Annaly Capital Management : First Quarter 2026 Financial Supplement

Published: 2026-04-21 16:52:49 ET NLY

Published on 04/21/2026 at 04:52 pm EDT

First Quarter 2026

Financial

Supplement

April 21, 2026

Financial Snapshot

Income Statement

Balance Sheet

Portfolio

Unaudited, dollars in thousands except per share amounts

For the quarters ended

3/31/2026

12/31/2025

GAAP net income (loss) per average common share (1)

$0.33

$1.40

Earnings available for distribution per average common share *(1)

$0.76

$0.74

Annualized GAAP return (loss) on average equity (2)

7.15%

26.14%

Annualized EAD return on average equity*

14.58%

14.28%

Book value per common share

$19.82

$20.21

GAAP leverage at period-end (3)

7.3x

7.2x

Economic leverage at period-end *(3)

5.7x

5.6x

GAAP capital ratio at period-end (4)

11.8%

11.9%

Economic capital ratio at period-end *(4)

14.7%

14.9%

Securities

$88,473,681

$91,287,630

Loans, net

7,230,876

5,020,784

Mortgage servicing rights

4,115,999

3,645,865

Interests in MSR

27,212

28,626

Assets transferred or pledged to securitization vehicles

34,207,738

32,067,433

Total investment portfolio

$134,055,506

$132,050,338

Net interest margin (5)

1.41%

1.18%

GAAP

Average yield on interest earning assets (6)

5.36%

5.42%

Key Statistics

Average GAAP cost of interest bearing liabilities (7)

4.29%

4.49%

Net interest spread

1.07%

0.93%

Net interest margin (excluding PAA) *(5)

1.71%

1.69%

Non-GAAP

Average yield on interest earning assets (excluding PAA) *(6)

5.35%

5.44%

Key Statistics

Average economic cost of interest bearing liabilities *(7)

3.93%

3.95%

Net interest spread (excluding PAA) *

1.42%

1.49%

Operating expenses to earnings available for distribution *

8.91%

9.26%

Efficiency

Annualized operating expenses as a % of average total assets

0.15%

0.16%

Annualized operating expenses as a % of average total equity

1.29%

1.31%

* Represents a non-GAAP financial measure.

Detailed endnotes are included within the Appendix at the end of this presentation.

Portfolio Data

Portfolio-Related Data

Unaudited, dollars in thousands

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

Agency mortgage-backed securities

$86,380,653

$89,628,654

$83,317,819

$71,756,638

$68,329,720

Residential credit risk transfer securities

110,646

213,800

330,647

414,047

521,059

Non-agency mortgage-backed securities

1,588,026

1,445,176

1,414,259

1,329,941

1,451,524

Commercial mortgage-backed securities

394,356

59,061

Total securities

$88,473,681

$91,287,630

$85,062,725

$73,500,626

$70,361,364

Residential mortgage loans

$7,230,876

$5,020,784

$4,008,299

$3,722,272

$3,860,555

Total 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

Residential mortgage loans transferred or pledged to securitization vehicles

$34,207,738

$32,067,433

$29,512,309

$27,021,790

$24,464,281

Assets transferred or pledged to securitization vehicles

$34,207,738

$32,067,433

$29,512,309

$27,021,790

$24,464,281

Total investment portfolio

$134,055,506

$132,050,338

$122,095,347

$107,525,878

$101,959,102

Total assets

$138,537,591

$135,609,838

$125,861,572

$112,141,892

$105,115,346

Period-end TBA contract balances, implied market value

$5,845,420

$3,257,086

$3,991,915

$7,783,931

$6,635,383

Average TBA contract balances, implied market value

$5,426,013

$2,186,109

$6,374,052

$6,213,317

$4,635,027

Financing & Capital Data

Financing Data

Key Capital and Hedging Metrics

Unaudited, dollars in thousands except per share amounts

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

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

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

Total debt

$119,396,537

$116,188,855

$107,019,980

$95,758,694

$88,629,051

Total liabilities

$122,211,780

$119,449,927

$110,864,993

$98,667,529

$92,030,838

Cumulative redeemable preferred stock

$1,802,480

$1,536,569

Common equity (1)

