Form 8-K

8-K — ANNALY CAPITAL MANAGEMENT INC

Accession: 0001043219-26-000052

Filed: 2026-07-21

Period: 2026-07-21

CIK: 0001043219

SIC: 6798 (REAL ESTATE INVESTMENT TRUSTS)

Item: Results of Operations and Financial Condition

Item: Financial Statements and Exhibits

Documents

8-K — nly-20260721.htm (Primary)

EX-99.1 (a2026q2nlyex991.htm)

GRAPHIC (nlya11.jpg)

XML — IDEA: XBRL DOCUMENT (R1.htm)

8-K

8-K (Primary)

Filename: nly-20260721.htm · Sequence: 1

nly-20260721

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported)

July 21, 2026

Annaly Capital Management Inc

(Exact Name of Registrant as Specified in its Charter)

Maryland

1-13447 22-3479661

(State or other jurisdiction of incorporation or organization) (Commission File Number) (IRS Employer Identification No.)

1211 Avenue of the Americas

New York,

New York

10036

(Address of principal executive offices) (Zip Code)

Registrant’s telephone number, including area code: (212) 696-0100

Not Applicable

(Former Name or Former Address, if Changed Since Last Report)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class Trading Symbol(s) Name of Each Exchange on Which Registered

Common Stock, par value $0.01 per share NLY New York Stock Exchange

6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock NLY.F New York Stock Exchange

6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock NLY.G New York Stock Exchange

6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock NLY.I New York Stock Exchange

8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock NLY.J New York Stock Exchange

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Item 2.02 Results of Operations and Financial Condition.

On July 21, 2026, the Registrant issued a press release announcing its financial results for the quarter ended June 30, 2026. A copy of the press release is furnished as Exhibit 99.1 to this report.

The information provided pursuant to this Item 2.02, including Exhibit 99.1, is being furnished and shall not be deemed "filed" for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), or otherwise subject to the liabilities of that section, nor shall it be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such filing.

Item 9.01 Financial Statements and Exhibits.

(d) Exhibits

99.1 Press Release, dated July 21, 2026, issued by Annaly Capital Management, Inc.

101 Pursuant to Rule 406 of Regulation S-T, the cover page information is formatted in iXBRL (Inline eXtensible Business Reporting Language).

104 Cover page interactive data file (formatted in iXBRL in Exhibit 101).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

ANNALY CAPITAL MANAGEMENT, INC.

By:

/s/ Serena Wolfe

Name: Serena Wolfe

Title: Chief Financial Officer

Dated: July 21, 2026

EX-99.1

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Document

ANNALY CAPITAL MANAGEMENT, INC. REPORTS 2nd QUARTER 2026 RESULTS

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

Financial Highlights

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

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

•Economic return of 5.5% for the second quarter

•Book value per common share of $20.15

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

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

Business Highlights

Investment and Strategy

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

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

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

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

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

Financing and Capital

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

•During the quarter, Annaly Residential Credit Group issued a record thirteen securitizations totaling $6.8 billion across a wide array of product types

–Remained the largest non-bank issuer and the second largest issuer overall of Prime Jumbo and Expanded Credit MBS(5)

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

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

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

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

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

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

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

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

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

(6) Net of sales agent commissions and other offering expenses.

Financial Performance

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

June 30, 2026

March 31, 2026

June 30, 2025

Book value per common share $ 20.15 $ 19.82 $ 18.45

GAAP net income per average common share (1)

$ 1.06 $ 0.33 $ 0.03

Annualized GAAP return on average equity (2)

19.88 % 7.15 % 1.82 %

GAAP leverage at period-end (3)

7.4:1 7.3:1 7.1:1

Net interest margin (4)

1.47 % 1.41 % 1.04 %

Average yield on interest earning assets (5)

5.44 % 5.36 % 5.42 %

Average GAAP cost of interest bearing liabilities (6)

4.28 % 4.29 % 4.76 %

Net interest spread 1.16 % 1.07 % 0.66 %

Non-GAAP metrics *

Earnings available for distribution per average common share (1)

$ 0.79 $ 0.76 $ 0.73

Annualized EAD return on average equity 15.12 % 14.58 % 14.86 %

Economic leverage at period-end (3)

5.6:1 5.7:1 5.8:1

Net interest margin (excluding PAA) (4)

1.76 % 1.71 % 1.71 %

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

5.46 % 5.35 % 5.41 %

Average economic cost of interest bearing liabilities (6)

3.96 % 3.93 % 3.94 %

Net interest spread (excluding PAA) 1.50 % 1.42 % 1.47 %

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

(1) Net of dividends on preferred stock.

