Annaly Capital Management, Inc. Reports 2nd Quarter 2026 Results

Annaly Capital Management, Inc. Reports 2nd Quarter 2026 Results

NEW YORK–(BUSINESS WIRE)–
Annaly Capital Management, Inc. (NYSE: NLY) (“Annaly” or the “Company”) today announced its financial results for the quarter ended June 30, 2026.

Financial Highlights

GAAP net income of $1.06 per average common share for the quarter
Earnings available for distribution (“EAD”) of $0.79 per average common share for the quarter
Economic return of 5.5% for the second quarter
Book value per common share of $20.15
GAAP leverage of 7.4x, up from 7.3x in the prior quarter; economic leverage of 5.6x, down from 5.7x in the prior quarter
Increased common stock cash dividend to $0.75 per share for the second quarter

Business Highlights

Investment and Strategy

Total portfolio of $109.4 billion, including $95.0 billion in highly liquid Agency portfolio⁽¹⁾
Annaly’s Agency portfolio increased by nearly $3 billion, representing 57% of dedicated capital⁽²⁾, with activity focused on investing accretive capital raised into higher coupon TBA securities and specified pools
Maintained conservative hedge positioning given elevated macro uncertainty; ended the quarter with a hedge ratio of 97% with activity focused primarily on adding swap exposure across tenors
Annaly’s Residential Credit portfolio was effectively unchanged at $10.4 billion⁽¹⁾,^{representing 22% of dedicated capital⁽²⁾, reflecting continued momentum across its whole loan correspondent channel and securitization platform}
Annaly’s MSR portfolio was relatively unchanged at $4.1 billion⁽¹⁾in market value, representing 21% of dedicated capital⁽²⁾; Onslow Bay remains the fifth largest non-bank servicer of Agency MBS⁽³⁾

Financing and Capital

$9.6 billion of total assets available for financing⁽⁴⁾, including cash and unencumbered Agency MBS of $5.5 billion
During the quarter, Annaly Residential Credit Group issued a record thirteen securitizations totaling $6.8 billion across a wide array of product types

– Remained the largest non-bank issuer and the second largest issuer overall of Prime Jumbo and Expanded Credit MBS⁽⁵⁾
Average GAAP cost of interest-bearing liabilities of 4.28%, down one basis point quarter-over-quarter, and average economic cost of interest-bearing liabilities of 3.96%, up three basis points quarter-over-quarter
Annaly’s Residential Credit business increased financing capacity by $740 million through expanded credit facilities; total warehouse capacity across the Residential Credit and MSR businesses of $8.3 billion, including $2.8 billion of committed capacity
Raised $447 million of accretive capital through the Company’s at-the-market sales program⁽⁶⁾

“Annaly delivered another quarter of solid results, demonstrating the strength and breadth of our diversified housing finance platform, including a 5.5% economic return and EAD that exceeded the dividend for the ninth consecutive quarter,” remarked Chief Executive Officer & Co-Chief Investment Officer David Finkelstein. “These results contributed to a 6.9% economic return through the first half of 2026 and supported our decision to increase the quarterly common stock dividend to $0.75 per share, reflecting the durable earnings power of our portfolio. Looking ahead, we see meaningful opportunities across all three of our investment strategies and believe our scale, liquidity and disciplined capital allocation position us to continue delivering compelling risk-adjusted returns across market cycles.”

(1)	Total portfolio represents Annaly’s investments that are on-balance sheet and off-balance sheet in which Annaly has economic exposure. Assets exclude assets transferred or pledged to securitization vehicles of $38.3 billion, include TBA purchase contracts (market value) of $7.2 billion, include unsettled MSR commitments of $11 million and unsettled MSR sales of $136 million, include $3.9 billion of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $2.6 billion. Unsettled MSR commitments and unsettled MSR sales represent the market value of deals where Annaly has executed a letter of intent prior to quarter-end. There can be no assurance whether these deals will close or when they will close.
(2)	Dedicated capital for each of the investment strategies is calculated as the difference between each investment strategy’s allocated assets (including TBAs) and liabilities.
(3)	Based on information aggregated from Fannie Mae and Freddie Mac monthly loan level files by eMBS servicing transfer data as of June 30, 2026. Excludes transfer activity related to platform acquisitions.
(4)	Comprised of $8.0 billion of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets that have not been pledged or securitized (generally including cash and cash equivalents, Agency MBS, CRT, Non-Agency MBS, residential mortgage loans, MSR, reverse repurchase agreements, other unencumbered financial assets and capital stock), and $1.6 billion of fair value of collateral pledged for future advances.
(5)	Issuer ranking data from Inside Nonconforming Markets for 2025 to 2026 (July 3, 2026 issue). Used with permission.
(6)	Net of sales agent commissions and other offering expenses.