14,471,629

14,288,292

13,108,417

11,844,730

11,458,147

Total Annaly stockholders' equity

16,274,109

16,090,772

14,910,897

13,381,299

12,994,716

Non-controlling 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

Weighted average days to maturity of repurchase agreements

Weighted average rate on repurchase agreements, for the quarter (2)(3)

3.90%

4.20%

4.50%

4.53%

4.56%

Weighted average rate on repurchase agreements, at period-end (3)

3.87%

4.02%

4.36%

4.57%

4.56%

GAAP leverage at period-end

7.3x

7.2x

7.1x

6.8x

Economic leverage at period-end *

5.7x

5.6x

5.7x

5.8x

5.7x

GAAP capital ratio at period-end

11.8%

11.9%

12.0%

12.4%

Economic capital ratio at period-end *

14.7%

14.9%

14.8%

14.3%

14.8%

Book value per common share

$19.82

$20.21

$19.25

$18.45

$19.02

Total common shares outstanding

730,291

706,972

681,052

642,076

602,338

Hedge ratio (4)

87%

90%

92%

95%

Weighted average pay rate on interest rate swaps, at period-end

3.14%

3.15%

3.16%

3.14%

2.98%

Weighted average receive rate on interest rate swaps, at period-end

3.74%

3.92%

4.27%

4.47%

4.43%

Weighted average net rate on interest rate swaps, at period-end

(0.60%)

(0.77%)

(1.11%)

(1.33%)

(1.45%)

Income Statement Data

Summary Income Statement

Unaudited, dollars in thousands except per share amounts

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

Total interest income

$1,724,930

$1,690,707

$1,532,497

$1,418,893

$1,317,108

Total 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

Total economic interest expense *(1)

$1,164,874

$1,164,155

$1,051,717

$947,828

$892,748

Economic net interest income *

$560,056

$526,552

$480,780

$471,065

$424,360

Total interest income (excluding PAA) *

$1,721,236

$1,697,334

$1,550,887

$1,415,031

$1,329,404

Economic net interest income (excluding PAA) *

$556,362

$533,179

$499,170

$467,203

$436,656

GAAP net income (loss)

$290,515

$1,017,951

$843,063

$60,371

$130,305

GAAP net income (loss) available (related) to common stockholders (2)

$242,000

$971,107

$791,318

$19,839

$87,067

GAAP net income (loss) per average common share (2)

$0.33

$1.40

$1.21

$0.03

$0.15

Earnings available for distribution *

$589,888

$553,218

$519,882

$489,906

$461,857

Earnings available for distribution attributable to common stockholders *(2)

$549,236

$510,831

$478,755

$452,646

$424,700

Earnings available for distribution per average common share *(2)

$0.76

$0.74

$0.73

$0.72

PAA cost (benefit)

($3,694)

$6,627

$18,390

($3,862)

$12,296

Weighted average experienced CPR for the period

10.2%

9.7%

8.6%

8.7%

7.1%

Weighted average projected long-term CPR at period-end

10.4%

10.8%

10.4%

9.1%

9.5%

Key Earnings Metrics

Unaudited, dollars in thousands except per share amounts

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

Dividends declared per common share

$0.70

Total common and preferred dividends declared (1)

$554,942

$543,836

$517,126

$489,459

$461,020

Annualized GAAP return (loss) on average equity (2)