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

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

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

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

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

Other Information

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

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

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

Conference Call

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

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

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

Financial Statements

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(dollars in thousands, except per share data)

June 30, 2026 March 31, 2026

December 31, 2025 (1)

September 30, 2025 June 30, 2025

(unaudited) (unaudited) (unaudited) (unaudited)

Assets

Cash and cash equivalents $ 2,912,086 $ 1,912,444 $ 2,037,838 $ 2,096,696 $ 2,058,845

Securities 89,515,485 88,473,681 91,287,630 85,062,725 73,500,626

Loans, net 7,280,979 7,230,876 5,020,784 4,008,299 3,722,272

Mortgage servicing rights 4,089,485 4,115,999 3,645,865 3,476,181 3,281,190

Interests in MSR 106,775 27,212 28,626 35,833 —

Assets transferred or pledged to securitization vehicles 38,256,690 34,207,738 32,067,433 29,512,309 27,021,790

Derivative assets 81,784 395,099 115,533 47,899 149,690

Reverse repurchase agreements 33,047 33,524 34,389 35,004 —

Receivable for unsettled trades 104,722 891,293 1,031 185,916 1,134,896

Principal and interest receivable 846,548 806,484 926,660 959,435 830,535

Intangible assets, net 5,380 6,053 6,726 7,398 8,071

Other assets 508,195 437,188 437,323 433,877 433,977

Total assets $ 143,741,176 $ 138,537,591 $ 135,609,838 $ 125,861,572 $ 112,141,892

Liabilities and stockholders’ equity

Liabilities

Repurchase agreements $ 86,895,874 $ 85,068,102 $ 81,865,723 $ 75,118,963 $ 66,541,378

Other secured financing 1,125,000 1,125,000 1,075,000 1,025,000 1,025,000

Debt issued by securitization vehicles 34,366,098 30,719,417 28,918,753 26,601,790 24,107,249

Participations issued 2,553,709 2,484,018 1,932,655 1,831,657 1,556,900

U.S. Treasury securities sold, not yet purchased — — 2,396,724 2,442,570 2,528,167

Derivative liabilities 247,968 207,369 53,755 199,100 425,993

Payable for unsettled trades 331,586 1,522,750 2,059,386 2,604,278 1,538,526

Interest payable 420,764 347,607 380,688 285,080 256,245

Dividends payable 562,931 511,203 494,881 476,737 449,453

Other liabilities 258,870 226,314 272,362 279,818 238,618

Total liabilities 126,762,800 122,211,780 119,449,927 110,864,993 98,667,529

Stockholders’ equity

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

1,802,480 1,802,480 1,802,480 1,802,480 1,536,569

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

7,506 7,303 7,070 6,811 6,421

Additional paid-in capital 28,886,263 28,427,555 27,927,113 27,352,976 26,520,657

Accumulated other comprehensive income (loss) (557,014) (533,614) (488,566) (624,387) (740,046)

Accumulated deficit (13,213,859) (13,429,615) (13,157,325) (13,626,983) (13,942,302)

Total stockholders’ equity 16,925,376 16,274,109 16,090,772 14,910,897 13,381,299

Noncontrolling interests 53,000 51,702 69,139 85,682 93,064

Total equity 16,978,376 16,325,811 16,159,911 14,996,579 13,474,363

Total liabilities and equity $ 143,741,176 $ 138,537,591 $ 135,609,838 $ 125,861,572 $ 112,141,892

(1) Derived from the audited consolidated financial statements at December 31, 2025.

