Annaly Capital Management Inc (NLY)

Annaly Capital Management, Inc. Announces Dates of Second Quarter 2026 Financial Results and Conference CallJune 30, 2026 4:05 PM
Business Wire Annaly Capital Management, Inc. (NYSE:NLY) (“Annaly” or the “Company”) announced today that it will release its financial results for the quarter ended June 30, 2026 after the market close on Tuesday, July 21, 2026. The Company will conduct a conference call and audio webcast to discuss the results on Wednesday, 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. Participants who would like to join the call but have not pre-registered can do so on the day of the event by dialing the numbers provided below and requesting the “Annaly Capital Management Call.” Call-in Number: U.S. Toll Free 888 500 3691 International 646 307 1951 Webcast www.annaly.com A replay of the call will be available for one week following the conference call. Conference Call Replay: U.S. Toll Free 800 770 2030 International 609 800 9909 Passcode 71212# If you would like to be added to the e-mail distribution list, please visit www.annaly.com, click on News & Insights, then click on Subscribe and complete the email notification form. About Annaly Annaly is a leading diversified capital manager with investment strategies across mortgage finance. Annaly’s principal business objective is to generate net income for distribution to its stockholders and to optimize its returns through prudent management of its diversified investment strategies. Annaly is internally managed and has elected to be taxed as a real estate investment trust, or REIT, for federal income tax purposes. Additional information on the company can be found at www.annaly.com. View source version on businesswire.com: https://www.businesswire.com/news/home/20260630367129/en/ Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com Original: Annaly Capital Management, Inc. Announces Dates of Second Quarter 2026 Financial Results and Conference Call

Annaly Capital Management, Inc. Increases 2nd Quarter 2026 Common Stock Dividend to $0.75 per ShareJune 10, 2026 4:15 PM
Business Wire The Board of Directors of Annaly Capital Management, Inc. (NYSE: NLY) (“Annaly” or the “Company”) increased the second quarter 2026 common stock cash dividend to $0.75 per common share. This dividend is payable July 31, 2026, to common shareholders of record on June 30, 2026. The ex-dividend date is June 30, 2026. “We are pleased to announce an increase in our common stock dividend from $0.70 to $0.75 per share, underscoring the strong performance of Annaly’s diversified housing finance portfolio and our focus on driving shareholder value,” remarked David Finkelstein, Chief Executive Officer & Co-Chief Investment Officer. “Our platform continues to deliver durable cash flows and superior risk-adjusted returns, enabled by our disciplined portfolio construction, proactive hedging and prudent capital structure.” About Annaly Annaly is a leading diversified capital manager with investment strategies across mortgage finance. Annaly’s principal business objective is to generate net income for distribution to its stockholders and to optimize its returns through prudent management of its diversified investment strategies. Annaly is internally managed and has elected to be taxed as a real estate investment trust, or REIT, for federal income tax purposes. Additional information on the company can be found at www.annaly.com. Forward-Looking Statements This news release and our public documents to which we refer 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,” “should,” “estimate,” “project,” “believe,” “expect,” “anticipate,” “continue,” or similar terms or variations on those terms or the negative of those terms. 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 and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our residential credit business; our ability to grow our mortgage servicing rights business; credit risks related to our 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 our ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting our business; our ability to maintain our qualification as a REIT for U.S. federal income tax purposes; our ability to maintain our 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. View source version on businesswire.com: https://www.businesswire.com/news/home/20260610416101/en/ Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
investor@annaly.com Original: Annaly Capital Management, Inc. Increases 2nd Quarter 2026 Common Stock Dividend to $0.75 per Share

Annaly Capital Management, Inc. Reports 1st Quarter 2026 ResultsApril 21, 2026 4:05 PM
Business Wire
Annaly Capital Management, Inc. (NYSE: NLY) ("Annaly" or the "Company") today announced its financial results for the quarter ended March 31, 2026.


Financial Highlights



GAAP net income of $0.33 per average common share for the quarter



Earnings available for distribution ("EAD") of $0.76 per average common share for the quarter



Economic return of 1.5% for the first quarter



Book value per common share of $19.82



GAAP leverage of 7.3x, up from 7.2x in the prior quarter; economic leverage of 5.7x, up from 5.6x in the prior quarter



Common stock cash dividend of $0.70 per share for the first quarter



Business Highlights


Investment and Strategy



Total portfolio of $106.7 billion, including $92.2 billion in highly liquid Agency portfolio(1)



Annaly’s Agency portfolio decreased marginally, representing 56% of dedicated capital(2), with activity focused on investing paydowns into intermediate coupons, primarily 4.5% securities, and Agency CMBS