7.15%

26.14%

23.69%

1.82%

4.04%

Key GAAP

Annualized GAAP return (loss) on average equity per unit of GAAP leverage

0.98%

3.63%

3.34%

0.26%

0.59%

Earnings Metrics

Net interest margin

1.41%

1.18%

0.97%

1.04%

0.87%

Average yield on interest earning assets

5.36%

5.42%

5.40%

5.42%

5.18%

Average GAAP cost of interest bearing liabilities

4.29%

4.49%

4.73%

4.76%

4.77%

Net interest spread

1.07%

0.93%

0.67%

0.66%

0.41%

Annualized EAD return on average equity *

14.58%

14.28%

14.70%

14.86%

14.43%

Annualized EAD return on average equity per unit of economic leverage *

2.56%

2.55%

2.58%

2.56%

2.53%

Key Non-GAAP

Net interest margin (excluding PAA) *

1.71%

1.69%

1.70%

1.71%

1.69%

Earnings Metrics

Average yield on interest earning assets (excluding PAA) *

5.35%

5.44%

5.46%

5.41%

5.23%

Average economic cost of interest bearing liabilities *

3.93%

3.95%

3.96%

3.94%

3.88%

Net interest spread (excluding PAA) *

1.42%

1.49%

1.50%

1.47%

1.35%

Components of Economic Net Interest Income*

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

Unaudited, dollars in thousands

Interest income:

Agency Securities

$1,084,411

$1,079,716

$949,511

$875,937

$820,182

Resi Credit Securities

31,422

33,474

33,462

36,853

40,207

Residential mortgage loans

596,789

550,529

505,527

467,959

426,055

Commercial investment portfolio

1,622

163

1,055

Reverse repurchase agreements

10,686

26,988

43,997

37,981

29,609

Total interest income

$1,724,930

$1,690,707

$1,532,497

$1,418,893

$1,317,108

Economic interest expense:

Economic Net Interest Income *

U.S. Treasury securities sold, not yet purchased

8,266

25,444

25,962

26,654

25,718

Debt issued by securitization vehicles

398,133

383,139

349,959

312,383

283,592

Participations issued

32,893

28,208

28,651

30,738

27,044

Total economic interest expense *

$1,164,874

$1,164,155

$1,051,717

$947,828

$892,748

Economic net interest income *

$560,056

$526,552

$480,780

$471,065

$424,360

PAA cost (benefit)

(3,694)

6,627

18,390

(3,862)

12,296

Economic net interest income (excluding PAA) *

$556,362

$533,179

$499,170

$467,203

$436,656

Repurchase agreements $832,947 $887,337 $852,175 $775,918 $760,783

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

(107,365)

(159,973)

(205,030)

(197,865)

(204,389)

GAAP Net Income to Earnings Available for Distribution* Reconciliation

Unaudited, dollars in thousands

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

GAAP net income (loss)

$290,515

$1,017,951

$843,063

$60,371

$130,305

Adjustments to exclude reported realized and unrealized (gains) losses:

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

674,162

(288,630)

(560,957)

(82,854)

(810,970)

Net (gains) losses on derivatives (2)

(312,265)

(104,405)

284,199

574,435

1,169,412

Other adjustments:

Amortization of intangibles

673

672

673

672

673

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

405

376

(403)

147

EAD*

Transaction expenses and non-recurring items (4)

7,951

7,223

8,117

5,706

6,782

Reconciliation

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

(4,812)

(9,456)

(6,742)

1,003

7,355

TBA dollar roll income (5)

18,993

4,813

9,019

7,252

11,275

MSR amortization (6)

(78,646)

(77,955)

(72,081)

(68,804)

(62,433)

EAD attributable to noncontrolling interests

(2,989)

(4,027)

(4,175)

(3,610)

(2,985)

Premium amortization adjustment cost (benefit)

(3,694)

6,627

18,390

(3,862)

12,296

Earnings available for distribution *

589,888

553,218

519,882

489,906

461,857

Dividends on preferred stock (7)