Financial Performance

The following table summarizes certain key performance indicators as of and for the quarters ended June 30, 2026, March 31, 2026 and June 30, 2025:

	June 30, 2026			March 31, 2026			June 30, 2025
Book value per common share	$	20.15		$	19.82		$	18.45
GAAP net income per average common share ⁽¹⁾	$	1.06		$	0.33		$	0.03
Annualized GAAP return on average equity ⁽²⁾		19.88	%		7.15	%		1.82	%
GAAP leverage at period-end ⁽³⁾	7.4:1			7.3:1			7.1:1
Net interest margin ⁽⁴⁾		1.47	%		1.41	%		1.04	%
Average yield on interest earning assets ⁽⁵⁾		5.44	%		5.36	%		5.42	%
Average GAAP cost of interest bearing liabilities ⁽⁶⁾		4.28	%		4.29	%		4.76	%
Net interest spread		1.16	%		1.07	%		0.66	%
Non-GAAP metrics*
Earnings available for distribution per average common share ⁽¹⁾	$	0.79		$	0.76		$	0.73
Annualized EAD return on average equity		15.12	%		14.58	%		14.86	%
Economic leverage at period-end ⁽³⁾	5.6:1			5.7:1			5.8:1
Net interest margin (excluding PAA) ⁽⁴⁾		1.76	%		1.71	%		1.71	%
Average yield on interest earning assets (excluding PAA) ⁽⁵⁾		5.46	%		5.35	%		5.41	%
Average economic cost of interest bearing liabilities ⁽⁶⁾		3.96	%		3.93	%		3.94	%
Net interest spread (excluding PAA)		1.50	%		1.42	%		1.47	%
^* Represents a non-GAAP financial measure. Please refer to the “Non-GAAP Financial Measures” section for additional information.
⁽¹⁾ Net of dividends on preferred stock.
⁽²⁾ Annualized GAAP return on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return on average equity is 4.97%, 1.79%, and 0.45% for the quarters ended June 30, 2026, March 31, 2026, and June 30, 2025, respectively.
⁽³⁾ 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, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage.
⁽⁴⁾ Net interest margin represents interest income less interest expense divided by 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 interest income (excluding PAA) plus TBA dollar roll income and less economic interest expense divided by the sum of average Interest Earning Assets plus average outstanding TBA contract balances. PAA represents the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities.
⁽⁵⁾ 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).
⁽⁶⁾ 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).

Other Information

This news release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act. These statements are based on management’s beliefs and expectations, speak only as of the date on which they were made, and are subject to significant risks and uncertainties. Actual results could differ materially from those set forth in forward-looking statements. Factors that could cause actual results to differ from those contained in the forward-looking statements can be found in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. Annaly undertakes no obligation to update or revise any forward-looking statements.

We use our website and LinkedIn account as additional channels for distributing material company information, along with our press releases, SEC filings and public conference calls and webcasts.

The Company prepares an investor presentation and financial supplement for the benefit of its shareholders. Please refer to the investor presentation for definitions of both GAAP and non-GAAP measures used in this news release. Both the Second Quarter 2026 Investor Presentation and the Second Quarter 2026 Financial Supplement can be found on our website.

Conference Call

The Company will hold the second quarter 2026 earnings conference call on July 22, 2026 at 9:00 a.m. Eastern Time. Participants are encouraged to pre-register for the conference call to receive a unique PIN to gain immediate access to the call and bypass the live operator. Pre-registration may be completed by accessing the pre-registration link found on the “Investors” section of the Company’s website at www.annaly.com, or by using the following link: https://registrations.events/direct/IDX71212727. Pre-registration may be completed at any time, including up to and after the call start time.

For participants who would like to join the call but have not pre-registered, access is available by dialing 888-500-3691 within the U.S., or 646-307-1951 internationally, and requesting the “Annaly Earnings Call.”

There will also be an audio webcast of the call on www.annaly.com. A replay of the call will be available for one week following the conference call. The replay number is 800-770-2030 for domestic calls and 609-800-9909 for international calls and the conference passcode is 71212#. If you would like to be added to the e-mail distribution list, please visit www.annaly.com, click on News & Insights, then select Subscribe and complete the email notification form.