Maintained a conservative hedge profile throughout the quarter given elevated rate and macro volatility; ended the quarter with hedge ratio of 87% with notional hedge portfolio relatively unchanged



Annaly’s Residential Credit portfolio increased 30% to $10.3 billion(1), representing 23% of dedicated capital(2), reflecting continued momentum across its whole loan correspondent channel and securitization platform



Annaly's MSR portfolio increased 9% to $4.2 billion(1) in market value, representing 21% of dedicated capital(2), driven by robust bulk and flow purchase activity; Onslow Bay is the fifth largest non-bank servicer of Agency MBS(3)

– Received a 2025 Gold SHARP award from Freddie Mac, recognizing superior mortgage servicing portfolio performance



Financing and Capital



$9.0 billion of total assets available for financing(4), including cash and unencumbered Agency MBS of $5.0 billion



Annaly Residential Credit Group closed eight securitizations totaling a record $4.7 billion during the first quarter, surpassing $50 billion in total issuance

– 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 4.29%, down 20 basis points quarter-over-quarter, and average economic cost of interest-bearing liabilities of 3.93%, down two basis points quarter-over-quarter



Annaly’s Residential Credit and MSR businesses increased financing capacity by $550 million and $100 million, respectively, through new and expanded credit facilities; total warehouse capacity across both businesses of $7.6 billion, including $2.8 billion of committed capacity



Raised $509 million of accretive capital through the Company’s at-the-market sales program(6)



"The first quarter of 2026 marked Annaly’s tenth consecutive quarter of positive economic returns as our diversified housing finance platform further demonstrated its ability to deliver superior risk-adjusted returns across a range of market environments,” remarked Chief Executive Officer & Co-Chief Investment Officer David Finkelstein. "Earnings again exceeded our dividend, and we grew the portfolio through accretive capital raising and disciplined portfolio management.


"During the first quarter, we increased our capital allocation to our non-Agency businesses considerate of compelling relative value. Our Residential Credit portfolio expanded 30% driven by another quarter of record whole loan production, while continuing our programmatic pace of securitization. Our MSR portfolio also grew nearly 10% as we capitalized on opportunities in the bulk and flow markets, leveraging our strong industry relationships. At the same time, our flagship Agency MBS business performed well with technical factors among the most supportive we have seen in years, bolstered by a disciplined leverage and liquidity profile. Looking ahead, we see attractive investment opportunities across our three strategies and believe Annaly remains well-positioned to deliver sustainable value for our shareholders."




(1)







Total portfolio represents Annaly’s investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Assets exclude assets transferred or pledged to securitization vehicles of $34.2 billion, include TBA purchase contracts (market value) of $5.8 billion, include unsettled MSR commitments of $13 million, include $3.5 billion of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $2.5 billion. MSR commitments 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, which include TBA purchase contracts, and liabilities.








(3)







Based on information aggregated from Fannie Mae and Freddie Mac monthly loan level files by eMBS servicing transfer data as of March 31, 2026. Excludes transfer activity related to platform acquisitions.








(4)







Comprised of $7.4 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 (April 10, 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 March 31, 2026, December 31, 2025 and March 31, 2025:




 






March 31, 2026






 






December 31, 2025






 






March 31, 2025








Book value per common share






$






19.82






 






 






$






20.21






 






 






$






19.02






 








GAAP net income per average common share (1)






$






0.33






 






 






$






1.40






 






 






$






0.15






 








Annualized GAAP return on average equity (2)






 






7.15






%






 






 






26.14






%






 






 






4.04






%








GAAP leverage at period-end (3)






7.3:1







 






7.2:1







 






6.8:1









Net interest margin (4)






 






1.41






%






 






 






1.18






%






 






 






0.87






%








Average yield on interest earning assets (5)






 






5.36






%






 






 






5.42






%






 






 






5.18






%








Average GAAP cost of interest bearing liabilities (6)






 






4.29






%






 






 






4.49






%






 






 






4.77






%








Net interest spread






 






1.07






%






 






 






0.93






%






 






 






0.41






%








Non-GAAP metrics *






 







 






 







 






 









Earnings available for distribution per average common share (1)






$






0.76






 






 






$






0.74






 






 






$






0.72






 








Annualized EAD return on average equity






 






14.58






%






 






 






14.28






%






 






 






14.43






%








Economic leverage at period-end (3)






5.7:1







 






5.6:1







 






5.7:1









Net interest margin (excluding PAA) (4)






 






1.71






%






 






 






1.69






%






 






 






1.69






%








Average yield on interest earning assets (excluding PAA) (5)






 






5.35






%






 






 






5.44






%






 






 






5.23






%








Average economic cost of interest bearing liabilities (6)






 






3.93






%






 






 






3.95






%






 






 






3.88






%








Net interest spread (excluding PAA)






 






1.42






%






 






 






1.49






%






 






 






1.35






%








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








(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 1.79%, 6.53%, and 1.01% for the quarters ended March 31, 2026, December 31, 2025, and March 31, 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 and our public documents to which we refer 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.