(2) 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 28,800,000 shares authorized, issued and outstanding. 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 17,000,000 shares authorized, issued and outstanding. 6.75% Series I Preferred Stock - Includes 17,700,000 shares authorized, issued and outstanding, and beginning with the quarter ended September 30, 2025, 8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock - Includes 11,500,000 shares authorized, and 11,000,000 issued and outstanding.

(3) Includes 1,456,750,000 shares authorized. Includes 750,574,308 shares issued and outstanding at June 30, 2026; 730,290,500 shares issued and outstanding at March 31, 2026; 706,972,452 shares issued and outstanding at December 31, 2025; 681,052,317 shares issued and outstanding at September 30, 2025; 642,076,127 shares issued and outstanding at June 30, 2025.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(dollars in thousands, except per share data)

(Unaudited)

For the quarters ended

June 30,

2026 March 31,

2026 December 31,

2025 September 30,

2025 June 30,

2025

Net interest income

Interest income $ 1,812,198 $ 1,724,930 $ 1,690,707 $ 1,532,497 $ 1,418,893

Interest expense 1,324,005 1,272,239 1,324,128 1,256,747 1,145,693

Net interest income 488,193 452,691 366,579 275,750 273,200

Net servicing income

Servicing and related income 175,059 159,133 156,131 141,356 141,670

Servicing and related expense 17,835 16,580 16,485 15,104 14,571

Net servicing income 157,224 142,553 139,646 126,252 127,099

Other income (loss)

Net gains (losses) on investments and other (318,503) (672,119) 289,428 561,927 83,503

Net gains (losses) on derivatives 552,426 409,112 251,799 (92,308) (388,785)

Other, net 13,521 9,323 13,952 13,959 15,812

Total other income (loss) 247,444 (253,684) 555,179 483,578 (289,470)

General and administrative expenses

Compensation expense 44,640 41,384 39,279 38,393 36,583

Other general and administrative expenses 13,549 11,180 11,928 11,947 13,435

Total general and administrative expenses 58,189 52,564 51,207 50,340 50,018

Income (loss) before income taxes 834,672 288,996 1,010,197 835,240 60,811

Income taxes 6,899 (1,519) (7,754) (7,823) 440

Net income (loss) 827,773 290,515 1,017,951 843,063 60,371

Net income (loss) attributable to noncontrolling interests 5,100 7,863 4,457 10,618 3,272

Net income (loss) attributable to Annaly 822,673 282,652 1,013,494 832,445 57,099

Dividends on preferred stock (1)

41,036 40,652 42,387 41,127 37,260

Net income (loss) available (related) to common stockholders $ 781,637 $ 242,000 $ 971,107 $ 791,318 $ 19,839

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

Basic $ 1.06 $ 0.33 $ 1.40 $ 1.21 $ 0.03

Diluted $ 1.06 $ 0.33 $ 1.40 $ 1.20 $ 0.03

Weighted average number of common shares outstanding

Basic 738,926,270 722,707,153 693,011,031 656,335,974 620,208,712

Diluted 740,256,247 724,364,897 695,034,348 657,856,427 621,103,218

Other comprehensive income (loss)

Net income (loss) $ 827,773 $ 290,515 $ 1,017,951 $ 843,063 $ 60,371

Unrealized gains (losses) on available-for-sale securities (23,400) (45,048) 74,992 113,281 33,559

Reclassification adjustment for net (gains) losses included in net income (loss) — — 60,829 2,378 13,797

Other comprehensive income (loss) (23,400) (45,048) 135,821 115,659 47,356

Comprehensive income (loss) 804,373 245,467 1,153,772 958,722 107,727

Comprehensive income (loss) attributable to noncontrolling interests 5,100 7,863 4,457 10,618 3,272

Comprehensive income (loss) attributable to Annaly 799,273 237,604 1,149,315 948,104 104,455

Dividends on preferred stock (1)

41,036 40,652 42,387 41,127 37,260

Comprehensive income (loss) attributable to common stockholders $ 758,237 $ 196,952 $ 1,106,928 $ 906,977 $ 67,195

