risk Transfer securities are risk sharing transactions issued by Fannie Mae and Freddie Mac and similarly structured transactions arranged by third party market participants. The securities issued in the CRT sector are designed to synthetically transfer mortgage credit risk from Fannie Mae, Freddie Mac and/or third parties to private investors.

**Current Face**

The current remaining monthly principal on a mortgage security. Current face is computed by multiplying the original face value of the security by the current principal balance factor.

**D**

**Dealer**

Person or organization that underwrites, trades and sells securities, e.g., a principal market-maker in securities.

**Default Risk**

Possibility that a bond issuer will fail to pay principal or interest when due.

**Derivative**

A financial product that derives its value from the price, price fluctuations and price expectations of an underlying instrument, index or reference pool (e.g. futures contracts, options, interest rate swaps, interest rate swaptions and certain to-be-announced securities).

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**Discount Price**

When the dollar price is below face value, it is said to be selling at a discount.

**Duration**

The weighted maturity of a fixed-income investment's cash flows, used in the estimation of the price sensitivity of fixed-income securities for a given change in interest rates.

**E**

**Earnings available for distribution ("EAD") and Earnings available for distribution Per Average Common Share** 

Non-GAAP financial measure defined as the sum of (a) economic net interest income, (b) TBA dollar roll income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding amortization of intangibles, non-EAD income allocated to equity method investments and other non-EAD components of other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non-recurring items), and (f) income taxes (excluding the income tax effect of non-EAD income (loss) items) and excludes (g) the premium amortization adjustment representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to our Agency mortgage-backed securities. Earnings available for distribution per average common share is a non-GAAP financial measure calculated by dividing earnings available for distribution by average basic common shares for the period.

This metric was previously labeled Core Earnings (excluding PAA) and Core Earnings (excluding PAA) Per Average Common Share). The definition of EAD is identical to the definition of Core Earnings (excluding PAA) from prior reporting periods.

**Economic Capital**

A measure of the risk a firm is subject to. It is the amount of capital a firm needs as a buffer to protect against risk. It is a probabilistic measure of potential future losses at a given confidence level over a given time horizon.

**Economic Capital Ratio**

Non-GAAP financial measure that is calculated as total stockholders' equity divided by total economic assets. Total economic assets includes the implied market value of TBA derivatives and are net of debt issued by securitization vehicles and participations issued.

**Economic Interest Expense**

Non-GAAP financial measure that is comprised of GAAP interest expense, the net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).

**Economic Leverage Ratio (Economic Debt-to-Equity Ratio)**

Non-GAAP financial measure that is calculated as the sum of recourse debt, cost basis of TBA derivatives outstanding and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from this measure.

**Economic Net Interest Income**

Non-GAAP financial measure that is composed of GAAP interest income less Economic Interest Expense.

**Economic Return**

Refers to the Company's change in book value plus dividends declared divided by the prior period's book value.

**Encumbered Assets**

Assets on the company's balance sheet which have been pledged as collateral against a liability.

**F**

**Face Amount**

The par value (i.e., principal or maturity value) of a security appearing on the face of the instrument.

**Factor**

A decimal value reflecting the proportion of the outstanding principal balance of a mortgage security, which changes over time, in relation to its original principal value.

**Fannie Mae**

Federal National Mortgage Association.

**Federal Deposit Insurance Corporation ("FDIC")**

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**Federal Funds Rate**

The interest rate charged by banks on overnight loans of their excess reserve funds to other banks.

**Federal Housing Financing Agency ("FHFA")**

The FHFA is an independent regulatory agency that oversees vital components of the secondary mortgage market including Fannie Mae, Freddie Mac and the Federal Home Loan Banks.

**Financial Industry Regulatory Authority, Inc. ("FINRA")**

FINRA is a non-governmental organization tasked with regulating all business dealings conducted between dealers, brokers and all public investors.

**Fixed-Rate Mortgage**

A mortgage featuring level monthly payments, determined at the outset, which remain constant over the life of the mortgage.

**Fixed Income Clearing Corporation ("FICC")**

The FICC is an agency that deals with the confirmation, settlement and delivery of fixed-income assets in the U.S. The agency ensures the systematic and efficient settlement of U.S. Government securities and mortgage-backed security transactions in the market.

**Floating Rate Bond**

A bond for which the interest rate is adjusted periodically according to a predetermined formula, usually linked to an index.

**Floating Rate CMO**

A CMO tranche which pays an adjustable rate of interest tied to a representative interest rate index such as the SOFR, the Constant Maturity Treasury or the Cost of Funds Index.

**Freddie Mac**

Federal Home Loan Mortgage Corporation.

**Futures Contract**

A legally binding agreement to buy or sell a commodity or financial instrument in a designated future month at a price agreed upon at the initiation of the contract by the buyer and seller. Futures contracts are standardized according to the quality, quantity, and delivery time and location for each commodity. A futures contract differs from an option in that an option gives one of the counterparties a right and the other an obligation to buy or sell, while a futures contract represents an obligation of both counterparties, one to deliver and the other to accept delivery. A futures contract is part of a class of financial instruments called derivatives.

**G**

**GAAP**

U.S. generally accepted accounting principles.

**Ginnie Mae**

Government National Mortgage Association.

**H**

**Hedge**

An investment made with the intention of minimizing the impact of adverse movements in interest rates or securities prices.

**I**

**Initial Margin**

Cash or securities provided by a party to collateralize its obligations under a transaction that is not based on changes in the value of such transaction since the trade was executed.

**In-the-Money**

Description for an option that has intrinsic value and can be sold or exercised for a profit; a call option is in-the-money when the strike price (execution price) is below the market price of the underlying security.

**Interest Bearing Liabilities**

Refers to repurchase agreements, debt issued by securitization vehicles, U.S. Treasury securities sold, not yet purchased and credit facilities. Average interest bearing liabilities is based on daily balances.

**Interest Earning Assets**

Refers to Residential Securities, U.S. Treasury securities, reverse repurchase agreements, commercial real estate debt and residential mortgage loans. Average interest earning assets is based on daily balances.

**Interest-Only (IO) Bond**

The interest portion of mortgage, Treasury or bond payments, which is separated and sold individually from the principal portion of those same payments.

**Interest Rate Risk**

The risk that an investment's value will change due to a change in the absolute level of interest rates, in the spread between two rates, in the shape of the yield curve or in any other interest rate relationship. As market interest rates rise, the value of current fixed income investment holdings declines. Diversifying, deleveraging and hedging techniques are utilized to mitigate this risk. Interest rate risk is a form of market risk.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**Interest Rate Swap**

A binding agreement between counterparties to exchange periodic interest payments on some predetermined dollar principal, which is called the notional principal amount. For example, one party will pay fixed and receive a variable rate.

**Interest Rate Swaption**

Options on interest rate swaps. The buyer of a swaption has the right to enter into an interest rate swap agreement at some specified date in the future. The swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer.

**Interests in MSR**

Represents agreements to purchase all, or a component of, net servicing cash flows.

**International Swaps and Derivatives Association ("ISDA") Master Agreement**

Standardized contract developed by ISDA used as an umbrella under which bilateral derivatives contracts are entered into.

**Inverse IO Bond**

An interest-only bond whose coupon is determined by a formula expressing an inverse relationship to a benchmark rate, such as SOFR. As the benchmark rate changes, the IO coupon adjusts in the opposite direction. When the benchmark rate is relatively low, the IO pays a relatively high coupon payment, and vice versa.

**Investment/Market Risk**

Risk to earnings, capital or business resulting in the decline in value of our assets caused from changes in market variables, such as interest rates, which affect the values of Residential Securities and other investment instruments.

**Investment Advisers Act**

Refers to the Investment Advisers Act of 1940, as amended.

**Investment Company Act**

Refers to the Investment Company Act of 1940, as amended.

**L**

**Leverage**

The use of borrowed money to increase investing power and economic returns.

**Leverage Ratio (GAAP Leverage Ratio or Debt-to-Equity Ratio)**

Calculated as total debt to total stockholders' equity. For purposes of calculating this ratio total debt includes repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued, and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us.

**LIBOR (London Interbank Offered Rate)**

A rate previously used as a benchmark for financial transactions. All tenors of LIBOR relevant to us are either no longer published or are no longer representative.

**Liquidity Risk**

Risk to earnings, capital or business arising from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding.

**Long-Term CPR**

Our projected prepayment speeds for certain Agency mortgage-backed securities using third party model and market information. Our prepayment speed projections incorporate underlying loan characteristics (e.g., coupon, term, original loan size, original loan-to-value ratio, etc.) and market data, including interest rate and home price index forecasts. Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results.

**Long-Term Debt**

Debt which matures in more than one year.

**M**

**Market Agreed Coupon ("MAC") Interest Rate Swap**

An interest rate swap contract structure with pre-defined, market agreed terms, developed by SIFMA and ISDA with the purpose of promoting liquidity and simplified administration.

**Monetary Policy**

Action taken by the Federal Open Market Committee of the Federal Reserve System to influence the money supply or interest rates.

**Mortgage-Backed Security ("MBS")**

A security representing a direct interest in a pool of mortgage loans. The pass-through issuer or servicer collects the payments on the loans in the pool and "passes through" the principal and interest to the security holders on a pro rata basis.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**Mortgage Loan**

A mortgage loan granted by a bank, thrift or other financial institution that is based solely on real estate as security and is not insured or guaranteed by a government agency.

**Mortgage Servicing Rights ("MSR")**

Contractual agreements constituting the right to service an existing mortgage where the holder receives the benefits and bears the costs and risks of servicing the mortgage.

**N**

**NAV**

Net asset value.

**Net Interest Income**

Represents interest income earned on our portfolio investments, less interest expense paid for borrowings.

**Net Interest Margin and Net Interest Margin (excluding PAA)**

Net interest margin represents our interest income less interest expense divided by average interest earning assets. Net interest margin (excluding PAA) is a non-GAAP financial measure that represents the sum of our interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average outstanding TBA contract balances.

**Net Interest Spread and Net Interest Spread (excluding PAA)**

Net interest spread represents the average yield on interest earning assets less the average GAAP cost of interest bearing liabilities. Net interest spread (excluding PAA) is a non-GAAP financial measure that represents the average yield on interest earning assets (excluding PAA) less the average economic cost of interest bearing liabilities.

**Non-Performing Loan ("NPL")**

A loan that is close to defaulting or is in default.

**Non-Qualified Mortgage ("Non-QM")**

A loan that does not conform to the strict standards set by the Consumer Financial Protection Bureau for a Qualified Mortgage.

**Notional Amount**

A stated principal amount in a derivative contract on which the contract is based.

**O**

**Operational Risk**

Risk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems, human factors or external events.

**Option Contract**

A contract in which the buyer has the right, but not the obligation, to buy or sell an asset at a set price on or before a given date. Buyers of call options bet that a security will be worth more than the price set by the option (the strike price), plus the price they pay for the option itself. Buyers of put options bet that the security's price will drop below the price set by the option. An option is part of a class of financial instruments called derivatives, which means these financial instruments derive their value from the worth of an underlying investment.

**Original Face**

The face value or original principal amount of a security on its issue date.

**Out-of-the-Money**

Description for an option that has no intrinsic value and would be worthless if it expired today; for a call option, this situation occurs when the strike price is higher than the market price of the underlying security; for a put option, this situation occurs when the strike price is less than the market price of the underlying security.

**Overnight Index Swaps ("OIS")**

An interest rate swap in which a fixed rate is exchanged for an overnight floating rate.

**Over-The-Counter ("OTC") Market**

A securities market that is conducted by dealers throughout the country through negotiation of price rather than through the use of an auction system as represented by a stock exchange.

**P**

**Par**

Price equal to the face amount of a security; 100%.

**Par Amount**

The principal amount of a bond or note due at maturity. Also known as par value.

**Pass-Through Security**

A securitization structure where a GSE or other entity "passes" the amount collected from the borrowers every month to the investor, after deducting fees and expenses.

**Pool**

A collection of mortgage loans assembled by an originator or master servicer as the basis for a security. In the case of Ginnie Mae, Fannie Mae, or Freddie Mac mortgage pass-through securities, pools are identified by a number assigned by the issuing agency.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**Premium**

The amount by which the price of a security exceeds its principal amount. When the dollar price of a bond is above its face value, it is said to be selling at a premium.

**Premium Amortization Adjustment ("PAA")**

The cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to our Agency mortgage-backed securities.

**Prepayment**

The unscheduled partial or complete payment of the principal amount outstanding on a mortgage loan or other debt before it is due.

**Prepayment Risk**

The risk that falling interest rates will lead to increased prepayments of mortgage or other loans, forcing the investor to reinvest at lower prevailing rates.

**Prepayment Speed**

The estimated rate at which mortgage borrowers will pay off the mortgages that underlie an MBS.

**Primary Market**

Market for offers or sales of new bonds by the issuer.

**Prime Rate**

The indicative interest rate on loans that banks quote to their best commercial customers.

**Principal and Interest**

The term used to refer to regularly scheduled payments or prepayments of principal and payments of interest on a mortgage or other security.

**R**

**Rate Reset**

The adjustment of the interest rate on a floating-rate security according to a prescribed formula.

**Real Estate Investment Trust ("REIT")**

A special purpose investment vehicle that provides investors with the ability to participate directly in the ownership or financing of real-estate related assets by pooling their capital to purchase and manage mortgage loans and/or income property.

**Recourse Debt**

Debt on which the economic borrower is obligated to repay the entire balance regardless of the value of the pledged collateral. By contrast, the economic borrower's obligation to repay non-recourse debt is limited to the value of the pledged collateral. Recourse debt consists of repurchase agreements, other secured financing and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to us and are excluded from this measure.

**Reinvestment Risk**

The risk that interest income or principal repayments will have to be reinvested at lower rates in a declining rate environment.

**Re-Performing Loan ("RPL")**

A type of loan in which payments were previously delinquent by at least 90 days but have resumed.

**Repurchase Agreement**

The sale of securities to investors with the agreement to buy them back at a higher price after a specified time period; a form of short-term borrowing. For the party on the other end of the transaction (buying the security and agreeing to sell in the future) it is a reverse repurchase agreement.

**Residential Credit Securities**

Refers to CRT securities and non-Agency mortgage-backed securities.

**Residential Securities**

Refers to Agency mortgage-backed securities, CRT securities and non-Agency mortgage-backed securities.

**Residential Transition Loan ("RTL")**

A short-term loan primarily for the purpose of financing the construction or renovation of a residential property.

**Residual**

In securitizations, the residual is the tranche that collects any cash flow from the collateral that remains after obligations to the other tranches have been met.

**Return on Average Equity**

Calculated by taking earnings divided by average stockholders' equity.

**Reverse Repurchase Agreement**

Refer to Repurchase Agreement. The buyer of securities effectively provides a collateralized loan to the seller.

**Risk Appetite Statement**

Defines the types and levels of risk we are willing to take in order to achieve our business objectives, and reflects our risk management philosophy.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**S**

**Secondary Market**

Ongoing market for bonds previously offered or sold in the primary market.

**Secured Overnight Financing Rate ("SOFR")**

Broad measure of the cost of borrowing cash overnight collateralized by Treasury securities and was chosen by the Alternative Reference Rate Committee as the preferred benchmark rate to replace dollar LIBOR.

**Settlement Date**

The date securities must be delivered and paid for to complete a transaction.

**Short-Term Debt**

Generally, debt which matures in one year or less. However, certain securities that mature in up to three years may be considered short-term debt.

**Small Balance Commercial ("SBC")**

A business-purpose loan secured by commercial or mixed-use real estate or by 1-4 unit residential properties owned for investment purposes. The average loan size of SBC securitizations is generally less than $1mm, in contrast to large balance commercial loans which generally start at $40mm and above.

**Spread**

When buying or selling a bond through a brokerage firm, investors will be charged a commission or spread, which is the difference between the market price and cost of purchase, and sometimes a service fee. Spreads differ based on several factors including liquidity.

**T**

**Tangible Economic Return**

Refers to the Company's change in tangible book value (calculated by summing common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit less intangible assets) plus dividends declared divided by the prior period's tangible book value.

**Target Assets**

Includes Agency mortgage-backed securities, to-be-announced forward contracts, CRT securities, MSR, non-Agency mortgage-backed securities, residential mortgage loans, and commercial real estate investments.

**Taxable REIT Subsidiary ("TRS")**

An entity that is owned directly or indirectly by a REIT and has jointly elected with the REIT to be treated as a TRS for tax purposes. Annaly and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as TRSs.

**Term SOFR**

The term secured overnight financing rate published by the Chicago Mercantile Exchange, which is used as a benchmark for financial transactions.

**To-Be-Announced ("TBA") Securities**

A contract for the purchase or sale of a mortgage-backed security to be delivered at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date but does not include a specified pool number and number of pools.

**TBA Dollar Roll Income**

TBA dollar roll income is defined as the difference in price between two TBA contracts with the same terms but different settlement dates. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the "drop". TBA dollar roll income represents the equivalent of interest income on the underlying security less an implied cost of financing.

**Total Return**

Investment performance measure over a stated time period which includes coupon interest, interest on interest, and any realized and unrealized gains or losses.

**Total Return Swap**

A derivative instrument where one party makes payments at a predetermined rate (either fixed or variable) while receiving a return on a specific asset (generally an equity index, loan or bond) held by the counterparty.

**U**

**Unencumbered Assets**

Assets on our balance sheet which have not been pledged as collateral against an existing liability.

**U.S. Government-Sponsored Enterprise ("GSE") Obligations**

Obligations of Agencies originally established or chartered by the U.S. government to serve public purposes as specified by the U.S. Congress, such as Fannie Mae and Freddie Mac; these obligations are not explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government.

**V**

**Value-at-Risk ("VaR")**

A statistical technique which measures the potential loss in value of an asset or portfolio over a defined period for a given confidence interval.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Item 2. Management's Discussion and Analysis** 

**Variable Interest Entity ("VIE")**

An entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.

**Variation Margin**

Cash or securities provided by a party to collateralize its obligations under a transaction as a result of a change in value of such transaction since the trade was executed or the last time collateral was provided.

**Volatility**

A statistical measure of the variance of price or yield over time. Volatility is low if the price does not change very much over a short period of time, and high if there is a greater change.

**Voting Interest Entity ("VOE")**

An entity that has sufficient equity to finance its activities without additional subordinated financial support from other parties and in which equity investors have a controlling financial interest.

**W**

**Warehouse Lending**

A line of credit extended to a loan originator to fund mortgages extended by the loan originators to property purchasers. The loan typically lasts from the time the mortgage is originated to when the mortgage is sold into the secondary market, whether directly or through a securitization. Warehouse lending can provide liquidity to the loan origination market.

**Weighted Average Coupon**

The weighted average interest rate of the underlying mortgage loans or pools that serve as collateral for a security, weighted by the size of the principal loan balances.

**Weighted Average Life ("WAL")**

The assumed weighted average amount of time that will elapse from the date of a security's issuance until each dollar of principal is repaid to the investor. The WAL will change as the security ages and depending on the actual realized rate at which principal, scheduled and unscheduled, is paid on the loans underlying the MBS.

**Y**

**Yield-to-Maturity**

The expected rate of return of a bond if it is held to its maturity date; calculated by taking into account the current market price, stated redemption value, coupon payments and time to maturity and assuming all coupons are reinvested at the same rate; equivalent to the internal rate of return.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK**<br>

Quantitative and qualitative disclosures about market risk are contained within the section titled "Risk Management" of Item 2. "Management's Discussion and Analysis of Financial Condition and Results of Operations."

**ITEM 4. CONTROLS AND PROCEDURES**<br>

Our management, including our Chief Executive Officer (the CEO) and Chief Financial Officer (the CFO), reviewed and evaluated the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) of the Securities Exchange Act) as of the end of the period covered by this report. Based on that review and evaluation, the CEO and CFO have concluded that our current disclosure controls and procedures, as designed, (1) were effective in ensuring that information required to be disclosed by the Company in reports it files or submits under the Securities Exchange Act is accumulated and communicated to our management, including our CEO and CFO, as appropriate to allow timely decisions regarding required disclosure and (2) were effective in ensuring that information required to be disclosed by the Company in reports it files or submits under the Securities Exchange Act is recorded, processed, summarized and reported within the time periods specified by the SEC's rules and forms.

There have been no changes in our internal controls over financial reporting that occurred during the three months ended September 30, 2025 that have materially affected, or are reasonably likely to materially affect our internal control over financial reporting.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**PART II - OTHER INFORMATION**

**ITEM 1. LEGAL PROCEEDINGS**<br>

From time to time, we are involved in various claims and legal actions arising in the ordinary course of business. As of September 30, 2025, we were not party to any pending material legal proceedings.

**ITEM 1A. RISK FACTORS**<br>

There have been no material changes to the risk factors disclosed in Item 1A. "Risk Factors" of our most recent annual report on Form 10-K. The materialization of any risks and uncertainties identified in our Special Note Regarding Forward-Looking Statements contained in this report together with those previously disclosed in our most recent annual report on Form 10-K or those that are presently unforeseen could result in significant adverse effects on our financial condition, results of operations and cash flows. See Item 2. "Management's Discussion and Analysis of Financial Condition and Results of Operations – Special Note Regarding Forward-Looking Statements" in this quarterly report or our most recent annual report on Form 10-K.

**ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS**<br>

In January 2025, we announced that our Board authorized the repurchase of up to $1.5 billion of our outstanding common shares through December 31, 2029 (the "Current Common Stock Repurchase Program"). No shares were repurchased with respect to this share repurchase program during the quarter ended September 30, 2025. As of September 30, 2025, the maximum dollar value of shares that may yet be repurchased under this program was $1.5 billion.

**ITEM 5. OTHER INFORMATION**<br>

During the quarter ended September 30, 2025, no director or officer of the Company adopted, modified or terminated any Rule 10b5-1 trading arrangement or non-Rule 10b5-1 trading arrangement.

Articles of Restatement

On October 27, 2025, the Board approved a restatement of every provision of the Company's charter currently in effect and filed Articles of Restatement reflecting the same with the State Department of Assessments and Taxation of Maryland on the following day. The Articles of Restatement do not amend any provision of the charter of the Company. No vote of the stockholders was required in connection with the approval and filing of the Articles of Restatement.

A copy of the Articles of Restatement is filed as Exhibit 3.1 to this Quarterly Report on Form 10-Q.

**ITEM 6. EXHIBITS**<br>

Exhibits:

The exhibits required by this item are set forth on the Exhibit Index attached hereto.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

---

| | |
|:---|:---|
| **Exhibit Number** | **Exhibit Description** |
| <u>[3.1](ex31articlesrestate.htm)</u> | <u>[Articles of Restatement, filed with the State Department of Assessments and Taxation of the State of Maryland, effective October 27, 2025.](ex31articlesrestate.htm)</u> † |
| <u>[31.1](a2025q3nlyexhibit311.htm)</u> | <u>[Certification of David L. Finkelstein, Chief Executive Officer and Co-Chief Investment Officer (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.](a2025q3nlyexhibit311.htm)</u> † |
| <u>[31.2](a2025q3nlyexhibit312.htm)</u> | <u>[Certification of Serena Wolfe, Chief Financial Officer (Principal Financial Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.](a2025q3nlyexhibit312.htm)</u> † |
| <u>[32.1](a2025q3nlyexhibit321.htm)</u> | <u>[Certification of David L. Finkelstein, Chief Executive Officer and Co-Chief Investment Officer (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.](a2025q3nlyexhibit321.htm)</u>† |
| <u>[32.2](a2025q3nlyexhibit322.htm)</u> | <u>[Certification of Serena Wolfe, Chief Financial Officer (Principal Financial Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.](a2025q3nlyexhibit322.htm)</u> † |
| 101.INS XBRL | The instance document does not appear in the interactive data file because its Extensible Business Reporting Language (XBRL) tags are embedded within the Inline XBRL document. The following documents are formatted in Inline XBRL: (i) Consolidated Statements of Financial Condition at September 30, 2025 (Unaudited) and December 31, 2024 (Derived from the audited Consolidated Statement of Financial Condition at December 31, 2024); (ii) Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the three and nine months ended September 30, 2025 and 2024; (iii) Consolidated Statements of Stockholders' Equity (Unaudited) for the three and nine months ended September 30, 2025 and 2024; (iv) Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2025 and 2024; and (v) Notes to Consolidated Financial Statements (Unaudited). |
| 101.SCH XBRL | Taxonomy Extension Schema Document † |
| 101.CAL XBRL | Taxonomy Extension Calculation Linkbase Document † |
| 101.DEF XBRL | Additional Taxonomy Extension Definition Linkbase Document Created † |
| 101.LAB XBRL | Taxonomy Extension Label Linkbase Document † |
| 101.PRE XBRL | Taxonomy Extension Presentation Linkbase Document † |
| 104 | The cover page for the Registrant's Quarterly Report on Form 10-Q for the quarter ended September 30, 2025 (formatted in Inline XBRL and contained in Exhibit 101). |

---

† Submitted electronically herewith.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**SIGNATURES**

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

---

| | | |
|:---|:---|:---|
| | | ANNALY CAPITAL MANAGEMENT, INC. |
| Dated: | October 30, 2025 | By: <u>/s/ David L. Finkelstein</u> |
|  |  | David L. Finkelstein |
|  |  | Chief Executive Officer, Co-Chief Investment Officer and Director (Principal Executive Officer) |
| Dated: | October 30, 2025 | By: <u>/s/ Serena Wolfe</u> |
|  |  | Serena Wolfe |
|  |  | Chief Financial Officer (Principal Financial Officer and Principal Accounting Officer) |

---

## Exhibit 3.1

**<u>ANNALY CAPITAL MANAGEMENT, INC.</u>**

**ARTICLES OF RESTATEMENT**

October 27, 2025

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>FIRST</u>:&nbsp;&nbsp;&nbsp;&nbsp;Annaly Capital Management, Inc., a Maryland corporation (the "Corporation"), desires to restate its charter as currently in effect

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>SECOND</u>:&nbsp;&nbsp;&nbsp;&nbsp;The following provisions and Exhibits A, B, C and D (the "Exhibits") are all the provisions of the charter currently in effect:

ARTICLE I

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The undersigned, Jacqueline D. Andersen, whose address is 32 South Street,

Baltimore, Maryland 21202, being at least eighteen (18) years of age, does hereby act as an incorporator, under and by virtue of the General Laws of the State of Maryland authorizing the formation of corporations, and with the intention of forming a corporation, does hereby form a corporation under the General Laws of the State of Maryland.

ARTICLE II

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The name of the corporation (which is hereinafter called the "Corporation") is:

Annaly Capital Management, Inc.

ARTICLE III

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The purpose for which the Corporation is formed is to transact any or all lawful business, not required to be specifically stated in these Articles, for which corporations may be incorporated under the Maryland General Corporation Law, as amended from time to time.

ARTICLE IV

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The present address of the principal office of the Corporation in the State of Maryland is:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CSC-Lawyers Incorporating Service Company

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 St. Paul Street, Suite 820

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Baltimore, Maryland 21202

ARTICLE V

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The name and address of the resident agent of the Corporation in the State of Maryland are:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CSC-Lawyers Incorporating Service Company

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 St. Paul Street, Suite 820

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Baltimore, Maryland 21202

Said resident agent is a Maryland corporation actually residing in the State of Maryland.