40,652

42,387

41,127

37,260

37,157

Earnings available for distribution attributable to common stockholders *

$549,236

$510,831

$478,755

$452,646

$424,700

Quarter-Over-Quarter Changes in Key Metrics

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

Unaudited

Book Value Rollforward

Book value per common share, beginning of period $20.21 $19.25 $18.45 $19.02 $19.15 Net income (loss) available (related) to common stockholders 0.33 1.40 1.21 0.03 0.15

Other comprehensive income (loss) attributable to common stockholders (0.06) 0.20 0.18 0.08 0.39

Common dividends declared (0.70) (0.70) (0.70) (0.70) (0.70)

Other (1) 0.04 0.06 0.11 0.02 0.03

Book value per common share, end of period $19.82 $20.21 $19.25 $18.45 $19.02

Net Interest Margin

Prior quarter net interest margin 1.18% 0.97% 1.04% 0.87% 0.75%

Quarter-over-quarter changes in contribution:

Coupon on average interest earning assets 0.04% 0.03% 0.01% 0.14% 0.03%

Net amortization of premiums (0.10%) (0.01%) (0.03%) 0.10% (0.21%)

GAAP interest expense 0.29% 0.19% (0.05%) (0.07%) 0.30%

Current quarter net interest margin 1.41% 1.18% 0.97% 1.04% 0.87%

Net Interest Spread

Prior quarter net interest spread 0.93% 0.67% 0.66% 0.41% 0.40%

Quarter-over-quarter changes in contribution:

Coupon on average interest earning assets 0.04% 0.03% 0.01% 0.14% 0.03%

Net amortization of premiums (0.10%) (0.01%) (0.03%) 0.10% (0.21%)

GAAP interest expense 0.20% 0.24% 0.03% 0.01% 0.19%

Current quarter net interest spread 1.07% 0.93% 0.67% 0.66% 0.41%

Quarter-Over-Quarter Changes in Key Metrics (cont'd)

Net Interest Margin (excluding PAA)*

Net Interest Spread (excluding PAA)*

Unaudited

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

Prior quarter net interest margin (excluding PAA) *

1.69%

1.70%

1.71%

1.69%

1.71%

Quarter-over-quarter changes in contribution:

Coupon on average interest earning assets (including average TBA dollar roll balances)

(0.10%)

0.24%

0.02%

0.06%

(0.09%)

Net amortization of premiums (excluding PAA)

(0.12%)

(0.07%)

0.05%

0.04%

(0.05%)

TBA dollar roll income

0.04%

(0.02%)

0.01%

(0.02%)

0.03%

Economic interest expense

0.20%

(0.16%)

(0.09%)

(0.06%)

0.09%

Current quarter net interest margin (excluding PAA) *

1.71%

1.69%

1.70%

1.71%

1.69%

Prior quarter net interest spread (excluding PAA) *

1.49%

1.50%

1.47%

1.35%

1.47%

Quarter-over-quarter changes in contribution:

Coupon on average interest earning assets

0.04%

0.03%

0.01%

0.14%

0.03%

Net amortization of premiums (excluding PAA)

(0.13%)

(0.05%)

0.04%

(0.06%)

Economic interest expense

0.02%

0.01%

(0.02%)

(0.06%)

(0.09%)

Current quarter net interest spread (excluding PAA) *

1.42%

1.49%

1.50%

1.47%

1.35%

Quarter-Over-Quarter Changes in Annualized Return on Average Equity

Annualized GAAP Return (Loss) on Average Equity

Annualized EAD Return on Average Equity*

Unaudited

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

Prior quarter annualized GAAP return (loss) on average equity

26.14%

23.69%

1.82%

4.04%

15.00%

Quarter-over-quarter changes in contribution:

Coupon income

(0.20%)

0.50%

0.56%

1.07%

0.09%

Net amortization of premiums and accretion of discounts

(0.73%)

(0.15%)

(0.24%)

0.80%

(1.66%)

GAAP interest expense

2.67%

1.31%

(0.80%)

(0.47%)

2.46%

Net servicing income

(0.08%)