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

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(dollars in thousands, except per share data)

For the six months ended

June 30, 2026 June 30, 2025

(unaudited) (unaudited)

Net interest income

Interest income $ 3,537,128 $ 2,736,001

Interest expense 2,596,244 2,242,830

Net interest income 940,884 493,171

Net servicing income

Servicing and related income 334,192 282,105

Servicing and related expense 34,415 28,684

Net servicing income 299,777 253,421

Other income (loss)

Net gains (losses) on investments and other (990,622) 894,315

Net gains (losses) on derivatives 961,538 (1,366,652)

Other, net 22,844 23,210

Total other income (loss) (6,240) (449,127)

General and administrative expenses

Compensation expense 86,024 73,880

Other general and administrative expenses 24,729 24,202

Total general and administrative expenses 110,753 98,082

Income (loss) before income taxes 1,123,668 199,383

Income taxes 5,380 8,707

Net income (loss) 1,118,288 190,676

Net income (loss) attributable to noncontrolling interests 12,963 9,353

Net income (loss) attributable to Annaly 1,105,325 181,323

Dividends on preferred stock 81,688 74,417

Net income (loss) available (related) to common stockholders $ 1,023,637 $ 106,906

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

Basic $ 1.40 $ 0.18

Diluted $ 1.40 $ 0.18

Weighted average number of common shares outstanding

Basic 730,798,630 603,770,531

Diluted 732,317,721 604,882,295

Other comprehensive income (loss)

Net income (loss) $ 1,118,288 $ 190,676

Unrealized gains (losses) on available-for-sale securities (68,448) 198,436

Reclassification adjustment for net (gains) losses included in net income (loss) — 79,200

Other comprehensive income (loss) (68,448) 277,636

Comprehensive income (loss) 1,049,840 468,312

Comprehensive income (loss) attributable to noncontrolling interests 12,963 9,353

Comprehensive income (loss) attributable to Annaly 1,036,877 458,959

Dividends on preferred stock 81,688 74,417

Comprehensive income (loss) attributable to common stockholders $ 955,189 $ 384,542

Key Financial Data

The following table presents key metrics of the Company’s portfolio, liabilities and hedging positions, and performance as of and for the quarters ended June 30, 2026, March 31, 2026 and June 30, 2025:

June 30, 2026 March 31, 2026 June 30, 2025

Portfolio related metrics

Fixed-rate Residential Securities as a percentage of total Residential Securities 99 % 99 % 99 %

Adjustable-rate and floating-rate Residential Securities as a percentage of total Residential Securities 1 % 1 % 1 %

Weighted average experienced CPR for the period 11.6 % 10.2 % 8.7 %

Weighted average projected long-term CPR at period-end 11.0 % 10.4 % 9.1 %

Liabilities and hedging metrics

Weighted average days to maturity on repurchase agreements outstanding at period-end 33 36 49

Hedge ratio (1)

97 % 87 % 92 %

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

3.20 % 3.14 % 3.14 %

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

3.73 % 3.74 % 4.47 %

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

(0.53 %) (0.60 %) (1.33 %)

GAAP leverage at period-end (3)

7.4:1 7.3:1 7.1:1

GAAP capital ratio at period-end (4)

11.8 % 11.8 % 12.0 %

Performance related metrics

Book value per common share $ 20.15 $ 19.82 $ 18.45

GAAP net income per average common share (5)

$ 1.06 $ 0.33 $ 0.03

Annualized GAAP return on average equity (6)

19.88 % 7.15 % 1.82 %

Net interest margin (7)

1.47 % 1.41 % 1.04 %

Average yield on interest earning assets (8)

5.44 % 5.36 % 5.42 %

Average GAAP cost of interest bearing liabilities (9)

4.28 % 4.29 % 4.76 %

Net interest spread 1.16 % 1.07 % 0.66 %

Dividend declared per common share $ 0.75 $ 0.70 $ 0.70

Annualized dividend yield (10)

13.42 % 13.24 % 14.88 %

Non-GAAP metrics *

Earnings available for distribution per average common share (5)