Financial Statements

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except per share data)

	June 30, 2026			March 31, 2026			December 31, 2025 ⁽¹⁾			September 30, 2025			June 30, 2025
	(unaudited)			(unaudited)						(unaudited)			(unaudited)
Assets
Cash and cash equivalents	$	2,912,086		$	1,912,444		$	2,037,838		$	2,096,696		$	2,058,845
Securities		89,515,485			88,473,681			91,287,630			85,062,725			73,500,626
Loans, net		7,280,979			7,230,876			5,020,784			4,008,299			3,722,272
Mortgage servicing rights		4,089,485			4,115,999			3,645,865			3,476,181			3,281,190
Interests in MSR		106,775			27,212			28,626			35,833			—
Assets transferred or pledged to securitization vehicles		38,256,690			34,207,738			32,067,433			29,512,309			27,021,790
Derivative assets		81,784			395,099			115,533			47,899			149,690
Reverse repurchase agreements		33,047			33,524			34,389			35,004			—
Receivable for unsettled trades		104,722			891,293			1,031			185,916			1,134,896
Principal and interest receivable		846,548			806,484			926,660			959,435			830,535
Intangible assets, net		5,380			6,053			6,726			7,398			8,071
Other assets		508,195			437,188			437,323			433,877			433,977
Total assets	$	143,741,176		$	138,537,591		$	135,609,838		$	125,861,572		$	112,141,892
Liabilities and stockholders’ equity
Liabilities
Repurchase agreements	$	86,895,874		$	85,068,102		$	81,865,723		$	75,118,963		$	66,541,378
Other secured financing		1,125,000			1,125,000			1,075,000			1,025,000			1,025,000
Debt issued by securitization vehicles		34,366,098			30,719,417			28,918,753			26,601,790			24,107,249
Participations issued		2,553,709			2,484,018			1,932,655			1,831,657			1,556,900
U.S. Treasury securities sold, not yet purchased		—			—			2,396,724			2,442,570			2,528,167
Derivative liabilities		247,968			207,369			53,755			199,100			425,993
Payable for unsettled trades		331,586			1,522,750			2,059,386			2,604,278			1,538,526
Interest payable		420,764			347,607			380,688			285,080			256,245
Dividends payable		562,931			511,203			494,881			476,737			449,453
Other liabilities		258,870			226,314			272,362			279,818			238,618
Total liabilities		126,762,800			122,211,780			119,449,927			110,864,993			98,667,529
Stockholders’ equity
Preferred stock, par value $0.01 per share ⁽²⁾		1,802,480			1,802,480			1,802,480			1,802,480			1,536,569
Common stock, par value $0.01 per share ⁽³⁾		7,506			7,303			7,070			6,811			6,421
Additional paid-in capital		28,886,263			28,427,555			27,927,113			27,352,976			26,520,657
Accumulated other comprehensive income (loss)		(557,014	)		(533,614	)		(488,566	)		(624,387	)		(740,046	)
Accumulated deficit		(13,213,859	)		(13,429,615	)		(13,157,325	)		(13,626,983	)		(13,942,302	)
Total stockholders’ equity		16,925,376			16,274,109			16,090,772			14,910,897			13,381,299
Noncontrolling interests		53,000			51,702			69,139			85,682			93,064
Total equity		16,978,376			16,325,811			16,159,911			14,996,579			13,474,363
Total liabilities and equity	$	143,741,176		$	138,537,591		$	135,609,838		$	125,861,572		$	112,141,892