ARTICLE VI

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. &nbsp;&nbsp;&nbsp;&nbsp;The total number of shares of stock of all classes which the Corporation has authority to issue is one billion five hundred thirty-one million seven hundred fifty thousand (1,531,750,000) shares of capital stock, par value one cent ($0.01) per share, amounting in the aggregate par value to $15,317,500. Of these shares of capital stock, 1,456,750,000 shares are classified as "Common Stock," 28,800,000 shares are classified as "6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock," 17,000,000 shares are classified as "6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock," 17,700,000 shares are classified as "6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock" and 11,500,000 shares are classified as "8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock." Our Board may classify and reclassify any unissued shares of capital stock by setting or changing in any one or more respects the preferences, conversion or other rights, voting powers, restrictions, limitations as to dividends or other distributions, qualifications or terms or conditions of redemption of such shares of stock. The terms of these shares of preferred stock are described in the Exhibits attached hereto.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B.&nbsp;&nbsp;&nbsp;&nbsp;The following is a description of the preferences, conversion and other rights, voting powers, restrictions, limitations as to dividends, qualifications and terms and conditions of redemption of the Common Stock of the Corporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) &nbsp;&nbsp;&nbsp;&nbsp;Each share of Common Stock shall have one vote, and, except as otherwise provided in respect of any class of capital stock hereafter classified or reclassified, the exclusive voting power for all purposes shall be vested in the holders of the Common Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) &nbsp;&nbsp;&nbsp;&nbsp;Subject to the provisions of law and any preferences of any class of capital stock hereafter classified or reclassified, dividends, including dividends payable in shares of the Corporation's stock, may be paid on the Common Stock of the Corporation at such time and in such amounts as the Board of Directors may deem advisable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) &nbsp;&nbsp;&nbsp;&nbsp;In the event of any liquidation, dissolution or winding up of the

Corporation, whether voluntary or involuntary, the holders of the Common Stock shall be entitled, after payment or provision for payment of the debts and other liabilities of the Corporation and the amount to which the holders of any class of capital stock hereafter classified or reclassified having a preference on distributions in the liquidation, dissolution or winding up

------

of the Corporation, shall be entitled, together with the holders of any other class of capital stock hereafter classified or reclassified not having a preference on distributions in the liquidation, dissolution or winding up of the Corporation, to share ratably in the remaining net assets of the Corporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C.&nbsp;&nbsp;&nbsp;&nbsp;Subject to the foregoing, the power of the Board of Directors to classify and reclassify any of the shares of capital stock shall include, without limitation, subject to the provisions of the charter, authority to classify or reclassify any unissued shares of such capital stock into a class or classes of preferred stock, preference stock, special stock, or other stock, and

to divide and classify shares of any class into one or more series of such class, by determining, fixing or altering one or more of the following:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) &nbsp;&nbsp;&nbsp;&nbsp;The distinctive designation of such class or series and the number

of shares to constitute such class or series; provided that, unless otherwise prohibited by the terms of such or any other class or series, the number of shares of any class or series may be decreased by the Board of Directors in connection with any classification or reclassification of unissued shares and the number of shares of such class or series may be increased by the Board of Directors in connection with any such classification or reclassification, and any shares of any class or series which have been redeemed, purchased, otherwise acquired or converted into shares of Common Stock or any other class or series shall become part of the authorized capital stock and be subject to classification and reclassification as provided in this subparagraph.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) &nbsp;&nbsp;&nbsp;&nbsp;Whether or not and, if so, the rates, amounts and times at which, and the conditions under which, dividends shall be payable on shares of such class or series, whether any such dividends shall rank senior or junior to or on a parity with the dividends payable on any other class or series of capital stock, and the status of any such dividends as cumulative, cumulative to a limited extent or noncumulative and as participating or nonparticipating.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) &nbsp;&nbsp;&nbsp;&nbsp;Whether or not shares of such class or series shall have voting rights in addition to any voting rights provided by law and, if so, the terms of such voting rights.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4) &nbsp;&nbsp;&nbsp;&nbsp;Whether or not shares of such class or series shall have conversion or exchange privileges and, if so, the terms and conditions thereof, including provision for adjustment of the conversion or exchange rate in such events or at such times as the Board of Directors shall determine.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5) &nbsp;&nbsp;&nbsp;&nbsp;Whether or not shares of such class or series shall be subject to redemption and, if so, the terms and conditions of such redemption, including the date or dates upon or after which they shall be redeemable and the amount per share payable in case of redemption, which amount may vary under different conditions and at different redemption dates; and whether or not there shall be any sinking fund or purchase account in respect thereof, and if so, the terms thereof.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6)&nbsp;&nbsp;&nbsp;&nbsp;The rights of the holders of shares of such class or series upon the liquidation, dissolution or winding up of the affairs of, or upon any distribution of the assets of, the Corporation, which rights may vary depending upon whether such liquidation, dissolution or winding up is voluntary or involuntary and, if voluntary, may vary at different dates, and whether such rights shall rank senior or junior to or on a parity with such rights of any other class or series of capital stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7)&nbsp;&nbsp;&nbsp;&nbsp;Whether or not there shall be any limitations applicable, while shares of such class or series are outstanding, upon the payment of dividends or making of distributions on, or the acquisition of, or the use of moneys for purchase or redemption of, any capital stock of the Corporation, or upon any other action of the Corporation, including action under this subparagraph, and, if so, the terms and conditions thereof.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(8)&nbsp;&nbsp;&nbsp;&nbsp;Any other preferences, rights, restrictions, including restrictions on transferability, and qualifications of shares of such class or series, not inconsistent with law and the Charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;D.&nbsp;&nbsp;&nbsp;&nbsp;For the purposes hereof and of any Articles Supplementary hereto providing for the classification or reclassification of any shares of capital stock or of any other charter document of the Corporation (unless otherwise provided in any such Articles or document), any class or series of capital stock of the Corporation shall be deemed to rank:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) &nbsp;&nbsp;&nbsp;&nbsp;prior to another class or series either as to dividends or upon liquidation, if the holders of such class or series shall be entitled to the receipt of dividends or of amounts distributable on liquidation, dissolution or winding up, as the case may be, in preference or priority to holders of such other class or series;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) &nbsp;&nbsp;&nbsp;&nbsp;on a parity with another class or series either as to dividends or upon liquidation, whether or not the dividend rates, dividend payment dates or redemption or liquidation price per share thereof be different from those of such others, if the holders of such class or series of stock shall be entitled to receipt of dividends or amounts distributable upon liquidation, dissolution or winding up, as the case may be, in proportion to their respective dividend rates or redemption or liquidation prices, without preference or priority over the holders of such other class or series; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3)&nbsp;&nbsp;&nbsp;&nbsp;junior to another class or series either as to dividends or upon liquidation, if the rights of the holders of such class or series shall be subject or subordinate to the rights of the holders of such other class or series in respect of the receipt of dividends or the amounts distributable upon liquidation, dissolution or winding up, as the case may be.

ARTICLE VII

The current number of Directors of the Corporation is nine (9), which number may be increased or decreased pursuant to the by-laws of the Corporation, but shall never be less

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than the minimum number permitted by the General Laws of the State of Maryland now or hereafter in force. The names of the directors currently in office, who shall act until the next annual meeting or until their successors are duly chosen and qualified are:

David L. Finkelstein

Thomas Hamilton

Kathy Hopinkah Hannan

Martin Laguerre

Manon Laroche

Eric A. Reeves

Glenn A. Votek

Scott Wede

Vicki Williams

ARTICLE VIII

Except as may otherwise be provided by the Board of Directors of the Corporation, no holder of any shares of the stock of the Corporation shall have any preemptive or preferential right to purchase, subscribe for, or otherwise acquire any shares of stock of the Corporation of any class now or hereafter authorized, or any securities exchangeable for or convertible into such shares, or any warrants or other instruments evidencing rights or options to subscribe for, purchase or otherwise acquire such shares.

ARTICLE IX

The Corporation shall indemnify (A) its directors and officers, whether serving the Corporation or at its request any other entity, to the full extent required or permitted by the General Laws of the State of Maryland now or hereafter in force, including the advance of expenses under the procedures and to the full extent permitted by law and (B) other employees and agents to such extent as shall be authorized by the Board of Directors or the Corporation's By-Laws and be permitted by law. The foregoing rights of indemnification shall not be exclusive of any other rights to which those seeking indemnification may be entitled. The Board of Directors may take such action as is necessary to carry out these indemnification provisions and is expressly empowered to adopt, approve and amend from time to time such By-Laws, resolutions or contracts implementing such provisions or such further indemnification arrangements as may be permitted by law. No amendment of the charter of the Corporation or repeal of any of its provisions shall limit or eliminate the right to indemnification provided hereunder with respect to acts or omissions occurring prior to such amendment or repeal.

ARTICLE X

To the fullest extent permitted by Maryland statutory or decisional law, as amended or interpreted, no director or officer of this Corporation shall be personally liable to the Corporation or its stockholders for money damages. No amendment of the Charter of the

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Corporation or repeal of any of its provisions shall limit or eliminate the benefits provided to directors and officers under this provision with respect to any act or omission which occurred prior to such amendment or repeal.

ARTICLE XI

Section 1. <u>Definitions</u>. For the purposes of this Article XI, the following terms shall have the following meanings:

"Beneficial Ownership" shall mean ownership of Capital Stock by a Person either directly or constructively through the application of section 544 of the Code, as modified by sections 856(h)(1)(B) and 856(h)(3)(A) of the Code and determined without respect to whether such ownership has the effect of meeting the stock ownership requirement of section 542(a)(2) of the Code. The terms "Beneficial Owner," "Beneficially Owning," "Beneficially Own" and "Beneficially Owned" shall have the correlative meanings.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;"Beneficiary" shall mean the beneficiary of the Trust as determined pursuant to Section 9 of this Article XI.

"Code" shall mean the Internal Revenue Code of 1986, as amended.

"Capital Stock" shall mean stock that is either Common Stock, Preferred Stock or any other class of capital stock of the Corporation classified or reclassified pursuant to Article VI or this Article XI.

"Excess Securities" shall have the meaning set forth in Section 4 of this Article XI.

"Initial Offering" shall mean the first offering by the Company involving the issuance and sale of not less than 3,000,000 shares of Common Stock, whether or not such offering is pursuant to a registration statement under the Securities Act of 1933, as amended.

"Initial Public Offering" shall mean the sale of shares of Common Stock pursuant to the Corporation's first effective registration statement for such Common Stock filed under the Securities Act of 1933, as amended.

"Market Price" for any class of Capital Stock shall mean the last reported sales price reported on the New York Stock Exchange of such Capital Stock, on the trading day immediately preceding the relevant date, or if not then traded on the New York Stock Exchange, the last reported sales price of such Capital Stock on the trading day immediately preceding the relevant date as reported on any exchange or quotation system over which such Capital Stock may be traded, or if not then traded over any exchange or quotation system, then the market price of the Capital Stock on the relevant date as determined in good faith by the Board of Directors of the Corporation.

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"NYSE" shall mean the New York Stock Exchange.

"Ownership Limit" shall mean the Beneficial Ownership of 9.8%, in number of shares or value, of each class of outstanding Capital Stock of the Corporation, and after adjustment as set forth in Section 11 of this Article XI, shall mean such greater or lesser percentage of the outstanding Capital Stock as so adjusted. The number and value of shares of the outstanding Capital Stock of the Corporation shall be determined by the Board of Directors in good faith, which determination shall be conclusive for all purposes hereof.

"Person" shall mean an individual, corporation, partnership, estate, trust (including a trust qualified under section 401(a) or 501(c)(17) of the Code), a portion of a trust permanently set aside for or to be used exclusively for the purposes described in section 642(c) of the Code, association, private foundation within the meaning of section 509(a) of the Code, joint stock company or other entity; but does not include an underwriter which participated in a public offering or private placement of Capital Stock for a period of 90 days following the purchase by such underwriter of such Capital Stock.

"Purported Transferee" shall mean, with respect to any purported Transfer which results in Excess Securities, the purported transferee who would have acquired shares of Capital Stock, if such Transfer had been valid under Section 2 of this Article XI.

"REIT" shall mean a real estate investment trust as defined under section 856 of the Code.

"Restriction Termination Date" shall mean the first day of the taxable year as to which the Board of Directors of the Corporation determines that it is no longer in the best interests of the Corporation to attempt to, or continue to, qualify as a REIT.

"Transfer" shall mean any sale, transfer, gift, assignment, devise or other disposition of Capital Stock (including (a) the granting of any option or entering into any agreement for the sale, transfer or other disposition of Capital Stock, (b) the sale, transfer, assignment or other disposition of any securities or rights convertible into or exchangeable for Capital Stock, but excluding the actual conversion or exchange of such securities or rights into Capital Stock and (c) any transfer or other disposition of any interest in Capital Stock as a result of a change in the martial status of the holder thereof), whether voluntary or involuntary, whether of record or beneficially and whether by operation of law or otherwise. The terms "Transfers" and "Transferred" shall have the correlative meanings.

"Trust" shall mean the trust created pursuant to Section 6 of this Article XI.

"Trustee" shall mean a banking institution designated by the Corporation as trustee for the Trust that is unaffiliated with either the Corporation or the Purported Transferee.

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Section 2.&nbsp;&nbsp;&nbsp;&nbsp;<u>Ownership Limitation</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) Except as provided in Section 12 of this Article XI, from the earlier of (x) the date of the Initial Offering or (y) January 1, 1998, and until the Restriction Termination Date, no Person shall Beneficially Own any class of shares of the outstanding Capital Stock in excess of the Ownership Limit.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) Except as provided in Section 12 of this Article XI, from the earlier of (x) the date of the Initial Offering or (y) January 1, 1998, and until the Restriction Termination Date, any Transfer that, if effective, would result in any Person Beneficially Owning any class of Capital Stock in excess of the Ownership Limit shall be void *ab initio* as to the Transfer of such shares of Capital Stock representing Beneficial Ownership of shares of any class of Capital Stock in excess of the Ownership Limit; and the intended transferee shall acquire no rights in such shares of Capital Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(C) From the earlier of (x) the date of the Initial Public Offering or (y) January 1, 1998, and until the Restriction Termination Date, any Transfer that, if effective, would result in the Capital Stock being beneficially owned (as provided in section 856(a) of the Code) by less than 100 Persons (determined without reference to any rules of attribution) shall be void *ab initio* as to the Transfer of such shares of Capital Stock which would be otherwise beneficially owned (as provided in section 856(a) of the Code) by the intended transferee; and the intended transferee shall acquire no rights in such shares of Capital Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(D) From the earlier of (x) the date of the Initial Offering or (y) January 1, 1998, and until the Restriction Termination Date, any Transfer that, if effective, would result in the Corporation being "closely held" within the meaning of section 856(h) of the Code shall be void *ab initio* as to the Transfer of such shares of Capital Stock which would cause the Corporation to be "closely held" within the meaning of section 856(h) of the Code; and the intended transferee shall acquire no rights in such shares of Capital Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(E) Until the Restriction Termination Date, any Transfer that, if effective, would result in disqualification of the Corporation as a REIT shall be void *ab initio* as to the Transfer of such shares of Capital Stock; and the intended transferee shall acquire no rights in such shares of Capital Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(F) Nothing contained herein shall impair the settlement of transactions entered into on the facilities of the NYSE or any other exchange or quotation system on which shares of Capital Stock are traded.

Section 3.&nbsp;&nbsp;&nbsp;&nbsp;<u>Prevention of Transfer</u>. If the Board of Directors or its designee shall at any time determine in good faith that a purported Transfer has taken place in violation of Section 2 of this Article XI (whether or not such Transfer is a result of a transaction entered into through the facilities of the NYSE or any other exchange or quotation system on which shares of Capital Stock are traded) or that a Person intends to acquire or Transfer or has attempted to

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acquire or Transfer Beneficial Ownership of Capital Stock of the Corporation in violation of Section 2, the Board of Directors or its designee shall take such action as it deems advisable to refuse to give effect to or to prevent such Transfer, including, but not limited to, refusing to give effect to such Transfer on the books of the Corporation or instituting proceedings to enjoin such Transfer; <u>provided</u>, <u>however</u>, that any purported Transfers in violation of this Article XI shall automatically result in the designation and treatment described in this Article XI, irrespective of any action (or non-action) by the Board of Directors.

Section 4. <u>Excess Securities</u>. If at any time after the earlier of (x) the date of the Initial Offering or (y) January 1, 1998 and before the Restriction Termination Date there is a purported Transfer or other change in the capital structure of the Corporation such that (x) any Person would Beneficially Own Capital Stock in excess of the applicable Ownership Limit and (y) any provision of Section 2 of this Article XI or any application of such provision is determined to be void, invalid, or unenforceable by any court having jurisdiction over the issue, then, except as otherwise provided in Section 12 of this Article XI, such shares of Capital Stock representing Beneficial Ownership of shares of Capital Stock in excess of such Ownership Limit (rounded up to the nearest whole share) shall constitute "Excess Securities" and be treated as provided in this Article XI. Such designation and treatment shall be effective as of the close of business on the business day prior to the date of the purported Transfer or change in capital structure; <u>provided</u>, <u>however</u>, subject to the provisions of Section 12, shares of Capital Stock held by an underwriter in a public offering or private placement of shares, or in a transaction involving the issuance of shares by the Corporation in which the Board of Directors determines that the underwriter or other person or party initially acquiring such shares will make a timely distribution of such shares to or among other holders such that, following such distribution, none of such securities will be Excess Securities, shall not constitute Excess Securities.

Section 5.&nbsp;&nbsp;&nbsp;&nbsp;<u>Notice to Corporation</u>. Any Person who acquires shares of Capital Stock in violation of Section 2 of this Article XI, or any Person who is a Purported Transferee such that Excess Securities results under Section 4 of this Article XI, shall immediately give written notice or, in the event of a proposed or attempted Transfer that would violate Section 2 of this Article XI, give at least 15 days prior written notice to the Corporation of such event and shall provide to the Corporation such other information as the Corporation may request in order to determine the effect, if any, of such Transfer on the Corporation's status as a REIT.

Section 6.&nbsp;&nbsp;&nbsp;&nbsp;<u>Trust for Excess Securities</u>. All Excess Securities shall be transferred by operation of law to the Trustee of a Trust for the benefit of such Beneficiary or Beneficiaries to whom an interest in such Excess Securities may later be transferred pursuant to Section 9 of this Article XI. Excess Securities that constitute Capital Stock so held in trust shall be issued and outstanding stock of the Corporation. The Purported Transferee shall have no rights in any Excess Securities.

Section 7.&nbsp;&nbsp;&nbsp;&nbsp;<u>No Distribution for Excess Securities</u>. The Trustee, as holder of Excess Securities, shall pay any distributions (including dividends or distributions upon liquidation, dissolution or winding up) to the Beneficiary. Any dividend or distribution paid prior

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to the discovery by the Corporation that the shares of Capital Stock have been purportedly Transferred so as to be deemed Excess Securities shall be paid to the Trust for the exclusive benefit of the Beneficiary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Section 8.&nbsp;&nbsp;&nbsp;&nbsp;<u>No Voting or Exercise Rights for Excess Securities</u>. The Trustee, as holder of Excess Securities, shall not be entitled to vote on any matter and shall not be entitled to exercise or convert any such securities into shares of Capital Stock.

Section 9.&nbsp;&nbsp;&nbsp;&nbsp;<u>Transfer of Excess Securities</u>. The Trustee shall designate as beneficiary an organization described in sections 170(b)(1)(A) or 170(c) of the Code (a "Beneficiary") of an interest in the Trust (representing the number of shares (as the case may be) of Excess Securities held by the Trust attributable to a purported Transfer that resulted in the Excess Securities), provided, the Excess Securities held in the Trust would not be Excess Securities in the hands of such Beneficiary. The Trust may transfer shares of Excess Securities if such shares of Capital Stock do not constitute Excess Securities in the hands of the new owner. Upon such a transfer, the Purported Transferee shall receive a price for such Excess Securities equal to the lesser of (i) the price per share such Purported Transferee paid for the Capital Stock in the purported Transfer that resulted in the Excess Securities (or, if the Purported Transferee did not give value for such Excess Securities (through a gift, devise or other transaction), a price per share equal to the Market Price for the shares of the Excess Securities on the date of the purported Transfer that resulted in the Excess Securities), or (ii) the price per share for the Excess Securities received by the Trust from the sale or other disposition of the Excess Securities to the new owner.

If any of the foregoing restrictions on transfer of Excess Securities are determined to be void, invalid or unenforceable by any court of competent jurisdiction, then the Purported Transferee may be deemed, at the option of the Corporation, to have acted as an agent of the Corporation in acquiring such Excess Securities and to hold such Excess Securities on behalf of the Corporation.

Section 10.&nbsp;&nbsp;&nbsp;&nbsp;<u>Information for Corporation</u>. Until the Restriction Termination Date:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) Every record owner of more than 5.0% (during any period in which the number of stockholders of record is 2,000 or more) or 1% (during any period in which the number of stockholders of record is greater than 200 but less than 2,000) or ½ % (during any period in which the number of stockholders is 200 or less) of the number or value of the outstanding shares of Capital Stock of the Corporation shall, within 30 days after December 31 of each year, give written notice to the Corporation stating the name and address of such record owner, the number of shares Beneficially Owned, and a description of how such shares are held. Each such record owner shall also provide to the Corporation such additional information as the Corporation may reasonably request in order to determine the effect, if any, of such Beneficial Ownership on the Corporation's status as a REIT.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) Each Person who is a Beneficial Owner of Capital Stock and each Person (including the stockholder of record) who is holding Capital Stock for a Beneficial Owner shall provide to the Corporation such information that the Corporation may reasonably request in order to determine the Corporation's status as a REIT, to comply with the requirements of any taxing authority or governmental agency, or to determine any such compliance.

Section 11.&nbsp;&nbsp;&nbsp;&nbsp;<u>Increase in Ownership Limit</u>. The Board of Directors may from time to time increase or decrease the Ownership Limit; <u>provided</u>, <u>however</u>, that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(A) Any decrease may be made prospectively as to subsequent holders

(other than a decrease as a result of a retroactive change in existing law, in which case such decrease shall be effective immediately);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(B) The Ownership Limit may not be increased if, after giving effect to such increase, five Beneficial Owners of Common Stock could Beneficially Own, in the aggregate, more than 50.0% in value of the shares of Capital Stock then outstanding; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(C) Prior to the modification of the Ownership Limit the Board of Directors of the Corporation may require such opinions of counsel, affidavits, undertakings or agreements as it may deem necessary or advisable in order to determine or ensure the Corporation's status as a REIT.

Section 12.&nbsp;&nbsp;&nbsp;&nbsp;<u>Waivers by Board</u>. The Board of Directors, upon receipt of a ruling from the Internal Revenue Service or an opinion of its tax advisor or other documents or evidence satisfactory to the Board of Directors and upon such other conditions as the Board of Directors may direct, may waive the Ownership Limit with respect to an intended transferee in connection with a proposed Transfer which, if consummated, would result in such intended transferee owning shares in excess of the Ownership Limit. The Board may require written notice from a transferee such number of days prior to the proposed Transfer as the Board may determine in its discretion.

Section 13.&nbsp;&nbsp;&nbsp;&nbsp;<u>Legend</u>. All certificates for shares of Capital Stock shall bear a legend referencing the restrictions on ownership and transfer as set forth in these Articles of Incorporation.

Section 14.&nbsp;&nbsp;&nbsp;&nbsp;<u>Other Action by Board</u>. Subject to Section 2(F) of this Article XI, nothing contained in this Article XI shall limit the authority of the Board of Directors to take such other action as it deems necessary or advisable to preserve the Corporation's status as a REIT.

Section 15.&nbsp;&nbsp;&nbsp;&nbsp;<u>Ambiguities</u>. Subject to Section 2(F) of this Article XI, in the case of an ambiguity in the application of any of the provisions of this Article XI, including any definition contained in Section 1, the Board of Directors shall have the power to determine the

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application of the provisions of this Article XI with respect to any situation based on the facts known to it.

Section 16.&nbsp;&nbsp;&nbsp;&nbsp;<u>Severability</u>. If any provisions of this Article XI or any application of any such provision is determined to be void, invalid or unenforceable by any court having jurisdiction over the issue, the validity and enforceability of the remaining provisions shall be affected only to the extent necessary to comply with the determination of such court.

ARTICLE XII

The Corporation hereby expressly elects not to be governed by the provisions of Section 3-602 of the Maryland General Corporation Law.

ARTICLE XIII

Notwithstanding any provision of law requiring the authorization of any action by a greater proportion than a majority of the total number of shares of all classes of capital stock or of the total number of shares of any class of capital stock, such action shall be valid and effective if authorized by the affirmative vote of the holders of a majority of the total number of shares of all classes outstanding and entitled to vote thereon, except as otherwise provided in the charter.

ARTICLE XIV

The Board of Directors is hereby empowered to authorize the issuance from time to time of shares of its stock of any class, whether now or hereafter authorized, or securities convertible into shares of its stock of any class or classes, whether now or hereafter authorized, for such consideration as may be deemed advisable by the Board of Directors and without any action by the stockholders.

ARTICLE XV

The Corporation reserves the right from time to time to make any amendments of its charter which may now or hereafter be authorized by law, including any amendments changing the terms or contract rights, as expressly set forth in its charter, or any of its outstanding stock by classification, reclassification or otherwise.

ARTICLE XVI

The enumeration and definition of particular powers of the Board of Directors included in the foregoing Articles shall in no way be limited or restricted by reference to or inference from the terms of any other Article of the charter of the Corporation, or construed as or deemed by inference or otherwise in any manner to exclude or limit any powers conferred upon the Board of Directors under the General Laws of the State of Maryland now or hereafter in force.

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ARTICLE XVII

The duration of the Corporation shall be perpetual.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>THIRD</u>:&nbsp;&nbsp;&nbsp;&nbsp;The restatement of the charter as hereinabove set forth has been duly approved by a majority of the entire Board of Directors of the Corporation as required by law.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>FOURTH</u>:&nbsp;&nbsp;&nbsp;&nbsp;The charter is not amended by the foregoing restatement of the charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>FIFTH</u>:&nbsp;&nbsp;&nbsp;&nbsp;The current address of the principal office of the Corporation is as set forth in Article IV of the foregoing restatement of the charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>SIXTH</u>:&nbsp;&nbsp;&nbsp;&nbsp;The name and address of the Corporation's current resident agent are as set forth in Article V of the foregoing restatement of the charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>SEVENTH</u>:&nbsp;&nbsp;&nbsp;&nbsp;The number of directors of the Corporation and the names of those currently in office are as set forth in Article VII of the foregoing restatement of the charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>EIGHTH:</u>&nbsp;&nbsp;&nbsp;&nbsp;The "Share Cap", as defined in <u>Exhibit A</u> hereto with regard to the 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, originally 4.19815, is equal to 1.0495375 as of the date hereof as a result of a reverse stock split of our common stock at a ratio of 1-for-4 on September 23, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>NINTH:</u>&nbsp;&nbsp;&nbsp;&nbsp;The "Share Cap", as defined in <u>Exhibit B</u> hereto with regard to the 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, originally 4.32152, is equal to 1.08038 as of the date hereof as a result of a reverse stock split of our common stock at a ratio of 1-for-4 on September 23, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>TENTH:</u>&nbsp;&nbsp;&nbsp;&nbsp;The "Share Cap", as defined in <u>Exhibit C</u> hereto with regard to the 6.750% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, originally 5.42888, is equal to 1.35722 as of the date hereof as a result of a reverse stock split of our common stock at a ratio of 1-for-4 on September 23, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>ELEVENTH</u>:&nbsp;&nbsp;&nbsp;&nbsp;The undersigned officer acknowledges these Articles of Restatement to be the corporate act of the Corporation and as to all matters or facts required to be verified under oath, the undersigned officer acknowledges that to the best of his knowledge, information and belief, these matters and facts are true in all material respects and that his statement is made under the penalties for perjury.

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IN WITNESS WHEREOF, the Corporation has caused these Articles to be signed in its name and on its behalf by its ________and attested by its ________ on this ___ day of October, 2025.

ATTEST &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ANNALY CAPITAL MANAGEMENT, INC.

