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

NEW YORK--( BUSINESS WIRE)--Annaly Capital Management, Inc. (NYSE: NLY) ("Annaly" or the "Company") today announced its financial results for the quarter ended March 31, 2026.

Financial Highlights

Business Highlights

Investment and Strategy

Financing and Capital

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

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

(1)

Total portfolio represents Annaly’s investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Assets exclude assets transferred or pledged to securitization vehicles of $34.2 billion, include TBA purchase contracts (market value) of $5.8 billion, include unsettled MSR commitments of $13 million, include $3.5 billion of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $2.5 billion. MSR commitments represent the market value of deals where Annaly has executed a letter of intent prior to quarter-end. There can be no assurance whether these deals will close or when they will close.

(2)

Dedicated capital for each of the investment strategies is calculated as the difference between each investment strategy’s allocated assets, which include TBA purchase contracts, and liabilities.

(3)

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

(4)

Comprised of $7.4 billion of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets that have not been pledged or securitized (generally including cash and cash equivalents, Agency MBS, CRT, Non-Agency MBS, residential mortgage loans, MSR, reverse repurchase agreements, other unencumbered financial assets and capital stock), and $1.6 billion of fair value of collateral pledged for future advances.

(5)

Issuer ranking data from Inside Nonconforming Markets for 2025 to 2026 (April 10, 2026 issue). Used with permission.

(6)

Net of sales agent commissions and other offering expenses.

Financial Performance

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

March 31, 2026

December 31, 2025

March 31, 2025

Book value per common share

19.82

20.21

19.02

GAAP net income per average common share (1)

0.33

1.40

0.15

Annualized GAAP return on average equity (2)

7.15

26.14

4.04

GAAP leverage at period-end (3)

7.3:1

7.2:1

6.8:1

Net interest margin (4)

1.41

1.18

0.87

Average yield on interest earning assets (5)

5.36

5.42

5.18

Average GAAP cost of interest bearing liabilities (6)

4.29

4.49

4.77

Net interest spread

1.07

0.93

0.41

Non-GAAP metrics *

Earnings available for distribution per average common share (1)

0.76

0.74

0.72

Annualized EAD return on average equity

14.58

14.28

14.43

Economic leverage at period-end (3)

5.7:1

5.6:1

5.7:1

Net interest margin (excluding PAA) (4)

1.71

1.69

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

5.35

5.44

5.23

Average economic cost of interest bearing liabilities (6)

3.93

3.95

3.88

Net interest spread (excluding PAA)

1.42

1.49

1.35

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

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

(2) Annualized GAAP return on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return on average equity is 1.79%, 6.53%, and 1.01% for the quarters ended March 31, 2026, December 31, 2025, and March 31, 2025, respectively.

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

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

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

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

Other Information

This news release and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "believe," "expect," "anticipate," "continue," or similar terms or variations on those terms or the negative of those terms. Such statements include those relating to the Company’s future performance, macro outlook, the interest rate and credit environments, tax reform and future opportunities. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities ("MBS") and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of the Company’s assets; changes in business conditions and the general economy; the Company’s ability to grow its residential credit business; the Company's ability to grow its mortgage servicing rights business; credit risks related to the Company’s investments in credit risk transfer securities and residential mortgage-backed securities and related residential mortgage credit assets; risks related to investments in mortgage servicing rights; the Company’s ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting the Company’s business; the Company’s ability to maintain its qualification as a REIT for U.S. federal income tax purposes; the Company’s ability to maintain its exemption from registration under the Investment Company Act of 1940; and operational risks or risk management failures by us or critical third parties, including cybersecurity incidents. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see "Risk Factors" in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. The Company does not undertake, and specifically disclaims any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.

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

We use our website ( www.annaly.com) and LinkedIn account ( www.linkedin.com/company/annaly-capital-management) as channels of distribution of company information. The information we post through these channels may be deemed material. Accordingly, investors should monitor these channels, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, you may automatically receive email alerts and other information about Annaly when you enroll your email address by visiting the "News & Insights" section of our website, then clicking on "Subscribe" and completing the email notification form. Our website, any alerts and social media channels are not incorporated by reference into, and are not a part of, this document.