Annaly is a leading diversified capital manager with investment strategies across mortgage finance. Annaly’s principal business objective is to generate net income for distribution to its stockholders and to optimize its returns through prudent management of its diversified investment strategies. Annaly is internally managed and has elected to be taxed as a real estate investment trust, or REIT, for federal income tax purposes. Additional information on the company can be found at www.annaly.com.


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 by reference into, and are not a part of, this document.


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 First Quarter 2026 Investor Presentation and the First Quarter 2026 Financial Supplement can be found at the Company’s website (www.annaly.com) in the "Investors" section under "Investor Presentations."


Conference Call


The Company will hold the first quarter 2026 earnings conference call on April 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://dpregister.com/sreg/10207726/103aa658df0. 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 844-735-3317 within the U.S., or 412-317-5703 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 855-669-9568 for domestic calls and 412-317-0088 for international calls and the conference passcode is 4019012. 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)
















 



 






March 31, 2026






 






December 31, 2025 (1)






 






September 30, 2025






 






June 30, 2025






 






March 31, 2025








 






(unaudited)






 






 






 






(unaudited)






 






(unaudited)






 






(unaudited)








Assets






 






 






 






 






 






 






 






 






 








Cash and cash equivalents






$






1,912,444






 






 






$






2,037,838






 






 






$






2,096,696






 






 






$






2,058,845






 






 






$






1,833,528






 








Securities






 






88,473,681






 






 






 






91,287,630






 






 






 






85,062,725






 






 






 






73,500,626






 






 






 






70,361,364






 








Loans, net






 






7,230,876






 






 






 






5,020,784






 






 






 






4,008,299






 






 






 






3,722,272






 






 






 






3,860,555






 








Mortgage servicing rights






 






4,115,999






 






 






 






3,645,865






 






 






 






3,476,181






 






 






 






3,281,190






 






 






 






3,272,902






 








Interests in MSR






 






27,212






 






 






 






28,626






 






 






 






35,833






 






 






 






—






 






 






 






—






 








Assets transferred or pledged to securitization vehicles






 






34,207,738






 






 






 






32,067,433






 






 






 






29,512,309






 






 






 






27,021,790






 






 






 






24,464,281






 








Derivative assets






 






395,099






 






 






 






115,533






 






 






 






47,899






 






 






 






149,690






 






 






 






67,257






 








Reverse repurchase agreements






 






33,524






 






 






 






34,389






 






 






 






35,004






 






 






 






—






 






 






 






—






 








Receivable for unsettled trades






 






891,293






 






 






 






1,031






 






 






 






185,916






 






 






 






1,134,896






 






 






 






2,523






 








Principal and interest receivable






 






806,484






 






 






 






926,660






 






 






 






959,435






 






 






 






830,535






 






 






 






836,946






 








Intangible assets, net






 






6,053






 






 






 






6,726






 






 






 






7,398






 






 






 






8,071






 






 






 






8,743






 








Other assets






 






437,188






 






 






 






437,323






 






 






 






433,877






 






 






 






433,977






 






 






 






407,247






 








Total assets






$






138,537,591






 






 






$






135,609,838






 






 






$






125,861,572






 






 






$






112,141,892






 






 






$






105,115,346






 








Liabilities and stockholders’ equity






 






 






 






 






 






 






 






 






 








Liabilities






 






 






 






 






 






 






 






 






 








Repurchase agreements






$






85,068,102






 






 






$






81,865,723






 






 






$






75,118,963






 






 






$






66,541,378






 






 






$






61,659,460






 








Other secured financing






 






1,125,000






 






 






 






1,075,000






 






 






 






1,025,000






 






 






 






1,025,000






 






 






 






900,000






 








Debt issued by securitization vehicles






 






30,719,417






 






 






 






28,918,753






 






 






 






26,601,790






 






 






 






24,107,249






 






 






 






21,802,193






 








Participations issued






 






2,484,018






 






 






 






1,932,655






 






 






 






1,831,657






 






 






 






1,556,900






 






 






 






1,748,273






 