_______________________&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;By: _________________

Name: Anthony Green&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Name:&nbsp;&nbsp;&nbsp;&nbsp;David L. Finkelstein

Title: Chief Corporate Officer, &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Title:&nbsp;&nbsp;&nbsp;&nbsp;Chief Executive Officer and

&nbsp;&nbsp;&nbsp;&nbsp;Chief Legal Officer and Secretary&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Co-Chief Investment Officer

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**EXHIBIT A**

**<u>SERIES F PREFERRED STOCK</u>**

Under a power contained in Article VI of the charter (the "<u>Charter</u>") of Annaly Capital Management, Inc., a Maryland corporation (the "<u>Corporation</u>"), the Board of Directors (the "<u>Board of Directors</u>") of the Corporation and a duly authorized committee thereof, by duly adopted resolutions classified and designated 32,200,000 shares of authorized but unissued common stock, $0.01 par value per share, of the Corporation ("<u>Common Stock</u>") as shares of preferred stock of the Corporation, $0.01 par value per share ("<u>Preferred Stock</u>"), of which 3,400,000 has been reclassified as Common Stock, with such shares of Preferred Stock having the following preferences, conversion and other rights, voting powers, restrictions, limitations as to dividends and other distributions, qualifications and terms and conditions of redemption, which, upon any restatement of the Charter, shall be deemed to be part of Article VI of the Charter, with any necessary or appropriate changes to the enumeration or lettering of sections or subsections hereof:

**6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. &nbsp;&nbsp;&nbsp;&nbsp;<u>Designation and Number</u>. A series of Preferred Stock, classified as the "6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock" (the "<u>Series F Preferred Stock</u>") is hereby established. The par value of the Series F Preferred Stock is $0.01 per share. The number of authorized shares of the Series F Preferred Stock shall be 28,800,000.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. &nbsp;&nbsp;&nbsp;&nbsp;<u>Maturity</u>. The Series F Preferred Stock has no stated maturity and will not be subject to any sinking fund or mandatory redemption, and will remain outstanding indefinitely unless (i) the Corporation decides to redeem or otherwise repurchase the Series F Preferred Stock or (ii) the Series F Preferred Stock becomes convertible and is actually converted pursuant to Section 7 hereof. The Corporation is not required to set apart for payment the funds to redeem the Series F Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. &nbsp;&nbsp;&nbsp;&nbsp;<u>Ranking</u>. The Series F Preferred Stock will rank, with respect to rights to the payment of dividends and the distribution of assets upon the liquidation, dissolution or winding up of the Corporation, (i) senior to the all classes or series of Common Stock and to all classes or series of stock of the Corporation other than the stock of the Corporation referred to in clauses (ii) and (iii) of this Section 3 (collectively, "<u>Junior Stock</u>"); (ii) on a parity with the Company's 7.875% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series A Preferred Stock</u>"), 7.625% Series C Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series C Preferred Stock</u>"), 7.50% Series D Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series D Preferred Stock</u>"), 7.625% Series E Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series E Preferred Stock</u>"), and all classes or series of stock of the Corporation with terms specifically providing that such stock ranks on a parity with the Series F Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation (collectively, "<u>Parity Stock</u>"); and (iii) junior to all classes or series of stock of the Corporation with terms specifically providing that such stock ranks senior to the Series F

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Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation (collectively, "<u>Senior Stock</u>"). The term "stock" shall not include debt securities convertible or exchangeable into Common Stock or Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. &nbsp;&nbsp;&nbsp;&nbsp;<u>Dividends</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Holders of shares of the Series F Preferred Stock are entitled to receive, when, as and if authorized by the Board of Directors and declared by the Corporation, out of funds of the Corporation legally available for the payment of dividends, cumulative cash dividends. The initial dividend rate for the Series F Preferred stock from, and including, the Original Issue Date (as defined below) of the Series F Preferred Stock to, but not including, September 30, 2022 (the "<u>Fixed Rate Period</u>"), will be 6.95% of the $25.00 per share liquidation preference per annum (equivalent to $1.7375 per annum per share). On and after September 30, 2022 (the "<u>Floating Rate Period</u>"), dividends on the Series F Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the Three-Month LIBOR Rate (as defined below) plus a spread of 4.993%. Dividends on the Series F Preferred Stock shall accumulate daily and with respect to any shares of Series F Preferred Stock issued before December 31, 2017 shall be cumulative from, and including, July 31, 2017 (the "<u>Original Issue Date</u>"), or, with respect to any shares of Series F Preferred Stock issued after December 31, 2017, shall be cumulative from the most recent Dividend Payment Date (as defined below) to which dividends have been paid in full (or declared and the record date for determining stockholders entitled to payment thereof has passed), and shall be payable quarterly in arrears on the last day of each March, June, September and December beginning December 31, 2017 (each, a "<u>Dividend Payment Date</u>"); *provided*, that if any Dividend Payment Date is not a Business Day (as defined below), then the dividend which would otherwise have been payable on such Dividend Payment Date may be paid on the next succeeding Business Day with the same force and effect as if paid on such Dividend Payment Date. No interest, additional dividends or sums in lieu of interest will accumulate on the amount so payable for the period from and after such Dividend Payment Date to such next succeeding Business Day. Any dividend payable on the Series F Preferred Stock, including dividends payable for any partial Dividend Period (as defined below), will be computed on the basis of a 360-day year consisting of twelve 30-day months (it being understood that the dividend payable on or about December 31, 2017 will be in the amount of $0.72396 per share of Series F Preferred Stock). Dividends will be payable to holders of record as they appear on the stock records of the Corporation at the close of business on the applicable record date, which will be no fewer than ten days and no more than 35 days prior to the applicable Dividend Payment Date, as shall be fixed by the Board of Directors (each, a "<u>Dividend Record Date</u>"). The dividends payable on any Dividend Payment Date shall include dividends accumulated to, but not including, such Dividend Payment Date.

&nbsp;&nbsp;&nbsp;&nbsp;The term "<u>Three-Month LIBOR Rate</u>" shall be calculated for each Dividend Period and means, on any Dividend Determination Date (as defined below): (i) the rate (expressed as a percentage per year) for deposits in U.S. dollars having an index maturity of three months, in amounts of at least $1,000,000, as such rate appears on "Reuters Page LIBOR01" at

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approximately 11:00 a.m. (London time) on the relevant Dividend Determination Date; or if no such rate appears on "Reuters Page LIBOR01" or if the "Reuters Page LIBOR01" is not available at approximately 11:00 a.m. (London time) on the relevant Dividend Determination Date, then the Corporation will select four nationally-recognized banks in the London interbank market and request that the principal London offices of those four selected banks provide the Corporation with their offered quotation for deposits in U.S. dollars for a period of three months, commencing on the first day of the applicable Dividend Period, to prime banks in the London interbank market at approximately 11:00 a.m. (London time) on that Dividend Determination Date for the applicable Dividend Period. Offered quotations must be based on a principal amount equal to an amount that, in the Corporation's discretion, is representative of a single transaction in U.S. dollars in the London interbank market at that time. If at least two quotations are provided, the Three-Month LIBOR Rate for such Dividend Period will be the arithmetic mean (rounded upward if necessary, to the nearest 0.00001 of 1%) of those quotations. If fewer than two quotations are provided, the Three-Month LIBOR Rate for such Dividend Period will be the arithmetic mean (rounded upward if necessary, to the nearest 0.00001 of 1%) of the rates quoted at approximately 11:00 a.m. (New York City time) on that Dividend Determination Date for such Dividend Period by three nationally-recognized banks in New York, New York selected by the Corporation, for loans in U.S. dollars to nationally-recognized European banks (as selected by the Corporation), for a period of three months commencing on the first day of such Dividend Period. The rates quoted must be based on an amount that, in the Corporation's discretion, is representative of a single transaction in U.S. dollars in that market at that time. If fewer than three New York City banks selected by the Corporation do not quote rates in the manner described above, the Three-Month LIBOR Rate for the applicable Dividend Period will be the same as for the immediately preceding Dividend Period, or, if there was no such Dividend Period, the dividend shall be calculated at the dividend rate in effect for the immediately preceding Dividend Period.

The term "<u>Dividend Determination Date</u>" means the London Business Day (as defined below) immediately preceding the applicable Dividend Period.

The term "<u>Dividend Period</u>" means the period from, and including, a Dividend Payment Date to, but excluding, the next succeeding Dividend Payment Date, except for the initial Dividend Period, which will be the period from, and including, the original issue date of the Series F Preferred Stock to, but excluding, December 31, 2017.

The term "<u>London Business Day</u>" means any day on which dealings in deposits in U.S. dollars are transacted in the London interbank market.

The terms "<u>Reuters Page LIBOR01</u>" means the display so designated on the Reuters 3000 Xtra (or such other page as may replace the LIBOR01 page on that service, or such other service as may be nominated by the ICE Benchmark Administration Limited, or ICE, or its successor, or such other entity assuming the responsibility of ICE or its successor in the event ICE or its successor no longer does so, as the successor service, for the purpose of displaying London interbank offered rates for U.S. dollar deposits).

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) No dividends on shares of Series F Preferred Stock shall be authorized by the Board of Directors or paid or set apart for payment by the Corporation at any time when the terms and provisions of any agreement of the Corporation, including any agreement relating to any indebtedness of the Corporation, prohibit the authorization, payment or setting apart for payment thereof or provide that the authorization, payment or setting apart for payment thereof would constitute a breach of the agreement or a default under the agreement, or if the authorization, payment or setting apart for payment is restricted or prohibited by law.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Notwithstanding anything to the contrary contained herein, dividends on the Series F Preferred Stock will accumulate (i) whether or not the terms and provisions of any laws or agreements referred to in Section 4(b) hereof at any time prohibit the current payment of dividends, (ii) whether or not the Corporation has earnings, (iii) whether or not there are funds legally available for the payment of those dividends, and (iv) whether or not those dividends are declared. No interest, or sum in lieu of interest, will be payable in respect of any dividend payment or payments on the Series F Preferred Stock which may be in arrears, and holders of Series F Preferred Stock will not be entitled to any dividends in excess of full cumulative dividends described in Section 4(a) hereof. Any dividend payment made on the Series F Preferred Stock will first be credited against the earliest accumulated but unpaid dividend due with respect to the Series F Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Except as provided in Section 4(e) hereof, unless full cumulative dividends on the Series F Preferred Stock have been or contemporaneously are declared and paid or declared and a sum sufficient for the payment thereof is set apart for payment for all past Dividend Periods, (i) no dividends (other than in shares of Junior Stock) shall be declared or paid or set apart for payment upon shares of Junior Stock or Parity Stock, (ii) no other distribution shall be declared or made upon shares of Junior Stock or Parity, and (iii) shares of Junior Stock or Parity Stock shall not be redeemed, purchased or otherwise acquired for any consideration (or any moneys be paid to or made available for a sinking fund for the redemption of any such securities) by the Corporation (except by conversion into or exchange for shares of, or options, warrants or rights to purchase or subscribe for, shares of Junior Stock or pursuant to a purchase or exchange offer made on the same terms to holders of all outstanding shares of Series F Preferred Stock and shares of any other class or series of Parity Stock); *provided, however*, that the foregoing shall not prevent (i) the redemption, purchase or acquisition by the Corporation of shares of any class or series of stock of the Corporation pursuant to the provisions of Article XI of the Charter, including in order to preserve the Corporation's qualification as a real estate investment trust, or (ii) the redemption, purchase or acquisition by the Corporation of shares of Common Stock for purposes of and in compliance with any incentive or benefit plan of the Corporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) When dividends are not paid in full (or a sum sufficient for such full payment is not so set apart) upon the Series F Preferred Stock and shares of any other classes or series of Parity Stock, all dividends declared upon the Series F Preferred Stock and all other such shares of stock shall be declared *pro rata* so that the amount of dividends declared per share of Series F Preferred Stock and all other such shares of stock shall in all cases bear to each other the same

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ratio that accumulated dividends per share on the Series F Preferred Stock and all other such shares of stock (which shall not include any accrual in respect of unpaid dividends for prior Dividend Periods if any such shares of stock do not have a cumulative dividend) bear to each other. No interest, or sum of money in lieu of interest, shall be payable in respect of any dividend payment or payments on the Series F Preferred Stock which may be in arrears.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) "<u>Business Day</u>" shall mean any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions in New York, New York are authorized or required by law, regulation or executive order to close.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) "<u>Set apart for payment</u>" shall be deemed to include (without limitation), without any action other than the following: the recording by the Corporation in its accounting ledgers of any accounting or bookkeeping entry which indicates, pursuant to an authorization by the Board of Directors and a declaration of dividends or other distribution by the Corporation, the allocation of funds to be so paid on any series or class of shares of stock of the Corporation; provided, however, that if any funds for any class or series of Junior Stock or Parity Stock are placed in a separate account of the Corporation or delivered to a disbursing, paying or other similar agent, then "set apart for payment" with respect to the Series F Preferred Stock shall mean placing such funds in a separate account or delivering such funds to a disbursing, paying or other similar agent.

&nbsp;&nbsp;&nbsp;&nbsp;5. &nbsp;&nbsp;&nbsp;&nbsp;<u>Liquidation Preference</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) In the event of any voluntary or involuntary liquidation, dissolution or winding up of the Corporation, the holders of Series F Preferred Stock will be entitled to be paid out of the assets the Corporation has legally available for distribution to its stockholders, subject to the preferential rights of the holders of any class or series of Senior Stock, a liquidation preference of Twenty-Five Dollars ($25.00) per share, plus an amount equal to any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date of payment, before any distribution of assets is made to holders of Junior Stock; and such holders of Series F Preferred Stock shall not be entitled to any further payment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) In the event that, upon any such voluntary or involuntary liquidation, dissolution or winding up, the available assets of the Corporation are insufficient to pay the amount of the liquidating distributions on all outstanding shares of Series F Preferred Stock and Parity Stock and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation, then the holders of Series F Preferred Stock and all other such classes or series of stock shall share ratably in any such distribution of assets in proportion to the full liquidating distributions to which they would otherwise be respectively entitled.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Notice of any such liquidation stating the payment date or dates when, and the place or places where, the amounts distributable in each circumstance shall be payable, shall be given no fewer than 30 days and no more than 60 days prior to the payment date, to each holder of record of Series F Preferred Stock at the address of such holder as it shall appear on the stock

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records of the Corporation. After payment of the full amount of the liquidating distributions to which they are entitled, the holders of Series F Preferred Stock will have no right or claim to any of the remaining assets of the Corporation. The consolidation, conversion or merger of the Corporation with or into any other corporation, trust or entity or of any other entity with or into the Corporation, the sale, lease, transfer or conveyance of all or substantially all of the property or business the Corporation or a statutory share exchange, shall not be deemed to constitute a liquidation, dissolution or winding up of the Corporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) In determining whether a distribution (other than upon voluntary or involuntary liquidation), by dividend, redemption or other acquisition of shares of stock of the Corporation or otherwise, is permitted under the Maryland General Corporation Law, amounts that would be needed, if the Corporation were to be dissolved at the time of distribution, to satisfy the preferential rights upon dissolution of holders of shares of the Series F Preferred Stock shall not be added to the Corporation's total liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;6. &nbsp;&nbsp;&nbsp;&nbsp;<u>Redemption</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Series F Preferred Stock is not redeemable prior to September 30, 2022 except as described in this Section 6 and except that, as provided in Article XI of the Charter, the Corporation may purchase or redeem shares of the Series F Preferred Stock prior to that date, including under circumstances where it is necessary to preserve the Corporation's qualification as a real estate investment trust for U.S. federal income tax purposes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) <u>Optional Redemption Right</u>. On and after September 30, 2022, the Corporation may, at its option, upon not less than 30 nor more than 60 days' notice, as provided below, redeem the Series F Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price of Twenty-Five Dollars ($25.00) per share, plus, subject to Section 6(j) hereof, any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date fixed for redemption, without interest.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) <u>Special Optional Redemption Right</u>. Notwithstanding anything to the contrary contained in Section 6(a) hereof, upon the occurrence of a Change of Control (as defined below), the Corporation may, at its option, upon not less than 30 nor more than 60 days' notice, as provided below, redeem the Series F Preferred Stock, in whole or in part, within 120 days after the first date on which such Change of Control occurred, for cash at a redemption price of Twenty-Five Dollars ($25.00) per share, plus, subject to Section 6(j) hereof, any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date fixed for redemption. If, prior to the Change of Control Conversion Date (as defined below), the Corporation has provided notice of its election to redeem some or all of the shares of Series F Preferred Stock pursuant to this Section 6, the holders of Series F Preferred Stock will not have the Change of Control Conversion Right (as defined below) with respect to the shares of Series F Preferred Stock called for redemption.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) A "<u>Change of Control</u>" is deemed to occur when, after the Original Issue Date, the following have occurred and are continuing: (i) the acquisition by any person, including any syndicate or group deemed to be a "person" under Section 13(d)(3) of the Securities Exchange Act of 1934, as amended (the "<u>Exchange Act</u>"), of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of stock of the Corporation entitling that person to exercise more than 50% of the total voting power of all stock of the Corporation entitled to vote generally in the election of directors of the Corporation (except that such person will be deemed to have beneficial ownership of all securities that such person has the right to acquire, whether such right is currently exercisable or is exercisable only upon the occurrence of a subsequent condition); and (ii) following the closing of any transaction referred to in clause (i), neither the Corporation nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the New York Stock Exchange (the "<u>NYSE</u>"), the NYSE MKT LLC (the "<u>NYSE MKT</u>") or the Nasdaq Stock Market ("<u>Nasdaq</u>"), or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE MKT or Nasdaq.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) In the event the Corporation elects to redeem Series F Preferred Stock, the notice of redemption will be given by the Corporation, postage prepaid, not less than 30 nor more than 60 days prior to the redemption date, to each holder of record of Series F Preferred Stock called for redemption at such holder's address as it appears on the stock records of the Corporation and shall state: (i) the redemption date; (ii) the number of shares of Series F Preferred Stock to be redeemed; (iii) the redemption price; (iv) the place or places where certificates (if any) for the Series F Preferred Stock are to be surrendered for payment of the redemption price; (v) that dividends on the shares to be redeemed will cease to accumulate on the redemption date; (vi) if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and (vii) if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series F Preferred Stock being so called for redemption will not be able to tender such shares of Series F Preferred Stock for conversion in connection with the Change of Control and that each share of Series F Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date, for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date. If less than all of the shares of Series F Preferred Stock held by any holder are to be redeemed, the notice given to such holder shall also specify the number of shares of Series F Preferred Stock held by such holder to be redeemed. No failure to give such notice or any defect thereto or in the giving thereof shall affect the validity of the proceedings for the redemption of any shares of Series F Preferred Stock except as to the holder to whom notice was defective or not given.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Holders of shares of Series F Preferred Stock to be redeemed shall surrender the shares of Series F Preferred Stock so called for redemption at the place designated in the notice of redemption and shall be entitled to the redemption price and any accumulated and unpaid dividends payable upon the redemption following the surrender.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) If notice of redemption of any shares of Series F Preferred Stock has been given and if the Corporation irrevocably sets apart for payment the funds necessary for redemption (including any accumulated and unpaid dividends) in trust for the benefit of the holders of the shares of Series F Preferred Stock so called for redemption, then from and after the redemption date (unless the Corporation shall default in providing for the payment of the redemption price plus accumulated and unpaid dividends, if any), dividends will cease to accumulate on those shares of Series F Preferred Stock, those shares of Series F Preferred Stock shall no longer be deemed outstanding and all rights of the holders of those shares will terminate, except the right to receive the redemption price plus accumulated and unpaid dividends, if any, payable upon redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) If any redemption date is not a Business Day, then the redemption price and accumulated and unpaid dividends, if any, payable upon redemption may be paid on the next Business Day and no interest, additional dividends or other sums will accumulate on the amount payable for the period from and after that redemption date to that next Business Day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) If less than all of the outstanding shares of Series F Preferred Stock are to be redeemed, the shares of Series F Preferred Stock to be redeemed shall be selected pro rata (as nearly as may be practicable without creating fractional shares) or by lot. If such redemption is to be by lot and if, as a result of such redemption, any holder of Series F Preferred Stock would own shares of Series F Preferred Stock in excess of the Ownership Limit (as defined in the Charter) or violate any other restriction on ownership or transfer of Capital Stock (as defined in the Charter) set forth in Section 2 of Article XI of the Charter, then, except as otherwise provided in the Charter, the Corporation will redeem the requisite number of shares of Series F Preferred Stock of such holder such that the holder will not own shares of Series F Preferred Stock in excess of the Ownership Limit or violate any other restriction on ownership or transfer of Capital Stock set forth in Section 2 of Article XI of the Charter subsequent to such redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) Immediately prior to any redemption of Series F Preferred Stock, the Corporation shall pay, in cash, any accumulated and unpaid dividends thereon to, but not including, the redemption date, unless a redemption date falls after a Dividend Record Date and prior to the corresponding Dividend Payment Date, in which case each holder of Series F Preferred Stock at the close of business on such Dividend Record Date shall be entitled to the dividend payable on such shares on the corresponding Dividend Payment Date notwithstanding the redemption of such shares before such Dividend Payment Date. Except as provided in this Section 6(j), the Corporation will make no payment or allowance for unpaid dividends, whether or not in arrears, on shares of the Series F Preferred Stock to be redeemed.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k) Unless full cumulative dividends on all shares of Series F Preferred Stock shall have been or contemporaneously are declared and paid or declared and a sum sufficient for the payment thereof has been or contemporaneously is set apart for payment for all past Dividend Periods, no shares of Series F Preferred Stock shall be redeemed unless all outstanding shares of Series F Preferred Stock are simultaneously redeemed, and the Corporation shall not purchase or otherwise acquire directly or indirectly any shares of Series F Preferred Stock (except by

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conversion into or exchange for shares of, or options, warrants, or rights to purchase or subscribe for, Junior Stock or pursuant to a purchase or exchange offer made on the same terms to all holders of Series F Preferred Stock and any other class or series of Parity Stock); *provided, however*, that the foregoing shall not prevent the redemption, purchase or acquisition by the Corporation of shares of Series F Preferred Stock pursuant to Article XI of the Charter, including in order to preserve our qualification as a REIT.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) Subject to applicable law, the Corporation may purchase shares of Series F Preferred Stock in the open market, by tender or by privately negotiated transactions. Any shares of Series F Preferred Stock that the Corporation acquires, by redemption or otherwise, shall be reclassified as authorized but unissued shares of Preferred Stock, without designation as to class or series, and may thereafter be issued as any class or series of Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7. &nbsp;&nbsp;&nbsp;&nbsp;<u>Conversion Rights</u>. Shares of Series F Preferred Stock are not convertible into or exchangeable for any other property or securities of the Corporation, except as provided in this Section 7.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Upon the occurrence of a Change of Control, each holder of Series F Preferred Stock will have the right (unless, prior to the Change of Control Conversion Date, the Corporation has provided notice of its election to redeem some or all of the shares of Series F Preferred Stock held by such holder pursuant to Section 6 hereof, in which case such holder will have the right only with respect to shares of Series F Preferred Stock that are not called for redemption) to convert some or all of the shares of Series F Preferred Stock held by such holder (the "<u>Change of Control Conversion Right</u>") on the Change of Control Conversion Date into a number of shares of Common Stock per share of Series F Preferred Stock (the "<u>Common Stock Conversion Consideration</u>") equal to the lesser of: (i) the quotient obtained by dividing (x) the sum of the $25.00 liquidation preference per share of Series F Preferred Stock plus (subject to Section 7(p) hereof) the amount of any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a Dividend Record Date and prior to the corresponding Dividend Payment Date for the Series F Preferred Stock, in which case no additional amount for such accumulated and unpaid dividends to be paid on such Dividend Payment Date will be included in this sum) by (y) the Common Stock Price (as defined below) (such quotient, the "<u>Conversion Rate</u>"); and (ii) 4.19815 (the "<u>Share Cap</u>"), subject to adjustments provided in Section 7(b) below.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) The Share Cap is subject to pro rata adjustments for any share splits (including those effected pursuant to a distribution of Common Stock to existing holders of Common Stock), subdivisions or combinations (in each case, a "<u>Share Split</u>") with respect to Common Stock as follows: the adjusted Share Cap as the result of a Share Split will be the number of shares of Common Stock that is equivalent to the product obtained by multiplying (i) the Share Cap in effect immediately prior to such Share Split by (ii) a fraction, the numerator of which is the number of shares of Common Stock outstanding immediately after giving effect to such Share Split and the denominator of which is the number of shares of Common Stock outstanding

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immediately prior to such Share Split. For the avoidance of doubt, subject to the immediately succeeding sentence, the aggregate number of shares of Common Stock (or equivalent Alternative Conversion Consideration (as defined below), as applicable) issuable or deliverable, as applicable, in connection with the exercise of the Change of Control Conversion Right will not exceed the product of the Share Cap times the aggregate number of shares of the Series F Preferred Stock issued and outstanding at the Change of Control Conversion Date (or equivalent Alternative Conversion Consideration, as applicable) (the "<u>Exchange Cap</u>"). The Exchange Cap is subject to pro rata adjustments for any Share Splits on the same basis as the corresponding adjustments to the Share Cap.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) The "<u>Change of Control Conversion Date</u>" is the date the Series F Preferred Stock is to be converted, which will be a Business Day selected by the Corporation that is neither fewer than 20 days nor more than 35 days after the date on which it provides the notice described in Section 7(h) to the holders of Series F Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) The "<u>Common Stock Price</u>" is (i) if the consideration to be received in the Change of Control by the holders of Common Stock is solely cash, the amount of cash consideration per share of Common Stock or (ii) if the consideration to be received in the Change of Control by holders of Common Stock is other than solely cash (x) the average of the closing sale prices per share of Common Stock (or, if no closing sale price is reported, the average of the closing bid and ask prices per share or, if more than one in either case, the average of the average closing bid and the average closing ask prices per share) for the ten consecutive trading days immediately preceding, but not including, the date on which such Change of Control occurred as reported on the principal U.S. securities exchange on which Common Stock is then traded, or (y) if Common Stock is not then listed for trading on a U.S. securities exchange, the average of the last quoted bid prices for Common Stock in the over-the-counter market as reported by OTC Markets Group Inc. or similar organization for the ten consecutive trading days immediately preceding, but not including, the date on which such Change of Control occurred.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) In the case of a Change of Control pursuant to which Common Stock is or will be converted into cash, securities or other property or assets (including any combination thereof) (the "<u>Alternative Form Consideration</u>"), a holder of Series F Preferred Stock will receive upon conversion of such shares of Series F Preferred Stock the kind and amount of Alternative Form Consideration which such holder would have owned or been entitled to receive upon the Change of Control had such holder held a number of shares of Common Stock equal to the Common Stock Conversion Consideration immediately prior to the effective time of the Change of Control (the "<u>Alternative Conversion Consideration</u>"; the Common Stock Conversion Consideration or the Alternative Conversion Consideration, whichever shall be applicable to a Change of Control, is referred to as the "<u>Conversion Consideration</u>").

