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

By Business Wire | July 21, 2026, 4:15 PM

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.

Contacts

Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com

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