ANNALY CAPITAL MANAGEMENT INC
For the period ended Sep 30, 2026. Filed Oct 28, 2026.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Sep 30, 2026 · Filed Oct 28, 2026
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Net Income (Loss) Summary
The following table presents financial information related to our results of operations as of and for the three and nine months ended September 30, 2026 and 2025.
| As of and for the Three Months Ended September 30, | As of and for the Nine Months Ended September 30, | |||
|---|---|---|---|---|
| 2026 | 2025 | 2026 | 2025 | |
| (dollars in thousands, except per share data) | ||||
| Interest income | $1,970,425 | $1,532,497 | $5,507,553 | $4,268,498 |
| Interest expense | 1,426,813 | 1,256,747 | 4,023,057 | 3,499,577 |
| Net interest income | 543,612 | 275,750 | 1,484,496 | 768,921 |
| Servicing and related income | 173,096 | 141,356 | 507,288 | 423,461 |
| Servicing and related expense | 17,087 | 15,104 | 51,502 | 43,788 |
| Net servicing income | 156,009 | 126,252 | 455,786 | 379,673 |
| Other income (loss) | (1,630,778) | 483,578 | (1,637,018) | 34,451 |
| Less: Total general and administrative expenses | 53,206 | 50,340 | 163,959 | 148,422 |
| Income (loss) before income taxes | (984,363) | 835,240 | 139,305 | 1,034,623 |
| Income taxes | 16,335 | (7,823) | 21,715 | 884 |
| Net income (loss) | (1,000,698) | 843,063 | 117,590 | 1,033,739 |
| Less: Net income (loss) attributable to noncontrolling interests | 1,061 | 10,618 | 14,024 | 19,971 |
| Net income (loss) attributable to Annaly | (1,001,759) | 832,445 | 103,566 | 1,013,768 |
| Less: Dividends on preferred stock | 41,305 | 41,127 | 122,993 | 115,544 |
| Net income (loss) available (related) to common stockholders | $(1,043,064) | $791,318 | $(19,427) | $898,224 |
| Net income (loss) per share available (related) to common stockholders | ||||
| Basic | $(1.36) | $1.21 | $(0.03) | $1.45 |
| Diluted | $(1.36) | $1.20 | $(0.03) | $1.44 |
| Weighted average number of common shares outstanding | ||||
| Basic | 764,359,434 | 656,335,974 | 742,107,269 | 621,484,893 |
| Diluted | 764,359,434 | 657,856,427 | 742,107,269 | 622,768,481 |
| Other information | ||||
| Investment portfolio at period-end | $140,537,305 | $122,095,347 | $140,537,305 | $122,095,347 |
| Average total assets | $144,944,325 | $119,001,732 | $141,009,020 | $111,668,799 |
| Average equity | $16,436,381 | $14,235,471 | $16,339,621 | $13,563,101 |
| GAAP leverage at period-end (1) | 8.0:1 | 7.1:1 | 8.0:1 | 7.1:1 |
| GAAP capital ratio at period-end (2) | 10.9% | 11.9% | 10.9% | 11.9% |
| Annualized return (loss) on average total assets | (2.76%) | 2.83% | 0.11% | 1.23% |
| Annualized return (loss) on average equity (3) | (24.35%) | 23.69% | 0.96% | 10.16% |
| Net interest margin (4) | 1.54% | 0.97% | 1.47% | 0.96% |
| Average yield on interest earning assets (5) | 5.58% | 5.40% | 5.46% | 5.34% |
| Average GAAP cost of interest bearing liabilities (6) | 4.34% | 4.73% | 4.31% | 4.75% |
| Net interest spread | 1.24% | 0.67% | 1.15% | 0.59% |
| Weighted average experienced CPR for the period | 9.6% | 8.6% | 10.5% | 8.1% |
| Weighted average projected long-term CPR at period-end | 8.6% | 10.4% | 8.6% | 10.4% |
| Common stock book value per share | $17.86 | $19.25 | $17.86 | $19.25 |
| Non-GAAP metrics * | ||||
| Interest income (excluding PAA) | $1,925,907 | $1,550,887 | $5,466,422 | $4,295,322 |
| Economic interest expense (6) | $1,322,680 | $1,051,717 | $3,712,718 | $2,892,293 |
| Economic net interest income (excluding PAA) | $603,227 | $499,170 | $1,753,704 | $1,403,029 |
| Premium amortization adjustment cost (benefit) | $(44,518) | $18,390 | $(41,131) | $26,824 |
| Earnings available for distribution (7) | $649,140 | $519,882 | $1,866,695 | $1,471,645 |
| Earnings available for distribution per average common share | $0.80 | $0.73 | $2.35 | $2.18 |
| Annualized EAD return on average equity (excluding PAA) | 15.86% | 14.70% | 15.29% | 14.56% |
| Economic leverage at period-end (1) | 5.9:1 | 5.7:1 | 5.9:1 | 5.7:1 |
| Economic capital ratio at period-end (2) | 14.2% | 14.8% | 14.2% | 14.8% |
| Net interest margin (excluding PAA) (4) | 1.69% | 1.70% | 1.72% | 1.70% |
| Average yield on interest earning assets (excluding PAA) (5) | 5.45% | 5.46% | 5.42% | 5.37% |
| Average economic cost of interest bearing liabilities (6) | 4.03% | 3.96% | 3.98% | 3.93% |
| Net interest spread (excluding PAA) | 1.42% | 1.50% | 1.44% | 1.44% |
* Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section for additional information. (1) 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.(2) 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 net of debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued.(3) 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 (6.09)% and 5.92% for the three months ended September 30, 2026 and 2025, respectively, and 0.72% and 7.62% for the nine months ended September 30, 2026 and 2025, respectively.(4) Net interest margin represents our interest income less interest expense divided by the 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 our interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average outstanding TBA contract balances.(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).(7) Excludes dividends on preferred stock.