U.S. Treasury securities sold, not yet purchased






 






—






 






 






 






2,396,724






 






 






 






2,442,570






 






 






 






2,528,167






 






 






 






2,519,125






 








Derivative liabilities






 






207,369






 






 






 






53,755






 






 






 






199,100






 






 






 






425,993






 






 






 






181,065






 








Payable for unsettled trades






 






1,522,750






 






 






 






2,059,386






 






 






 






2,604,278






 






 






 






1,538,526






 






 






 






2,304,774






 








Interest payable






 






347,607






 






 






 






380,688






 






 






 






285,080






 






 






 






256,245






 






 






 






285,858






 








Dividends payable






 






511,203






 






 






 






494,881






 






 






 






476,737






 






 






 






449,453






 






 






 






421,637






 








Other liabilities






 






226,314






 






 






 






272,362






 






 






 






279,818






 






 






 






238,618






 






 






 






208,453






 








Total liabilities






 






122,211,780






 






 






 






119,449,927






 






 






 






110,864,993






 






 






 






98,667,529






 






 






 






92,030,838






 








Stockholders’ equity






 






 






 






 






 






 






 






 






 








Preferred stock, par value $0.01 per share (2)






 






1,802,480






 






 






 






1,802,480






 






 






 






1,802,480






 






 






 






1,536,569






 






 






 






1,536,569






 








Common stock, par value $0.01 per share (3)






 






7,303






 






 






 






7,070






 






 






 






6,811






 






 






 






6,421






 






 






 






6,023






 








Additional paid-in capital






 






28,427,555






 






 






 






27,927,113






 






 






 






27,352,976






 






 






 






26,520,657






 






 






 






25,749,468






 








Accumulated other comprehensive income (loss)






 






(533,614






)






 






 






(488,566






)






 






 






(624,387






)






 






 






(740,046






)






 






 






(787,402






)








Accumulated deficit






 






(13,429,615






)






 






 






(13,157,325






)






 






 






(13,626,983






)






 






 






(13,942,302






)






 






 






(13,509,942






)








Total stockholders’ equity






 






16,274,109






 






 






 






16,090,772






 






 






 






14,910,897






 






 






 






13,381,299






 






 






 






12,994,716






 








Noncontrolling interests






 






51,702






 






 






 






69,139






 






 






 






85,682






 






 






 






93,064






 






 






 






89,792






 








Total equity






 






16,325,811






 






 






 






16,159,911






 






 






 






14,996,579






 






 






 






13,474,363






 






 






 






13,084,508






 








Total liabilities and equity






$






138,537,591






 






 






$






135,609,838






 






 






$






125,861,572






 






 






$






112,141,892






 






 






$






105,115,346






 








 








(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 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; 602,338,286 shares issued and outstanding at March 31, 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








 






March 31, 2026






 






December 31, 2025






 






September 30, 2025






 






June 30, 2025






 






March 31, 2025








Net interest income






 






 






 






 






 






 






 






 






 








Interest income






$






1,724,930






 






 






$






1,690,707






 






 






$






1,532,497






 






 






$






1,418,893






 






 






$






1,317,108






 








Interest expense






 






1,272,239






 






 






 






1,324,128






 






 






 






1,256,747






 






 






 






1,145,693






 






 






 






1,097,137






 








Net interest income






 






452,691






 






 






 






366,579






 






 






 






275,750






 






 






 






273,200






 






 






 






219,971






 








Net servicing income






 






 






 






 






 






 






 






 






 








Servicing and related income






 






159,133






 






 






 






156,131






 






 






 






141,356






 






 






 






141,670






 






 






 






140,435






 








Servicing and related expense






 






16,580






 






 






 






16,485






 






 






 






15,104






 






 






 






14,571






 






 






 






14,113






 








Net servicing income






 






142,553






 






 






 






139,646






 






 






 






126,252






 






 






 






127,099






 






 






 






126,322






 








Other income (loss)






 






 






 






 






 






 






 






 






 








Net gains (losses) on investments and other






 






(672,119






)






 






 






289,428






 






 






 






561,927






 






 






 






83,503






 






 






 






810,812






 








Net gains (losses) on derivatives






 






409,112






 






 






 






251,799






 






 






 






(92,308






)






 






 






(388,785






)






 






 






(977,867






)








Other, net






 






9,323






 






 






 






13,952






 






 






 






13,959






 






 






 






15,812






 






 






 






7,398






 








Total other income (loss)






 






(253,684






)






 






 






555,179






 






 






 






483,578






 






 






 






(289,470






)






 






 






(159,657






)








General and administrative expenses






 