⁽¹⁾ Derived from the audited consolidated financial statements at December 31, 2025. ⁽²⁾ 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock – Includes 28,800,000 shares authorized, issued and outstanding. 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock – Includes 17,000,000 shares authorized, issued and outstanding. 6.75% Series I Preferred Stock – Includes 17,700,000 shares authorized, issued and outstanding, and beginning with the quarter ended September 30, 2025, 8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock – Includes 11,500,000 shares authorized, and 11,000,000 issued and outstanding. ⁽³⁾ Includes 1,456,750,000 shares authorized. Includes 750,574,308 shares issued and outstanding at June 30, 2026; 730,290,500 shares issued and outstanding at March 31, 2026; 706,972,452 shares issued and outstanding at December 31, 2025; 681,052,317 shares issued and outstanding at September 30, 2025; 642,076,127 shares issued and outstanding at June 30, 2025.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except per share data)
(Unaudited)
	For the quarters ended
	June 30, 206			March 31, 2026			December 31, 2025			September 30, 2025			June 30, 2025
Net interest income
Interest income	$	1,812,198		$	1,724,930		$	1,690,707		$	1,532,497		$	1,418,893
Interest expense		1,324,005			1,272,239			1,324,128			1,256,747			1,145,693
Net interest income		488,193			452,691			366,579			275,750			273,200
Net servicing incdome
Servicing and related income		175,059			159,133			156,131			141,356			141,670
Servicing and related expense		17,835			16,580			16,485			15,104			14,571
Net servicing income		157,224			142,553			139,646			126,252			127,099
Other income (loss)
Net gains (losses) on investments and other		(318,503	)		(672,119	)		289,428			561,927			83,503
Net gains (losses) on derivatives		552,426			409,112			251,799			(92,308	)		(388,785	)
Other, net		13,521			9,323			13,952			13,959			15,812
Total other income (loss)		247,444			(253,684	)		555,179			483,578			(289,470	)
General and administrative expenses
Compensation expense		44,640			41,384			39,279			38,393			36,583
Other general and administrative expenses		13,549			11,180			11,928			11,947			13,435
Total general and administrative expenses		58,189			52,564			51,207			50,340			50,018
Income (loss) before income taxes		834,672			288,996			1,010,197			835,240			60,811
Income taxes		6,899			(1,519	)		(7,754	)		(7,823	)		440
Net income (loss)		827,773			290,515			1,017,951			843,063			60,371
Net income (loss) attributable to noncontrolling interests		5,100			7,863			4,457			10,618			3,272
Net income (loss) attributable to Annaly		822,673			282,652			1,013,494			832,445			57,099
Dividends on preferred stock ⁽¹⁾		41,036			40,652			42,387			41,127			37,260
Net income (loss) available (related) to common stockholders	$	781,637		$	242,000		$	971,107		$	791,318		$	19,839
Net income (loss) per share available (related) to common stockholders
Basic	$	1.06		$	0.33		$	1.40		$	1.21		$	0.03
Diluted	$	1.06		$	0.33		$	1.40		$	1.20		$	0.03
Weighted average number of common shares outstanding
Basic		738,926,270			722,707,153			693,011,031			656,335,974			620,208,712
Diluted		740,256,247			724,364,897			695,034,348			657,856,427			621,103,218
Other comprehensive income (loss)
Net income (loss)	$	827,773		$	290,515		$	1,017,951		$	843,063		$	60,371
Unrealized gains (losses) on available-for-sale securities		(23,400	)		(45,048	)		74,992			113,281			33,559
Reclassification adjustment for net (gains) losses included in net income (loss)		—			—			60,829			2,378			13,797
Other comprehensive income (loss)		(23,400	)		(45,048	)		135,821			115,659			47,356
Comprehensive income (loss)		804,373			245,467			1,153,772			958,722			107,727
Comprehensive income (loss) attributable to noncontrolling interests		5,100			7,863			4,457			10,618			3,272
Comprehensive income (loss) attributable to Annaly		799,273			237,604			1,149,315			948,104			104,455
Dividends on preferred stock ⁽¹⁾		41,036			40,652			42,387			41,127			37,260
Comprehensive income (loss) attributable to common stockholders	$	758,237		$	196,952		$	1,106,928		$	906,977		$	67,195

⁽¹⁾ The quarter ended December 31, 2025 excludes, and the quarter ended September 30, 2025 includes, cumulative and undeclared dividends of $3.7 million on the Company’s Series J Preferred Stock as of September 30, 2025.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except per share data)
	For the six months ended
	June 30, 2026			June 30, 2025
	(unaudited)			(unaudited)
Net interest income
Interest income	$	3,537,128		$	2,736,001
Interest expense		2,596,244			2,242,830
Net interest income		940,884			493,171
Net servicing income
Servicing and related income		334,192			282,105
Servicing and related expense		34,415			28,684
Net servicing income		299,777			253,421
Other income (loss)
Net gains (losses) on investments and other		(990,622	)		894,315
Net gains (losses) on derivatives		961,538			(1,366,652	)
Other, net		22,844			23,210
Total other income (loss)		(6,240	)		(449,127	)
General and administrative expenses
Compensation expense		86,024			73,880
Other general and administrative expenses		24,729			24,202
Total general and administrative expenses		110,753			98,082
Income (loss) before income taxes		1,123,668			199,383
Income taxes		5,380			8,707
Net income (loss)		1,118,288			190,676
Net income (loss) attributable to noncontrolling interests		12,963			9,353
Net income (loss) attributable to Annaly		1,105,325			181,323
Dividends on preferred stock		81,688			74,417
Net income (loss) available (related) to common stockholders	$	1,023,637		$	106,906
Net income (loss) per share available (related) to common stockholders
Basic	$	1.40		$	0.18
Diluted	$	1.40		$	0.18
Weighted average number of common shares outstanding
Basic		730,798,630			603,770,531
Diluted		732,317,721			604,882,295
Other comprehensive income (loss)
Net income (loss)	$	1,118,288		$	190,676
Unrealized gains (losses) on available-for-sale securities		(68,448	)		198,436
Reclassification adjustment for net (gains) losses included in net income (loss)		—			79,200
Other comprehensive income (loss)		(68,448	)		277,636
Comprehensive income (loss)		1,049,840			468,312
Comprehensive income (loss) attributable to noncontrolling interests		12,963			9,353
Comprehensive income (loss) attributable to Annaly		1,036,877			458,959
Dividends on preferred stock		81,688			74,417
Comprehensive income (loss) attributable to common stockholders	$	955,189		$	384,542