0.04%

(0.28%)

(0.09%)

0.25%

Net gains (losses) on investments and other

(23.98%)

(8.36%)

13.27%

(22.64%)

88.89%

Net gains (losses) on derivatives

3.60%

9.06%

9.12%

18.63%

(100.58%)

Other (1)

(0.27%)

0.05%

0.24%

0.48%

(0.41%)

Current quarter annualized GAAP return (loss) on average equity

7.15%

26.14%

23.69%

1.82%

4.04%

Prior quarter annualized EAD return on average equity *

14.28%

14.70%

14.86%

14.43%

14.27%

Quarter-over-quarter changes in contribution:

Coupon income

(0.26%)

0.44%

0.54%

1.07%

0.07%

Net amortization of premiums (excluding PAA)

(1.00%)

(0.49%)

0.40%

0.31%

(0.48%)

Economic interest expense

1.25%

(0.30%)

(0.99%)

(0.85%)

0.18%

Net servicing income

(0.08%)

0.03%

(0.29%)

(0.10%)

0.26%

TBA dollar roll income

0.35%

(0.13%)

0.03%

(0.13%)

0.29%

Other (2)

0.04%

0.03%

0.15%

0.13%

(0.16%)

Current quarter annualized EAD return on average equity *

14.58%

14.28%

14.70%

14.86%

14.43%

Residential & Other Investments Overview as of March 31, 2026

Unaudited, dollars in thousands

Agency Fixed-Rate Securities (Pools) (1)

Original Weighted Avg.

Years to Maturity

Current Face Value

% (3)

Weighted Avg.

Coupon

Weighted Avg. Amortized Cost

Weighted Avg. Fair Value

Weighted Avg. 3-Month CPR

Estimated Fair Value

>=30 years (2)

$78,444,265

100.0%

5.13%

100.4%

99.9%

10.2%

$78,364,248

Total/Weighted Avg.

$78,444,265

100.0%

5.13%

100.4%

99.9%

10.2%

$78,364,248

Other Agency Securities

Type

Current Face Value

% (3)

Weighted Avg.

Coupon

Weighted Avg. Amortized Cost

Weighted Avg. Fair Value

Weighted Avg. 3-Month CPR

Estimated Fair Value

Multifamily

$6,644,427

97.7%

4.57%

100.5%

100.3%

$6,661,695

Adjustable-rate

159,412

2.3%

5.54%

104.0%

102.4%

16.5%

163,257

Total/Weighted Avg.

$6,803,839

100.0%

4.59%

100.5%

100.3%

16.5%

$6,824,952

Agency Interest-Only Collateralized Mortgage-Backed Obligations

Type

Current Notional Value

% (4)

Weighted Avg.

Coupon

Weighted Avg. Amortized Cost

Weighted Avg. Fair Value

Weighted Avg. 3-Month CPR

Estimated Fair Value

Interest-only

$1,278,756

2.8%

3.44%

17.8%

17.4%

5.5%

$222,690

Inverse interest-only

4,057,416

8.7%

2.38%

11.2%

9.5%

10.2%

385,606

Multifamily interest-only

41,157,108

88.5%

0.39%

1.4%

583,157

Total/Weighted Avg.

$46,493,280

100.0%

0.65%

2.7%

2.6%

9.0%

$1,191,453

Residential & Other Investments Overview as of March 31, 2026 (cont'd)

Unaudited, dollars in thousands

Mortgage Servicing Rights

Type

Unpaid Principal Balance

Servicing Fee (bps)

Weighted Avg. Note Rate

Valuation (bps)

Discount Rate

Projected CPR

Estimated Fair Value

MSR held directly

$271,342,482

3.3%

151.7

7.7%

5.8%

$4,115,999

Interests in MSR

1,605,391

27,212

Total/Weighted Avg.