 






 






 






 






 






 






 






 








Compensation expense






 






41,384






 






 






 






39,279






 






 






 






38,393






 






 






 






36,583






 






 






 






37,297






 








Other general and administrative expenses






 






11,180






 






 






 






11,928






 






 






 






11,947






 






 






 






13,435






 






 






 






10,767






 








Total general and administrative expenses






 






52,564






 






 






 






51,207






 






 






 






50,340






 






 






 






50,018






 






 






 






48,064






 








Income (loss) before income taxes






 






288,996






 






 






 






1,010,197






 






 






 






835,240






 






 






 






60,811






 






 






 






138,572






 








Income taxes






 






(1,519






)






 






 






(7,754






)






 






 






(7,823






)






 






 






440






 






 






 






8,267






 








Net income (loss)






 






290,515






 






 






 






1,017,951






 






 






 






843,063






 






 






 






60,371






 






 






 






130,305






 








Net income (loss) attributable to noncontrolling interests






 






7,863






 






 






 






4,457






 






 






 






10,618






 






 






 






3,272






 






 






 






6,081






 








Net income (loss) attributable to Annaly






 






282,652






 






 






 






1,013,494






 






 






 






832,445






 






 






 






57,099






 






 






 






124,224






 








Dividends on preferred stock (1)






 






40,652






 






 






 






42,387






 






 






 






41,127






 






 






 






37,260






 






 






 






37,157






 








Net income (loss) available (related) to common stockholders






$






242,000






 






 






$






971,107






 






 






$






791,318






 






 






$






19,839






 






 






$






87,067






 








Net income (loss) per share available (related) to common stockholders






 






 






 






 






 






 






 






 








Basic






$






0.33






 






 






$






1.40






 






 






$






1.21






 






 






$






0.03






 






 






$






0.15






 








Diluted






$






0.33






 






 






$






1.40






 






 






$






1.20






 






 






$






0.03






 






 






$






0.15






 








Weighted average number of common shares outstanding






 






 






 






 






 






 






 






 








Basic






 






722,707,153






 






 






 






693,011,031






 






 






 






656,335,974






 






 






 






620,208,712






 






 






 






587,149,704






 








Diluted






 






724,364,897






 






 






 






695,034,348






 






 






 






657,856,427






 






 






 






621,103,218






 






 






 






588,420,998






 








Other comprehensive income (loss)






 






 






 






 






 






 






 






 








Net income (loss)






$






290,515






 






 






$






1,017,951






 






 






$






843,063






 






 






$






60,371






 






 






$






130,305






 








Unrealized gains (losses) on available-for-sale securities






 






(45,048






)






 






 






74,992






 






 






 






113,281






 






 






 






33,559






 






 






 






164,877






 








Reclassification adjustment for net (gains) losses included in net income (loss)






 






—






 






 






 






60,829






 






 






 






2,378






 






 






 






13,797






 






 






 






65,403






 








Other comprehensive income (loss)






 






(45,048






)






 






 






135,821






 






 






 






115,659






 






 






 






47,356






 






 






 






230,280






 








Comprehensive income (loss)






 






245,467






 






 






 






1,153,772






 






 






 






958,722






 






 






 






107,727






 






 






 






360,585






 








Comprehensive income (loss) attributable to noncontrolling interests






 






7,863






 






 






 






4,457






 






 






 






10,618






 






 






 






3,272






 






 






 






6,081






 








Comprehensive income (loss) attributable to Annaly






 






237,604






 






 






 






1,149,315






 






 






 






948,104






 






 






 






104,455






 






 






 






354,504






 








Dividends on preferred stock (1)






 






40,652






 






 






 






42,387






 






 






 






41,127






 






 






 






37,260






 






 






 






37,157






 








Comprehensive income (loss) attributable to common stockholders






$






196,952






 






 






$






1,106,928






 






 






$






906,977






 






 






$






67,195






 






 






$






317,347






 








 








(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.