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) If the holders of Common Stock have the opportunity to elect the form of consideration to be received in the Change of Control, the Conversion Consideration in respect of such Change of Control will be deemed to be the kind and amount of consideration actually received by holders of a majority of the outstanding shares of Common Stock that made or voted

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for such an election (if electing between two types of consideration) or holders of a plurality of the outstanding shares of Common Stock that made or voted for such an election (if electing between more than two types of consideration), as the case may be, and will be subject to any limitations to which all holders of Common Stock are subject, including, without limitation, pro rata reductions applicable to any portion of the consideration payable in such Change of Control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) No fractional shares of Common Stock upon the conversion of the Series F Preferred Stock in connection with a Change of Control will be issued. Instead, the Corporation will make a cash payment equal to the value of such fractional shares based upon the Common Stock Price used in determining the Common Stock Conversion Consideration for such Change of Control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) Within 15 days following the occurrence of a Change of Control, provided that the Corporation has not exercised its right to redeem all shares of Series F Preferred Stock pursuant to Section 6 hereof, the Corporation will provide to holders of Series F Preferred Stock a notice of occurrence of the Change of Control that describes the resulting Change of Control Conversion Right, which notice shall be delivered to the holders of record of the shares of the Series F Preferred Stock to their addresses as they appear on the stock records of the Corporation and shall state: (i) the events constituting the Change of Control; (ii) the date of the Change of Control; (iii) the last date on which the holders of Series F Preferred Stock may exercise their Change of Control Conversion Right; (iv) the method and period for calculating the Common Stock Price; (v) the Change of Control Conversion Date; (vi) that if, prior to the Change of Control Conversion Date, the Corporation has provided notice of its election to redeem all or any shares of Series F Preferred Stock, holders of Series F Preferred Stock that are subject to such notice of redemption will not be able to convert the shares of Series F Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares have already been tendered for conversion pursuant to the Change of Control Conversion Right; (vii) if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series F Preferred Stock; (viii) the name and address of the paying agent, transfer agent and conversion agent for the Series F Preferred Stock; (ix) the procedures that the holders of Series F Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares of Series F Preferred Stock for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and (x) the last date on which holders of Series F Preferred Stock may withdraw shares of Series F Preferred Stock surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal. No failure to give such notice or any defect thereto or in the giving thereof shall affect the validity of the proceedings for the conversion of any shares of Series F Preferred Stock except as to the holder to whom notice was defective or not given.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) The Corporation shall also issue a press release containing such notice provided for in Section 7(h) hereof for publication on the Wall Street Journel, Business Wire, PR Newswire or Bloomberg Business News (or, if these organizations are not in existence at the time of issuance of the press release, such other news or press organization as is reasonably

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calculated to broadly disseminate the relevant information to the public), and post a notice on its website (if any) in any event prior to the opening of business on the first Business Day following any date on which it provides the notice provided for in Section 7(h) hereof to the holders of Series F Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) To exercise the Change of Control Conversion Right, the holders of Series F Preferred Stock will be required to deliver, on or before the close of business on the Change of Control Conversion Date, the certificates (if any) representing the shares of Series F Preferred Stock to be converted, duly endorsed for transfer (or, in the case of any shares of Series F Preferred Stock held in book-entry form through a Depositary or shares directly registered with the transfer agent therefor, to deliver, on or before the close of business on the Change of Control Conversion Date, the shares of Series F Preferred Stock to be converted through the facilities of such Depositary or through such transfer agent, respectively), together with a written conversion notice in the form provided by the Corporation, duly completed, to its transfer agent. The conversion notice must state: (i) the relevant Change of Control Conversion Date; (ii) the number of shares of Series F Preferred Stock to be converted; and (iii) that the shares of Series F Preferred Stock are to be converted pursuant to the applicable provisions of the Series F Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k) Holders of Series F Preferred Stock may withdraw any notice of exercise of a Change of Control Conversion Right (in whole or in part) by a written notice of withdrawal delivered to the transfer agent of the Corporation prior to the close of business on the Business Day prior to the Change of Control Conversion Date. The notice of withdrawal delivered by any holder must state: (i) the number of withdrawn shares of Series F Preferred Stock; (ii) if certificated shares of Series F Preferred Stock have been surrendered for conversion, the certificate numbers of the withdrawn shares of Series F Preferred Stock; and (iii) the number of shares of Series F Preferred Stock, if any, which remain subject to the holder's conversion notice.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) Notwithstanding anything to the contrary contained in Sections 7(j) and (k) hereof, if any shares of Series F Preferred Stock are held in book-entry form through The Depository Trust Company ("<u>DTC</u>") or a similar depositary (each, a "<u>Depositary</u>"), the conversion notice and/or the notice of withdrawal, as applicable, must comply with applicable procedures, if any, of the applicable Depositary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(m) Shares of Series F Preferred Stock as to which the Change of Control Conversion Right has been properly exercised and for which the conversion notice has not been properly withdrawn will be converted into the applicable Conversion Consideration in accordance with the Change of Control Conversion Right on the Change of Control Conversion Date, unless prior to the Change of Control Conversion Date the Corporation has provided notice of its election to redeem some or all of the shares of Series F Preferred Stock pursuant to Section 6 hereof, in which case only the shares of Series F Preferred Stock properly surrendered for conversion and not properly withdrawn that are not called for redemption will be converted as aforesaid. If the Corporation elects to redeem shares of Series F Preferred Stock that would otherwise be

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converted into the applicable Conversion Consideration on a Change of Control Conversion Date, such shares of Series F Preferred Stock will not be so converted and the holders of such shares will be entitled to receive on the applicable redemption date the redemption price as provided in Section 6 hereof.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(n) The Corporation shall deliver all securities, cash and any other property owing upon conversion no later than the third Business Day following the Change of Control Conversion Date. Notwithstanding the foregoing, the persons entitled to receive any shares of Common Stock or other securities delivered on conversion will be deemed to have become the holders of record thereof as of the Change of Control Conversion Date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(o) In connection with the exercise of any Change of Control Conversion Right, the Corporation shall comply with all applicable federal and state securities laws and stock exchange rules in connection with any conversion of shares of Series F Preferred Stock into shares of Common Stock or other property. Notwithstanding any other provision of the Series F Preferred Stock, no holder of Series F Preferred Stock will be entitled to convert such shares of Series F Preferred Stock into shares of Common Stock to the extent that receipt of such shares of Common Stock would cause such holder (or any other person) to violate the applicable restrictions on transfer and ownership of shares of the Corporation's stock contained in Article XI of the Charter, unless the Corporation provides an exemption from such restrictions to such holder pursuant to Article XI of the Charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(p) Notwithstanding anything to the contrary herein and except as otherwise required by law, the persons who are the holders of record of shares of Series F Preferred Stock at the close of business on a Dividend Record Date will be entitled to receive the dividend payable on the corresponding Dividend Payment Date notwithstanding the conversion of those shares after such Dividend Record Date and on or prior to such Dividend Payment Date and, in such case, the full amount of such dividend shall be paid on such Dividend Payment Date to the persons who were the holders of record at the close of business on such Dividend Record Date. Except as provided in this Section 7(p), the Corporation will make no allowance for unpaid dividends that are not in arrears on the shares of Series F Preferred Stock to be converted.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8. &nbsp;&nbsp;&nbsp;&nbsp;<u>Voting Rights</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Holders of Series F Preferred Stock will not have any voting rights, except as set forth in this Section 8. On each matter on which holders of Series F Preferred Stock are entitled to vote, each share of Series F Preferred Stock will be entitled to one vote, except that when shares of Parity Stock or any other class or series of Preferred Stock the Corporation may issue have the right to vote with the Series F Preferred Stock as a single class on any matter, the Series F Preferred Stock and each such other class or series of stock will have one vote for each $25.00 of liquidation preference (excluding accumulated dividends).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Whenever dividends on any shares of Series F Preferred Stock are in arrears for six or more full quarterly Dividend Periods, whether or not consecutive, the number of directors

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constituting the Board of Directors will be automatically increased by two (if not already increased by two by reason of the election of directors by the holders of any other class or series of Parity Stock upon which like voting rights have been conferred and are exercisable) and the holders of Series F Preferred Stock, voting as a single class with the holders of Parity Stock upon which like voting rights have been conferred and are exercisable, will be entitled to vote for the election of those two additional directors at a special meeting called by the Corporation at the request of the holders of record of at least 25% of the outstanding shares of Series F Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable to be held no later than 90 days after the Corporation's receipt of such request (unless the request is received less than 90 days before the date fixed for the next annual or special meeting of stockholders of the Corporation, in which case, such vote will be held at the earlier of the next annual or special meeting of stockholders of the Corporation, to the extent permitted by applicable law), and at each subsequent annual meeting of stockholders of the Corporation until all dividends accumulated on the Series F Preferred Stock for all past Dividend Periods and the then current Dividend Period shall have been fully paid. In that case, the right of holders of Series F Preferred Stock to elect any directors will cease and, unless there are other classes or series of Parity Stock upon which like voting rights have been conferred and are exercisable, the term of office of any directors elected by holders of Series F Preferred Stock shall immediately terminate and the number of directors constituting the Board of Directors shall be reduced accordingly. For the avoidance of doubt, in no event shall the total number of directors elected by holders of Series F Preferred Stock (voting together as a single class with the Parity Stock upon which like voting rights have been conferred and are exercisable) pursuant to the voting rights under this Section 8 exceed two. The directors elected by the holders of Series F Preferred Stock and the holders of the Parity Stock upon which like voting rights have been conferred and are exercisable will be elected by a plurality of the votes cast by the holders of the outstanding shares of Series F Preferred Stock when they have the voting rights as set forth in this Section 8(b) and the holders of Parity Stock upon which like voting rights have been conferred and are exercisable (voting together as a single class) to serve until the Corporation's next annual meeting of stockholders and until their successors are duly elected and qualify or until such directors' right to hold the office terminates as described above, whichever occurs earlier.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) If, at any time when the voting rights conferred upon the Series F Preferred Stock pursuant to Section 8(b) hereof are exercisable, any vacancy in the office of a director elected pursuant to Section 8(b) shall occur, then such vacancy may be filled only by the remaining director or by vote of the holders of the outstanding Series F Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable. Any director elected pursuant to Section 8(b) may be removed at any time, with or without cause, only by the vote of, and may not be removed otherwise than by the vote of, the holders of record of a majority of the outstanding shares of Series F Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable (voting as a single class with all other classes or series of Parity Stock upon which like voting rights have been conferred and are exercisable).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) So long as any shares of Series F Preferred Stock remain outstanding, the Corporation will not, without the affirmative vote or consent of the holders of at least two-thirds

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of the outstanding shares of Series F Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable (voting together as a single class), (i) authorize or create, or increase the authorized or issued amount of, any class or series Senior Stock or reclassify any of the authorized stock of the Corporation into such shares, or create or authorize or issue any obligation or security convertible into or evidencing the right to purchase any such shares; or (ii) amend, alter or repeal the provisions of the Charter, whether by merger, conversion, consolidation or otherwise, so as to materially and adversely affect any right, preference, privilege or voting power of the Series F Preferred Stock (each, an "<u>Event</u>"); provided, however, with respect to the occurrence of any Event set forth in clause (ii) above, so long as the Series F Preferred Stock remains outstanding with the terms thereof materially unchanged, or the holders of Series F Preferred Stock receive shares of stock or other equity interests with rights, preferences, privileges and voting powers substantially the same as those of the Series F Preferred Stock, taking into account that, upon the occurrence of any such Event, the Corporation may not be the successor entity, the occurrence of any such Event shall not be deemed to materially and adversely affect the rights, preferences, privileges or voting power of holders of Series F Preferred Stock; and, provided further, that any increase in the amount of the authorized or issued Series F Preferred Stock, or the creation or issuance, or any increase in the amounts authorized of any Junior Stock or Parity Stock, including the Series A Preferred Stock, Series C Preferred Stock, Series D Preferred Stock and Series E Preferred Stock, that the Corporation may issue shall not be deemed to materially and adversely affect the rights, preferences, privileges or voting powers of holders of Series F Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) The voting rights provided for in this Section 8 will not apply if, at or prior to the time when the act with respect to which voting by holders of Series F Preferred Stock would otherwise be required pursuant to this Section 8 shall be effected, all outstanding shares of Series F Preferred Stock shall have been redeemed or called for redemption upon proper notice and sufficient funds have been irrevocably set apart to effect such redemption pursuant to Section 6 hereof.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Except as expressly stated in this Section 8, the Series F Preferred Stock will not have any relative, participating, optional or other special voting rights or powers and the consent of the holders thereof shall not be required for the taking of any corporate action. The holders of Series F Preferred Stock shall have exclusive voting rights on any Charter amendment that would alter the contract rights, as expressly set forth in the Charter, of only the Series F Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) Notwithstanding the foregoing, if any amendment, alteration or repeal of any provision of the Charter would materially and adversely affect the rights, preferences, privileges or voting rights of the Series F Preferred Stock disproportionately relative to other classes or series of Parity Stock, including the Series A Preferred Stock, Series C Preferred Stock, Series D Preferred Stock and Series E Preferred Stock, then the affirmative vote or consent of the holders of at least two-thirds of the outstanding shares of Series F Preferred Stock (voting as a separate class) shall also be required.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9. &nbsp;&nbsp;&nbsp;&nbsp;<u>Information Rights</u>. During any period in which the Corporation is not subject to Section 13 or 15(d) of the Exchange Act and any shares of Series F Preferred Stock are outstanding, the Corporation will use its best efforts to transmit through the Corporation's website at http://www.annaly.com (or other permissible means under the Exchange Act) copies of the annual reports on Form 10-K and quarterly reports on Form 10-Q that the Corporation would have been required to file with the Securities and Exchange Commission (the "<u>SEC</u>") pursuant to Section 13 or 15(d) of the Exchange Act if it were subject thereto (other than any exhibits that would have been required). The Corporation will use its best efforts to provide such reports on its website within 15 days after the respective dates by which the Corporation would have been required to file such reports with the SEC if the Corporation were subject to Section 13 or 15(d) of the Exchange Act and the Corporation were a "non-accelerated filer" within the meaning of the Exchange Act.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10. &nbsp;&nbsp;&nbsp;&nbsp;<u>Restrictions on Transfer and Ownership</u>. The Series F Preferred Stock shall be subject to the restrictions on transfer and ownership set forth in Article XI of the Charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11. &nbsp;&nbsp;&nbsp;&nbsp;<u>Record Holders</u>. The Corporation and the transfer agent for the Series F Preferred Stock may deem and treat the record holder of any Series F Preferred Stock as the true and lawful owner thereof for all purposes, and neither the Corporation nor the transfer agent shall be affected by any notice to the contrary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12. &nbsp;&nbsp;&nbsp;&nbsp;<u>No Preemptive Rights</u>. No holders of Series F Preferred Stock will, as holders of Series F Preferred Stock, have any preemptive rights to purchase or subscribe for Common Stock or any other security of the Corporation.

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**EXHIBIT B**

**<u>SERIES G PREFERRED STOCK</u>**

Under a power contained in Article VI of the charter (the "<u>Charter</u>") of Annaly Capital Management, Inc., a Maryland corporation (the "<u>Corporation</u>"), the Board of Directors (the "<u>Board of Directors</u>") of the Corporation and a duly authorized committee thereof, by duly adopted resolutions classified and designated 19,550,000 shares of authorized but unissued common stock, $0.01 par value per share, of the Corporation ("<u>Common Stock</u>") as shares of preferred stock of the Corporation, $0.01 par value per share ("<u>Preferred Stock</u>"), of which 2,550,000 has been reclassified as Common Stock, with such shares of Preferred Stock having the following preferences, conversion and other rights, voting powers, restrictions, limitations as to dividends and other distributions, qualifications and terms and conditions of redemption, which, upon any restatement of the Charter, shall be deemed to be part of Article VI of the Charter, with any necessary or appropriate changes to the enumeration or lettering of sections or subsections hereof:

**6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. &nbsp;&nbsp;&nbsp;&nbsp;<u>Designation and Number</u>. A series of Preferred Stock, classified as the "6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock" (the "<u>Series G Preferred Stock</u>") is hereby established. The par value of the Series G Preferred Stock is $0.01 per share. The number of authorized shares of the Series G Preferred Stock shall be 17,000,000.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. &nbsp;&nbsp;&nbsp;&nbsp;<u>Maturity</u>. The Series G Preferred Stock has no stated maturity and will not be subject to any sinking fund or mandatory redemption, and will remain outstanding indefinitely unless (i) the Corporation decides to redeem or otherwise repurchase the Series G Preferred Stock or (ii) the Series G Preferred Stock becomes convertible and is actually converted pursuant to Section 7 hereof. The Corporation is not required to set apart for payment the funds to redeem the Series G Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. &nbsp;&nbsp;&nbsp;&nbsp;<u>Ranking</u>. The Series G Preferred Stock will rank, with respect to rights to the payment of dividends and the distribution of assets upon the liquidation, dissolution or winding up of the Corporation, (i) senior to the all classes or series of Common Stock and to all classes or series of stock of the Corporation other than the stock of the Corporation referred to in clauses (ii) and (iii) of this Section 3 (collectively, "<u>Junior Stock</u>"); (ii) on a parity with the Company's 7.625% Series C Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series C Preferred Stock</u>"), 7.50% Series D Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series D Preferred Stock</u>"), 7.625% Series E Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series E Preferred Stock</u>"), 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series F Preferred Stock</u>"), and all classes or series of stock of the Corporation with terms specifically providing that such stock ranks on a parity with the Series G Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation (collectively, "<u>Parity Stock</u>"); and (iii) junior to all classes or

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series of stock of the Corporation with terms specifically providing that such stock ranks senior to the Series G Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation (collectively, "<u>Senior Stock</u>"). The term "stock" shall not include debt securities convertible or exchangeable into Common Stock or Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.&nbsp;&nbsp;&nbsp;&nbsp; <u>Dividends</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Holders of shares of the Series G Preferred Stock are entitled to receive, when, as and if authorized by the Board of Directors and declared by the Corporation, out of funds of the Corporation legally available for the payment of dividends, cumulative cash dividends. The initial dividend rate for the Series G Preferred stock from, and including, the Original Issue Date (as defined below) of the Series G Preferred Stock to, but not including, March 31, 2023 (the "<u>Fixed Rate Period</u>"), will be 6.50% of the $25.00 per share liquidation preference per annum (equivalent to $1.625 per annum per share). On and after March 31, 2023 (the "<u>Floating Rate Period</u>"), dividends on the Series G Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the Three-Month LIBOR Rate (as defined below) plus a spread of 4.172%. Dividends on the Series G Preferred Stock shall accumulate daily and with respect to any shares of Series G Preferred Stock issued before March 31, 2018 shall be cumulative from, and including, January 12, 2018 (the "<u>Original Issue Date</u>"), or, with respect to any shares of Series G Preferred Stock issued after March 31, 2018, shall be cumulative from the most recent Dividend Payment Date (as defined below) to which dividends have been paid in full (or declared and the record date for determining stockholders entitled to payment thereof has passed), and shall be payable quarterly in arrears on the last day of each March, June, September and December beginning March 31, 2018 (each, as may be modified as provided below, a "<u>Dividend Payment Date</u>"). If any Dividend Payment Date up to and including the scheduled March 31, 2023 Dividend Payment Date is not a Business Day (as defined below), then the dividend which would otherwise have been payable on such Dividend Payment Date may be paid on the next succeeding Business Day with the same force and effect as if paid on such Dividend Payment Date, and no interest, additional dividends or sums in lieu of interest will accumulate on the amount so payable for the period from and after such Dividend Payment Date to such next succeeding Business Day. If any Dividend Payment Date thereafter is not a Business Day, then the Dividend Payment Date will be postponed to the next succeeding Business Day, unless that day falls in the next calendar month, in which case the Dividend Payment Date will be brought forward to the immediately preceding day that is a Business Day, and, in either case, dividends will accrue to, but excluding, the actual payment day. Dividends payable on the Series G Preferred Stock for the Fixed Rate Period will be computed on the basis of a 360-day year consisting of twelve 30-day months (it being understood that the dividend payable on or about March 31, 2018 will be in the amount of $0.35660 per share of Series G Preferred Stock). Dividends payable on the Series G Preferred Stock for the Floating Rate Period will be computed based on the actual number of days in a Dividend Period and a 360-day year. Dividends will be payable to holders of record as they appear on the stock records of the Corporation at the close of business on the applicable record date, which will be no fewer than ten days and no more than 35 days prior to the applicable Dividend Payment Date, as shall be fixed by the Board of Directors

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(each, a "<u>Dividend Record Date</u>"). The dividends payable on any Dividend Payment Date shall include dividends accumulated to, but not including, such Dividend Payment Date.

The term "<u>Three-Month LIBOR Rate</u>" shall be calculated for each Dividend Period and means, on any Dividend Determination Date (as defined below): (i) the rate (expressed as a percentage per year) for deposits in U.S. dollars having an index maturity of three months, in amounts of at least $1,000,000, as such rate appears on "Reuters Page LIBOR01" at approximately 11:00 a.m. (London time) on the relevant Dividend Determination Date; or if no such rate appears on "Reuters Page LIBOR01" or if the "Reuters Page LIBOR01" is not available at approximately 11:00 a.m. (London time) on the relevant Dividend Determination Date, then the Corporation will select four nationally-recognized banks in the London interbank market and request that the principal London offices of those four selected banks provide the Corporation with their offered quotation for deposits in U.S. dollars for a period of three months, commencing on the first day of the applicable Dividend Period, to prime banks in the London interbank market at approximately 11:00 a.m. (London time) on that Dividend Determination Date for the applicable Dividend Period. Offered quotations must be based on a principal amount equal to an amount that, in the Corporation's discretion, is representative of a single transaction in U.S. dollars in the London interbank market at that time. If at least two quotations are provided, the Three-Month LIBOR Rate for such Dividend Period will be the arithmetic mean (rounded upward if necessary, to the nearest 0.00001 of 1%) of those quotations. If fewer than two quotations are provided, the Three-Month LIBOR Rate for such Dividend Period will be the arithmetic mean (rounded upward if necessary, to the nearest 0.00001 of 1%) of the rates quoted at approximately 11:00 a.m. (New York City time) on that Dividend Determination Date for such Dividend Period by three nationally-recognized banks in New York, New York selected by the Corporation, for loans in U.S. dollars to nationally-recognized European banks (as selected by the Corporation), for a period of three months commencing on the first day of such Dividend Period. The rates quoted must be based on an amount that, in the Corporation's discretion, is representative of a single transaction in U.S. dollars in that market at that time. If no quotation is provided as described above, then if a Calculation Agent (as defined below) has not been appointed at such time, we will appoint a Calculation Agent who shall, after consulting such sources as it deems comparable to any of the foregoing quotations or display page, or any such source as it deems reasonable from which to estimate LIBOR or any of the foregoing lending rates, shall determine LIBOR for the second London Business Day immediately preceding the first day of such distribution period in its sole discretion. If the Calculation Agent is unable or unwilling to determine LIBOR as provided in the immediately preceding sentence, then LIBOR will be equal to Three-Month LIBOR for the then current Dividend Period, or, in the case of the first Dividend Period in the Floating Rate Period, the most recent dividend rate that would have been determined based on the last available Reuters Page LIBOR01 had the Floating Rate Period been applicable prior to the first Dividend Period in the Floating Rate Period.

Notwithstanding the foregoing, if we determine on the relevant Dividend Determination Date that the LIBOR base rate has been discontinued, then we will appoint a Calculation Agent and the Calculation Agent will consult with an investment bank of national standing to determine whether there is an industry accepted substitute or successor base rate to Three-Month LIBOR

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Rate. If, after such consultation, the Calculation Agent determines that there is an industry accepted substitute or successor base rate, the Calculation Agent shall use such substitute or successor base rate. In such case, the Calculation Agent in its sole discretion may (without implying a corresponding obligation to do so) also implement changes to the Business Day convention, the definition of Business Day, the Dividend Determination Date and any method for obtaining the substitute or successor base rate it such rate is unavailable on the relevant Business Day, in a manner that is consistent with industry accepted practices for such substitute or successor base rate. Unless the Calculation Agent determines that there is an industry accepted substitute or successor base rate as so provided above, the Calculation Agent will, in consultation with us, follow the steps specified in the second bullet point in the immediately preceding paragraph in order to determine Three-Month LIBOR Rate for the applicable Dividend Period.

&nbsp;&nbsp;&nbsp;&nbsp;The term "<u>Calculation Agent</u>" shall mean a third party independent financial institution of national standing with experience providing such services, which has been selected by us.

The term "<u>Dividend Determination Date</u>" means the London Business Day (as defined below) immediately preceding the applicable Dividend Period.

The term "<u>Dividend Period</u>" means the period from, and including, a Dividend Payment Date to, but excluding, the next succeeding Dividend Payment Date, except for the initial Dividend Period, which will be the period from, and including, the original issue date of the Series G Preferred Stock to, but excluding, March 31, 2018.

The term "<u>London Business Day</u>" means any day on which dealings in deposits in U.S. dollars are transacted in the London interbank market.

The term "<u>Reuters Page LIBOR01</u>" means the display so designated on the Reuters 3000 Xtra (or such other page as may replace the LIBOR01 page on that service, or such other service as may be nominated by the ICE Benchmark Administration Limited, or ICE, or its successor, or such other entity assuming the responsibility of ICE or its successor in the event ICE or its successor no longer does so, as the successor service, for the purpose of displaying London interbank offered rates for U.S. dollar deposits).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) No dividends on shares of Series G Preferred Stock shall be authorized by the Board of Directors or paid or set apart for payment by the Corporation at any time when the terms and provisions of any agreement of the Corporation, including any agreement relating to any indebtedness of the Corporation, prohibit the authorization, payment or setting apart for payment thereof or provide that the authorization, payment or setting apart for payment thereof would constitute a breach of the agreement or a default under the agreement, or if the authorization, payment or setting apart for payment is restricted or prohibited by law.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Notwithstanding anything to the contrary contained herein, dividends on the Series G Preferred Stock will accumulate (i) whether or not the terms and provisions of any laws or agreements referred to in Section 4(b) hereof at any time prohibit the current payment of

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dividends, (ii) whether or not the Corporation has earnings, (iii) whether or not there are funds legally available for the payment of those dividends, and (iv) whether or not those dividends are declared. No interest, or sum in lieu of interest, will be payable in respect of any dividend payment or payments on the Series G Preferred Stock which may be in arrears, and holders of Series G Preferred Stock will not be entitled to any dividends in excess of full cumulative dividends described in Section 4(a) hereof. Any dividend payment made on the Series G Preferred Stock will first be credited against the earliest accumulated but unpaid dividend due with respect to the Series G Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Except as provided in Section 4(e) hereof, unless full cumulative dividends on the Series G Preferred Stock have been or contemporaneously are declared and paid or declared and a sum sufficient for the payment thereof is set apart for payment for all past Dividend Periods, (i) no dividends (other than in shares of Junior Stock) shall be declared or paid or set apart for payment upon shares of Junior Stock or Parity Stock, (ii) no other distribution shall be declared or made upon shares of Junior Stock or Parity, and (iii) shares of Junior Stock or Parity Stock shall not be redeemed, purchased or otherwise acquired for any consideration (or any moneys be paid to or made available for a sinking fund for the redemption of any such securities) by the Corporation (except by conversion into or exchange for shares of, or options, warrants or rights to purchase or subscribe for, shares of Junior Stock or pursuant to a purchase or exchange offer made on the same terms to holders of all outstanding shares of Series G Preferred Stock and shares of any other class or series of Parity Stock); *provided, however*, that the foregoing shall not prevent (i) the redemption, purchase or acquisition by the Corporation of shares of any class or series of stock of the Corporation pursuant to the provisions of Article XI of the Charter, including in order to preserve the Corporation's qualification as a real estate investment trust, or (ii) the redemption, purchase or acquisition by the Corporation of shares of Common Stock for purposes of and in compliance with any incentive or benefit plan of the Corporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) When dividends are not paid in full (or a sum sufficient for such full payment is not so set apart) upon the Series G Preferred Stock and shares of any other classes or series of Parity Stock, all dividends declared upon the Series G Preferred Stock and all other such shares of stock shall be declared *pro rata* so that the amount of dividends declared per share of Series G Preferred Stock and all other such shares of stock shall in all cases bear to each other the same ratio that accumulated dividends per share on the Series G Preferred Stock and all other such shares of stock (which shall not include any accrual in respect of unpaid dividends for prior Dividend Periods if any such shares of stock do not have a cumulative dividend) bear to each other. No interest, or sum of money in lieu of interest, shall be payable in respect of any dividend payment or payments on the Series G Preferred Stock which may be in arrears.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) "<u>Business Day</u>" shall mean any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions in New York, New York are authorized or required by law, regulation or executive order to close.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) "<u>Set apart for payment</u>" shall be deemed to include (without limitation), without any action other than the following: the recording by the Corporation in its accounting ledgers of