$272,947,873

3.3%

151.7

7.7%

5.8%

$4,143,211

Residential Credit Portfolio

Sector

Current Face / Notional Value

% (1)

Weighted Avg.

Coupon

Weighted Avg. Amortized Cost

Weighted Avg. Fair Value

Estimated Fair Value

Residential credit risk transfer

$106,719

0.2%

9.03%

100.0%

103.7%

$110,646

Non-QM

418,907

1.0%

6.96%

99.4%

98.1%

410,782

Prime

2,700,893

0.5%

5.99%

113.3%

114.2%

218,059

Small balance commercial

179,873

0.4%

6.96%

94.5%

95.4%

171,650

Re-performing and non-performing loan securitizations

487,133 1.0% 7.12% 96.4% 96.6% 470,389

Residential transition loan securitizations

122,412

0.3%

7.02%

99.7%

100.1%

122,551

Prime jumbo

11,689,574

0.5%

5.05%

166.8%

184.8%

194,595

Residential mortgage loans

41,245,249

96.1%

6.66%

101.5%

100.5%

41,438,614

Total/Weighted Avg.

$56,950,760

100.0%

6.67%

$43,137,286

Residential Credit Securities Detail as of March 31, 2026

Unaudited, dollars in thousands

Payment Structure

Product

Estimated Fair Value

Senior

Subordinate

Investment Characteristics (1)

Coupon

Credit Enhancement

60+

Delinquencies

3M VPR (2)

Credit Risk Transfer

$110,646

9.03%

1.45%

1.38%

5.89%

Non-QM

410,782

6.96%

7.41%

3.75%

20.51%

Prime

218,059

170,006

48,053

5.99%

13.64%

0.61%

14.08%

Small balance commercial

171,650

18,525

153,125

6.96%

24.08%

11.39%

25.71%

Re-performing and non-performing loan securitizations

470,389

89,191

381,198

7.11%

19.37%

51.44%

7.98%

Residential transition loan securitizations

122,551

67,205

55,346

7.02%

15.69%

5.31%

53.84%

Prime Jumbo

194,595

110,432

84,163

5.05%

1.08%

0.56%

6.24%

Total

$1,698,672

$455,359

$1,243,313

6.91%

13.45%

18.40%

17.64%

Product

Bond Coupon

ARM Fixed Floater Interest Only Estimated Fair Value

Credit Risk Transfer

$110,646

Non-QM

1,352

409,430

410,782

Prime

183,234

34,825

218,059

Small balance commercial

165,160

6,490

171,650

Re-performing and non-performing loan securitizations

460,011

10,334

470,389

Residential transition loan

securitizations

122,551

Prime Jumbo

64,561

19,602

110,432

194,595

Total

$1,352

$1,404,947

$147,072

$145,301

$1,698,672

Hedging & Liabilities as of March 31, 2026

Interest Rate Swaps

Unaudited, dollars in thousands

Maturity

Current Notional (1)(2)

Weighted Avg.

Pay Rate

Weighted Avg. Receive Rate

Weighted Avg. Years to Maturity(3)

0 to 3 years

$29,066,637

3.41%

3.69%

1.35

> 3 to 6 years

15,801,304

2.67%

3.83%

4.61

> 6 to 10 years

16,607,027

3.23%

3.72%

7.26

Greater than 10 years

1,966,430

3.32%

3.75%

21.77

SOFR Futures and U.S. Treasury Hedging Positions

Repurchase Agreements and Other Secured Financing

Total Indebtedness

Type

Current Underlying Notional

Weighted Avg. Underlying Fixed Rate

Weighted Avg. Underlying Floating Rate

Weighted Avg. Underlying

Years to Maturity

Weighted Avg. Months to Expiration

Maturity

Principal Balance

Weighted Avg. Rate At Period End

Principal Balance

Weighted Average Rate(5)

Days to Maturity(6)

At Period End

For the Quarter

Long Receive

$830,000

3.54%

SOFR

7.69

8.25

Short Receive

($1,800,000)

3.23%

SOFR

3.69

8.25

Type

Long Contracts

Short Contracts

Net Positions

Weighted Avg. Years to Maturity

2-year swap equivalent SOFR contracts

$1,000,000

($1,000,000)

2.00

U.S. Treasury Positions - 2 year

($3,658,000)

1.90

U.S. Treasury Positions - 5 year

$1,773,200

4.40

U.S. Treasury Positions - 10 year & greater

($14,021,900)

11.04

Total / Weighted Avg.