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 March 31, 2026, December 31, 2025 and March 31, 2025:




 






March 31, 2026






 






December 31, 2025






 






March 31, 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






 






10.2






%






 






 






9.7






%






 






 






7.1






%








Weighted average projected long-term CPR at period-end






 






10.4






%






 






 






10.8






%






 






 






9.5






%








Liabilities and hedging metrics






 







 






 







 






 









Weighted average days to maturity on repurchase agreements outstanding at period-end






 






36






 






 






 






35






 






 






 






50






 








Hedge ratio (1)






 






87






%






 






 






90






%






 






 






95






%








Weighted average pay rate on interest rate swaps at period-end (2)






 






3.14






%






 






 






3.15






%






 






 






2.98






%








Weighted average receive rate on interest rate swaps at period-end (2)






 






3.74






%






 






 






3.92






%






 






 






4.43






%








Weighted average net rate on interest rate swaps at period-end (2)






 






(0.60






%)






 






 






(0.77






%)






 






 






(1.45






%)








GAAP leverage at period-end (3)






7.3:1







 






7.2:1







 






6.8:1









GAAP capital ratio at period-end (4)






 






11.8






%






 






 






11.9






%






 






 






12.4






%








Performance related metrics






 







 






 







 






 









Book value per common share






$






19.82






 






 






$






20.21






 






 






$






19.02






 








GAAP net income per average common share (5)






$






0.33






 






 






$






1.40






 






 






$






0.15






 








Annualized GAAP return on average equity (6)






 






7.15






%






 






 






26.14






%






 






 






4.04






%








Net interest margin (7)






 






1.41






%






 






 






1.18






%






 






 






0.87






%








Average yield on interest earning assets (8)






 






5.36






%






 






 






5.42






%






 






 






5.18






%








Average GAAP cost of interest bearing liabilities (9)






 






4.29






%






 






 






4.49






%






 






 






4.77






%








Net interest spread






 






1.07






%






 






 






0.93






%






 






 






0.41






%








Dividend declared per common share






$






0.70






 






 






$






0.70






 






 






$






0.70






 








Annualized dividend yield (10)






 






13.24






%






 






 






12.52






%






 






 






13.79






%








Non-GAAP metrics *






 







 






 







 






 









Earnings available for distribution per average common share (5)






$






0.76






 






 






$






0.74






 






 






$






0.72






 








Annualized EAD return on average equity (excluding PAA)






 






14.58






%






 






 






14.28






%






 






 






14.43






%








Economic leverage at period-end (3)






5.7:1







 






5.6:1







 






5.7:1









Economic capital ratio at period end (4)






 






14.7






%






 






 






14.9






%






 






 






14.8






%








Net interest margin (excluding PAA) (7)






 






1.71






%






 






 






1.69






%






 






 






1.69






%








Average yield on interest earning assets (excluding PAA) (8)






 






5.35






%






 






 






5.44






%






 






 






5.23






%








Average economic cost of interest bearing liabilities (9)






 






3.93






%






 






 






3.95






%






 






 






3.88






%








Net interest spread (excluding PAA)






 






1.42






%






 






 






1.49






%






 






 






1.35






%








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








(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 1.79%, 6.53% and 1.01% for the quarters ended March 31, 2026, December 31, 2025, and March 31, 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 $21.15, $22.36 and $20.31 at March 31, 2026, December 31, 2025 and March 31, 2025, respectively.







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




 






For the quarters ended








 






March 31, 2026






 






December 31, 2025






 






March 31, 2025








Agency mortgage-backed securities






$






86,380,653






 






$






89,628,654






 






$






68,329,720








Residential credit risk transfer securities






 






110,646






 






 






213,800






 






 






521,059








Non-agency mortgage-backed securities






 






1,588,026






 






 






1,445,176






 






 






1,451,524








Commercial mortgage-backed securities






 






394,356






 






 






—






 






 






59,061








Total securities






$






88,473,681






 






$






91,287,630






 






$






70,361,364








Residential mortgage loans






$






7,230,876






 






$






5,020,784






 






$






3,860,555








Total loans, net






$






7,230,876






 






$






5,020,784






 






$






3,860,555








Mortgage servicing rights






$






4,115,999






 






$






3,645,865






 






$






3,272,902








Interests in MSR






$






27,212






 






$






28,626






 






$






—








Residential mortgage loans transferred or pledged to securitization vehicles






$






34,207,738






 






$






32,067,433






 






$






24,464,281








Assets transferred or pledged to securitization vehicles






$






34,207,738






 






$






32,067,433






 






$






24,464,281








Total investment portfolio






$






134,055,506






 






$






132,050,338






 






$






101,959,102








 







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








 






March 31, 2026






 






December 31, 2025






 






March 31, 2025








 






(dollars in thousands, except per share data)








GAAP net income (loss)






$






290,515






 






 






$






1,017,951






 






 






$






130,305






 








Adjustments to exclude reported realized and unrealized (gains) losses






 






 






 






 






 








Net (gains) losses on investments and other (1)






 






674,162






 






 






 






(288,630






)






 






 






(810,970






)








Net (gains) losses on derivatives (2)






 






(312,265






)






 






 






(104,405






)






 






 