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any accounting or bookkeeping entry which indicates, pursuant to an authorization by the Board of Directors and a declaration of dividends or other distribution by the Corporation, the allocation of funds to be so paid on any series or class of shares of stock of the Corporation; provided, however, that if any funds for any class or series of Junior Stock or Parity Stock are placed in a separate account of the Corporation or delivered to a disbursing, paying or other similar agent, then "set apart for payment" with respect to the Series G Preferred Stock shall mean placing such funds in a separate account or delivering such funds to a disbursing, paying or other similar agent.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. &nbsp;&nbsp;&nbsp;&nbsp;<u>Liquidation Preference</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) In the event of any voluntary or involuntary liquidation, dissolution or winding up of the Corporation, the holders of Series G Preferred Stock will be entitled to be paid out of the assets the Corporation has legally available for distribution to its stockholders, subject to the preferential rights of the holders of any class or series of Senior Stock, a liquidation preference of Twenty-Five Dollars ($25.00) per share, plus an amount equal to any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date of payment, before any distribution of assets is made to holders of Junior Stock; and such holders of Series G Preferred Stock shall not be entitled to any further payment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) In the event that, upon any such voluntary or involuntary liquidation, dissolution or winding up, the available assets of the Corporation are insufficient to pay the amount of the liquidating distributions on all outstanding shares of Series G Preferred Stock and Parity Stock and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation, then the holders of Series G Preferred Stock and all other such classes or series of stock shall share ratably in any such distribution of assets in proportion to the full liquidating distributions to which they would otherwise be respectively entitled.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Notice of any such liquidation stating the payment date or dates when, and the place or places where, the amounts distributable in each circumstance shall be payable, shall be given no fewer than 30 days and no more than 60 days prior to the payment date, to each holder of record of Series G Preferred Stock at the address of such holder as it shall appear on the stock records of the Corporation. After payment of the full amount of the liquidating distributions to which they are entitled, the holders of Series G Preferred Stock will have no right or claim to any of the remaining assets of the Corporation. The consolidation, conversion or merger of the Corporation with or into any other corporation, trust or entity or of any other entity with or into the Corporation, the sale, lease, transfer or conveyance of all or substantially all of the property or business the Corporation or a statutory share exchange, shall not be deemed to constitute a liquidation, dissolution or winding up of the Corporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) In determining whether a distribution (other than upon voluntary or involuntary liquidation), by dividend, redemption or other acquisition of shares of stock of the Corporation or otherwise, is permitted under the Maryland General Corporation Law, amounts that would be needed, if the Corporation were to be dissolved at the time of distribution, to satisfy the

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preferential rights upon dissolution of holders of shares of the Series G Preferred Stock shall not be added to the Corporation's total liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6. &nbsp;&nbsp;&nbsp;&nbsp;<u>Redemption</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Series G Preferred Stock is not redeemable prior to March 31, 2023 except as described in this Section 6 and except that, as provided in Article XI of the Charter, the Corporation may purchase or redeem shares of the Series G Preferred Stock prior to that date, including under circumstances where it is necessary to preserve the Corporation's qualification as a real estate investment trust for U.S. federal income tax purposes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) <u>Optional Redemption Right</u>. On and after March 31, 2023, the Corporation may, at its option, upon not less than 30 nor more than 60 days' notice, as provided below, redeem the Series G Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price of Twenty-Five Dollars ($25.00) per share, plus, subject to Section 6(j) hereof, any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date fixed for redemption, without interest.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) <u>Special Optional Redemption Right</u>. Notwithstanding anything to the contrary contained in Section 6(a) hereof, upon the occurrence of a Change of Control (as defined below), the Corporation may, at its option, upon not less than 30 nor more than 60 days' notice, as provided below, redeem the Series G Preferred Stock, in whole or in part, within 120 days after the first date on which such Change of Control occurred, for cash at a redemption price of Twenty-Five Dollars ($25.00) per share, plus, subject to Section 6(j) hereof, any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date fixed for redemption. If, prior to the Change of Control Conversion Date (as defined below), the Corporation has provided notice of its election to redeem some or all of the shares of Series G Preferred Stock pursuant to this Section 6, the holders of Series G Preferred Stock will not have the Change of Control Conversion Right (as defined below) with respect to the shares of Series G Preferred Stock called for redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) A "<u>Change of Control</u>" is deemed to occur when, after the Original Issue Date, the following have occurred and are continuing: (i) the acquisition by any person, including any syndicate or group deemed to be a "person" under Section 13(d)(3) of the Securities Exchange Act of 1934, as amended (the "<u>Exchange Act</u>"), of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of stock of the Corporation entitling that person to exercise more than 50% of the total voting power of all stock of the Corporation entitled to vote generally in the election of directors of the Corporation (except that such person will be deemed to have beneficial ownership of all securities that such person has the right to acquire, whether such right is currently exercisable or is exercisable only upon the occurrence of a subsequent condition); and (ii) following the closing of any transaction referred to in clause (i), neither the Corporation nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the New York Stock Exchange (the "<u>NYSE</u>"), the

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NYSE American LLC (the "<u>NYSE American</u>") or the Nasdaq Stock Market ("<u>Nasdaq</u>"), or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE American or Nasdaq.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) In the event the Corporation elects to redeem Series G Preferred Stock, the notice of redemption will be given by the Corporation, postage prepaid, not less than 30 nor more than 60 days prior to the redemption date, to each holder of record of Series G Preferred Stock called for redemption at such holder's address as it appears on the stock records of the Corporation and shall state: (i) the redemption date; (ii) the number of shares of Series G Preferred Stock to be redeemed; (iii) the redemption price; (iv) the place or places where certificates (if any) for the Series G Preferred Stock are to be surrendered for payment of the redemption price; (v) that dividends on the shares to be redeemed will cease to accumulate on the redemption date; (vi) if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and (vii) if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series G Preferred Stock being so called for redemption will not be able to tender such shares of Series G Preferred Stock for conversion in connection with the Change of Control and that each share of Series G Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date, for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date. If less than all of the shares of Series G Preferred Stock held by any holder are to be redeemed, the notice given to such holder shall also specify the number of shares of Series G Preferred Stock held by such holder to be redeemed. No failure to give such notice or any defect thereto or in the giving thereof shall affect the validity of the proceedings for the redemption of any shares of Series G Preferred Stock except as to the holder to whom notice was defective or not given.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Holders of shares of Series G Preferred Stock to be redeemed shall surrender the shares of Series G Preferred Stock so called for redemption at the place designated in the notice of redemption and shall be entitled to the redemption price and any accumulated and unpaid dividends payable upon the redemption following the surrender.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) If notice of redemption of any shares of Series G Preferred Stock has been given and if the Corporation irrevocably sets apart for payment the funds necessary for redemption (including any accumulated and unpaid dividends) in trust for the benefit of the holders of the shares of Series G Preferred Stock so called for redemption, then from and after the redemption date (unless the Corporation shall default in providing for the payment of the redemption price plus accumulated and unpaid dividends, if any), dividends will cease to accumulate on those shares of Series G Preferred Stock, those shares of Series G Preferred Stock shall no longer be deemed outstanding and all rights of the holders of those shares will terminate, except the right to receive the redemption price plus accumulated and unpaid dividends, if any, payable upon redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) If any redemption date is not a Business Day, then the redemption price and accumulated and unpaid dividends, if any, payable upon redemption may be paid on the next

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Business Day and no interest, additional dividends or other sums will accumulate on the amount payable for the period from and after that redemption date to that next Business Day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) If less than all of the outstanding shares of Series G Preferred Stock are to be redeemed, the shares of Series G Preferred Stock to be redeemed shall be selected pro rata (as nearly as may be practicable without creating fractional shares) or by lot. If such redemption is to be by lot and if, as a result of such redemption, any holder of Series G Preferred Stock would own shares of Series G Preferred Stock in excess of the Ownership Limit (as defined in the Charter) or violate any other restriction on ownership or transfer of Capital Stock (as defined in the Charter) set forth in Section 2 of Article XI of the Charter, then, except as otherwise provided in the Charter, the Corporation will redeem the requisite number of shares of Series G Preferred Stock of such holder such that the holder will not own shares of Series G Preferred Stock in excess of the Ownership Limit or violate any other restriction on ownership or transfer of Capital Stock set forth in Section 2 of Article XI of the Charter subsequent to such redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) Immediately prior to any redemption of Series G Preferred Stock, the Corporation shall pay, in cash, any accumulated and unpaid dividends thereon to, but not including, the redemption date, unless a redemption date falls after a Dividend Record Date and prior to the corresponding Dividend Payment Date, in which case each holder of Series G Preferred Stock at the close of business on such Dividend Record Date shall be entitled to the dividend payable on such shares on the corresponding Dividend Payment Date notwithstanding the redemption of such shares before such Dividend Payment Date. Except as provided in this Section 6(j), the Corporation will make no payment or allowance for unpaid dividends, whether or not in arrears, on shares of the Series G Preferred Stock to be redeemed.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k) Unless full cumulative dividends on all shares of Series G Preferred Stock shall have been or contemporaneously are declared and paid or declared and a sum sufficient for the payment thereof has been or contemporaneously is set apart for payment for all past Dividend Periods, no shares of Series G Preferred Stock shall be redeemed unless all outstanding shares of Series G Preferred Stock are simultaneously redeemed, and the Corporation shall not purchase or otherwise acquire directly or indirectly any shares of Series G Preferred Stock (except by conversion into or exchange for shares of, or options, warrants, or rights to purchase or subscribe for, Junior Stock or pursuant to a purchase or exchange offer made on the same terms to all holders of Series G Preferred Stock and any other class or series of Parity Stock); *provided, however*, that the foregoing shall not prevent the redemption, purchase or acquisition by the Corporation of shares of Series G Preferred Stock pursuant to Article XI of the Charter, including in order to preserve our qualification as a REIT.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) Subject to applicable law, the Corporation may purchase shares of Series G Preferred Stock in the open market, by tender or by privately negotiated transactions. Any shares of Series G Preferred Stock that the Corporation acquires, by redemption or otherwise, shall be reclassified as authorized but unissued shares of Preferred Stock, without designation as to class or series, and may thereafter be issued as any class or series of Preferred Stock.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7. &nbsp;&nbsp;&nbsp;&nbsp;<u>Conversion Rights</u>. Shares of Series G Preferred Stock are not convertible into or exchangeable for any other property or securities of the Corporation, except as provided in this Section 7.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Upon the occurrence of a Change of Control, each holder of Series G Preferred Stock will have the right (unless, prior to the Change of Control Conversion Date, the Corporation has provided notice of its election to redeem some or all of the shares of Series G Preferred Stock held by such holder pursuant to Section 6 hereof, in which case such holder will have the right only with respect to shares of Series G Preferred Stock that are not called for redemption) to convert some or all of the shares of Series G Preferred Stock held by such holder (the "<u>Change of Control Conversion Right</u>") on the Change of Control Conversion Date into a number of shares of Common Stock per share of Series G Preferred Stock (the "<u>Common Stock Conversion Consideration</u>") equal to the lesser of: (i) the quotient obtained by dividing (x) the sum of the $25.00 liquidation preference per share of Series G Preferred Stock plus (subject to Section 7(p) hereof) the amount of any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a Dividend Record Date and prior to the corresponding Dividend Payment Date for the Series G Preferred Stock, in which case no additional amount for such accumulated and unpaid dividends to be paid on such Dividend Payment Date will be included in this sum) by (y) the Common Stock Price (as defined below) (such quotient, the "<u>Conversion Rate</u>"); and (ii) 4.32152 (the "<u>Share Cap</u>"), subject to adjustments provided in Section 7(b) below.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) The Share Cap is subject to pro rata adjustments for any share splits (including those effected pursuant to a distribution of Common Stock to existing holders of Common Stock), subdivisions or combinations (in each case, a "<u>Share Split</u>") with respect to Common Stock as follows: the adjusted Share Cap as the result of a Share Split will be the number of shares of Common Stock that is equivalent to the product obtained by multiplying (i) the Share Cap in effect immediately prior to such Share Split by (ii) a fraction, the numerator of which is the number of shares of Common Stock outstanding immediately after giving effect to such Share Split and the denominator of which is the number of shares of Common Stock outstanding immediately prior to such Share Split. For the avoidance of doubt, subject to the immediately succeeding sentence, the aggregate number of shares of Common Stock (or equivalent Alternative Conversion Consideration (as defined below), as applicable) issuable or deliverable, as applicable, in connection with the exercise of the Change of Control Conversion Right will not exceed the product of the Share Cap times the aggregate number of shares of the Series G Preferred Stock issued and outstanding at the Change of Control Conversion Date (or equivalent Alternative Conversion Consideration, as applicable) (the "<u>Exchange Cap</u>"). The Exchange Cap is subject to pro rata adjustments for any Share Splits on the same basis as the corresponding adjustments to the Share Cap.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) The "<u>Change of Control Conversion Date</u>" is the date the Series G Preferred Stock is to be converted, which will be a Business Day selected by the Corporation that is neither fewer

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than 20 days nor more than 35 days after the date on which it provides the notice described in Section 7(h) to the holders of Series G Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) The "<u>Common Stock Price</u>" is (i) if the consideration to be received in the Change of Control by the holders of Common Stock is solely cash, the amount of cash consideration per share of Common Stock or (ii) if the consideration to be received in the Change of Control by holders of Common Stock is other than solely cash (x) the average of the closing sale prices per share of Common Stock (or, if no closing sale price is reported, the average of the closing bid and ask prices per share or, if more than one in either case, the average of the average closing bid and the average closing ask prices per share) for the ten consecutive trading days immediately preceding, but not including, the date on which such Change of Control occurred as reported on the principal U.S. securities exchange on which Common Stock is then traded, or (y) if Common Stock is not then listed for trading on a U.S. securities exchange, the average of the last quoted bid prices for Common Stock in the over-the-counter market as reported by OTC Markets Group Inc. or similar organization for the ten consecutive trading days immediately preceding, but not including, the date on which such Change of Control occurred.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) In the case of a Change of Control pursuant to which Common Stock is or will be converted into cash, securities or other property or assets (including any combination thereof) (the "<u>Alternative Form Consideration</u>"), a holder of Series G Preferred Stock will receive upon conversion of such shares of Series G Preferred Stock the kind and amount of Alternative Form Consideration which such holder would have owned or been entitled to receive upon the Change of Control had such holder held a number of shares of Common Stock equal to the Common Stock Conversion Consideration immediately prior to the effective time of the Change of Control (the "<u>Alternative Conversion Consideration</u>"; the Common Stock Conversion Consideration or the Alternative Conversion Consideration, whichever shall be applicable to a Change of Control, is referred to as the "<u>Conversion Consideration</u>").

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) If the holders of Common Stock have the opportunity to elect the form of consideration to be received in the Change of Control, the Conversion Consideration in respect of such Change of Control will be deemed to be the kind and amount of consideration actually received by holders of a majority of the outstanding shares of Common Stock that made or voted for such an election (if electing between two types of consideration) or holders of a plurality of the outstanding shares of Common Stock that made or voted for such an election (if electing between more than two types of consideration), as the case may be, and will be subject to any limitations to which all holders of Common Stock are subject, including, without limitation, pro rata reductions applicable to any portion of the consideration payable in such Change of Control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) No fractional shares of Common Stock upon the conversion of the Series G Preferred Stock in connection with a Change of Control will be issued. Instead, the Corporation will make a cash payment equal to the value of such fractional shares based upon the Common Stock Price used in determining the Common Stock Conversion Consideration for such Change of Control.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) Within 15 days following the occurrence of a Change of Control, provided that the Corporation has not exercised its right to redeem all shares of Series G Preferred Stock pursuant to Section 6 hereof, the Corporation will provide to holders of Series G Preferred Stock a notice of occurrence of the Change of Control that describes the resulting Change of Control Conversion Right, which notice shall be delivered to the holders of record of the shares of the Series G Preferred Stock to their addresses as they appear on the stock records of the Corporation and shall state: (i) the events constituting the Change of Control; (ii) the date of the Change of Control; (iii) the last date on which the holders of Series G Preferred Stock may exercise their Change of Control Conversion Right; (iv) the method and period for calculating the Common Stock Price; (v) the Change of Control Conversion Date; (vi) that if, prior to the Change of Control Conversion Date, the Corporation has provided notice of its election to redeem all or any shares of Series G Preferred Stock, holders of Series G Preferred Stock that are subject to such notice of redemption will not be able to convert the shares of Series G Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares have already been tendered for conversion pursuant to the Change of Control Conversion Right; (vii) if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series G Preferred Stock; (viii) the name and address of the paying agent, transfer agent and conversion agent for the Series G Preferred Stock; (ix) the procedures that the holders of Series G Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares of Series G Preferred Stock for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and (x) the last date on which holders of Series G Preferred Stock may withdraw shares of Series G Preferred Stock surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal. No failure to give such notice or any defect thereto or in the giving thereof shall affect the validity of the proceedings for the conversion of any shares of Series G Preferred Stock except as to the holder to whom notice was defective or not given.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) The Corporation shall also issue a press release containing such notice provided for in Section 7(h) hereof for publication on the Wall Street Journal, Business Wire, PR Newswire or Bloomberg Business News (or, if these organizations are not in existence at the time of issuance of the press release, such other news or press organization as is reasonably calculated to broadly disseminate the relevant information to the public), and post a notice on its website (if any) in any event prior to the opening of business on the first Business Day following any date on which it provides the notice provided for in Section 7(h) hereof to the holders of Series G Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) To exercise the Change of Control Conversion Right, the holders of Series G Preferred Stock will be required to deliver, on or before the close of business on the Change of Control Conversion Date, the certificates (if any) representing the shares of Series G Preferred Stock to be converted, duly endorsed for transfer (or, in the case of any shares of Series G Preferred Stock held in book-entry form through a Depositary or shares directly registered with the transfer agent therefor, to deliver, on or before the close of business on the Change of Control Conversion Date, the shares of Series G Preferred Stock to be converted through the facilities of

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such Depositary or through such transfer agent, respectively), together with a written conversion notice in the form provided by the Corporation, duly completed, to its transfer agent. The conversion notice must state: (i) the relevant Change of Control Conversion Date; (ii) the number of shares of Series G Preferred Stock to be converted; and (iii) that the shares of Series G Preferred Stock are to be converted pursuant to the applicable provisions of the Series G Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k) Holders of Series G Preferred Stock may withdraw any notice of exercise of a Change of Control Conversion Right (in whole or in part) by a written notice of withdrawal delivered to the transfer agent of the Corporation prior to the close of business on the Business Day prior to the Change of Control Conversion Date. The notice of withdrawal delivered by any holder must state: (i) the number of withdrawn shares of Series G Preferred Stock; (ii) if certificated shares of Series G Preferred Stock have been surrendered for conversion, the certificate numbers of the withdrawn shares of Series G Preferred Stock; and (iii) the number of shares of Series G Preferred Stock, if any, which remain subject to the holder's conversion notice.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) Notwithstanding anything to the contrary contained in Sections 7(j) and (k) hereof, if any shares of Series G Preferred Stock are held in book-entry form through The Depository Trust Company ("<u>DTC</u>") or a similar depositary (each, a "<u>Depositary</u>"), the conversion notice and/or the notice of withdrawal, as applicable, must comply with applicable procedures, if any, of the applicable Depositary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(m) Shares of Series G Preferred Stock as to which the Change of Control Conversion Right has been properly exercised and for which the conversion notice has not been properly withdrawn will be converted into the applicable Conversion Consideration in accordance with the Change of Control Conversion Right on the Change of Control Conversion Date, unless prior to the Change of Control Conversion Date the Corporation has provided notice of its election to redeem some or all of the shares of Series G Preferred Stock pursuant to Section 6 hereof, in which case only the shares of Series G Preferred Stock properly surrendered for conversion and not properly withdrawn that are not called for redemption will be converted as aforesaid. If the Corporation elects to redeem shares of Series G Preferred Stock that would otherwise be converted into the applicable Conversion Consideration on a Change of Control Conversion Date, such shares of Series G Preferred Stock will not be so converted and the holders of such shares will be entitled to receive on the applicable redemption date the redemption price as provided in Section 6 hereof.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(n) The Corporation shall deliver all securities, cash and any other property owing upon conversion no later than the third Business Day following the Change of Control Conversion Date. Notwithstanding the foregoing, the persons entitled to receive any shares of Common Stock or other securities delivered on conversion will be deemed to have become the holders of record thereof as of the Change of Control Conversion Date.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(o) In connection with the exercise of any Change of Control Conversion Right, the Corporation shall comply with all applicable federal and state securities laws and stock exchange rules in connection with any conversion of shares of Series G Preferred Stock into shares of Common Stock or other property. Notwithstanding any other provision of the Series G Preferred Stock, no holder of Series G Preferred Stock will be entitled to convert such shares of Series G Preferred Stock into shares of Common Stock to the extent that receipt of such shares of Common Stock would cause such holder (or any other person) to violate the applicable restrictions on transfer and ownership of shares of the Corporation's stock contained in Article XI of the Charter, unless the Corporation provides an exemption from such restrictions to such holder pursuant to Article XI of the Charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(p) Notwithstanding anything to the contrary herein and except as otherwise required by law, the persons who are the holders of record of shares of Series G Preferred Stock at the close of business on a Dividend Record Date will be entitled to receive the dividend payable on the corresponding Dividend Payment Date notwithstanding the conversion of those shares after such Dividend Record Date and on or prior to such Dividend Payment Date and, in such case, the full amount of such dividend shall be paid on such Dividend Payment Date to the persons who were the holders of record at the close of business on such Dividend Record Date. Except as provided in this Section 7(p), the Corporation will make no allowance for unpaid dividends that are not in arrears on the shares of Series G Preferred Stock to be converted.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.&nbsp;&nbsp;&nbsp;&nbsp; <u>Voting Rights</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Holders of Series G Preferred Stock will not have any voting rights, except as set forth in this Section 8. On each matter on which holders of Series G Preferred Stock are entitled to vote, each share of Series G Preferred Stock will be entitled to one vote, except that when shares of Parity Stock or any other class or series of Preferred Stock the Corporation may issue have the right to vote with the Series G Preferred Stock as a single class on any matter, the Series G Preferred Stock and each such other class or series of stock will have one vote for each $25.00 of liquidation preference (excluding accumulated dividends).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Whenever dividends on any shares of Series G Preferred Stock are in arrears for six or more full quarterly Dividend Periods, whether or not consecutive, the number of directors constituting the Board of Directors will be automatically increased by two (if not already increased by two by reason of the election of directors by the holders of any other class or series of Parity Stock upon which like voting rights have been conferred and are exercisable) and the holders of Series G Preferred Stock, voting as a single class with the holders of Parity Stock upon which like voting rights have been conferred and are exercisable, will be entitled to vote for the election of those two additional directors at a special meeting called by the Corporation at the request of the holders of record of at least 25% of the outstanding shares of Series G Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable to be held no later than 90 days after the Corporation's receipt of such request (unless the request is received less than 90 days before the date fixed for the next annual or special meeting of stockholders of the Corporation, in which case, such vote will be held at the earlier of the next

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annual or special meeting of stockholders of the Corporation, to the extent permitted by applicable law), and at each subsequent annual meeting of stockholders of the Corporation until all dividends accumulated on the Series G Preferred Stock for all past Dividend Periods and the then current Dividend Period shall have been fully paid. In that case, the right of holders of Series G Preferred Stock to elect any directors will cease and, unless there are other classes or series of Parity Stock upon which like voting rights have been conferred and are exercisable, the term of office of any directors elected by holders of Series G Preferred Stock shall immediately terminate and the number of directors constituting the Board of Directors shall be reduced accordingly. For the avoidance of doubt, in no event shall the total number of directors elected by holders of Series G Preferred Stock (voting together as a single class with the Parity Stock upon which like voting rights have been conferred and are exercisable) pursuant to the voting rights under this Section 8 exceed two. The directors elected by the holders of Series G Preferred Stock and the holders of the Parity Stock upon which like voting rights have been conferred and are exercisable will be elected by a plurality of the votes cast by the holders of the outstanding shares of Series G Preferred Stock when they have the voting rights as set forth in this Section 8(b) and the holders of Parity Stock upon which like voting rights have been conferred and are exercisable (voting together as a single class) to serve until the Corporation's next annual meeting of stockholders and until their successors are duly elected and qualify or until such directors' right to hold the office terminates as described above, whichever occurs earlier.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) If, at any time when the voting rights conferred upon the Series G Preferred Stock pursuant to Section 8(b) hereof are exercisable, any vacancy in the office of a director elected pursuant to Section 8(b) shall occur, then such vacancy may be filled only by the remaining director or by vote of the holders of the outstanding Series G Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable. Any director elected pursuant to Section 8(b) may be removed at any time, with or without cause, only by the vote of, and may not be removed otherwise than by the vote of, the holders of record of a majority of the outstanding shares of Series G Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable (voting as a single class with all other classes or series of Parity Stock upon which like voting rights have been conferred and are exercisable).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) So long as any shares of Series G Preferred Stock remain outstanding, the Corporation will not, without the affirmative vote or consent of the holders of at least two-thirds of the outstanding shares of Series G Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable (voting together as a single class), (i) authorize or create, or increase the authorized or issued amount of, any class or series Senior Stock or reclassify any of the authorized stock of the Corporation into such shares, or create or authorize or issue any obligation or security convertible into or evidencing the right to purchase any such shares; or (ii) amend, alter or repeal the provisions of the Charter, whether by merger, conversion, consolidation or otherwise, so as to materially and adversely affect any right, preference, privilege or voting power of the Series G Preferred Stock (each, an "<u>Event</u>"); provided, however, with respect to the occurrence of any Event set forth in clause (ii) above, so long as the Series G Preferred Stock remains outstanding with the terms thereof materially unchanged, or the holders of Series G Preferred Stock receive shares of stock or other equity

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interests with rights, preferences, privileges and voting powers substantially the same as those of the Series G Preferred Stock, taking into account that, upon the occurrence of any such Event, the Corporation may not be the successor entity, the occurrence of any such Event shall not be deemed to materially and adversely affect the rights, preferences, privileges or voting power of holders of Series G Preferred Stock; and, provided further, that any increase in the amount of the authorized or issued Series G Preferred Stock, or the creation or issuance, or any increase in the amounts authorized of any Junior Stock or Parity Stock, including the Series C Preferred Stock, Series D Preferred Stock, Series E Preferred Stock and Series F Preferred Stock, that the Corporation may issue shall not be deemed to materially and adversely affect the rights, preferences, privileges or voting powers of holders of Series G Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) The voting rights provided for in this Section 8 will not apply if, at or prior to the time when the act with respect to which voting by holders of Series G Preferred Stock would otherwise be required pursuant to this Section 8 shall be effected, all outstanding shares of Series G Preferred Stock shall have been redeemed or called for redemption upon proper notice and sufficient funds have been irrevocably set apart to effect such redemption pursuant to Section 6 hereof.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Except as expressly stated in this Section 8, the Series G Preferred Stock will not have any relative, participating, optional or other special voting rights or powers and the consent of the holders thereof shall not be required for the taking of any corporate action. The holders of Series G Preferred Stock shall have exclusive voting rights on any Charter amendment that would alter the contract rights, as expressly set forth in the Charter, of only the Series G Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) Notwithstanding the foregoing, if any amendment, alteration or repeal of any provision of the Charter would materially and adversely affect the rights, preferences, privileges or voting rights of the Series G Preferred Stock disproportionately relative to other classes or series of Parity Stock, including the Series C Preferred Stock, Series D Preferred Stock, Series E Preferred Stock and Series F Preferred Stock, then the affirmative vote or consent of the holders of at least two-thirds of the outstanding shares of Series G Preferred Stock (voting as a separate class) shall also be required.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9. &nbsp;&nbsp;&nbsp;&nbsp;<u>Information Rights</u>. During any period in which the Corporation is not subject to Section 13 or 15(d) of the Exchange Act and any shares of Series G Preferred Stock are outstanding, the Corporation will use its best efforts to transmit through the Corporation's website at http://www.annaly.com (or other permissible means under the Exchange Act) copies of the annual reports on Form 10-K and quarterly reports on Form 10-Q that the Corporation would have been required to file with the Securities and Exchange Commission (the "<u>SEC</u>") pursuant to Section 13 or 15(d) of the Exchange Act if it were subject thereto (other than any exhibits that would have been required). The Corporation will use its best efforts to provide such reports on its website within 15 days after the respective dates by which the Corporation would have been required to file such reports with the SEC if the Corporation were subject to Section

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13 or 15(d) of the Exchange Act and the Corporation were a "non-accelerated filer" within the meaning of the Exchange Act.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.&nbsp;&nbsp;&nbsp;&nbsp; <u>Restrictions on Transfer and Ownership</u>. The Series G Preferred Stock shall be subject to the restrictions on transfer and ownership set forth in Article XI of the Charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11.&nbsp;&nbsp;&nbsp;&nbsp; <u>Record Holders</u>. The Corporation and the transfer agent for the Series G Preferred Stock may deem and treat the record holder of any Series G Preferred Stock as the true and lawful owner thereof for all purposes, and neither the Corporation nor the transfer agent shall be affected by any notice to the contrary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12.&nbsp;&nbsp;&nbsp;&nbsp; <u>No Preemptive Rights</u>. No holders of Series G Preferred Stock will, as holders of Series G Preferred Stock, have any preemptive rights to purchase or subscribe for Common Stock or any other security of the Corporation.