The Company prepares an investor presentation and financial supplement for the benefit of its shareholders. Please refer to the investor presentation for definitions of both GAAP and non-GAAP measures used in this news release. Both the First Quarter 2026 Investor Presentation and the First Quarter 2026 Financial Supplement can be found at the Company’s website ( www.annaly.com) in the "Investors" section under "Investor Presentations."

Conference Call

The Company will hold the first quarter 2026 earnings conference call on April 22, 2026 at 9:00 a.m. Eastern Time. Participants are encouraged to pre-register for the conference call to receive a unique PIN to gain immediate access to the call and bypass the live operator. Pre-registration may be completed by accessing the pre-registration link found on the "Investors" section of the Company's website at www.annaly.com, or by using the following link: https://dpregister.com/sreg/10207726/103aa658df0. Pre-registration may be completed at any time, including up to and after the call start time.

For participants who would like to join the call but have not pre-registered, access is available by dialing 844-735-3317 within the U.S., or 412-317-5703 internationally, and requesting the "Annaly Earnings Call."

There will also be an audio webcast of the call on www.annaly.com. A replay of the call will be available for one week following the conference call. The replay number is 855-669-9568 for domestic calls and 412-317-0088 for international calls and the conference passcode is 4019012. If you would like to be added to the e-mail distribution list, please visit www.annaly.com, click on News & Insights, then select Subscribe and complete the email notification form.

Financial Statements

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(dollars in thousands, except per share data)

March 31, 2026

December 31, 2025 (1)

September 30, 2025

June 30, 2025

March 31, 2025

(unaudited)

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

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

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

(3) Includes 1,456,750,000 shares authorized. Includes 730,290,500 shares issued and outstanding at March 31, 2026; 706,972,452 shares issued and outstanding at December 31, 2025; 681,052,317 shares issued and outstanding at September 30, 2025; 642,076,127 shares issued and outstanding at June 30, 2025; 602,338,286 shares issued and outstanding at March 31, 2025.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(dollars in thousands, except per share data)

(Unaudited)

For the quarters ended

March 31, 2026

December 31, 2025

September 30, 2025

June 30, 2025

March 31, 2025

Net interest income

Interest income

1,724,930

1,690,707

1,532,497

1,418,893

1,317,108

Interest expense

1,272,239

1,324,128

1,256,747

1,145,693

1,097,137

Net interest income

452,691

366,579

275,750

273,200

219,971

Net servicing income

Servicing and related income

159,133

156,131

141,356

141,670

140,435

Servicing and related expense

16,580

16,485

15,104

14,571

14,113

Net servicing income

142,553

139,646

126,252

127,099

126,322

Other income (loss)

Net gains (losses) on investments and other

(672,119

)

289,428

561,927

83,503

810,812

Net gains (losses) on derivatives

409,112

251,799

(92,308

)

(388,785

)

(977,867

)

Other, net

9,323

13,952

13,959

15,812

7,398

Total other income (loss)

(253,684

)

555,179

483,578

(289,470

)

(159,657

)

General and administrative expenses

Compensation expense

41,384

39,279

38,393

36,583

37,297

Other general and administrative expenses

11,180

11,928

11,947

13,435

10,767

Total general and administrative expenses

52,564

51,207

50,340

50,018

48,064

Income (loss) before income taxes

288,996

1,010,197

835,240

60,811

138,572

Income taxes

(1,519

)

(7,754

)

(7,823

)

440

8,267

Net income (loss)

290,515

1,017,951

843,063

60,371

130,305

Net income (loss) attributable to noncontrolling interests

7,863

4,457

10,618

3,272

6,081

Net income (loss) attributable to Annaly

282,652

1,013,494

832,445

57,099

124,224

Dividends on preferred stock (1)