Key Financial Data

The following table presents key metrics of the Company’s portfolio, liabilities and hedging positions, and performance as of and for the quarters ended June 30, 2026, March 31, 2026 and June 30, 2025:

	June 30, 2026			March 31, 2026			June 30, 2025
Portfolio related metrics
Fixed-rate Residential Securities as a percentage of total Residential Securities		99	%		99	%		99	%
Adjustable-rate and floating-rate Residential Securities as a percentage of total Residential Securities		1	%		1	%		1	%
Weighted average experienced CPR for the period		11.6	%		10.2	%		8.7	%
Weighted average projected long-term CPR at period-end		11.0	%		10.4	%		9.1	%
Liabilities and hedging metrics
Weighted average days to maturity on repurchase agreements outstanding at period-end		33			36			49
Hedge ratio ⁽¹⁾		97	%		87	%		92	%
Weighted average pay rate on interest rate swaps at period-end ⁽²⁾		3.20	%		3.14	%		3.14	%
Weighted average receive rate on interest rate swaps at period-end ⁽²⁾		3.73	%		3.74	%		4.47	%
Weighted average net rate on interest rate swaps at period-end ⁽²⁾		(0.53	%)		(0.60	%)		(1.33	%)
GAAP leverage at period-end ⁽³⁾	7.4:1			7.3:1			7.1:1
GAAP capital ratio at period-end ⁽⁴⁾		11.8	%		11.8	%		12.0	%
Performance related metrics
Book value per common share	$	20.15		$	19.82		$	18.45
GAAP net income per average common share ⁽⁵⁾	$	1.06		$	0.33		$	0.03
Annualized GAAP return on average equity ⁽⁶⁾		19.88	%		7.15	%		1.82	%
Net interest margin⁽⁷⁾		1.47	%		1.41	%		1.04	%
Average yield on interest earning assets ⁽⁸⁾		5.44	%		5.36	%		5.42	%
Average GAAP cost of interest bearing liabilities⁽⁹⁾		4.28	%		4.29	%		4.76	%
Net interest spread		1.16	%		1.07	%		0.66	%
Dividend declared per common share	$	0.75		$	0.70		$	0.70
Annualized dividend yield ⁽¹⁰⁾		13.42	%		13.24	%		14.88	%
Non-GAAP metrics *
Earnings available for distribution per average common share ⁽⁵⁾	$	0.79		$	0.76		$	0.73
Annualized EAD return on average equity (excluding PAA)		15.12	%		14.58	%		14.86	%
Economic leverage at period-end ⁽³⁾	5.6:1			5.7:1			5.8:1
Economic capital ratio at period end ⁽⁴⁾		14.9	%		14.7	%		14.3	%
Net interest margin (excluding PAA) ⁽⁷⁾		1.76	%		1.71	%		1.71	%
Average yield on interest earning assets (excluding PAA) ⁽⁸⁾		5.46	%		5.35	%		5.41	%
Average economic cost of interest bearing liabilities ⁽⁹⁾		3.96	%		3.93	%		3.94	%
Net interest spread (excluding PAA)		1.50	%		1.42	%		1.47	%
^* Represents a non-GAAP financial measure. Please refer to the “Non-GAAP Financial Measures” section for additional information.
⁽¹⁾ Measures total notional balances of interest rate swaps, interest rate swaptions (excluding long receiver swaptions), futures and U.S. Treasury securities sold, not yet purchased, relative to repurchase agreements, other secured financing, cost basis of TBA derivatives outstanding and net forward purchases (sales) of investments; excludes MSR and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities.
⁽²⁾ Excludes forward starting swaps.
⁽³⁾ 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, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage.
⁽⁴⁾ 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 are net of debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued.
⁽⁵⁾ Net of dividends on preferred stock.
⁽⁶⁾ Annualized GAAP return on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return on average equity is 4.97%, 1.79% and 0.45% for the quarters ended June 30, 2026, March 31, 2026, and June 30, 2025, respectively.
⁽⁷⁾ Net interest margin represents interest income less interest expense divided by 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 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.
⁽⁸⁾ 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).
⁽⁹⁾ 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).
⁽¹⁰⁾ Based on the closing price of the Company’s common stock of $22.36, $21.15 and $18.82 at June 30, 2026, March 31, 2026 and June 30, 2025, respectively.