1,169,412






 








Other adjustments








Amortization of intangibles






 






673






 






 






 






672






 






 






 






673






 








Non-EAD (income) loss allocated to equity method investments (3)






 






—






 






 






 






405






 






 






 






147






 








Transaction expenses and non-recurring items (4)






 






7,951






 






 






 






7,223






 






 






 






6,782






 








Income tax effect of non-EAD income (loss) items






 






(4,812






)






 






 






(9,456






)






 






 






7,355






 








TBA dollar roll income (5)






 






18,993






 






 






 






4,813






 






 






 






11,275






 








MSR amortization (6)






 






(78,646






)






 






 






(77,955






)






 






 






(62,433






)








EAD attributable to noncontrolling interests






 






(2,989






)






 






 






(4,027






)






 






 






(2,985






)








Premium amortization adjustment cost (benefit)






 






(3,694






)






 






 






6,627






 






 






 






12,296






 








Earnings available for distribution *






 






589,888






 






 






 






553,218






 






 






 






461,857






 








Dividends on preferred stock (7)






 






40,652






 






 






 






42,387






 






 






 






37,157






 








Earnings available for distribution attributable to common stockholders *






$






549,236






 






 






$






510,831






 






 






$






424,700






 








GAAP net income (loss) per average common share






$






0.33






 






 






$






1.40






 






 






$






0.15






 








Earnings available for distribution per average common share *






$






0.76






 






 






$






0.74






 






 






$






0.72






 








Annualized GAAP return (loss) on average equity (8)






 






7.15






%






 






 






26.14






%






 






 






4.04






%








Annualized EAD return on average equity *






 






14.58






%






 






 






14.28






%






 






 






14.43






%








* 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 $96.8 million, $147.4 million and $191.5 million for the quarters ended March 31, 2026, December 31, 2025 and March 31, 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) The quarter ended December 31, 2025 excludes cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025.








(8) 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 1.79%, 6.53%, and 1.01% for the quarters ended March 31, 2026, December 31, 2025, and March 31, 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 March 31, 2026, December 31, 2025 and March 31, 2025:




 






For the quarters ended








 






March 31, 2026






 






December 31, 2025






 






March 31, 2025








 






(dollars in thousands)








Premium amortization expense (accretion)






$






67,509






 






 






$






41,367






 






$






57,412








Less: PAA cost (benefit)






 






(3,694






)






 






 






6,627






 






 






12,296








Premium amortization expense (excluding PAA)






$






71,203






 






 






$






34,740






 






$






45,116








 







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








 






March 31, 2026






 






December 31, 2025






 






March 31, 2025








Economic leverage ratio reconciliation






(dollars in thousands)








Repurchase agreements






$






85,068,102






 






 






$






81,865,723






 






 






$






61,659,460






 








Other secured financing






 






1,125,000






 






 






 






1,075,000






 






 






 






900,000






 








Debt issued by securitization vehicles






 






30,719,417






 






 






 






28,918,753






 






 






 






21,802,193






 








Participations issued






 






2,484,018






 






 






 






1,932,655






 






 






 






1,748,273






 








U.S Treasury securities sold, not yet purchased






 






—






 






 






 






2,396,724






 






 






 






2,519,125






 








Total GAAP debt






$






119,396,537






 






 






$






116,188,855






 






 






$






88,629,051






 








Less Non-recourse debt:






 







 






 







 






 









Debt issued by securitization vehicles (1)






$






(30,463,341






)






 






$






(28,651,989






)






 






$






(21,802,193






)








Participations issued






 






(2,484,018






)






 






 






(1,932,655






)






 






 






(1,748,273






)








Total recourse debt






$






86,449,178






 






 






$






85,604,211






 






 






$






65,078,585






 








Plus / (Less):






 







 






 







 






 









Cost basis of TBA derivatives






$






5,948,177






 






 






$






3,252,601






 






 






$






6,612,755






 








Payable for unsettled trades






 






1,522,750






 






 






 






2,059,386






 






 






 






2,304,774






 








Receivable for unsettled trades






 






(891,293






)






 






 






(1,031






)






 






 






(2,523






)








Economic debt *






$






93,028,812






 






 






$






90,915,167






 






 






$






73,993,591






 








Total equity






$






16,325,811






 






 






$






16,159,911






 






 






$






13,084,508






 








Economic leverage ratio *






5.7:1







 






5.6:1







 






5.7:1









 






 







 






 







 






 









* 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








 






March 31, 2026






 






December 31, 2025






 






March 31, 2025








Economic capital ratio reconciliation






(dollars in thousands)