40,652

42,387

41,127

37,260

37,157

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

242,000

971,107

791,318

19,839

87,067

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

Basic

0.33

1.40

1.21

0.03

0.15

Diluted

0.33

1.40

1.20

0.03

0.15

Weighted average number of common shares outstanding

Basic

722,707,153

693,011,031

656,335,974

620,208,712

587,149,704

Diluted

724,364,897

695,034,348

657,856,427

621,103,218

588,420,998

Other comprehensive income (loss)

Net income (loss)

290,515

1,017,951

843,063

60,371

130,305

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

(45,048

)

74,992

113,281

33,559

164,877

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

—

60,829

2,378

13,797

65,403

Other comprehensive income (loss)

(45,048

)

135,821

115,659

47,356

230,280

Comprehensive income (loss)

245,467

1,153,772

958,722

107,727

360,585

Comprehensive income (loss) attributable to noncontrolling interests

7,863

4,457

10,618

3,272

6,081

Comprehensive income (loss) attributable to Annaly

237,604

1,149,315

948,104

104,455

354,504

Dividends on preferred stock (1)

40,652

42,387

41,127

37,260

37,157

Comprehensive income (loss) attributable to common stockholders

196,952

1,106,928

906,977

67,195

317,347

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

Key Financial Data

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

March 31, 2026

December 31, 2025

March 31, 2025

Portfolio related metrics

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

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

Weighted average experienced CPR for the period

10.2

9.7

7.1

Weighted average projected long-term CPR at period-end

10.4

10.8

9.5

Liabilities and hedging metrics

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

Hedge ratio (1)

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

3.14

3.15

2.98

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

3.74

3.92

4.43

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

(0.60

(0.77

(1.45

GAAP leverage at period-end (3)

7.3:1

7.2:1

6.8:1

GAAP capital ratio at period-end (4)

11.8

11.9

12.4

Performance related metrics

Book value per common share

19.82

20.21

19.02

GAAP net income per average common share (5)

0.33

1.40

0.15

Annualized GAAP return on average equity (6)

7.15

26.14

4.04

Net interest margin (7)

1.41

1.18

0.87

Average yield on interest earning assets (8)

5.36

5.42

5.18

Average GAAP cost of interest bearing liabilities (9)

4.29

4.49

4.77

Net interest spread

1.07

0.93

0.41

Dividend declared per common share

0.70

Annualized dividend yield (10)

13.24

12.52

13.79

Non-GAAP metrics *

Earnings available for distribution per average common share (5)

0.76

0.74

0.72

Annualized EAD return on average equity (excluding PAA)

14.58

14.28

14.43

Economic leverage at period-end (3)

5.7:1

5.6:1

5.7:1

Economic capital ratio at period end (4)

14.7

14.9

14.8

Net interest margin (excluding PAA) (7)

1.71

1.69

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

5.35

5.44

5.23

Average economic cost of interest bearing liabilities (9)

3.93

3.95

3.88

Net interest spread (excluding PAA)

1.42

1.49

1.35

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

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

(2) Excludes forward starting swaps.

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

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

(6) Annualized GAAP return on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return on average equity is 1.79%, 6.53% and 1.01% for the quarters ended March 31, 2026, December 31, 2025, and March 31, 2025, respectively.

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

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

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

(10) Based on the closing price of the Company’s common stock of $21.15, $22.36 and $20.31 at March 31, 2026, December 31, 2025 and March 31, 2025, respectively.

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

For the quarters ended

March 31, 2026

December 31, 2025

March 31, 2025

Agency mortgage-backed securities

86,380,653

89,628,654

68,329,720

Residential credit risk transfer securities

110,646

213,800

521,059

Non-agency mortgage-backed securities

1,588,026

1,445,176

1,451,524

Commercial mortgage-backed securities

394,356

—

59,061

Total securities

88,473,681

91,287,630

70,361,364

Residential mortgage loans

7,230,876

5,020,784

3,860,555

Total loans, net

7,230,876

5,020,784

3,860,555

Mortgage servicing rights

4,115,999

3,645,865

3,272,902

Interests in MSR

27,212

28,626

—

Residential mortgage loans transferred or pledged to securitization vehicles

34,207,738

32,067,433

24,464,281

Assets transferred or pledged to securitization vehicles

34,207,738

32,067,433

24,464,281

Total investment portfolio

134,055,506

132,050,338

101,959,102

Non-GAAP Financial Measures

To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles ("GAAP"), the Company provides the following non-GAAP measures:

These measures should not be considered a substitute for, or superior to, financial measures computed in accordance with GAAP. While intended to offer a fuller understanding of the Company’s results and operations, non-GAAP financial measures also have limitations. For example, the Company may calculate its non-GAAP metrics, such as earnings available for distribution, or the PAA, differently than its peers making comparative analysis difficult. Additionally, in the case of non-GAAP measures that exclude the PAA, the amount of amortization expense excluding the PAA is not necessarily representative of the amount of future periodic amortization nor is it indicative of the term over which the Company will amortize the remaining unamortized premium. Changes to actual and estimated prepayments will impact the timing and amount of premium amortization and, as such, both GAAP and non-GAAP results.

These non-GAAP measures provide additional detail to enhance investor understanding of the Company’s period-over-period operating performance and business trends, as well as for assessing the Company’s performance versus that of industry peers. Additional information pertaining to the Company’s use of these non-GAAP financial measures, including discussion of how each such measure may be useful to investors, and reconciliations to their most directly comparable GAAP results are provided below.

Earnings available for distribution, earnings available for distribution attributable to common stockholders, earnings available for distribution per average common share and annualized EAD return on average equity

The Company's principal business objective is to generate net income for distribution to its stockholders and to preserve capital through prudent selection of investments and continuous management of its portfolio. The Company generates net income by earning a net interest spread on its investment portfolio, which is a function of interest income from its investment portfolio less financing, hedging and operating costs. Earnings available for distribution, which is defined as the sum of (a) economic net interest income, (b) TBA dollar roll income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding amortization of intangibles, non-EAD income allocated to equity method investments and other non-EAD components of other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non-recurring items), and (f) income taxes (excluding the income tax effect of non-EAD income (loss) items) and excludes (g) the premium amortization adjustment ("PAA") representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities is used by the Company's management and, the Company believes, used by analysts and investors to measure its progress in achieving its principal business objective.

The Company seeks to fulfill this objective through a variety of factors including portfolio construction, the degree of market risk exposure and related hedge profile, and the use and forms of leverage, all while operating within the parameters of the Company's capital allocation policy and risk governance framework.

The Company believes these non-GAAP measures provide management and investors with additional details regarding the Company’s underlying operating results and investment portfolio trends by (i) making adjustments to account for the disparate reporting of changes in fair value where certain instruments are reflected in GAAP net income (loss) while others are reflected in other comprehensive income (loss) and (ii) by excluding certain unrealized, non-cash or episodic components of GAAP net income (loss) in order to provide additional transparency into the operating performance of the Company’s portfolio. In addition, EAD serves as a useful indicator for investors in evaluating the Company's performance and ability to pay dividends. Annualized EAD return on average equity, which is calculated by dividing earnings available for distribution over average stockholders’ equity, provides investors with additional detail on the earnings available for distribution generated by the Company’s invested equity capital.

The following table presents a reconciliation of GAAP financial results to non-GAAP earnings available for distribution for the periods presented:

For the quarters ended

March 31, 2026

December 31, 2025

March 31, 2025

(dollars in thousands, except per share data)

GAAP net income (loss)

290,515

1,017,951

130,305

Adjustments to exclude reported realized and unrealized (gains) losses

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

674,162

(288,630

)

(810,970

)

Net (gains) losses on derivatives (2)

(312,265

)

(104,405

)

1,169,412

Other adjustments

Amortization of intangibles

673

672

673

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

—

405

147

Transaction expenses and non-recurring items (4)

7,951

7,223

6,782

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

(4,812

)

(9,456

)

7,355

TBA dollar roll income (5)

18,993

4,813

11,275

MSR amortization (6)