The following table contains additional information on our investment portfolio as of the dates presented:

	For the quarters ended
	June 30, 2026		March 31, 2026		June 30, 2025
Agency mortgage-backed securities	$	87,768,578	$	86,380,653	$	71,756,638
Residential credit risk transfer securities		46,872		110,646		414,047
Non-agency mortgage-backed securities		1,565,016		1,588,026		1,329,941
Commercial mortgage-backed securities		135,019		394,356		—
Total securities	$	89,515,485	$	88,473,681	$	73,500,626
Residential mortgage loans	$	7,280,979	$	7,230,876	$	3,722,272
Total loans, net	$	7,280,979	$	7,230,876	$	3,722,272
Mortgage servicing rights	$	4,089,485	$	4,115,999	$	3,281,190
Interests in MSR	$	106,775	$	27,212	$	—
Residential mortgage loans transferred or pledged to securitization vehicles	$	38,256,690	$	34,207,738	$	27,021,790
Assets transferred or pledged to securitization vehicles	$	38,256,690	$	34,207,738	$	27,021,790
Total investment portfolio	$	139,249,414	$	134,055,506	$	107,525,878

Non-GAAP Financial Measures

To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles (“GAAP”), the Company provides the following non-GAAP measures:

earnings available for distribution (“EAD”);
earnings available for distribution attributable to common stockholders;
earnings available for distribution per average common share;
annualized EAD return on average equity;
economic leverage;
economic capital ratio;
interest income (excluding PAA);
economic interest expense;
economic net interest income (excluding PAA);
average yield on interest earning assets (excluding PAA);
average economic cost of interest bearing liabilities;
net interest margin (excluding PAA); and
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 the Company’s results and operations, non-GAAP financial measures also have limitations. For example, the Company may calculate its non-GAAP metrics, such as earnings available for distribution, or the PAA, differently than its 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 the Company 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 the Company’s period-over-period operating performance and business trends, as well as for assessing the Company’s performance versus that of industry peers. Additional information pertaining to the Company’s 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

The Company’s principal business objective is to generate net income for distribution to its stockholders and to preserve capital through prudent selection of investments and continuous management of its portfolio. The Company generates net income by earning a net interest spread on its investment portfolio, which is a function of interest income from its 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 premium amortization adjustment (“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 the Company’s Agency mortgage-backed securities is used by the Company’s management and, the Company believes, used by analysts and investors to measure its progress in achieving its principal business objective.

The Company seeks to fulfill this 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 the Company’s capital allocation policy and risk governance framework.

The Company believes these non-GAAP measures provide management and investors with additional details regarding the Company’s 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 the Company’s portfolio. In addition, EAD serves as a useful indicator for investors in evaluating the Company’s 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 the Company’s invested equity capital.

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

	For the quarters ended
	June 30, 2026			March 31, 2026			June 30, 2025
	(dollars in thousands, except per share data)
GAAP net income (loss)	$	827,773		$	290,515		$	60,371
Adjustments to exclude reported realized and unrealized (gains) losses
Net (gains) losses on investments and other ⁽¹⁾		316,206			674,162			(82,854	)
Net (gains) losses on derivatives ⁽²⁾		(464,968	)		(312,265	)		574,435
Other adjustments
Amortization of intangibles		673			673			672
Non-EAD (income) loss allocated to equity method investments ⁽³⁾		—			—			(403	)
Transaction expenses and non-recurring items⁽⁴⁾		10,246			7,951			5,706
Income tax effect of non-EAD income (loss) items		5,044			(4,812	)		1,003
TBA dollar roll income ⁽⁵⁾		17,904			18,993			7,252
MSR amortization ⁽⁶⁾		(89,816	)		(78,646	)		(68,804	)
EAD attributable to noncontrolling interests		(2,476	)		(2,989	)		(3,610	)
Premium amortization adjustment cost (benefit)		7,081			(3,694	)		(3,862	)
Earnings available for distribution *		627,667			589,888			489,906
Dividends on preferred stock		41,036			40,652			37,260
Earnings available for distribution attributable to common stockholders *	$	586,631		$	549,236		$	452,646
GAAP net income (loss) per average common share	$	1.06		$	0.33		$	0.03
Earnings available for distribution per average common share *	$	0.79		$	0.76		$	0.73
Annualized GAAP return (loss) on average equity ⁽⁷⁾		19.88	%		7.15	%		1.82	%
Annualized EAD return on average equity *		15.12	%		14.58	%		14.86	%
^* Represents a non-GAAP financial measure.
⁽¹⁾ Includes write-downs or recoveries on investments which are reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).
⁽²⁾ 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 $87.5 million, $96.8 million and $185.7 million for the quarters ended June 30, 2026, March 31, 2026 and June 30, 2025, respectively.
⁽³⁾ The Company excludes non-EAD (income) loss allocated to equity method investments, which represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net.
⁽⁴⁾ Represents costs incurred in connection with securitizations of residential whole loans.
⁽⁵⁾ TBA dollar roll income represents a component of Net gains (losses) on derivatives.
⁽⁶⁾ 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.
⁽⁷⁾ 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 4.97%, 1.79%, and 0.45% for the quarters ended June 30, 2026, March 31, 2026, and June 30, 2025, respectively.