$ 0.79 $ 0.76 $ 0.73

Annualized EAD return on average equity (excluding PAA) 15.12 % 14.58 % 14.86 %

Economic leverage at period-end (3)

5.6:1 5.7:1 5.8:1

Economic capital ratio at period end (4)

14.9 % 14.7 % 14.3 %

Net interest margin (excluding PAA) (7)

1.76 % 1.71 % 1.71 %

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

5.46 % 5.35 % 5.41 %

Average economic cost of interest bearing liabilities (9)

3.96 % 3.93 % 3.94 %

Net interest spread (excluding PAA) 1.50 % 1.42 % 1.47 %

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

(1) Measures total notional balances of interest rate swaps, interest rate swaptions (excluding long receiver swaptions), futures and U.S. Treasury securities sold, not yet purchased, relative to repurchase agreements, other secured financing, cost basis of TBA derivatives outstanding and net forward purchases (sales) of investments; excludes MSR and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities.

(2) Excludes forward starting swaps.

(4) GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and are net of debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued.

(5) Net of dividends on preferred stock.

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

(7) Net interest margin represents interest income less interest expense divided by average interest earning assets. Net interest margin does not include net interest component of interest rate swaps. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average TBA contract balances.

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

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

(10) Based on the closing price of the Company’s common stock of $22.36, $21.15 and $18.82 at June 30, 2026, March 31, 2026 and June 30, 2025, respectively.

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

For the quarters ended

June 30, 2026 March 31, 2026 June 30, 2025

Agency mortgage-backed securities $ 87,768,578 $ 86,380,653 $ 71,756,638

Residential credit risk transfer securities 46,872 110,646 414,047

Non-agency mortgage-backed securities 1,565,016 1,588,026 1,329,941

Commercial mortgage-backed securities 135,019 394,356 —

Total securities $ 89,515,485 $ 88,473,681 $ 73,500,626

Residential mortgage loans $ 7,280,979 $ 7,230,876 $ 3,722,272

Total loans, net $ 7,280,979 $ 7,230,876 $ 3,722,272

Mortgage servicing rights $ 4,089,485 $ 4,115,999 $ 3,281,190

Interests in MSR $ 106,775 $ 27,212 $ —

Residential mortgage loans transferred or pledged to securitization vehicles $ 38,256,690 $ 34,207,738 $ 27,021,790

Assets transferred or pledged to securitization vehicles $ 38,256,690 $ 34,207,738 $ 27,021,790

Total investment portfolio $ 139,249,414 $ 134,055,506 $ 107,525,878

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

June 30, 2026 March 31, 2026 June 30, 2025

(dollars in thousands, except per share data)

GAAP net income (loss) $ 827,773 $ 290,515 $ 60,371

Adjustments to exclude reported realized and unrealized (gains) losses

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

316,206 674,162 (82,854)

Net (gains) losses on derivatives (2)

(464,968) (312,265) 574,435

Other adjustments

Amortization of intangibles 673 673 672

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

— — (403)

Transaction expenses and non-recurring items (4)

10,246 7,951 5,706

Income tax effect of non-EAD income (loss) items 5,044 (4,812) 1,003

TBA dollar roll income (5)

17,904 18,993 7,252

MSR amortization (6)

(89,816) (78,646) (68,804)

EAD attributable to noncontrolling interests (2,476) (2,989) (3,610)

Premium amortization adjustment cost (benefit) 7,081 (3,694) (3,862)

Earnings available for distribution *

627,667 589,888 489,906

Dividends on preferred stock 41,036 40,652 37,260

Earnings available for distribution attributable to common stockholders *

$ 586,631 $ 549,236 $ 452,646

GAAP net income (loss) per average common share $ 1.06 $ 0.33 $ 0.03

Earnings available for distribution per average common share *

$ 0.79 $ 0.76 $ 0.73

Annualized GAAP return (loss) on average equity (7)