Total GAAP assets






$






138,537,591






 






 






$






135,609,838






 






 






$






105,115,346






 








Less:






 






 






 






 






 








Gross unrealized gains on TBA derivatives (1)






 






(28,927






)






 






 






(17,648






)






 






 






(35,095






)








Debt issued by securitization vehicles (2)






 






(30,463,341






)






 






 






(28,651,989






)






 






 






(21,802,193






)








Participations issued






 






(2,484,018






)






 






 






(1,932,655






)






 






 






(1,748,273






)








Plus:






 






 






 






 






 








Implied market value of TBA derivatives






 






5,845,420






 






 






 






3,257,086






 






 






 






6,635,383






 








Total economic assets *






$






111,406,725






 






 






$






108,264,632






 






 






$






88,165,168






 








Total equity






$






16,325,811






 






 






$






16,159,911






 






 






$






13,084,508






 








Economic capital ratio *






 






14.7






%






 






 






14.9






%






 






 






14.8






%








 






 






 






 






 






 








* 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








 






March 31, 2026






 






December 31, 2025






 






March 31, 2025








Interest income (excluding PAA) reconciliation






(dollars in thousands)








GAAP interest income






$






1,724,930






 






 






$






1,690,707






 






 






$






1,317,108






 








Premium amortization adjustment






 






(3,694






)






 






 






6,627






 






 






 






12,296






 








Interest income (excluding PAA) *






$






1,721,236






 






 






$






1,697,334






 






 






$






1,329,404






 








Economic interest expense reconciliation






 






 






 






 






 








GAAP interest expense






$






1,272,239






 






 






$






1,324,128






 






 






$






1,097,137






 








Add:






 






 






 






 






 








Net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps (1)






 






(107,365






)






 






 






(159,973






)






 






 






(204,389






)








Economic interest expense *






$






1,164,874






 






 






$






1,164,155






 






 






$






892,748






 








Economic net interest income (excluding PAA) reconciliation






 






 






 






 








Interest income (excluding PAA) *






$






1,721,236






 






 






$






1,697,334






 






 






$






1,329,404






 








Less:






 






 






 






 






 








Economic interest expense *






 






1,164,874






 






 






 






1,164,155






 






 






 






892,748






 








Economic net interest income (excluding PAA) *






$






556,362






 






 






$






533,179






 






 






$






436,656






 








 








* 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








 






March 31, 2026






 






December 31, 2025






 






March 31, 2025








Economic metrics (excluding PAA)






(dollars in thousands)








Average interest earning assets






$






128,783,013






 






 






$






124,781,771






 






 






$






101,631,610






 








Interest income (excluding PAA) *






$






1,721,236






 






 






$






1,697,334






 






 






$






1,329,404






 








Average yield on interest earning assets (excluding PAA) *






 






5.35






%






 






 






5.44






%






 






 






5.23






%








Average interest bearing liabilities






$






118,603,594






 






 






$






115,319,739






 






 






$






92,001,700






 








Economic interest expense *






$






1,164,874






 






 






$






1,164,155






 






 






$






892,748






 








Average economic cost of interest bearing liabilities *






 






3.93






%






 






 






3.95






%






 






 






3.88






%








Economic net interest income (excluding PAA) *






$






556,362






 






 






$






533,179






 






 






$






436,656






 








Net interest spread (excluding PAA) *






 






1.42






%






 






 






1.49






%






 






 






1.35






%








Interest income (excluding PAA) *






$






1,721,236






 






 






$






1,697,334






 






 






$






1,329,404






 








TBA dollar roll income






 






18,993






 






 






 






4,813






 






 






 






11,275






 








Economic interest expense *






 






(1,164,874






)






 






 






(1,164,155






)






 






 






(892,748






)








Subtotal






$






575,355






 






 






$






537,992






 






 






$






447,931






 








Average interest earnings assets






$






128,783,013






 






 






$






124,781,771






 






 






$






101,631,610






 








Average TBA contract balances






 






5,443,741






 






 






 






2,182,985






 






 






 






4,625,212






 








Subtotal






$






134,226,754






 






 






$






126,964,756






 






 






$






106,256,822






 








Net interest margin (excluding PAA) *






 






1.71






%






 






 






1.69






%






 






 






1.69






%








* Represents a non-GAAP financial measure.







 

View source version on businesswire.com: https://www.businesswire.com/news/home/20260420447431/en/
Annaly Capital Management, Inc.

Investor Relations

1-888-8Annaly

www.annaly.com




Original: Annaly Capital Management, Inc. Reports 1st Quarter 2026 Results