From time to time, the Company enters into TBA forward contracts as an alternate means of investing in and financing Agency mortgage-backed securities. A TBA contract is an agreement to purchase or sell, for future delivery, an Agency mortgage-backed security 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 mortgage-backed securities, 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 generally represents the economic equivalent of the net interest income earned on the underlying Agency mortgage-backed security 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 mortgage-backed securities. The Company records TBA derivatives at fair value on its Consolidated Statements of Financial Condition and recognizes periodic changes in fair value in Net gains (losses) on derivatives in the 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 mortgage-backed security (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, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities, excluding 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. 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.

The Company’s GAAP metrics include the unadjusted impact of amortization and accretion associated with this method. Certain of the Company’s 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 CPR.

The following table illustrates the impact of the PAA on premium amortization expense for the Company’s Residential Securities portfolio and residential securities transferred or pledged to securitization vehicles, for the quarters ended June 30, 2026, March 31, 2026 and June 30, 2025:

	For the quarters ended
	June 30, 2026		March 31, 2026			June 30, 2025
	(dollars in thousands)
Premium amortization expense (accretion)	$	52,423	$	67,509		$	28,138
Less: PAA cost (benefit)		7,081		(3,694	)		(3,862	)
Premium amortization expense (excluding PAA)	$	45,342	$	71,203		$	32,000

Economic leverage and economic capital ratios

The Company uses capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on its assets and the cost of its borrowings and hedging activities. The Company’s capital structure is designed to offer an efficient complement of funding sources to generate positive risk-adjusted returns for its stockholders while maintaining appropriate liquidity to support its business and meet the Company’s financial obligations under periods of market stress. To maintain its desired capital profile, the Company utilizes 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.

The Company’s 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, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles (excluding structured repurchase transactions) 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 the Company’s economic leverage ratio for the periods presented:

	As of
	June 30, 2026			March 31, 2026			June 30, 2025
Economic leverage ratio reconciliation	(dollars in thousands)
Repurchase agreements	$	86,895,874		$	85,068,102		$	66,541,378
Other secured financing		1,125,000			1,125,000			1,025,000
Debt issued by securitization vehicles		34,366,098			30,719,417			24,107,249
Participations issued		2,553,709			2,484,018			1,556,900
U.S Treasury securities sold, not yet purchased		—			—			2,528,167
Total GAAP debt	$	124,940,681		$	119,396,537		$	95,758,694
Less Non-recourse debt:
Debt issued by securitization vehicles ⁽¹⁾	$	(34,114,655	)	$	(30,463,341	)	$	(24,107,249	)
Participations issued		(2,553,709	)		(2,484,018	)		(1,556,900	)
Total recourse debt	$	88,272,317		$	86,449,178		$	70,094,545
Plus / (Less):
Cost basis of TBA derivatives	$	7,169,573		$	5,948,177		$	7,686,600
Payable for unsettled trades		331,586			1,522,750			1,538,526
Receivable for unsettled trades		(104,722	)		(891,293	)		(1,134,896	)
Economic debt *	$	95,668,754		$	93,028,812		$	78,184,775
Total equity	$	16,978,376		$	16,325,811		$	13,474,363
Economic leverage ratio *	5.6:1			5.7:1			5.8:1

^* Represents a non-GAAP financial measure.
⁽¹⁾ Non-recourse debt excludes debt issued by securitization vehicles related to structured repurchase transactions.