19.88 % 7.15 % 1.82 %

Annualized EAD return on average equity * 15.12 % 14.58 % 14.86 %

* 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 $87.5 million, $96.8 million and $185.7 million for the quarters ended June 30, 2026, March 31, 2026 and June 30, 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) 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 4.97%, 1.79%, and 0.45% for the quarters ended June 30, 2026, March 31, 2026, and June 30, 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 June 30, 2026, March 31, 2026 and June 30, 2025:

For the quarters ended

June 30, 2026 March 31, 2026 June 30, 2025

(dollars in thousands)

Premium amortization expense (accretion) $ 52,423 $ 67,509 $ 28,138

Less: PAA cost (benefit) 7,081 (3,694) (3,862)

Premium amortization expense (excluding PAA) $ 45,342 $ 71,203 $ 32,000

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

June 30, 2026 March 31, 2026 June 30, 2025

Economic leverage ratio reconciliation

(dollars in thousands)

Repurchase agreements

$ 86,895,874 $ 85,068,102 $ 66,541,378

Other secured financing

1,125,000 1,125,000 1,025,000

Debt issued by securitization vehicles

34,366,098 30,719,417 24,107,249

Participations issued

2,553,709 2,484,018 1,556,900

U.S Treasury securities sold, not yet purchased — — 2,528,167

Total GAAP debt

$ 124,940,681 $ 119,396,537 $ 95,758,694

Less Non-recourse debt:

Debt issued by securitization vehicles (1)

$ (34,114,655) $ (30,463,341) $ (24,107,249)

Participations issued

(2,553,709) (2,484,018) (1,556,900)

Total recourse debt $ 88,272,317 $ 86,449,178 $ 70,094,545

Plus / (Less):

Cost basis of TBA derivatives

$ 7,169,573 $ 5,948,177 $ 7,686,600

Payable for unsettled trades 331,586 1,522,750 1,538,526

Receivable for unsettled trades (104,722) (891,293) (1,134,896)

Economic debt *

$ 95,668,754 $ 93,028,812 $ 78,184,775

Total equity

$ 16,978,376 $ 16,325,811 $ 13,474,363

Economic leverage ratio *

5.6:1 5.7:1 5.8:1

* 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

June 30, 2026 March 31, 2026 June 30, 2025

Economic capital ratio reconciliation

(dollars in thousands)

Total GAAP assets

$ 143,741,176 $ 138,537,591 $ 112,141,892

Less:

Gross unrealized gains on TBA derivatives (1)

(50,393) (28,927) (97,331)

Debt issued by securitization vehicles (2)

(34,114,655) (30,463,341) (24,107,249)

Participations issued (2,553,709) (2,484,018) (1,556,900)

Plus:

Implied market value of TBA derivatives

7,216,874 5,845,420 7,783,931

Total economic assets *

$ 114,239,293 $ 111,406,725 $ 94,164,343

Total equity

$ 16,978,376 $ 16,325,811 $ 13,474,363

Economic capital ratio *

14.9% 14.7% 14.3%

* 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

June 30, 2026 March 31, 2026 June 30, 2025

Interest income (excluding PAA) reconciliation (dollars in thousands)

GAAP interest income $ 1,812,198 $ 1,724,930 $ 1,418,893

Premium amortization adjustment 7,081 (3,694) (3,862)

Interest income (excluding PAA) * $ 1,819,279 $ 1,721,236 $ 1,415,031

Economic interest expense reconciliation

GAAP interest expense $ 1,324,005 $ 1,272,239 $ 1,145,693

Add:

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

(98,841) (107,365) (197,865)

Economic interest expense * $ 1,225,164 $ 1,164,874 $ 947,828

Economic net interest income (excluding PAA) reconciliation

Interest income (excluding PAA) * $ 1,819,279 $ 1,721,236 $ 1,415,031

Less:

Economic interest expense * 1,225,164 1,164,874 947,828

Economic net interest income (excluding PAA) * $ 594,115 $ 556,362 $ 467,203

* 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

June 30, 2026 March 31, 2026 June 30, 2025

Economic metrics (excluding PAA) (dollars in thousands)