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**EXHIBIT C**

**<u>SERIES I PREFERRED STOCK</u>**

Under a power contained in Article VI of the charter (the "<u>Charter</u>") of Annaly Capital Management, Inc., a Maryland corporation (the "<u>Corporation</u>"), the Board of Directors (the "<u>Board of Directors</u>") of the Corporation and a duly authorized committee thereof, by duly adopted resolutions classified and designated 18,400,000 shares of authorized but unissued common stock, $0.01 par value per share, of the Corporation (the "<u>Common Stock</u>") as shares of preferred stock of the Corporation, $0.01 par value per share (the "<u>Preferred Stock</u>"), of which 700,000 has been reclassified as Common Stock, with such shares of Preferred Stock having the following preferences, conversion and other rights, voting powers, restrictions, limitations as to dividends and other distributions, qualifications and terms and conditions of redemption, which, upon any restatement of the Charter, shall be deemed to be part of Article VI of the Charter, with any necessary or appropriate changes to the enumeration or lettering of sections or subsections hereof:

**6.750% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.<u>Designation and Number</u>. A series of Preferred Stock, classified as the "6.750% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock" (the "<u>Series I Preferred Stock</u>") is hereby established. The par value of the Series I Preferred Stock is $0.01 per share. The number of authorized shares of the Series I Preferred Stock shall be 17,700,000.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.<u>Maturity</u>. The Series I Preferred Stock has no stated maturity and will not be subject to any sinking fund or mandatory redemption, and will remain outstanding indefinitely unless (i) the Corporation decides to redeem or otherwise repurchase the Series I Preferred Stock or (ii) the Series I Preferred Stock becomes convertible and is actually converted pursuant to Section 7 hereof. The Corporation is not required to set apart for payment the funds to redeem the Series I Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.<u>Ranking</u>. The Series I Preferred Stock will rank, with respect to rights to the payment of dividends and the distribution of assets upon the liquidation, dissolution or winding up of the Corporation, (i) senior to the all classes or series of Common Stock and to all classes or series of stock of the Corporation other than the stock of the Corporation referred to in clauses (ii) and (iii) of this Section 3 (collectively, "<u>Junior Stock</u>"); (ii) on a parity with the Corporation's 7.625% Series C Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series C Preferred Stock</u>"), 7.50% Series D Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series D Preferred Stock</u>"), 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series F Preferred Stock</u>"), 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share (the "<u>Series G Preferred Stock</u>"), and all classes or series of stock of the Corporation with terms specifically providing that such stock ranks on a parity with the Series I Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation (collectively, "<u>Parity Stock</u>"); and (iii) junior to all classes or series of stock of the Corporation with terms specifically providing

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that such stock ranks senior to the Series I Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation (collectively, "<u>Senior Stock</u>"). The term "stock" shall not include debt securities convertible or exchangeable into Common Stock or Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.<u>Dividends</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Holders of shares of the Series I Preferred Stock are entitled to receive, when, as and if authorized by the Board of Directors and declared by the Corporation, out of funds of the Corporation legally available for the payment of dividends, cumulative cash dividends. The initial dividend rate for the Series I Preferred stock from, and including, the Original Issue Date (as defined below) of the Series I Preferred Stock to, but not including, June 30, 2024 (the "<u>Fixed Rate Period</u>"), will be 6.750% of the $25.00 per share liquidation preference per annum (equivalent to $1.6875 per annum per share). On and after June 30, 2024 (the "<u>Floating Rate Period</u>"), dividends on the Series I Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the Three-Month LIBOR Rate (as defined below) plus a spread of 4.989%. Dividends on the Series I Preferred Stock shall accumulate daily and with respect to any shares of Series I Preferred Stock issued before September 30, 2019 shall be cumulative from, and including, June 27, 2019 (the "<u>Original Issue Date</u>"), or, with respect to any shares of Series I Preferred Stock issued after September 30, 2019, shall be cumulative from the most recent Dividend Payment Date (as defined below) to which dividends have been paid in full (or declared and the record date for determining stockholders entitled to payment thereof has passed), and shall be payable quarterly in arrears on the last day of each March, June, September and December beginning September 30, 2019 (each, as may be modified as provided below, a "<u>Dividend Payment Date</u>"). If any Dividend Payment Date is not a Business Day (as defined below), then the dividend which would otherwise have been payable on such Dividend Payment Date may be paid on the next succeeding Business Day with the same force and effect as if paid on such Dividend Payment Date, and no interest, additional dividends or sums in lieu of interest will accumulate on the amount so payable for the period from and after such Dividend Payment Date to such next succeeding Business Day. Dividends payable on the Series I Preferred Stock for the Fixed Rate Period will be computed on the basis of a 360-day year consisting of twelve 30-day months (it being understood that the dividend payable on or about September 30, 2019 will be in the amount of $0.43594 per share of Series I Preferred Stock). Dividends payable on the Series I Preferred Stock for the Floating Rate Period will be computed based on the actual number of days in a Dividend Period and a 360-day year. Dividends will be payable to holders of record as they appear on the stock records of the Corporation at the close of business on the applicable record date, which will be no fewer than ten days and no more than 35 days prior to the applicable Dividend Payment Date, as shall be fixed by the Board of Directors (each, a "<u>Dividend Record Date</u>"). The dividends payable on any Dividend Payment Date shall include dividends accumulated to, but not including, such Dividend Payment Date.

&nbsp;&nbsp;&nbsp;&nbsp;The term "<u>Three-Month LIBOR Rate</u>" shall be calculated for each Dividend Period and means, on any Dividend Determination Date (as defined below): (i) the rate (expressed as a percentage per year) for deposits in U.S. dollars having an index maturity of three months, in

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amounts of at least $1,000,000, as such rate appears on "Reuters Page LIBOR01" at approximately 11:00 a.m. (London time) on the relevant Dividend Determination Date; or if no such rate appears on "Reuters Page LIBOR01" or if the "Reuters Page LIBOR01" is not available at approximately 11:00 a.m. (London time) on the relevant Dividend Determination Date, then the Corporation will select four nationally-recognized banks in the London interbank market and request that the principal London offices of those four selected banks provide the Corporation with their offered quotation for deposits in U.S. dollars for a period of three months, commencing on the first day of the applicable Dividend Period, to prime banks in the London interbank market at approximately 11:00 a.m. (London time) on that Dividend Determination Date for the applicable Dividend Period. Offered quotations must be based on a principal amount equal to an amount that, in the Corporation's discretion, is representative of a single transaction in U.S. dollars in the London interbank market at that time. If at least two quotations are provided, the Three-Month LIBOR Rate for such Dividend Period will be the arithmetic mean (rounded upward if necessary, to the nearest 0.00001 of 1%) of those quotations. If fewer than two quotations are provided, the Three-Month LIBOR Rate for such Dividend Period will be the arithmetic mean (rounded upward if necessary, to the nearest 0.00001 of 1%) of the rates quoted at approximately 11:00 a.m. (New York City time) on that Dividend Determination Date for such Dividend Period by three nationally-recognized banks in New York, New York selected by the Corporation, for loans in U.S. dollars to nationally-recognized European banks (as selected by the Corporation), for a period of three months commencing on the first day of such Dividend Period. The rates quoted must be based on an amount that, in the Corporation's discretion, is representative of a single transaction in U.S. dollars in that market at that time. If no quotation is provided as described above, then if a Calculation Agent (as defined below) has not been appointed at such time, we will appoint a Calculation Agent who shall, after consulting such sources as it deems comparable to any of the foregoing quotations or display page, or any such source as it deems reasonable from which to estimate LIBOR or any of the foregoing lending rates, shall determine LIBOR for the second London Business Day immediately preceding the first day of such distribution period in its sole discretion. If the Calculation Agent is unable or unwilling to determine LIBOR as provided in the immediately preceding sentence, then LIBOR will be equal to Three-Month LIBOR for the then current Dividend Period, or, in the case of the first Dividend Period in the Floating Rate Period, the most recent dividend rate that would have been determined based on the last available Reuters Page LIBOR01 had the Floating Rate Period been applicable prior to the first Dividend Period in the Floating Rate Period.

&nbsp;&nbsp;&nbsp;&nbsp;Notwithstanding the foregoing, if we determine on the relevant Dividend Determination Date that the LIBOR base rate has been discontinued, then we will appoint a Calculation Agent and the Calculation Agent will consult with an investment bank of national standing to determine whether there is an industry accepted substitute or successor base rate to Three-Month LIBOR Rate. If, after such consultation, the Calculation Agent determines that there is an industry accepted substitute or successor base rate, the Calculation Agent shall use such substitute or successor base rate. In such case, the Calculation Agent in its sole discretion may (without implying a corresponding obligation to do so) also implement changes to the Business Day convention, the definition of Business Day, the Dividend Determination Date, the interest rate spread and any method for obtaining the substitute or successor base rate if such rate is

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unavailable on the relevant Business Day, in a manner that is consistent with industry accepted practices for such substitute or successor base rate. Unless the Calculation Agent determines that there is an industry accepted substitute or successor base rate as so provided above, the Calculation Agent will, in consultation with us, follow the steps specified in the second bullet point in the immediately preceding paragraph in order to determine Three-Month LIBOR Rate for the applicable Dividend Period.

&nbsp;&nbsp;&nbsp;&nbsp;The term "<u>Calculation Agent</u>" shall mean a third party independent financial institution of national standing with experience providing such services, which has been selected by us.

&nbsp;&nbsp;&nbsp;&nbsp;The term "<u>Dividend Determination Date</u>" means the London Business Day (as defined below) immediately preceding the applicable Dividend Period.

&nbsp;&nbsp;&nbsp;&nbsp;The term "<u>Dividend Period</u>" means the period from, and including, a Dividend Payment Date to, but excluding, the next succeeding Dividend Payment Date, except for the initial Dividend Period, which will be the period from, and including, the original issue date of the Series I Preferred Stock to, but excluding, September 30, 2019.

&nbsp;&nbsp;&nbsp;&nbsp;The term "<u>London Business Day</u>" means any day on which dealings in deposits in U.S. dollars are transacted in the London interbank market.

&nbsp;&nbsp;&nbsp;&nbsp;The term "<u>Reuters Page LIBOR01</u>" means the display so designated on the Reuters 3000 Xtra (or such other page as may replace the LIBOR01 page on that service, or such other service as may be nominated by the ICE Benchmark Administration Limited, or ICE, or its successor, or such other entity assuming the responsibility of ICE or its successor in the event ICE or its successor no longer does so, as the successor service, for the purpose of displaying London interbank offered rates for U.S. dollar deposits).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) No dividends on shares of Series I Preferred Stock shall be authorized by the Board of Directors or paid or set apart for payment by the Corporation at any time when the terms and provisions of any agreement of the Corporation, including any agreement relating to any indebtedness of the Corporation, prohibit the authorization, payment or setting apart for payment thereof or provide that the authorization, payment or setting apart for payment thereof would constitute a breach of the agreement or a default under the agreement, or if the authorization, payment or setting apart for payment is restricted or prohibited by law.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Notwithstanding anything to the contrary contained herein, dividends on the Series I Preferred Stock will accumulate (i) whether or not the terms and provisions of any laws or agreements referred to in Section 4(b) hereof at any time prohibit the current payment of dividends, (ii) whether or not the Corporation has earnings, (iii) whether or not there are funds legally available for the payment of those dividends, and (iv) whether or not those dividends are declared. No interest, or sum in lieu of interest, will be payable in respect of any dividend payment or payments on the Series I Preferred Stock which may be in arrears, and holders of Series I Preferred Stock will not be entitled to any dividends in excess of full cumulative dividends described in Section 4(a) hereof. Any dividend payment made on the Series I Preferred

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Stock will first be credited against the earliest accumulated but unpaid dividend due with respect to the Series I Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Except as provided in Section 4(e) hereof, unless full cumulative dividends on the Series I Preferred Stock have been or contemporaneously are declared and paid or declared and a sum sufficient for the payment thereof is set apart for payment for all past Dividend Periods, (i) no dividends (other than in shares of Junior Stock) shall be declared or paid or set apart for payment upon shares of Junior Stock or Parity Stock, (ii) no other distribution shall be declared or made upon shares of Junior Stock or Parity, and (iii) shares of Junior Stock or Parity Stock shall not be redeemed, purchased or otherwise acquired for any consideration (or any moneys be paid to or made available for a sinking fund for the redemption of any such securities) by the Corporation (except by conversion into or exchange for shares of, or options, warrants or rights to purchase or subscribe for, shares of Junior Stock or pursuant to a purchase or exchange offer made on the same terms to holders of all outstanding shares of Series I Preferred Stock and shares of any other class or series of Parity Stock); *provided, however*, that the foregoing shall not prevent (i) the redemption, purchase or acquisition by the Corporation of shares of any class or series of stock of the Corporation pursuant to the provisions of Article XI of the Charter, including in order to preserve the Corporation's qualification as a real estate investment trust, or (ii) the redemption, purchase or acquisition by the Corporation of shares of Common Stock for purposes of and in compliance with any incentive or benefit plan of the Corporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) When dividends are not paid in full (or a sum sufficient for such full payment is not so set apart) upon the Series I Preferred Stock and shares of any other classes or series of Parity Stock, all dividends declared upon the Series I Preferred Stock and all other such shares of stock shall be declared *pro rata* so that the amount of dividends declared per share of Series I Preferred Stock and all other such shares of stock shall in all cases bear to each other the same ratio that accumulated dividends per share on the Series I Preferred Stock and all other such shares of stock (which shall not include any accrual in respect of unpaid dividends for prior Dividend Periods if any such shares of stock do not have a cumulative dividend) bear to each other. No interest, or sum of money in lieu of interest, shall be payable in respect of any dividend payment or payments on the Series I Preferred Stock which may be in arrears.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) "<u>Business Day</u>" shall mean any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions in New York, New York are authorized or required by law, regulation or executive order to close.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) "<u>Set apart for payment</u>" shall be deemed to include (without limitation), without any action other than the following: the recording by the Corporation in its accounting ledgers of any accounting or bookkeeping entry which indicates, pursuant to an authorization by the Board of Directors and a declaration of dividends or other distribution by the Corporation, the allocation of funds to be so paid on any series or class of shares of stock of the Corporation; provided, however, that if any funds for any class or series of Junior Stock or Parity Stock are placed in a separate account of the Corporation or delivered to a disbursing, paying or other similar agent, then "set apart for payment" with respect to the Series I Preferred Stock shall mean

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placing such funds in a separate account or delivering such funds to a disbursing, paying or other similar agent.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.<u>Liquidation Preference</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) In the event of any voluntary or involuntary liquidation, dissolution or winding up of the Corporation, the holders of Series I Preferred Stock will be entitled to be paid out of the assets the Corporation has legally available for distribution to its stockholders, subject to the preferential rights of the holders of any class or series of Senior Stock, a liquidation preference of Twenty-Five Dollars ($25.00) per share, plus an amount equal to any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date of payment, before any distribution of assets is made to holders of Junior Stock; and such holders of Series I Preferred Stock shall not be entitled to any further payment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) In the event that, upon any such voluntary or involuntary liquidation, dissolution or winding up, the available assets of the Corporation are insufficient to pay the amount of the liquidating distributions on all outstanding shares of Series I Preferred Stock and Parity Stock and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation, then the holders of Series I Preferred Stock and all other such classes or series of stock shall share ratably in any such distribution of assets in proportion to the full liquidating distributions to which they would otherwise be respectively entitled.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Notice of any such liquidation stating the payment date or dates when, and the place or places where, the amounts distributable in each circumstance shall be payable, shall be given no fewer than 30 days and no more than 60 days prior to the payment date, to each holder of record of Series I Preferred Stock at the address of such holder as it shall appear on the stock records of the Corporation. After payment of the full amount of the liquidating distributions to which they are entitled, the holders of Series I Preferred Stock will have no right or claim to any of the remaining assets of the Corporation. The consolidation, conversion or merger of the Corporation with or into any other corporation, trust or entity or of any other entity with or into the Corporation, the sale, lease, transfer or conveyance of all or substantially all of the property or business the Corporation or a statutory share exchange, shall not be deemed to constitute a liquidation, dissolution or winding up of the Corporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) In determining whether a distribution (other than upon voluntary or involuntary liquidation), by dividend, redemption or other acquisition of shares of stock of the Corporation or otherwise, is permitted under the Maryland General Corporation Law, amounts that would be needed, if the Corporation were to be dissolved at the time of distribution, to satisfy the preferential rights upon dissolution of holders of shares of the Series I Preferred Stock shall not be added to the Corporation's total liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.<u>Redemption</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Series I Preferred Stock is not redeemable prior to June 30, 2024 except as described in this Section 6 and except that, as provided in Article XI of the Charter, the Corporation may purchase or redeem shares of the Series I Preferred Stock prior to that date,

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including under circumstances where it is necessary to preserve the Corporation's qualification as a real estate investment trust for U.S. federal income tax purposes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) <u>Optional Redemption Right</u>. On and after June 30, 2024, the Corporation may, at its option, upon not less than 30 nor more than 60 days' notice, as provided below, redeem the Series I Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price of Twenty-Five Dollars ($25.00) per share, plus, subject to Section 6(j) hereof, any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date fixed for redemption, without interest.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) <u>Special Optional Redemption Right</u>. Notwithstanding anything to the contrary contained in Section 6(a) hereof, upon the occurrence of a Change of Control (as defined below), the Corporation may, at its option, upon not less than 30 nor more than 60 days' notice, as provided below, redeem the Series I Preferred Stock, in whole or in part, within 120 days after the first date on which such Change of Control occurred, for cash at a redemption price of Twenty-Five Dollars ($25.00) per share, plus, subject to Section 6(j) hereof, any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date fixed for redemption. If, prior to the Change of Control Conversion Date (as defined below), the Corporation has provided notice of its election to redeem some or all of the shares of Series I Preferred Stock pursuant to this Section 6, the holders of Series I Preferred Stock will not have the Change of Control Conversion Right (as defined below) with respect to the shares of Series I Preferred Stock called for redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) A "<u>Change of Control</u>" is deemed to occur when, after the Original Issue Date, the following have occurred and are continuing: (i) the acquisition by any person, including any syndicate or group deemed to be a "person" under Section 13(d)(3) of the Securities Exchange Act of 1934, as amended (the "<u>Exchange Act</u>"), of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of stock of the Corporation entitling that person to exercise more than 50% of the total voting power of all stock of the Corporation entitled to vote generally in the election of directors of the Corporation (except that such person will be deemed to have beneficial ownership of all securities that such person has the right to acquire, whether such right is currently exercisable or is exercisable only upon the occurrence of a subsequent condition); and (ii) following the closing of any transaction referred to in clause (i), neither the Corporation nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the New York Stock Exchange (the "<u>NYSE</u>"), the NYSE American LLC (the "<u>NYSE American</u>") or the Nasdaq Stock Market ("<u>Nasdaq</u>"), or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE American or Nasdaq.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) In the event the Corporation elects to redeem Series I Preferred Stock, the notice of redemption will be given by the Corporation, postage prepaid, not less than 30 nor more than 60 days prior to the redemption date, to each holder of record of Series I Preferred Stock called for redemption at such holder's address as it appears on the stock records of the Corporation and shall state: (i) the redemption date; (ii) the number of shares of Series I Preferred Stock to be

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redeemed; (iii) the redemption price; (iv) the place or places where certificates (if any) for the Series I Preferred Stock are to be surrendered for payment of the redemption price; (v) that dividends on the shares to be redeemed will cease to accumulate on the redemption date; (vi) if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and (vii) if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series I Preferred Stock being so called for redemption will not be able to tender such shares of Series I Preferred Stock for conversion in connection with the Change of Control and that each share of Series I Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date, for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date. If less than all of the shares of Series I Preferred Stock held by any holder are to be redeemed, the notice given to such holder shall also specify the number of shares of Series I Preferred Stock held by such holder to be redeemed. No failure to give such notice or any defect thereto or in the giving thereof shall affect the validity of the proceedings for the redemption of any shares of Series I Preferred Stock except as to the holder to whom notice was defective or not given.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Holders of shares of Series I Preferred Stock to be redeemed shall surrender the shares of Series I Preferred Stock so called for redemption at the place designated in the notice of redemption and shall be entitled to the redemption price and any accumulated and unpaid dividends payable upon the redemption following the surrender.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) If notice of redemption of any shares of Series I Preferred Stock has been given and if the Corporation irrevocably sets apart for payment the funds necessary for redemption (including any accumulated and unpaid dividends) in trust for the benefit of the holders of the shares of Series I Preferred Stock so called for redemption, then from and after the redemption date (unless the Corporation shall default in providing for the payment of the redemption price plus accumulated and unpaid dividends, if any), dividends will cease to accumulate on those shares of Series I Preferred Stock, those shares of Series I Preferred Stock shall no longer be deemed outstanding and all rights of the holders of those shares will terminate, except the right to receive the redemption price plus accumulated and unpaid dividends, if any, payable upon redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) If any redemption date is not a Business Day, then the redemption price and accumulated and unpaid dividends, if any, payable upon redemption may be paid on the next Business Day and no interest, additional dividends or other sums will accumulate on the amount payable for the period from and after that redemption date to that next Business Day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) If less than all of the outstanding shares of Series I Preferred Stock are to be redeemed, the shares of Series I Preferred Stock to be redeemed shall be selected pro rata (as nearly as may be practicable without creating fractional shares) or by lot. If such redemption is to be by lot and if, as a result of such redemption, any holder of Series I Preferred Stock would own shares of Series I Preferred Stock in excess of the Ownership Limit (as defined in the Charter) or violate any other restriction on ownership or transfer of Capital Stock (as defined in the Charter) set forth in Section 2 of Article XI of the Charter, then, except as otherwise provided

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in the Charter, the Corporation will redeem the requisite number of shares of Series I Preferred Stock of such holder such that the holder will not own shares of Series I Preferred Stock in excess of the Ownership Limit or violate any other restriction on ownership or transfer of Capital Stock set forth in Section 2 of Article XI of the Charter subsequent to such redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) Immediately prior to any redemption of Series I Preferred Stock, the Corporation shall pay, in cash, any accumulated and unpaid dividends thereon to, but not including, the redemption date, unless a redemption date falls after a Dividend Record Date and prior to the corresponding Dividend Payment Date, in which case each holder of Series I Preferred Stock at the close of business on such Dividend Record Date shall be entitled to the dividend payable on such shares on the corresponding Dividend Payment Date notwithstanding the redemption of such shares before such Dividend Payment Date. Except as provided in this Section 6(j), the Corporation will make no payment or allowance for unpaid dividends, whether or not in arrears, on shares of the Series I Preferred Stock to be redeemed.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k) Unless full cumulative dividends on all shares of Series I Preferred Stock shall have been or contemporaneously are declared and paid or declared and a sum sufficient for the payment thereof has been or contemporaneously is set apart for payment for all past Dividend Periods, no shares of Series I Preferred Stock shall be redeemed unless all outstanding shares of Series I Preferred Stock are simultaneously redeemed, and the Corporation shall not purchase or otherwise acquire directly or indirectly any shares of Series I Preferred Stock (except by conversion into or exchange for shares of, or options, warrants, or rights to purchase or subscribe for, Junior Stock or pursuant to a purchase or exchange offer made on the same terms to all holders of Series I Preferred Stock and any other class or series of Parity Stock); *provided, however*, that the foregoing shall not prevent the redemption, purchase or acquisition by the Corporation of shares of Series I Preferred Stock pursuant to Article XI of the Charter, including in order to preserve the Corporation's qualification as a REIT.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) Subject to applicable law, the Corporation may purchase shares of Series I Preferred Stock in the open market, by tender or by privately negotiated transactions. Any shares of Series I Preferred Stock that the Corporation acquires, by redemption or otherwise, shall be reclassified as authorized but unissued shares of Preferred Stock, without designation as to class or series, and may thereafter be issued as any class or series of Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.<u>Conversion Rights</u>. Shares of Series I Preferred Stock are not convertible into or exchangeable for any other property or securities of the Corporation, except as provided in this Section 7.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Upon the occurrence of a Change of Control, each holder of Series I Preferred Stock will have the right (unless, prior to the Change of Control Conversion Date, the Corporation has provided notice of its election to redeem some or all of the shares of Series I Preferred Stock held by such holder pursuant to Section 6 hereof, in which case such holder will have the right only with respect to shares of Series I Preferred Stock that are not called for redemption) to convert some or all of the shares of Series I Preferred Stock held by such holder (the "<u>Change of Control Conversion Right</u>") on the Change of Control Conversion Date into a

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number of shares of Common Stock per share of Series I Preferred Stock (the "<u>Common Stock Conversion Consideration</u>") equal to the lesser of: (i) the quotient obtained by dividing (x) the sum of the $25.00 liquidation preference per share of Series I Preferred Stock plus (subject to Section 7(p) hereof) the amount of any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a Dividend Record Date and prior to the corresponding Dividend Payment Date for the Series I Preferred Stock, in which case no additional amount for such accumulated and unpaid dividends to be paid on such Dividend Payment Date will be included in this sum) by (y) the Common Stock Price (as defined below) (such quotient, the "<u>Conversion Rate</u>"); and (ii) 5.42888 (the "<u>Share Cap</u>"), subject to adjustments provided in Section 7(b) below.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) The Share Cap is subject to pro rata adjustments for any share splits (including those effected pursuant to a distribution of Common Stock to existing holders of Common Stock), subdivisions or combinations (in each case, a "<u>Share Split</u>") with respect to Common Stock as follows: the adjusted Share Cap as the result of a Share Split will be the number of shares of Common Stock that is equivalent to the product obtained by multiplying (i) the Share Cap in effect immediately prior to such Share Split by (ii) a fraction, the numerator of which is the number of shares of Common Stock outstanding immediately after giving effect to such Share Split and the denominator of which is the number of shares of Common Stock outstanding immediately prior to such Share Split. For the avoidance of doubt, subject to the immediately succeeding sentence, the aggregate number of shares of Common Stock (or equivalent Alternative Conversion Consideration (as defined below), as applicable) issuable or deliverable, as applicable, in connection with the exercise of the Change of Control Conversion Right will not exceed the product of the Share Cap times the aggregate number of shares of the Series I Preferred Stock issued and outstanding at the Change of Control Conversion Date (or equivalent Alternative Conversion Consideration, as applicable) (the "<u>Exchange Cap</u>"). The Exchange Cap is subject to pro rata adjustments for any Share Splits on the same basis as the corresponding adjustments to the Share Cap.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) The "<u>Change of Control Conversion Date</u>" is the date the Series I Preferred Stock is to be converted, which will be a Business Day selected by the Corporation that is neither fewer than 20 days nor more than 35 days after the date on which it provides the notice described in Section 7(h) to the holders of Series I Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) The "<u>Common Stock Price</u>" is (i) if the consideration to be received in the Change of Control by the holders of Common Stock is solely cash, the amount of cash consideration per share of Common Stock or (ii) if the consideration to be received in the Change of Control by holders of Common Stock is other than solely cash (x) the average of the closing sale prices per share of Common Stock (or, if no closing sale price is reported, the average of the closing bid and ask prices per share or, if more than one in either case, the average of the average closing bid and the average closing ask prices per share) for the ten consecutive trading days immediately preceding, but not including, the date on which such Change of Control occurred as reported on the principal U.S. securities exchange on which Common Stock is then traded, or (y) if Common Stock is not then listed for trading on a U.S. securities exchange, the average of the last quoted

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bid prices for Common Stock in the over-the-counter market as reported by OTC Markets Group Inc. or similar organization for the ten consecutive trading days immediately preceding, but not including, the date on which such Change of Control occurred.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) In the case of a Change of Control pursuant to which Common Stock is or will be converted into cash, securities or other property or assets (including any combination thereof) (the "<u>Alternative Form Consideration</u>"), a holder of Series I Preferred Stock will receive upon conversion of such shares of Series I Preferred Stock the kind and amount of Alternative Form Consideration which such holder would have owned or been entitled to receive upon the Change of Control had such holder held a number of shares of Common Stock equal to the Common Stock Conversion Consideration immediately prior to the effective time of the Change of Control (the "<u>Alternative Conversion Consideration</u>"; the Common Stock Conversion Consideration or the Alternative Conversion Consideration, whichever shall be applicable to a Change of Control, is referred to as the "<u>Conversion Consideration</u>").