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

	As of
	June 30, 2026			March 31, 2026			June 30, 2025
Economic capital ratio reconciliation	(dollars in thousands)
Total GAAP assets	$	143,741,176		$	138,537,591		$	112,141,892
Less:
Gross unrealized gains on TBA derivatives ⁽¹⁾		(50,393	)		(28,927	)		(97,331	)
Debt issued by securitization vehicles ⁽²⁾		(34,114,655	)		(30,463,341	)		(24,107,249	)
Participations issued		(2,553,709	)		(2,484,018	)		(1,556,900	)
Plus:
Implied market value of TBA derivatives		7,216,874			5,845,420			7,783,931
Total economic assets *	$	114,239,293		$	111,406,725		$	94,164,343
Total equity	$	16,978,376		$	16,325,811		$	13,474,363
Economic capital ratio^*		14.9	%		14.7	%		14.3	%

^* Represents a non-GAAP financial measure.
⁽¹⁾ Included in Derivative assets in the Company’s Consolidated Statements of Financial Condition.
⁽²⁾ Excludes debt issued by securitization vehicles related to structured repurchase transactions.

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 PAA, 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. The Company believes this measure provides management and investors with additional detail to enhance their understanding of the Company’s operating results and trends by excluding the component of premium amortization expense 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 the Company’s Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), which can obscure underlying trends in the performance of the portfolio.

Economic interest expense includes GAAP interest expense, the net interest component of interest rate swaps (which includes net interest on variation margin related to 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). The Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Accordingly, adding the net interest component of interest rate swaps to interest expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with additional information about the cost of the Company’s financing strategy. The Company may use market agreed coupon (“MAC”) interest rate swaps in which the Company 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 in the Company’s 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.

	For the quarters ended
	June 30, 2026			March 31, 2026			June 30, 2025
Interest income (excluding PAA) reconciliation	(dollars in thousands)
GAAP interest income	$	1,812,198		$	1,724,930		$	1,418,893
Premium amortization adjustment		7,081			(3,694	)		(3,862	)
Interest income (excluding PAA) *	$	1,819,279		$	1,721,236		$	1,415,031
Economic interest expense reconciliation
GAAP interest expense	$	1,324,005		$	1,272,239		$	1,145,693
Add:
Net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps ⁽¹⁾		(98,841	)		(107,365	)		(197,865	)
Economic interest expense *	$	1,225,164		$	1,164,874		$	947,828
Economic net interest income (excluding PAA) reconciliation
Interest income (excluding PAA) *	$	1,819,279		$	1,721,236		$	1,415,031
Less:
Economic interest expense *		1,225,164			1,164,874			947,828
Economic net interest income (excluding PAA) *	$	594,115		$	556,362		$	467,203
^* Represents a non-GAAP financial measure.
⁽¹⁾ Interest on initial margin related to interest rate swaps is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).

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 the Company’s 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 the Company’s performance.

	For the quarters ended
	June 30, 2026			March 31, 2026			June 30, 2025
Economic metrics (excluding PAA)	(dollars in thousands)
Average interest earning assets	$	133,263,735		$	128,783,013		$	104,623,036
Interest income (excluding PAA) *	$	1,819,279		$	1,721,236		$	1,415,031
Average yield on interest earning assets (excluding PAA) *		5.46	%		5.35	%		5.41	%
Average interest bearing liabilities	$	122,802,541		$	118,603,594		$	95,274,277
Economic interest expense *	$	1,225,164		$	1,164,874		$	947,828
Average economic cost of interest bearing liabilities *		3.96	%		3.93	%		3.94	%
Economic net interest income (excluding PAA) *	$	594,115		$	556,362		$	467,203
Net interest spread (excluding PAA) *		1.50	%		1.42	%		1.47	%
Interest income (excluding PAA) *	$	1,819,279		$	1,721,236		$	1,415,031
TBA dollar roll income		17,904			18,993			7,252
Economic interest expense *		(1,225,164	)		(1,164,874	)		(947,828	)
Subtotal	$	612,019		$	575,355		$	474,455
Average interest earnings assets	$	133,263,735		$	128,783,013		$	104,623,036
Average TBA contract balances		6,088,214			5,443,741			6,218,305
Subtotal	$	139,351,949		$	134,226,754		$	110,841,341
Net interest margin (excluding PAA) *		1.76	%		1.71	%		1.71	%
^* Represents a non-GAAP financial measure.

View source version on businesswire.com: https://www.businesswire.com/news/home/20260720803534/en/

Annaly Capital Management, Inc.

Investor Relations

1-888-8Annaly

www.annaly.com

KEYWORDS: New York United States North America

INDUSTRY KEYWORDS: Professional Services Business Residential Building & Real Estate Finance Construction & Property REIT

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