(78,646

)

(77,955

)

(62,433

)

EAD attributable to noncontrolling interests

(2,989

)

(4,027

)

(2,985

)

Premium amortization adjustment cost (benefit)

(3,694

)

6,627

12,296

Earnings available for distribution *

589,888

553,218

461,857

Dividends on preferred stock (7)

40,652

42,387

37,157

Earnings available for distribution attributable to common stockholders *

549,236

510,831

424,700

GAAP net income (loss) per average common share

0.33

1.40

0.15

Earnings available for distribution per average common share *

0.76

0.74

0.72

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

7.15

26.14

4.04

Annualized EAD return on average equity *

14.58

14.28

14.43

* Represents a non-GAAP financial measure.

(1) Includes write-downs or recoveries on investments which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss).

(2) The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $96.8 million, $147.4 million and $191.5 million for the quarters ended March 31, 2026, December 31, 2025 and March 31, 2025, respectively.

(3) The Company excludes non-EAD (income) loss allocated to equity method investments, which represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net.

(4) Represents costs incurred in connection with securitizations of residential whole loans.

(5) TBA dollar roll income represents a component of Net gains (losses) on derivatives.

(6) MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period.

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

(8) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 1.79%, 6.53%, and 1.01% for the quarters ended March 31, 2026, December 31, 2025, and March 31, 2025, respectively.

From time to time, the Company enters into TBA forward contracts as an alternate means of investing in and financing Agency mortgage-backed securities. A TBA contract is an agreement to purchase or sell, for future delivery, an Agency mortgage-backed security with a specified issuer, term and coupon. A TBA dollar roll represents a transaction where TBA contracts with the same terms but different settlement dates are simultaneously bought and sold. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the "drop". The drop is a reflection of the expected net interest income from an investment in similar Agency mortgage-backed securities, net of an implied financing cost, that would be foregone as a result of settling the contract in the later month rather than in the earlier month. The drop between the current settlement month price and the forward settlement month price occurs because in the TBA dollar roll market, the party providing the financing is the party that would retain all principal and interest payments accrued during the financing period. Accordingly, TBA dollar roll income generally represents the economic equivalent of the net interest income earned on the underlying Agency mortgage-backed security less an implied financing cost.

TBA dollar roll transactions are accounted for under GAAP as a series of derivatives transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. The Company records TBA derivatives at fair value on its Consolidated Statements of Financial Condition and recognizes periodic changes in fair value in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss), which includes both unrealized and realized gains and losses on derivatives.

TBA dollar roll income is calculated as the difference in price between two TBA contracts with the same terms but different settlement dates multiplied by the notional amount of the TBA contract. Although accounted for as derivatives, TBA dollar rolls capture the economic equivalent of net interest income, or carry, on the underlying Agency mortgage-backed security (interest income less an implied cost of financing). TBA dollar roll income is reported as a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).

Premium Amortization Expense

In accordance with GAAP, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities, excluding interest-only securities, multifamily and reverse mortgages, taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.

The Company’s GAAP metrics include the unadjusted impact of amortization and accretion associated with this method. Certain of the Company’s non-GAAP metrics exclude the effect of the PAA, which quantifies the component of premium amortization representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term CPR.

The following table illustrates the impact of the PAA on premium amortization expense for the Company’s Residential Securities portfolio and residential securities transferred or pledged to securitization vehicles, for the quarters ended March 31, 2026, December 31, 2025 and March 31, 2025:

For the quarters ended

March 31, 2026

December 31, 2025

March 31, 2025

(dollars in thousands)

Premium amortization expense (accretion)

67,509

41,367

57,412

Less: PAA cost (benefit)

(3,694

)

6,627

12,296

Premium amortization expense (excluding PAA)

71,203

34,740

45,116

Economic leverage and economic capital ratios

The Company uses capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on its assets and the cost of its borrowings and hedging activities. The Company’s capital structure is designed to offer an efficient complement of funding sources to generate positive risk-adjusted returns for its stockholders while maintaining appropriate liquidity to support its business and meet the Company’s financial obligations under periods of market stress. To maintain its desired capital profile, the Company utilizes a mix of debt and equity funding. Debt funding may include the use of repurchase agreements, loans, securitizations, participations issued, lines of credit, asset backed lending facilities, corporate bond issuance, convertible bonds or other liabilities. Equity capital primarily consists of common and preferred stock.

