Annaly Capital Management. Inc.

Information management · Data quality and integrity

Reliance on inaccurate models or the data used by models exposes us to risk. Given our strategies and the complexity of the valuation of our assets, we must rely heavily on analytical models (both proprietary models developed by us and those supplied by third parties) and information and data supplied by our third party vendors and servicers.

Digital transformation and innovation · Artificial intelligence and automation

We may utilize artificial intelligence, which could expose us to liability and affect our business. The use of GenAI, a relatively new and emerging technology in the early stages of commercial use, exposes us to additional risks, such as damage to our reputation, competitive position, and business.

Cybersecurity and data protection · Third party data security and vendors

While we generally perform cybersecurity diligence on our key service providers, we do not control our service providers and our ability to monitor their cybersecurity is limited. Some of our service providers may store or have access to our data and may not have effective controls, processes, or practices to protect our information.

Natural and catastrophic events · Natural disasters and extreme weather

Geographic concentration exposes investors to greater risk of default and loss. Other regional factors – e.g., rising sea levels, earthquakes, floods, forest fires, hurricanes or changes in governmental rules or fiscal policies – have in the past and may in the future adversely affect the mortgaged properties.

Natural and catastrophic events · Climate change and environmental impact

We are subject to risks of loss from weather conditions, man-made or natural disasters and the direct and indirect effects of climate change. Assets in which we hold a direct or indirect interest have in the past and may in the future experience severe weather, including hurricanes, severe winter storms, wildfires and flooding.

Legal and litigation · Litigation and legal proceedings

The Truth in Lending Act or other similar consumer protection laws and regulations expose an owner of whole mortgage loans and mortgage servicing rights to potential civil and administrative liability. If loans in our portfolio are found to have been originated in violation of predatory or abusive lending laws, we could incur losses.

Legal and litigation · Employment and labor law compliance

Our Residential Credit and MSR businesses are subject to complex and evolving legal and regulatory requirements, including how we oversee and are responsible for the actions of our third-party service providers, which exposes us to increased compliance, legal, and regulatory risk.

Industry regulation · Regulatory compliance and changes

Changes in laws or regulations governing our operations or our failure to comply with those laws or regulations affects our business. We are subject to regulation by laws at the local, state and federal level, including securities and tax laws and financial accounting and reporting standards.

Human capital and workforce · Talent acquisition and retention

Any inability to attract, motivate and retain qualified talent, including our key personnel, affects us. Our success and our ability to manage anticipated future growth depend, in large part, upon the efforts of our highly skilled employees, and particularly on our key personnel.

Project and contract management · Project execution and delivery risks

We may be unable to profitably execute or participate in future securitization transactions. There are a number of factors that can have a significant impact on whether we are able to execute or participate in a securitization transaction, and whether such a transaction is profitable to us.

Credit and liquidity · Banking relationships and credit facilities

Effectively managing our liquidity affects our results and financial condition. Our ability to meet cash needs depends on many factors, several of which are beyond our control. Ineffective management of liquidity levels could cause us to be unable to meet certain financial obligations.

Capital structure and performance · Credit rating and cost of capital

Actions by the Federal Reserve may affect the price and returns of our assets. The Federal Reserve owns approximately $2.0 trillion of Agency mortgage-backed securities as of December 31, 2025. Certain actions taken by the U.S. government, including the Fed, may impact our results.

Market and investment · Interest rate and yield curve risk

An increase in the interest payments on our borrowings relative to the interest we earn on our interest earning assets adversely affects our profitability. A significant portion of our assets are longer-term, fixed-rate interest earning assets, and a significant portion of our borrowings are shorter-term, floating-rate borrowings.

Market and investment · Market volatility and economic cycles

Volatile market conditions for our assets can result in contraction in liquidity for those assets and the related financing. Our results of operations are materially affected by conditions in the markets for mortgages and mortgage-related assets, including Agency mortgage-backed securities, as well as the broader financial markets and the economy generally.

Credit and liquidity · Credit risk and customer defaults

We are subject to counterparty risk and may be unable to seek indemnity or require counterparties to repurchase residential whole loans if they breach representations and warranties, which could cause us to suffer losses.

Market and investment · Investment portfolio performance

Investments in MSR expose us to additional risks. We invest in MSR and financial instruments whose cash flows are considered to be largely dependent on underlying MSR that either directly or indirectly act as collateral for the investment.

Capital structure and performance · Financial performance volatility

Our reported GAAP financial results may not be an accurate indicator of future taxable income and dividend distributions. Generally, the cumulative net income we report over the life of an asset will be the same for GAAP and tax purposes, although the timing of this income recognition could be materially different.

Strategic execution · Merger acquisition and divestiture risks

We may enter into new lines of business, acquire other companies or engage in other strategic initiatives. To the extent we pursue strategic investments or acquisitions, undertake other strategic initiatives or consider new lines of business, we will face numerous risks and uncertainties.

Corporate governance · Internal controls and risk management

Counterparties may require us to enter into restrictive covenants. Certain lenders and counterparties impose restrictions on us that would affect our ability to incur additional debt, make certain allocations or acquisitions, allow liquidity or stockholders' equity to fall below certain levels.

Corporate governance · Shareholder rights and activism

Our charter does not permit ownership of over 9.8% in number of shares or value of our common stock or any class of our preferred stock. The ownership limit may have the effect of delaying, deferring or preventing a change in control and, therefore, could adversely affect our stockholders' ability to realize a premium.