GAAP
Net income (loss) was ($1.0) billion, which includes $1.1 million attributable to noncontrolling interests, or ($1.36) per average basic common share, for the three months ended September 30, 2026, compared to $843.1 million, which includes $10.6 million attributable to noncontrolling interests, or $1.21 per average basic common share, for the same period in 2025. We attribute the majority of the change in net income (loss) to unfavorable changes in net gains (losses) on investments and other, partially offset by favorable changes in net gains (losses) on derivatives, net interest income, and net servicing income. Net gains (losses) on investments and other was ($4.7) billion for the three months ended September 30, 2026, compared to $561.9 million for the same period in 2025. Net gains (losses) on derivatives was $3.1 billion for the three months ended September 30, 2026 compared to ($92.3) million for the same period in 2025. Net interest income for the three months ended September 30, 2026 was $543.6 million, compared to $275.8 million for the same period in 2025. Net servicing income for the three months ended September 30, 2026 was $156.0 million, compared to $126.3 million for the same period in 2025.
Net income (loss) was $117.6 million, which includes $14.0 million attributable to noncontrolling interests, or ($0.03) per average basic common share, for the nine months ended September 30, 2026, compared to $1.0 billion, which includes $20.0 million attributable to noncontrolling interests, or $1.45 per average basic common share, for the same period in 2025. We attribute the majority of the change in net income (loss) to unfavorable changes in net gains (losses) on investments and other, partially offset by favorable changes in net gains (losses) on derivatives, net interest income, and net servicing income. Net gains (losses) on investments and other was ($5.7) billion for the nine months ended September 30, 2026, compared to $1.5 billion for the same period in 2025. Net gains on derivatives for the nine months ended September 30, 2026 was $4.0 billion, compared to ($1.5) billion for the same period in 2025. Net interest income for the nine months ended September 30, 2026 was $1.5 billion, compared to $768.9 million for the same period in 2025. Net servicing income for the nine months ended September 30, 2026 was $455.8 million, compared to $379.7 million for the same period in 2025. Refer to the section titled “Other income (loss)” located within this Item 2 for additional information related to these changes.
Non-GAAP
Earnings available for distribution were $649.1 million, or $0.80 per average common share, for the three months ended September 30, 2026, compared to $519.9 million, or $0.73 per average common share, for the same period in 2025. The change in earnings available for distribution during the three months ended September 30, 2026, compared to the same period in 2025, was primarily due to higher coupon income, resulting from higher average Agency securities and residential mortgage loan balances, lower interest expense on lower balances of U.S. Treasury securities sold, not yet purchased, and higher net servicing income on higher average balances. This change was partially offset by higher interest expense, resulting from higher average securitized debt balances, higher repurchase agreement balances despite lower average rates, a decrease in the net interest component of interest rate swaps, primarily due to lower average receive rates resulting from declines in SOFR, and lower interest income on lower reverse repurchase agreement balances and average rates.
Earnings available for distribution were $1.9 billion, or $2.35 per average common share, for the nine months ended September 30, 2026, compared to $1.5 billion, or $2.18 per average common share, for the same period in 2025. The change in earnings available for distribution during the nine months ended September 30, 2026, compared to the same period in 2025, was primarily due to higher coupon income, resulting from higher average Agency securities and residential mortgage loan balances, lower interest expense on lower balances of U.S. Treasury securities sold, not yet purchased, and higher net servicing income on higher average balances. This change was partially offset by higher interest expense, resulting from higher average securitized debt balances, higher repurchase agreement balances despite lower average rates, a decrease in the net interest component of interest rate swaps, primarily due to lower average receive rates resulting from declines in SOFR, and lower interest income on lower reverse repurchase agreement balances and average rates.
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