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) If the holders of Common Stock have the opportunity to elect the form of consideration to be received in the Change of Control, the Conversion Consideration in respect of such Change of Control will be deemed to be the kind and amount of consideration actually received by holders of a majority of the outstanding shares of Common Stock that made or voted for such an election (if electing between two types of consideration) or holders of a plurality of the outstanding shares of Common Stock that made or voted for such an election (if electing between more than two types of consideration), as the case may be, and will be subject to any limitations to which all holders of Common Stock are subject, including, without limitation, pro rata reductions applicable to any portion of the consideration payable in such Change of Control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) No fractional shares of Common Stock upon the conversion of the Series I Preferred Stock in connection with a Change of Control will be issued. Instead, the Corporation will make a cash payment equal to the value of such fractional shares based upon the Common Stock Price used in determining the Common Stock Conversion Consideration for such Change of Control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) Within 15 days following the occurrence of a Change of Control, provided that the Corporation has not exercised its right to redeem all shares of Series I Preferred Stock pursuant to Section 6 hereof, the Corporation will provide to holders of Series I Preferred Stock a notice of occurrence of the Change of Control that describes the resulting Change of Control Conversion Right, which notice shall be delivered to the holders of record of the shares of the Series I Preferred Stock to their addresses as they appear on the stock records of the Corporation and shall state: (i) the events constituting the Change of Control; (ii) the date of the Change of Control; (iii) the last date on which the holders of Series I Preferred Stock may exercise their Change of Control Conversion Right; (iv) the method and period for calculating the Common Stock Price; (v) the Change of Control Conversion Date; (vi) that if, prior to the Change of Control Conversion Date, the Corporation has provided notice of its election to redeem all or any shares of Series I Preferred Stock, holders of Series I Preferred Stock that are subject to such notice of redemption will not be able to convert the shares of Series I Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares

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have already been tendered for conversion pursuant to the Change of Control Conversion Right; (vii) if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series I Preferred Stock; (viii) the name and address of the paying agent, transfer agent and conversion agent for the Series I Preferred Stock; (ix) the procedures that the holders of Series I Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares of Series I Preferred Stock for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and (x) the last date on which holders of Series I Preferred Stock may withdraw shares of Series I Preferred Stock surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal. No failure to give such notice or any defect thereto or in the giving thereof shall affect the validity of the proceedings for the conversion of any shares of Series I Preferred Stock except as to the holder to whom notice was defective or not given.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) The Corporation shall also issue a press release containing such notice provided for in Section 7(h) hereof for publication on the Wall Street Journal, Business Wire, PR Newswire or Bloomberg Business News (or, if these organizations are not in existence at the time of issuance of the press release, such other news or press organization as is reasonably calculated to broadly disseminate the relevant information to the public), and post a notice on its website (if any) in any event prior to the opening of business on the first Business Day following any date on which it provides the notice provided for in Section 7(h) hereof to the holders of Series I Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) To exercise the Change of Control Conversion Right, the holders of Series I Preferred Stock will be required to deliver, on or before the close of business on the Change of Control Conversion Date, the certificates (if any) representing the shares of Series I Preferred Stock to be converted, duly endorsed for transfer (or, in the case of any shares of Series I Preferred Stock held in book-entry form through a Depositary or shares directly registered with the transfer agent therefor, to deliver, on or before the close of business on the Change of Control Conversion Date, the shares of Series I Preferred Stock to be converted through the facilities of such Depositary or through such transfer agent, respectively), together with a written conversion notice in the form provided by the Corporation, duly completed, to its transfer agent. The conversion notice must state: (i) the relevant Change of Control Conversion Date; (ii) the number of shares of Series I Preferred Stock to be converted; and (iii) that the shares of Series I Preferred Stock are to be converted pursuant to the applicable provisions of the Series I Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k) Holders of Series I Preferred Stock may withdraw any notice of exercise of a Change of Control Conversion Right (in whole or in part) by a written notice of withdrawal delivered to the transfer agent of the Corporation prior to the close of business on the Business Day prior to the Change of Control Conversion Date. The notice of withdrawal delivered by any holder must state: (i) the number of withdrawn shares of Series I Preferred Stock; (ii) if certificated shares of Series I Preferred Stock have been surrendered for conversion, the certificate numbers of the withdrawn shares of Series I Preferred Stock; and (iii) the number of shares of Series I Preferred Stock, if any, which remain subject to the holder's conversion notice.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) Notwithstanding anything to the contrary contained in Sections 7(j) and (k) hereof, if any shares of Series I Preferred Stock are held in book-entry form through The Depository Trust Company ("<u>DTC</u>") or a similar depositary (each, a "<u>Depositary</u>"), the conversion notice and/or the notice of withdrawal, as applicable, must comply with applicable procedures, if any, of the applicable Depositary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(m) &nbsp;&nbsp;&nbsp;&nbsp;Shares of Series I Preferred Stock as to which the Change of Control Conversion Right has been properly exercised and for which the conversion notice has not been properly withdrawn will be converted into the applicable Conversion Consideration in accordance with the Change of Control Conversion Right on the Change of Control Conversion Date, unless prior to the Change of Control Conversion Date the Corporation has provided notice of its election to redeem some or all of the shares of Series I Preferred Stock pursuant to Section 6 hereof, in which case only the shares of Series I Preferred Stock properly surrendered for conversion and not properly withdrawn that are not called for redemption will be converted as aforesaid. If the Corporation elects to redeem shares of Series I Preferred Stock that would otherwise be converted into the applicable Conversion Consideration on a Change of Control Conversion Date, such shares of Series I Preferred Stock will not be so converted and the holders of such shares will be entitled to receive on the applicable redemption date the redemption price as provided in Section 6 hereof.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(n) The Corporation shall deliver all securities, cash and any other property owing upon conversion no later than the third Business Day following the Change of Control Conversion Date. Notwithstanding the foregoing, the persons entitled to receive any shares of Common Stock or other securities delivered on conversion will be deemed to have become the holders of record thereof as of the Change of Control Conversion Date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(o) In connection with the exercise of any Change of Control Conversion Right, the Corporation shall comply with all applicable federal and state securities laws and stock exchange rules in connection with any conversion of shares of Series I Preferred Stock into shares of Common Stock or other property. Notwithstanding any other provision of the Series I Preferred Stock, no holder of Series I Preferred Stock will be entitled to convert such shares of Series I Preferred Stock into shares of Common Stock to the extent that receipt of such shares of Common Stock would cause such holder (or any other person) to violate the applicable restrictions on transfer and ownership of shares of the Corporation's stock contained in Article XI of the Charter, unless the Corporation provides an exemption from such restrictions to such holder pursuant to Article XI of the Charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(p) Notwithstanding anything to the contrary herein and except as otherwise required by law, the persons who are the holders of record of shares of Series I Preferred Stock at the close of business on a Dividend Record Date will be entitled to receive the dividend payable on the corresponding Dividend Payment Date notwithstanding the conversion of those shares after such Dividend Record Date and on or prior to such Dividend Payment Date and, in such case, the full amount of such dividend shall be paid on such Dividend Payment Date to the persons who were the holders of record at the close of business on such Dividend Record Date. Except as

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provided in this Section, the Corporation will make no allowance for unpaid dividends that are not in arrears on the shares of Series I Preferred Stock to be converted.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.<u>Voting Rights</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Holders of Series I Preferred Stock will not have any voting rights, except as set forth in this Section 8. On each matter on which holders of Series I Preferred Stock are entitled to vote, each share of Series I Preferred Stock will be entitled to one vote, except that when shares of Parity Stock or any other class or series of Preferred Stock the Corporation may issue have the right to vote with the Series I Preferred Stock as a single class on any matter, the Series I Preferred Stock and each such other class or series of stock will have one vote for each $25.00 of liquidation preference (excluding accumulated dividends).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Whenever dividends on any shares of Series I Preferred Stock are in arrears for six or more full quarterly Dividend Periods, whether or not consecutive, the number of directors constituting the Board of Directors will be automatically increased by two (if not already increased by two by reason of the election of directors by the holders of any other class or series of Parity Stock upon which like voting rights have been conferred and are exercisable) and the holders of Series I Preferred Stock, voting as a single class with the holders of Parity Stock upon which like voting rights have been conferred and are exercisable, will be entitled to vote for the election of those two additional directors at a special meeting called by the Corporation at the request of the holders of record of at least 25% of the outstanding shares of Series I Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable to be held no later than 90 days after the Corporation's receipt of such request (unless the request is received less than 90 days before the date fixed for the next annual or special meeting of stockholders of the Corporation, in which case, such vote will be held at the earlier of the next annual or special meeting of stockholders of the Corporation, to the extent permitted by applicable law), and at each subsequent annual meeting of stockholders of the Corporation until all dividends accumulated on the Series I Preferred Stock for all past Dividend Periods and the then current Dividend Period shall have been fully paid. In that case, the right of holders of Series I Preferred Stock to elect any directors will cease and, unless there are other classes or series of Parity Stock upon which like voting rights have been conferred and are exercisable, the term of office of any directors elected by holders of Series I Preferred Stock shall immediately terminate and the number of directors constituting the Board of Directors shall be reduced accordingly. For the avoidance of doubt, in no event shall the total number of directors elected by holders of Series I Preferred Stock (voting together as a single class with the Parity Stock upon which like voting rights have been conferred and are exercisable) pursuant to the voting rights under this Section 8 exceed two. The directors elected by the holders of Series I Preferred Stock and the holders of the Parity Stock upon which like voting rights have been conferred and are exercisable will be elected by a plurality of the votes cast by the holders of the outstanding shares of Series I Preferred Stock when they have the voting rights as set forth in this Section 8(b) and the holders of Parity Stock upon which like voting rights have been conferred and are exercisable (voting together as a single class) to serve until the Corporation's next annual meeting of stockholders and until their successors are duly elected and qualify or until such directors' right to hold the office terminates as described above, whichever occurs earlier.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) If, at any time when the voting rights conferred upon the Series I Preferred Stock pursuant to Section 8(b) hereof are exercisable, any vacancy in the office of a director elected pursuant to Section 8(b) shall occur, then such vacancy may be filled only by the remaining director or by vote of the holders of the outstanding Series I Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable. Any director elected pursuant to Section 8(b) may be removed at any time, with or without cause, only by the vote of, and may not be removed otherwise than by the vote of, the holders of record of a majority of the outstanding shares of Series I Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable (voting as a single class with all other classes or series of Parity Stock upon which like voting rights have been conferred and are exercisable).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) So long as any shares of Series I Preferred Stock remain outstanding, the Corporation will not, without the affirmative vote or consent of the holders of at least two-thirds of the outstanding shares of Series I Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable (voting together as a single class), (i) authorize or create, or increase the authorized or issued amount of, any class or series Senior Stock or reclassify any of the authorized stock of the Corporation into such shares, or create or authorize or issue any obligation or security convertible into or evidencing the right to purchase any such shares; or (ii) amend, alter or repeal the provisions of the Charter, whether by merger, conversion, consolidation or otherwise, so as to materially and adversely affect any right, preference, privilege or voting power of the Series I Preferred Stock (each, an "<u>Event</u>"); provided, however, with respect to the occurrence of any Event set forth in clause (ii) above, so long as the Series I Preferred Stock remains outstanding with the terms thereof materially unchanged, or the holders of Series I Preferred Stock receive shares of stock or other equity interests with rights, preferences, privileges and voting powers substantially the same as those of the Series I Preferred Stock, taking into account that, upon the occurrence of any such Event, the Corporation may not be the successor entity, the occurrence of any such Event shall not be deemed to materially and adversely affect the rights, preferences, privileges or voting power of holders of Series I Preferred Stock; and, provided further, that any increase in the amount of the authorized or issued Series I Preferred Stock, or the creation or issuance, or any increase in the amounts authorized of any Junior Stock or Parity Stock, including the Series C Preferred Stock, Series D Preferred Stock, Series F Preferred Stock and Series G Preferred Stock, that the Corporation may issue shall not be deemed to materially and adversely affect the rights, preferences, privileges or voting powers of holders of Series I Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) The voting rights provided for in this Section 8 will not apply if, at or prior to the time when the act with respect to which voting by holders of Series I Preferred Stock would otherwise be required pursuant to this Section 8 shall be effected, all outstanding shares of Series I Preferred Stock shall have been redeemed or called for redemption upon proper notice and sufficient funds have been irrevocably set apart to effect such redemption pursuant to Section 6 hereof.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Except as expressly stated in this Section 8, the Series I Preferred Stock will not have any relative, participating, optional or other special voting rights or powers and the consent of the holders thereof shall not be required for the taking of any corporate action. The holders of

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Series I Preferred Stock shall have exclusive voting rights on any Charter amendment that would alter the contract rights, as expressly set forth in the Charter, of only the Series I Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) Notwithstanding the foregoing, if any amendment, alteration or repeal of any provision of the Charter would materially and adversely affect the rights, preferences, privileges or voting rights of the Series I Preferred Stock disproportionately relative to other classes or series of Parity Stock, including the Series C Preferred Stock, Series D Preferred Stock, Series F Preferred Stock and Series G Preferred Stock, then the affirmative vote or consent of the holders of at least two-thirds of the outstanding shares of Series I Preferred Stock (voting as a separate class) shall also be required.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.<u>Information Rights</u>. During any period in which the Corporation is not subject to Section 13 or 15(d) of the Exchange Act and any shares of Series I Preferred Stock are outstanding, the Corporation will use its best efforts to transmit through the Corporation's website at http://www.annaly.com (or other permissible means under the Exchange Act) copies of the annual reports on Form 10-K and quarterly reports on Form 10-Q that the Corporation would have been required to file with the Securities and Exchange Commission (the "<u>SEC</u>") pursuant to Section 13 or 15(d) of the Exchange Act if it were subject thereto (other than any exhibits that would have been required). The Corporation will use its best efforts to provide such reports on its website within 15 days after the respective dates by which the Corporation would have been required to file such reports with the SEC if the Corporation were subject to Section 13 or 15(d) of the Exchange Act and the Corporation were a "non-accelerated filer" within the meaning of the Exchange Act.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.<u>Restrictions on Transfer and Ownership</u>. The Series I Preferred Stock shall be subject to the restrictions on transfer and ownership set forth in Article XI of the Charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11.<u>Record Holders</u>. The Corporation and the transfer agent for the Series I Preferred Stock may deem and treat the record holder of any Series I Preferred Stock as the true and lawful owner thereof for all purposes, and neither the Corporation nor the transfer agent shall be affected by any notice to the contrary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12.<u>No Preemptive Rights</u>. No holders of Series I Preferred Stock will, as holders of Series I Preferred Stock, have any preemptive rights to purchase or subscribe for Common Stock or any other security of the Corporation.

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**EXHIBIT D**

**<u>SERIES J PREFERRED STOCK</u>**

Under a power contained in Article VI of the charter (the "<u>Charter</u>") of Annaly Capital Management, Inc., a Maryland corporation (the "<u>Corporation</u>"), the Board of Directors (the "<u>Board of Directors</u>") of the Corporation and a duly authorized committee thereof, by duly adopted resolutions classified and designated 11,500,000 shares of authorized but unissued shares of common stock, $0.01 par value per share, of the Corporation ("<u>Common Stock</u>") as shares of preferred stock of the Corporation, $0.01 par value per share ("<u>Preferred Stock</u>"), with the following preferences, conversion and other rights, voting powers, restrictions, limitations as to dividends and other distributions, qualifications and terms and conditions of redemption, which, upon any restatement of the Charter, shall be deemed to be part of Article VI of the Charter, with any necessary or appropriate changes to the enumeration or lettering of sections or subsections hereof:

**8.8750% Series J Fixed-Rate Cumulative Redeemable Preferred Stock**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.<u>Designation and Number</u>. A series of Preferred Stock, classified as the "8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock" (the "<u>Series J Preferred Stock</u>") is hereby established. The par value of the Series J Preferred Stock is $0.01 per share. The number of authorized shares of the Series J Preferred Stock shall be 11,500,000.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.<u>Maturity</u>. The Series J Preferred Stock has no stated maturity and will not be subject to any sinking fund or mandatory redemption, and will remain outstanding indefinitely unless (i) the Corporation decides to redeem or otherwise repurchase the Series J Preferred Stock or (ii) the Series J Preferred Stock becomes convertible and is actually converted pursuant to Section 7 hereof. The Corporation is not required to set apart for payment the funds to redeem the Series J Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.<u>Ranking</u>. The Series J Preferred Stock will rank, with respect to rights to the payment of dividends and the distribution of assets upon the liquidation, dissolution or winding up of the Corporation, (i) senior to the all classes or series of Common Stock and to all classes or series of stock of the Corporation other than the stock of the Corporation referred to in clauses (ii) and (iii) of this Section 3 (collectively, "<u>Junior Stock</u>"); (ii) on parity with the Corporation's 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the "<u>Series F Preferred Stock</u>"), 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share (the "<u>Series G Preferred Stock</u>"), 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the "<u>Series I Preferred Stock</u>"), and all classes or series of stock of the Corporation with terms specifically providing that such stock ranks on parity with the Series J Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation (collectively, "<u>Parity Stock</u>"); and (iii) junior to all classes or series of stock of the Corporation with terms specifically providing that such stock ranks senior to the Series J Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon any liquidation, dissolution or winding up of the Corporation (collectively, "<u>Senior</u> 

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<u>Stock</u>"). The term "stock" shall not include debt securities convertible or exchangeable into Common Stock or Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.<u>Dividends</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)Holders of shares of the Series J Preferred Stock are entitled to receive, when, as and if authorized by the Board of Directors and declared by the Corporation, out of funds of the Corporation legally available for the payment of dividends, cumulative cash dividends at a rate equal to 8.875% per annum of the $25.00 per share liquidation preference (equivalent to

$2.21875 per annum per share), for each Dividend Period (as defined below) from and including the Original Issue Date (as defined below). Dividends on the Series J Preferred Stock shall accumulate daily and with respect to any shares of Series J Preferred Stock issued before December 31, 2025 shall be cumulative from, and including, August 7, 2025 (the "<u>Original Issue</u> <u>Date</u>"), or, with respect to any shares of Series J Preferred Stock issued after December 31, 2025, shall be cumulative from the most recent Dividend Payment Date (as defined below) to which dividends have been paid in full (or declared and the record date for determining stockholders entitled to payment thereof has passed), and shall be payable quarterly in arrears on the last day of each March, June, September and December beginning December 31, 2025 (each, as may be modified as provided below, a "<u>Dividend Payment Date</u>"). If any Dividend Payment Date is not a Business Day (as defined below), then the dividend which would otherwise have been payable on such Dividend Payment Date may be paid on the next succeeding Business Day with the same force and effect as if paid on such Dividend Payment Date, and no interest, additional dividends or sums in lieu of interest will accumulate on the amount so payable for the period from and after such Dividend Payment Date to such next succeeding Business Day. Dividends payable on the Series J Preferred Stock will be computed on the basis of a 360-day year consisting of twelve 30- day months (it being understood that the dividend payable on or about December 31, 2025 will be in the amount of $0.88750 per share of Series J Preferred Stock). Dividends will be payable to holders of record as they appear on the stock records of the Corporation at the close of business on the applicable record date, which will be no fewer than ten days and no more than 35 days prior to the applicable Dividend Payment Date, as shall be fixed by the Board of Directors (each, a "<u>Dividend Record Date</u>"). The dividends payable on any Dividend Payment Date shall include dividends accumulated to, but not including, such Dividend Payment Date.

The term "<u>Dividend Period</u>" means the period from, and including, a Dividend Payment Date to, but excluding, the next succeeding Dividend Payment Date, except for the initial Dividend Period, which will be the period from, and including, the original issue date of the Series J Preferred Stock to, but excluding, December 31, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)No dividends on shares of Series J Preferred Stock shall be authorized by the Board of Directors or paid or set apart for payment by the Corporation at any time when the terms and provisions of any agreement of the Corporation, including any agreement relating to any indebtedness of the Corporation, prohibit the authorization, payment or setting apart for payment thereof or provide that the authorization, payment or setting apart for payment thereof

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would constitute a breach of the agreement or a default under the agreement, or if the authorization, payment or setting apart for payment is restricted or prohibited by law.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)Notwithstanding anything to the contrary contained herein, dividends on the Series J Preferred Stock will accumulate (i) whether or not the terms and provisions of any laws or agreements referred to in Section [4(b)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof at any time prohibit the current payment of dividends, (ii) whether or not the Corporation has earnings, (iii) whether or not there are funds legally available for the payment of those dividends, and (iv) whether or not those dividends are declared. No interest, or sum in lieu of interest, will be payable in respect of any dividend payment or payments on the Series J Preferred Stock which may be in arrears, and holders of Series J Preferred Stock will not be entitled to any dividends in excess of full cumulative dividends described in Section 4(a) hereof. Any dividend payment made on the Series J Preferred Stock will first be credited against the earliest accumulated but unpaid dividend due with respect to the Series J Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)Except as provided in Section [4(e)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof, unless full cumulative dividends on the Series J Preferred Stock have been or contemporaneously are declared and paid or declared and a sum sufficient for the payment thereof is set apart for payment for all past Dividend Periods, (i) no dividends (other than in shares of Junior Stock) shall be declared or paid or set apart for payment upon shares of Junior Stock or Parity Stock, (ii) no other distribution shall be declared or made upon shares of Junior Stock or Parity, and (iii) shares of Junior Stock or Parity Stock shall not be redeemed, purchased or otherwise acquired for any consideration (or any moneys be paid to or made available for a sinking fund for the redemption of any such securities) by the Corporation (except by conversion into or exchange for shares of, or options, warrants or rights to purchase or subscribe for, shares of Junior Stock or pursuant to a purchase or exchange offer made on the same terms to holders of all outstanding shares of Series J Preferred Stock and shares of any other class or series of Parity Stock); *provided, however*, that the foregoing shall not prevent (i) the redemption, purchase or acquisition by the Corporation of shares of any class or series of stock of the Corporation pursuant to the provisions of Article XI of the Charter, including in order to preserve the Corporation's qualification as a real estate investment trust, or

(ii) the redemption, purchase or acquisition by the Corporation of shares of Common Stock for purposes of and in compliance with any incentive or benefit plan of the Corporation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)When dividends are not paid in full (or a sum sufficient for such full payment is not so set apart) upon the Series J Preferred Stock and shares of any other classes or series of Parity Stock, all dividends declared upon the Series J Preferred Stock and all other such shares of stock shall be declared *pro rata* so that the amount of dividends declared per share of Series J Preferred Stock and all other such shares of stock shall in all cases bear to each other the same ratio that accumulated dividends per share on the Series J Preferred Stock and all other such shares of stock (which shall not include any accrual in respect of unpaid dividends for prior Dividend Periods if any such shares of stock do not have a cumulative dividend) bear to each other. No interest, or sum of money in lieu of interest, shall be payable in respect of any dividend payment or payments on the Series J Preferred Stock which may be in arrears.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)"<u>Business Day</u>" shall mean any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions in New York, New York are authorized or required by law, regulation or executive order to close.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g)"<u>Set apart for payment</u>" shall be deemed to include (without limitation), without any action other than the following: the recording by the Corporation in its accounting ledgers of any accounting or bookkeeping entry which indicates, pursuant to an authorization by the Board of Directors and a declaration of dividends or other distribution by the Corporation, the allocation of funds to be so paid on any series or class of shares of stock of the Corporation; provided, however, that if any funds for any class or series of Junior Stock or Parity Stock are placed in a separate account of the Corporation or delivered to a disbursing, paying or other

similar agent, then "set apart for payment" with respect to the Series J Preferred Stock shall mean placing such funds in a separate account or delivering such funds to a disbursing, paying or other similar agent.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.<u>Liquidation Preference</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)In the event of any voluntary or involuntary liquidation, dissolution or winding up of the Corporation, the holders of Series J Preferred Stock will be entitled to be paid out of the assets the Corporation has legally available for distribution to its stockholders, subject to the preferential rights of the holders of any class or series of Senior Stock, a liquidation preference of Twenty-Five Dollars ($25.00) per share, plus an amount equal to any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date of payment, before any distribution of assets is made to holders of Junior Stock; and such holders of Series J Preferred Stock shall not be entitled to any further payment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)In the event that, upon any such voluntary or involuntary liquidation, dissolution or winding up, the available assets of the Corporation are insufficient to pay the amount of the liquidating distributions on all outstanding shares of Series J Preferred Stock and Parity Stock, then the holders of Series J Preferred Stock and all other such classes or series of stock shall share ratably in any such distribution of assets in proportion to the full liquidating distributions to which they would otherwise be respectively entitled.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)Notice of any such liquidation stating the payment date or dates when, and the place or places where, the amounts distributable in each circumstance shall be payable, shall be given no fewer than 30 days and no more than 60 days prior to the payment date, to each holder of record of Series J Preferred Stock at the address of such holder as it shall appear on the stock records of the Corporation. After payment of the full amount of the liquidating distributions to which they are entitled, the holders of Series J Preferred Stock will have no right or claim to any of the remaining assets of the Corporation. The consolidation, conversion or merger of the Corporation with or into any other corporation, trust or entity or of any other entity with or into the Corporation, the sale, lease, transfer or conveyance of all or substantially all of the property or business the Corporation or a statutory share exchange, shall not be deemed to constitute a liquidation, dissolution or winding up of the Corporation.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)In determining whether a distribution (other than upon voluntary or involuntary liquidation), by dividend, redemption or other acquisition of shares of stock of the Corporation or otherwise, is permitted under the Maryland General Corporation Law, amounts that would be needed, if the Corporation were to be dissolved at the time of distribution, to satisfy the preferential rights upon dissolution of holders of shares of the Series J Preferred Stock shall not be added to the Corporation's total liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.<u>Redemption</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)The Series J Preferred Stock is not redeemable prior to September 30, 2030 except as described in this Section [6](#i53ba1f1834464a1d8444e9667eb3e51e_13) and except that, as provided in Article XI of the Charter, the Corporation may purchase or redeem shares of the Series J Preferred Stock prior to that date, including under circumstances where it is necessary to preserve the Corporation's qualification as a real estate investment trust for U.S. federal income tax purposes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)<u>Optional Redemption Right</u>. On and after September 30, 2030, the Corporation may, at its option, upon not less than 30 nor more than 60 days' notice, as provided below, redeem the Series J Preferred Stock, in whole or in part, at any time or from time to time, for cash at a redemption price of Twenty-Five Dollars ($25.00) per share, plus, subject to Section [6(j)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof, any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date fixed for redemption, without interest.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)<u>Special Optional Redemption Right</u>. Notwithstanding anything to the contrary contained in Section [6(a)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof, upon the occurrence of a Change of Control (as defined below), the Corporation may, at its option, upon not less than 30 nor more than 60 days' notice, as provided below, redeem the Series J Preferred Stock, in whole or in part, within 120 days after the first date on which such Change of Control occurred, for cash at a redemption price of Twenty-Five Dollars ($25.00) per share, plus, subject to Section [6(j)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof, any accumulated and unpaid dividends thereon (whether or not authorized or declared) to, but not including, the date fixed for redemption. If, prior to the Change of Control Conversion Date (as defined below), the Corporation has provided notice of its election to redeem some or all of the shares of Series J Preferred Stock pursuant to this Section [6](#i53ba1f1834464a1d8444e9667eb3e51e_13), the holders of Series J Preferred Stock will not have the Change of Control Conversion Right (as defined below) with respect to the shares of Series J Preferred Stock called for redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)A "<u>Change of Control</u>" is deemed to occur when, after the Original Issue Date, the following have occurred and are continuing: (i) the acquisition by any person, including any syndicate or group deemed to be a "person" under Section 13(d)(3) of the Securities Exchange Act of 1934, as amended (the "<u>Exchange Act</u>"), of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of stock of the Corporation entitling that person to exercise more

than 50% of the total voting power of all stock of the Corporation entitled to vote generally in the election of directors of the Corporation (except that such person will be deemed to have beneficial ownership of all securities that such person has the right to acquire, whether such right is currently exercisable or is exercisable only upon the occurrence of a subsequent condition); and (ii) following the closing of any transaction referred to in clause (i), neither the Corporation

