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

NEW YORK, July 21, 2026–(BUSINESS WIRE)–Annaly Capital Management, Inc. (NYSE: NLY) (“Annaly” or the “Company”) today announced its financial results for the quarter ended June 30, 2026.

GAAP net income of $1.06 per average common share for the quarter

Earnings available for distribution (“EAD”) of $0.79 per average common share for the quarter

Economic return of 5.5% for the second quarter

Book value per common share of $20.15

GAAP leverage of 7.4x, up from 7.3x in the prior quarter; economic leverage of 5.6x, down from 5.7x in the prior quarter

Increased common stock cash dividend to $0.75 per share for the second quarter

Total portfolio of $109.4 billion, including $95.0 billion in highly liquid Agency portfolio(1)

Annaly’s Agency portfolio increased by nearly $3 billion, representing 57% of dedicated capital(2), with activity focused on investing accretive capital raised into higher coupon TBA securities and specified pools

Maintained conservative hedge positioning given elevated macro uncertainty; ended the quarter with a hedge ratio of 97% with activity focused primarily on adding swap exposure across tenors

Annaly’s Residential Credit portfolio was effectively unchanged at $10.4 billion(1), representing 22% of dedicated capital(2), reflecting continued momentum across its whole loan correspondent channel and securitization platform

Annaly’s MSR portfolio was relatively unchanged at $4.1 billion(1) in market value, representing 21% of dedicated capital(2); Onslow Bay remains the fifth largest non-bank servicer of Agency MBS(3)

$9.6 billion of total assets available for financing(4), including cash and unencumbered Agency MBS of $5.5 billion

During the quarter, Annaly Residential Credit Group issued a record thirteen securitizations totaling $6.8 billion across a wide array of product types– Remained the largest non-bank issuer and the second largest issuer overall of Prime Jumbo and Expanded Credit MBS(5)

Average GAAP cost of interest-bearing liabilities of 4.28%, down one basis point quarter-over-quarter, and average economic cost of interest-bearing liabilities of 3.96%, up three basis points quarter-over-quarter

Annaly’s Residential Credit business increased financing capacity by $740 million through expanded credit facilities; total warehouse capacity across the Residential Credit and MSR businesses of $8.3 billion, including $2.8 billion of committed capacity

Raised $447 million of accretive capital through the Company’s at-the-market sales program(6)

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

Total portfolio represents Annaly’s investments that are on-balance sheet and off-balance sheet in which Annaly has economic exposure. Assets exclude assets transferred or pledged to securitization vehicles of $38.3 billion, include TBA purchase contracts (market value) of $7.2 billion, include unsettled MSR commitments of $11 million and unsettled MSR sales of $136 million, include $3.9 billion of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $2.6 billion. Unsettled MSR commitments and unsettled MSR sales represent the market value of deals where Annaly has executed a letter of intent prior to quarter-end. There can be no assurance whether these deals will close or when they will close.

Dedicated capital for each of the investment strategies is calculated as the difference between each investment strategy’s allocated assets (including TBAs) and liabilities.

Based on information aggregated from Fannie Mae and Freddie Mac monthly loan level files by eMBS servicing transfer data as of June 30, 2026. Excludes transfer activity related to platform acquisitions.

Comprised of $8.0 billion of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets that have not been pledged or securitized (generally including cash and cash equivalents, Agency MBS, CRT, Non-Agency MBS, residential mortgage loans, MSR, reverse repurchase agreements, other unencumbered financial assets and capital stock), and $1.6 billion of fair value of collateral pledged for future advances.

Issuer ranking data from Inside Nonconforming Markets for 2025 to 2026 (July 3, 2026 issue). Used with permission.

Net of sales agent commissions and other offering expenses.

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

Book value per common share

GAAP net income per average common share (1)

Annualized GAAP return on average equity (2)

GAAP leverage at period-end (3)

Average yield on interest earning assets (5)

Average GAAP cost of interest bearing liabilities (6)

Earnings available for distribution per average common share (1)

Annualized EAD return on average equity

Economic leverage at period-end (3)

Net interest margin (excluding PAA) (4)

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

Average economic cost of interest bearing liabilities (6)

Net interest spread (excluding PAA)

* Represents a non-GAAP financial measure. Please refer to the “Non-GAAP Financial Measures” section for additional information.

(1) Net of dividends on preferred stock.

(2) Annualized GAAP return on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return on average equity is 4.97%, 1.79%, and 0.45% for the quarters ended June 30, 2026, March 31, 2026, and June 30, 2025, respectively.

(3) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued, and U.S. Treasury securities sold, not yet purchased divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced (“TBA”) derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage.

(4) Net interest margin represents interest income less interest expense divided by average Interest Earning Assets. Net interest margin does not include net interest component of interest rate swaps. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and less economic interest expense divided by the sum of average Interest Earning Assets plus average outstanding TBA contract balances. PAA represents the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities.

(5) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).

(6) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).

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

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

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

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

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

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

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(dollars in thousands, except per share data)

Assets transferred or pledged to securitization vehicles

Reverse repurchase agreements

Receivable for unsettled trades

Principal and interest receivable

Liabilities and stockholders’ equity

Debt issued by securitization vehicles

U.S. Treasury securities sold, not yet purchased

Payable for unsettled trades

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

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

Additional paid-in capital

Accumulated other comprehensive income (loss)

Total stockholders’ equity