$2,773,200

($18,679,900)

($15,906,700)

8.72

Within 30 days

$38,919,278

3.80%

30 to 59 days

33,916,151

3.81%

60 to 89 days

9,081,464

3.97%

90 to 119 days

390,811

4.95%

Over 120 days(4)

3,885,398

5.53%

Total / Weighted Avg.

$86,193,102

3.90%

Repurchase agreements

$85,068,102

3.87%

3.90%

Other secured financing

1,125,000

6.27%

6.28%

461

Debt issued by securitization vehicles

31,165,337

5.10%

5.29%

13,007

Participations issued

2,428,579

6.21%

6.02%

10,860

Total indebtedness

$119,787,018

Total / Weighted Avg. $63,441,398 3.14% 3.74% 4.25

Interest Rate Swaptions

Quarter-Over-Quarter Changes Interest Rate & MBS Spread Sensitivity

Unaudited

Assumptions:

The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of March 31, 2026 and December 31, 2025

The interest rate sensitivity reflects instantaneous parallel shifts in rates

The MBS spread sensitivity shifts MBS spreads instantaneously and reflects exposure to MBS basis risk

All tables assume no active management of the portfolio in response to rate or spread changes

Interest Rate Sensitivity (1)

Interest Rate Change (bps)

As of March 31, 2026

As of December 31, 2025

Estimated Percentage Change in Portfolio Market Value (2)

Estimated Change as a % of NAV (2)(3)

Estimated Percentage Change in Portfolio Market Value (2)

Estimated Change as a % of NAV (2)(3)

(75)

0.2%

(0.3%)

(2.2%)

(50)

0.1%

0.9%

(0.1%)

(0.7%)

(25)

0.1%

0.8%

(0.2%)

(1.5%)

(0.1%)

(0.8%)

(0.5%)

(3.5%)

(0.3%)

(2.2%)

(0.8%)

(5.9%)

(0.5%)

(4.0%)

MBS Spread Sensitivity (1)

MBS Spread Shock (bps)

As of March 31, 2026

As of December 31, 2025

Estimated Change in Portfolio Market Value (2)

Estimated Change as a % of NAV (2)(3)

Estimated Change in Portfolio Market Value (2)

Estimated Change as a % of NAV (2)(3)

(25)

1.3%

9.3%

1.2%

8.8%

(15)

0.8%

5.5%

0.7%

5.3%

(5)

0.3%

1.8%

0.2%

1.7%

(0.3%)

(1.8%)

(0.2%)

(1.7%)

(0.8%)

(5.5%)

(0.7%)

(5.2%)

(1.3%)

(9.1%)

(1.2%)

(8.6%)

Appendix

Consolidated Statements of Financial Condition

Dollars in thousands except per share amounts

3/31/2026

(unaudited)

12/31/2025 (1)

9/30/2025

(unaudited)

6/30/2025

(unaudited)

3/31/2025

(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

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

1,536,569

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

Consolidated Statements of Comprehensive Income (Loss)

Unaudited, dollars in thousands except per share amounts

For the quarters ended

3/31/2026

12/31/2025

9/30/2025

6/30/2025

3/31/2025

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

Disclaimer

Annaly Capital Management Inc. published this content on April 21, 2026, and is solely responsible for the information contained herein. Distributed via Public Technologies (PUBT), unedited and unaltered, on April 21, 2026 at 20:48 UTC.