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nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the New York Stock Exchange (the "<u>NYSE</u>"), the NYSE American LLC (the "<u>NYSE American</u>") or the Nasdaq Stock Market ("<u>Nasdaq</u>"), or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE American or Nasdaq.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)In the event the Corporation elects to redeem Series J Preferred Stock, the notice of redemption will be given by the Corporation, postage prepaid, not less than 30 nor more than 60 days prior to the redemption date, to each holder of record of Series J Preferred Stock called for redemption at such holder's address as it appears on the stock records of the Corporation and shall state: (i) the redemption date; (ii) the number of shares of Series J Preferred Stock to be redeemed; (iii) the redemption price; (iv) the place or places where certificates (if any) for the Series J Preferred Stock are to be surrendered for payment of the redemption price; (v) that dividends on the shares to be redeemed will cease to accumulate on the redemption date; (vi) if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and (vii) if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series J Preferred Stock being so called for redemption will not be able to tender such shares of Series J Preferred Stock for conversion in connection with the Change of Control and that each share of Series J Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date, for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date. If less than all of the shares of Series J Preferred Stock held by any holder are to be redeemed, the notice given to such holder shall also specify the number of shares of Series J Preferred Stock held by such holder to be redeemed. No failure to give such notice or any defect thereto or in the giving thereof shall affect the validity of the proceedings for the redemption of any shares of Series J Preferred Stock except as to the holder to whom notice was defective or not given.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)Holders of shares of Series J Preferred Stock to be redeemed shall surrender the shares of Series J Preferred Stock so called for redemption at the place designated in the notice of redemption and shall be entitled to the redemption price and any accumulated and unpaid dividends payable upon the redemption following the surrender.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g)If notice of redemption of any shares of Series J Preferred Stock has been given and if the Corporation irrevocably sets apart for payment the funds necessary for redemption (including any accumulated and unpaid dividends) in trust for the benefit of the holders of the shares of Series J Preferred Stock so called for redemption, then from and after the redemption date (unless the Corporation shall default in providing for the payment of the redemption price plus accumulated and unpaid dividends, if any), dividends will cease to accumulate on those shares of Series J Preferred Stock, those shares of Series J Preferred Stock shall no longer be outstanding and all rights of the holders of those shares will terminate, except the right to receive the redemption price plus accumulated and unpaid dividends, if any, payable upon redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h)If any redemption date is not a Business Day, then the redemption price and accumulated and unpaid dividends, if any, payable upon redemption may be paid on the next

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Business Day and no interest, additional dividends or other sums will accumulate on the amount payable for the period from and after that redemption date to that next Business Day.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i)If less than all of the outstanding shares of Series J Preferred Stock are to be redeemed, the shares of Series J Preferred Stock to be redeemed shall be selected pro rata (as nearly as may be practicable without creating fractional shares) or by lot. If such redemption is to be by lot and if, as a result of such redemption, any holder of Series J Preferred Stock would own shares of Series J Preferred Stock in excess of the Ownership Limit (as defined in the Charter) or violate any other restriction on ownership or transfer of Capital Stock (as defined in the Charter) set forth in Section 2 of Article XI of the Charter, then, except as otherwise provided in the Charter, the Corporation will redeem the requisite number of shares of Series J Preferred Stock of such holder such that the holder will not own shares of Series J Preferred Stock in excess of the Ownership Limit or violate any other restriction on ownership or transfer of Capital Stock set forth in Section 2 of Article XI of the Charter subsequent to such redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j)Immediately prior to any redemption of Series J Preferred Stock, the Corporation shall pay, in cash, any accumulated and unpaid dividends thereon to, but not including, the redemption date, unless a redemption date falls after a Dividend Record Date and prior to the corresponding Dividend Payment Date, in which case each holder of Series J Preferred Stock at the close of business on such Dividend Record Date shall be entitled to the dividend payable on such shares on the corresponding Dividend Payment Date notwithstanding the redemption of such shares before such Dividend Payment Date. Except as provided in this Section [6(j)](#i53ba1f1834464a1d8444e9667eb3e51e_13), the Corporation will make no payment or allowance for unpaid dividends, whether or not in arrears, on shares of the Series J Preferred Stock to be redeemed.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k)Unless full cumulative dividends on all shares of Series J Preferred Stock shall have been or contemporaneously are declared and paid or declared and a sum sufficient for the payment thereof has been or contemporaneously is set apart for payment for all past Dividend Periods, no shares of Series J Preferred Stock shall be redeemed unless all outstanding shares of Series J Preferred Stock are simultaneously redeemed, and the Corporation shall not purchase or otherwise acquire directly or indirectly any shares of Series J Preferred Stock (except by conversion into or exchange for shares of, or options, warrants, or rights to purchase or subscribe for, Junior Stock or pursuant to a purchase or exchange offer made on the same terms to all holders of Series J Preferred Stock and any other class or series of Parity Stock); *provided, however*, that the foregoing shall not prevent the redemption, purchase or acquisition by the Corporation of shares of Series J Preferred Stock pursuant to Article XI of the Charter, including in order to preserve the Corporation's qualification as a REIT.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l)Subject to applicable law, the Corporation may purchase shares of Series J Preferred Stock in the open market, by tender or by privately negotiated transactions. Any shares of Series J Preferred Stock that the Corporation acquires, by redemption or otherwise, shall be reclassified as authorized but unissued shares of Preferred Stock, without designation as to class or series, and may thereafter be issued as any class or series of Preferred Stock.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.<u>Conversion Rights</u>. Shares of Series J Preferred Stock are not convertible into or exchangeable for any other property or securities of the Corporation, except as provided in this Section [7](#i53ba1f1834464a1d8444e9667eb3e51e_13).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)Upon the occurrence of a Change of Control, each holder of Series J Preferred Stock will have the right (unless, prior to the Change of Control Conversion Date, the Corporation has provided notice of its election to redeem some or all of the shares of Series J Preferred Stock held by such holder pursuant to Section [6](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof, in which case such holder will have the right only with respect to shares of Series J Preferred Stock that are not called for redemption) to convert some or all of the shares of Series J Preferred Stock held by such holder (the "<u>Change of Control Conversion Right</u>") on the Change of Control Conversion Date into a number of shares of Common Stock per share of Series J Preferred Stock (the "<u>Common Stock</u> <u>Conversion Consideration</u>") equal to the lesser of: (i) the quotient obtained by dividing (x) the sum of the $25.00 liquidation preference per share of Series J Preferred Stock plus (subject to Section 7[(p)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof) the amount of any accumulated and unpaid dividends thereon (whether or

not authorized or declared) to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a Dividend Record Date and prior to the corresponding Dividend Payment Date for the Series J Preferred Stock, in which case no additional amount for such accumulated and unpaid dividends to be paid on such Dividend Payment Date will be included in this sum) by (y) the Common Stock Price (as defined below) (such quotient, the "<u>Conversion Rate</u>"); and (ii) 2.43072 (the "<u>Share Cap</u>"), subject to adjustments provided in Section [7(b)](#i53ba1f1834464a1d8444e9667eb3e51e_13) below.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)The Share Cap is subject to pro rata adjustments for any share splits (including those effected pursuant to a distribution of Common Stock to existing holders of Common Stock), subdivisions or combinations (in each case, a "<u>Share Split</u>") with respect to Common Stock as follows: the adjusted Share Cap as the result of a Share Split will be the number of shares of Common Stock that is equivalent to the product obtained by multiplying (i) the Share Cap in effect immediately prior to such Share Split by (ii) a fraction, the numerator of which is the number of shares of Common Stock outstanding immediately after giving effect to such Share Split and the denominator of which is the number of shares of Common Stock outstanding immediately prior to such Share Split.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)The "<u>Change of Control Conversion Date</u>" is the date the Series J Preferred Stock is to be converted, which will be a Business Day selected by the Corporation that is neither fewer than 20 days nor more than 35 days after the date on which it provides the notice described in Section [7(h)](#i53ba1f1834464a1d8444e9667eb3e51e_13) to the holders of Series J Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)The "<u>Common Stock Price</u>" is (i) if the consideration to be received in the Change of Control by the holders of Common Stock is solely cash, the amount of cash consideration per share of Common Stock or (ii) if the consideration to be received in the Change of Control by holders of Common Stock is other than solely cash (x) the average of the closing sale prices per share of Common Stock (or, if no closing sale price is reported, the average of the closing bid and ask prices per share or, if more than one in either case, the average of the average closing bid and the average closing ask prices per share) for the ten consecutive trading days immediately

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preceding, but not including, the date on which such Change of Control occurred as reported on the principal U.S. securities exchange on which Common Stock is then traded, or (y) if Common Stock is not then listed for trading on a U.S. securities exchange, the average of the last quoted bid prices for Common Stock in the over-the-counter market as reported by OTC Markets Group Inc. or similar organization for the ten consecutive trading days immediately preceding, but not including, the date on which such Change of Control occurred.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)In the case of a Change of Control pursuant to which Common Stock is or will be converted into cash, securities or other property or assets (including any combination thereof)

(the "<u>Alternative Form Consideration</u>"), a holder of Series J Preferred Stock will receive upon conversion of such shares of Series J Preferred Stock the kind and amount of Alternative Form Consideration which such holder would have owned or been entitled to receive upon the Change of Control had such holder held a number of shares of Common Stock equal to the Common Stock Conversion Consideration immediately prior to the effective time of the Change of Control (the "<u>Alternative Conversion Consideration</u>"; the Common Stock Conversion Consideration or the Alternative Conversion Consideration, whichever shall be applicable to a Change of Control, is referred to as the "<u>Conversion Consideration</u>").

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)If the holders of Common Stock have the opportunity to elect the form of consideration to be received in the Change of Control, the Conversion Consideration in respect of such Change of Control will be deemed to be the kind and amount of consideration actually received by holders of a majority of the outstanding shares of Common Stock that made or voted for such an election (if electing between two types of consideration) or holders of a plurality of the outstanding shares of Common Stock that made or voted for such an election (if electing between more than two types of consideration), as the case may be, and will be subject to any limitations to which all holders of Common Stock are subject, including, without limitation, pro rata reductions applicable to any portion of the consideration payable in such Change of Control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g)No fractional shares of Common Stock upon the conversion of the Series J Preferred Stock in connection with a Change of Control will be issued. Instead, the Corporation will make a cash payment equal to the value of such fractional shares based upon the Common Stock Price used in determining the Common Stock Conversion Consideration for such Change of Control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h)Within 15 days following the occurrence of a Change of Control, provided that the Corporation has not exercised its right to redeem all shares of Series J Preferred Stock pursuant to Section [6](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof, the Corporation will provide to holders of Series J Preferred Stock a notice of occurrence of the Change of Control that describes the resulting Change of Control Conversion Right, which notice shall be delivered to the holders of record of the shares of the Series J Preferred Stock to their addresses as they appear on the stock records of the Corporation and shall state: (i) the events constituting the Change of Control; (ii) the date of the Change of Control; (iii) the last date on which the holders of Series J Preferred Stock may exercise their Change of Control Conversion Right; (iv) the method and period for calculating the Common Stock Price; (v) the Change of Control Conversion Date; (vi) that if, prior to the Change of Control Conversion Date, the Corporation has provided notice of its election to redeem all or any

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shares of Series J Preferred Stock, holders of Series J Preferred Stock that are subject to such notice of redemption will not be able to convert the shares of Series J Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares have already been tendered for conversion pursuant to the Change of Control Conversion Right;

(vii) if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series J Preferred Stock; (viii) the name and address of the paying agent, transfer agent and conversion agent for the Series J Preferred Stock; (ix) the procedures that the holders of Series J Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares of Series J Preferred Stock for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and (x) the last date on which holders of Series J Preferred Stock may withdraw shares of Series J Preferred Stock surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal. No failure to give such notice or any defect thereto or in the giving thereof shall affect the validity of the proceedings for the conversion of any shares of Series J Preferred Stock except as to the holder to whom notice was defective or not given.

(i) The Corporation shall also issue a press release containing such notice provided for in Section [7(h)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof for publication on the Wall Street Journal, Business Wire, PR Newswire or Bloomberg Business News (or, if these organizations are not in existence at the time of issuance of the press release, such other news or press organization as is reasonably calculated to broadly disseminate the relevant information to the public), and post a notice on its website (if any) in any event prior to the opening of business on the first Business Day following any date on which it provides the notice provided for in Section [7(h)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof to the holders of Series J Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j)To exercise the Change of Control Conversion Right, the holders of Series J Preferred Stock will be required to deliver, on or before the close of business on the Change of Control Conversion Date, the certificates (if any) representing the shares of Series J Preferred Stock to be converted, duly endorsed for transfer (or, in the case of any shares of Series J Preferred Stock held in book-entry form through a Depositary or shares directly registered with the transfer agent therefor, to deliver, on or before the close of business on the Change of Control Conversion Date, the shares of Series J Preferred Stock to be converted through the facilities of such Depositary or through such transfer agent, respectively), together with a written conversion notice in the form provided by the Corporation, duly completed, to its transfer agent. The conversion notice must state: (i) the relevant Change of Control Conversion Date; (ii) the number of shares of Series J Preferred Stock to be converted; and (iii) that the shares of Series J Preferred Stock are to be converted pursuant to the applicable provisions of the Series J Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k)Holders of Series J Preferred Stock may withdraw any notice of exercise of a Change of Control Conversion Right (in whole or in part) by a written notice of withdrawal delivered to the transfer agent of the Corporation prior to the close of business on the Business Day prior to the Change of Control Conversion Date. The notice of withdrawal delivered by any holder must state: (i) the number of withdrawn shares of Series J Preferred Stock; (ii) if certificated shares of Series J Preferred Stock have been surrendered for conversion, the

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certificate numbers of the withdrawn shares of Series J Preferred Stock; and (iii) the number of shares of Series J Preferred Stock, if any, which remain subject to the holder's conversion notice.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l)Notwithstanding anything to the contrary contained in Sections [7(j)](#i53ba1f1834464a1d8444e9667eb3e51e_13) and [(k)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof, if any shares of Series J Preferred Stock are held in book-entry form through The Depository Trust Company ("<u>DTC</u>") or a similar depositary (each, a "<u>Depositary</u>"), the

conversion notice and/or the notice of withdrawal, as applicable, must comply with applicable procedures, if any, of the applicable Depositary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(m)Shares of Series J Preferred Stock as to which the Change of Control Conversion Right has been properly exercised and for which the conversion notice has not been properly withdrawn will be converted into the applicable Conversion Consideration in accordance with the Change of Control Conversion Right on the Change of Control Conversion Date, unless prior to the Change of Control Conversion Date the Corporation has provided notice of its election to redeem some or all of the shares of Series J Preferred Stock pursuant to

Section [6](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof, in which case only the shares of Series J Preferred Stock properly surrendered for conversion and not properly withdrawn that are not called for redemption will be converted as aforesaid. If the Corporation elects to redeem shares of Series J Preferred Stock that would otherwise be converted into the applicable Conversion Consideration on a Change of Control Conversion Date, such shares of Series J Preferred Stock will not be so converted and the holders of such shares will be entitled to receive on the applicable redemption date the redemption price as provided in Section [6](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(n)The Corporation shall deliver all securities, cash and any other property owing upon conversion no later than the third Business Day following the Change of Control Conversion Date. Notwithstanding the foregoing, the persons entitled to receive any shares of Common Stock or other securities delivered on conversion will be deemed to have become the holders of record thereof as of the Change of Control Conversion Date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(o)In connection with the exercise of any Change of Control Conversion Right, the Corporation shall comply with all applicable federal and state securities laws and stock exchange rules in connection with any conversion of shares of Series J Preferred Stock into shares of Common Stock or other property. Notwithstanding any other provision of the Series J Preferred Stock, no holder of Series J Preferred Stock will be entitled to convert such shares of Series J Preferred Stock into shares of Common Stock to the extent that receipt of such shares of Common Stock would cause such holder (or any other person) to violate the applicable

restrictions on transfer and ownership of shares of the Corporation's stock contained in

Article XI of the Charter, unless the Corporation provides an exemption from such restrictions to such holder pursuant to Article XI of the Charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(p)Notwithstanding anything to the contrary herein and except as otherwise required by law, the persons who are the holders of record of shares of Series J Preferred Stock at the close of business on a Dividend Record Date will be entitled to receive the dividend payable on the corresponding Dividend Payment Date notwithstanding the conversion of those shares after such Dividend Record Date and on or prior to such Dividend Payment Date and, in such case,

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the full amount of such dividend shall be paid on such Dividend Payment Date to the persons who were the holders of record at the close of business on such Dividend Record Date. Except as provided in this Section [7(p)](#i53ba1f1834464a1d8444e9667eb3e51e_13), the Corporation will make no allowance for unpaid dividends that are not in arrears on the shares of Series J Preferred Stock to be converted.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.<u>Voting Rights</u>.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a)Holders of Series J Preferred Stock will not have any voting rights, except as set forth in this Section [8](#i53ba1f1834464a1d8444e9667eb3e51e_13). On each matter on which holders of Series J Preferred Stock are entitled to vote, each share of Series J Preferred Stock will be entitled to one vote, except that when shares of Parity Stock or any other class or series of Preferred Stock the Corporation may issue have the right to vote with the Series J Preferred Stock as a single class on any matter, the Series J Preferred Stock and each such other class or series of stock will have one vote for each $25.00 of liquidation preference (excluding accumulated dividends).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b)Whenever dividends on any shares of Series J Preferred Stock are in arrears for six or more full quarterly Dividend Periods, whether or not consecutive, the number of directors constituting the Board of Directors will be automatically increased by two (if not already increased by two by reason of the election of directors by the holders of any other class or series of Parity Stock upon which like voting rights have been conferred and are exercisable) and the holders of Series J Preferred Stock, and the holders of Parity Stock upon which like voting rights have been conferred and are exercisable, will be entitled to vote (voting together as a single class) for the election of those two additional directors at a special meeting called by the Corporation at the request of the holders of record of at least 25% of the outstanding shares of Series J Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable to be held no later than 90 days after the Corporation's receipt of such request (unless the request is received less than 90 days before the date fixed for the next annual or special meeting of stockholders of the Corporation, in which case, such vote will be held at the earlier of the next annual or special meeting of stockholders of the Corporation, to the extent permitted by applicable law), and at each subsequent annual meeting of stockholders of the Corporation until all dividends accumulated on the Series J Preferred Stock for all past Dividend Periods and the then current Dividend Period shall have been fully paid. In that case, the right of holders of Series J Preferred Stock to elect any directors will cease and, unless there are other classes or series of Parity Stock upon which like voting rights have been conferred and are exercisable, the term of office of any directors elected by holders of Series J Preferred Stock shall immediately terminate and the number of directors constituting the Board of Directors shall be reduced accordingly. For the avoidance of doubt, in no event shall the total number of directors elected by holders of Series J Preferred Stock (voting together as a single class with the Parity Stock upon which like voting rights have been conferred and are exercisable) pursuant to the voting rights under this Section [8](#i53ba1f1834464a1d8444e9667eb3e51e_13) exceed two. The directors elected by the holders of Series J Preferred Stock and the holders of the Parity Stock upon which like voting rights have been conferred and are exercisable will be elected by a plurality of the votes cast by the holders of the outstanding shares of Series J Preferred Stock when they have the voting rights as set forth in this Section [8(b)](#i53ba1f1834464a1d8444e9667eb3e51e_13) and the holders of Parity Stock upon which like voting rights have been conferred and are exercisable (voting together as a single class) to serve until the Corporation's

D-12

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next annual meeting of stockholders and until their successors are duly elected and qualify or until such directors' right to hold the office terminates as described above, whichever occurs earlier.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c)If, at any time when the voting rights conferred upon the Series J Preferred Stock pursuant to Section [8(b)](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof are exercisable, any vacancy in the office of a director elected pursuant to Section 8(b) shall occur, then such vacancy may be filled only by the remaining director or by vote of the holders of the outstanding Series J Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable. Any director elected pursuant to Section [8(b)](#i53ba1f1834464a1d8444e9667eb3e51e_13) may be removed at any time, with or without cause, only by the vote of, and may not be removed otherwise than by the vote of, the holders of record of a majority of the outstanding shares of Series J Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable (voting together as a single class).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d)So long as any shares of Series J Preferred Stock remain outstanding, the Corporation will not, without the affirmative vote or consent of the holders of at least two-thirds of the outstanding shares of Series J Preferred Stock and Parity Stock upon which like voting rights have been conferred and are exercisable (voting together as a single class), (i) authorize or create, or increase the authorized or issued amount of, any class or series Senior Stock or reclassify any of the authorized stock of the Corporation into such shares, or create or authorize or issue any obligation or security convertible into or evidencing the right to purchase any such shares; or (ii) amend, alter or repeal the provisions of the Charter, whether by merger, conversion, consolidation or otherwise, so as to materially and adversely affect any right, preference, privilege or voting power of the Series J Preferred Stock (each, an "<u>Event</u>"); provided, however, with respect to the occurrence of any Event set forth in clause (ii) above, so long as the Series J Preferred Stock remains outstanding with the terms thereof materially unchanged, or the holders of Series J Preferred Stock receive shares of stock or other equity interests with rights, preferences, privileges and voting powers substantially the same as those of the Series J Preferred Stock, taking into account that, upon the occurrence of any such Event, the Corporation may not be the successor entity, the occurrence of any such Event shall not be deemed to materially and adversely affect the rights, preferences, privileges or voting power of holders of Series J Preferred Stock; and, provided further, that any increase in the amount of the authorized or issued Series J Preferred Stock, or the creation or issuance, or any increase in the amounts authorized of any Junior Stock or Parity Stock, including the Series F Preferred Stock, Series G Preferred Stock and Series I Preferred Stock, that the Corporation may issue shall not be deemed to materially and adversely affect the rights, preferences, privileges or voting powers of holders of Series J Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e)The voting rights provided for in this Section [8](#i53ba1f1834464a1d8444e9667eb3e51e_13) will not apply if, at or prior to the time when the act with respect to which voting by holders of Series J Preferred Stock would otherwise be required pursuant to this Section [8](#i53ba1f1834464a1d8444e9667eb3e51e_13) shall be effected, all outstanding shares of Series J Preferred Stock shall have been redeemed or called for redemption upon proper notice and sufficient funds have been irrevocably set apart to effect such redemption pursuant to Section [6](#i53ba1f1834464a1d8444e9667eb3e51e_13) hereof.

D-13

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)Except as expressly stated in this Section [8](#i53ba1f1834464a1d8444e9667eb3e51e_13), the Series J Preferred Stock will not have any relative, participating, optional or other special voting rights or powers and the consent of the holders thereof shall not be required for the taking of any corporate action. The holders of Series J Preferred Stock shall have exclusive voting rights on any Charter amendment that would alter the contract rights, as expressly set forth in the Charter, of only the Series J Preferred Stock.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g)Notwithstanding the foregoing, if any amendment, alteration or repeal of any provision of the Charter would materially and adversely affect the rights, preferences, privileges or voting rights of the Series J Preferred Stock disproportionately relative to other classes or series of Parity Stock, including the Series F Preferred Stock, Series G Preferred Stock and Series I Preferred Stock, then the affirmative vote or consent of the holders of at least two-thirds of the outstanding shares of Series J Preferred Stock (voting as a separate class) shall also be required.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.<u>Information Rights</u>. During any period in which the Corporation is not subject to Section 13 or 15(d) of the Exchange Act and any shares of Series J Preferred Stock are outstanding, the Corporation will use its best efforts to transmit through the Corporation's website at http://www.annaly.com (or other permissible means under the Exchange Act) copies of the annual reports on Form 10-K and quarterly reports on Form 10-Q that the Corporation would have been required to file with the Securities and Exchange Commission (the "<u>SEC</u>") pursuant to Section 13 or 15(d) of the Exchange Act if it were subject thereto (other than any exhibits that would have been required). The Corporation will use its best efforts to provide such reports on its website within 15 days after the respective dates by which the Corporation would have been required to file such reports with the SEC if the Corporation were subject to

Section 13 or 15(d) of the Exchange Act and the Corporation were a "non-accelerated filer" within the meaning of the Exchange Act.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.<u>Restrictions on Transfer and Ownership</u>. The Series J Preferred Stock shall be subject to the restrictions on transfer and ownership set forth in Article XI of the Charter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11.<u>Record Holders</u>. The Corporation and the transfer agent for the Series J Preferred Stock may deem and treat the record holder of any Series J Preferred Stock as the true and lawful owner thereof for all purposes, and neither the Corporation nor the transfer agent shall be affected by any notice to the contrary.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12.<u>No Preemptive Rights</u>. No holders of Series J Preferred Stock will, as holders of Series J Preferred Stock, have any preemptive rights to purchase or subscribe for Common Stock or any other security of the Corporation.

D-14

## Exhibit 31.1

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Exhibit 31.1**

CERTIFICATIONS

I, David L. Finkelstein, certify that:

---

| | | |
|:---|:---|:---|
| 1. |  | I have reviewed this quarterly report on Form 10-Q of Annaly Capital Management, Inc.; |
| 2. |  | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. |  | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
| 4. |  | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
|  | a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
|  | b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
|  | c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
|  | d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
| 5. |  | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
|  | a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
|  | b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |

---

Date: October 30, 2025

---

| |
|:---|
| <u>/s/ David L. Finkelstein</u> |
| Chief Executive Officer and Co-Chief Investment Officer (Principal Executive Officer) |

---

## Exhibit 31.2

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Exhibit 31.2**

CERTIFICATIONS

I, Serena Wolfe, certify that:

---

| | | |
|:---|:---|:---|
| 1. |  | I have reviewed this quarterly report on Form 10-Q of Annaly Capital Management, Inc.; |
| 2. |  | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. |  | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
| 4. |  | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
|  | a) | &nbsp;&nbsp;&nbsp;&nbsp;Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
|  | b) | &nbsp;&nbsp;&nbsp;&nbsp;Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
|  | c) | &nbsp;&nbsp;&nbsp;&nbsp; Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
|  | d) | &nbsp;&nbsp;&nbsp;&nbsp; Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
| 5. |  | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
|  | a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
|  | b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |

---

Date: October 30, 2025

---

| |
|:---|
| <u>/s/ Serena Wolfe</u> |
| Chief Financial Officer (Principal Financial Officer) |

---

## Exhibit 32.1

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Exhibit 32.1**

ANNALY CAPITAL MANAGEMENT, INC.

1211 AVENUE OF THE AMERICAS

NEW YORK, NEW YORK 10036

CERTIFICATION

PURSUANT TO SECTION 906 OF THE

SARBANES-OXLEY ACT OF 2002, 18 U.S.C. SECTION 1350

In connection with the quarterly report on Form 10-Q of Annaly Capital Management, Inc. (the "Company") for the quarter ended September 30, 2025 to be filed with the Securities and Exchange Commission on or about the date hereof (the "Report"), I, David L. Finkelstein, Chief Executive Officer and Chief Investment Officer of the Company, certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.

It is not intended that this statement be deemed to be filed for purposes of the Securities Exchange Act of 1934.

---

| |
|:---|
| <u>/s/ David L. Finkelstein</u> |
| David L. Finkelstein |
| Chief Executive Officer and Co-Chief Investment Officer (Principal Executive Officer) |
| October 30, 2025 |

---

## Exhibit 32.2

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

**Exhibit 32.2**

ANNALY CAPITAL MANAGEMENT, INC.

1211 AVENUE OF THE AMERICAS

NEW YORK, NEW YORK 10036

CERTIFICATION

PURSUANT TO SECTION 906 OF THE

SARBANES-OXLEY ACT OF 2002, 18 U.S.C. SECTION 1350

In connection with the quarterly report on Form 10-Q of Annaly Capital Management, Inc. (the "Company") for the quarter ended September 30, 2025 to be filed with the Securities and Exchange Commission on or about the date hereof (the "Report"), I, Serena Wolfe, Chief Financial Officer of the Company, certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.

It is not intended that this statement be deemed to be filed for purposes of the Securities Exchange Act of 1934.

---

| |
|:---|
| <u>/s/ Serena Wolfe</u> |
| Serena Wolfe |
| Chief Financial Officer (Principal Financial Officer) |
| October 30, 2025 |

---

<br>