Average interest earning assets $ 133,263,735 $ 128,783,013 $ 104,623,036

Interest income (excluding PAA) * $ 1,819,279 $ 1,721,236 $ 1,415,031

Average yield on interest earning assets (excluding PAA) * 5.46 % 5.35 % 5.41 %

Average interest bearing liabilities $ 122,802,541 $ 118,603,594 $ 95,274,277

Economic interest expense * $ 1,225,164 $ 1,164,874 $ 947,828

Average economic cost of interest bearing liabilities * 3.96 % 3.93 % 3.94 %

Economic net interest income (excluding PAA) * $ 594,115 $ 556,362 $ 467,203

Net interest spread (excluding PAA) * 1.50 % 1.42 % 1.47 %

Interest income (excluding PAA) * $ 1,819,279 $ 1,721,236 $ 1,415,031

TBA dollar roll income 17,904 18,993 7,252

Economic interest expense * (1,225,164) (1,164,874) (947,828)

Subtotal $ 612,019 $ 575,355 $ 474,455

Average interest earnings assets $ 133,263,735 $ 128,783,013 $ 104,623,036

Average TBA contract balances 6,088,214 5,443,741 6,218,305

Subtotal $ 139,351,949 $ 134,226,754 $ 110,841,341

Net interest margin (excluding PAA) * 1.76 % 1.71 % 1.71 %

* Represents a non-GAAP financial measure.

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Cover Page

Jul. 21, 2026

Document Information [Line Items]

Document Type

8-K

Document Period End Date

Jul. 21, 2026

Entity Registrant Name

Annaly Capital Management Inc

Entity Incorporation, State or Country Code

Entity File Number

1-13447

Entity Tax Identification Number

22-3479661

Entity Address, Address Line One

1211 Avenue of the Americas

Entity Address, City or Town

New York,

Entity Address, State or Province

Entity Address, Postal Zip Code

10036

City Area Code

212

Local Phone Number

696-0100

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Common Stock, par value $0.01 per share

Document Information [Line Items]

Title of 12(b) Security

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Trading Symbol

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Security Exchange Name

NYSE

6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

Document Information [Line Items]

Title of 12(b) Security

6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

Trading Symbol

NLY.F

Security Exchange Name

NYSE

6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

Document Information [Line Items]

Title of 12(b) Security

6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

Trading Symbol

NLY.G

Security Exchange Name

NYSE

6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

Document Information [Line Items]

Title of 12(b) Security

6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

Trading Symbol

NLY.I

Security Exchange Name

NYSE

8.875% Series J Cumulative Redeemable Preferred Stock

Document Information [Line Items]

Title of 12(b) Security

8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock

Trading Symbol

NLY.J

Security Exchange Name

NYSE

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Name of the state or province.

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A unique 10-digit SEC-issued value to identify entities that have filed disclosures with the SEC. It is commonly abbreviated as CIK.

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Indicate if registrant meets the emerging growth company criteria.

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Commission file number. The field allows up to 17 characters. The prefix may contain 1-3 digits, the sequence number may contain 1-8 digits, the optional suffix may contain 1-4 characters, and the fields are separated with a hyphen.

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Two-character EDGAR code representing the state or country of incorporation.

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The exact name of the entity filing the report as specified in its charter, which is required by forms filed with the SEC.

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The Tax Identification Number (TIN), also known as an Employer Identification Number (EIN), is a unique 9-digit value assigned by the IRS.

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Local phone number for entity.

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Boolean flag that is true when the Form 8-K filing is intended to satisfy the filing obligation of the registrant as pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act.

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Boolean flag that is true when the Form 8-K filing is intended to satisfy the filing obligation of the registrant as pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act.

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Title of a 12(b) registered security.

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Name of the Exchange on which a security is registered.

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Boolean flag that is true when the Form 8-K filing is intended to satisfy the filing obligation of the registrant as soliciting material pursuant to Rule 14a-12 under the Exchange Act.

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Trading symbol of an instrument as listed on an exchange.

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Boolean flag that is true when the Form 8-K filing is intended to satisfy the filing obligation of the registrant as written communications pursuant to Rule 425 under the Securities Act.

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