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

The following table presents a reconciliation of GAAP debt to economic debt for purposes of calculating the Company’s economic leverage ratio for the periods presented:

As of

March 31, 2026

December 31, 2025

March 31, 2025

Economic leverage ratio reconciliation

(dollars in thousands)

Repurchase agreements

85,068,102

81,865,723

61,659,460

Other secured financing

1,125,000

1,075,000

900,000

Debt issued by securitization vehicles

30,719,417

28,918,753

21,802,193

Participations issued

2,484,018

1,932,655

1,748,273

U.S Treasury securities sold, not yet purchased

—

2,396,724

2,519,125

Total GAAP debt

119,396,537

116,188,855

88,629,051

Less Non-recourse debt:

Debt issued by securitization vehicles (1)

(30,463,341

)

(28,651,989

)

(21,802,193

)

Participations issued

(2,484,018

)

(1,932,655

)

(1,748,273

)

Total recourse debt

86,449,178

85,604,211

65,078,585

Plus / (Less):

Cost basis of TBA derivatives

5,948,177

3,252,601

6,612,755

Payable for unsettled trades

1,522,750

2,059,386

2,304,774

Receivable for unsettled trades

(891,293

)

(1,031

)

(2,523

)

Economic debt *

93,028,812

90,915,167

73,993,591

Total equity

16,325,811

16,159,911

13,084,508

Economic leverage ratio *

5.7:1

5.6:1

5.7:1

* Represents a non-GAAP financial measure.

(1) Non-recourse debt excludes debt issued by securitization vehicles related to structured repurchase transactions.

The following table presents a reconciliation of GAAP total assets to economic total assets for purposes of calculating the Company’s economic capital ratio for the periods presented:

As of

March 31, 2026

December 31, 2025

March 31, 2025

Economic capital ratio reconciliation

(dollars in thousands)

Total GAAP assets

138,537,591

135,609,838

105,115,346

Less:

Gross unrealized gains on TBA derivatives (1)

(28,927

)

(17,648

)

(35,095

)

Debt issued by securitization vehicles (2)

(30,463,341

)

(28,651,989

)

(21,802,193

)

Participations issued

(2,484,018

)

(1,932,655

)

(1,748,273

)

Plus:

Implied market value of TBA derivatives

5,845,420

3,257,086

6,635,383

Total economic assets *

111,406,725

108,264,632

88,165,168

Total equity

16,325,811

16,159,911

13,084,508

Economic capital ratio *

14.7

14.9

14.8

* Represents a non-GAAP financial measure.

(1) Included in Derivative assets in the Company’s Consolidated Statements of Financial Condition.

(2) Excludes debt issued by securitization vehicles related to structured repurchase transactions.

Interest income (excluding PAA), economic interest expense and economic net interest income (excluding PAA)

Interest income (excluding PAA) represents interest income excluding the effect of the PAA, and serves as the basis for deriving average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA) and net interest margin (excluding PAA), which are discussed below. The Company believes this measure provides management and investors with additional detail to enhance their understanding of the Company’s operating results and trends by excluding the component of premium amortization expense representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), which can obscure underlying trends in the performance of the portfolio.

Economic interest expense includes GAAP interest expense, the net interest component of interest rate swaps (which includes net interest on variation margin related to interest rate swaps) and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Accordingly, adding the net interest component of interest rate swaps to interest expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with additional information about the cost of the Company's financing strategy. The Company may use market agreed coupon ("MAC") interest rate swaps in which the Company may receive or make a payment at the time of entering into such interest rate swap to compensate for the off-market nature of such interest rate swap. In accordance with GAAP, upfront payments associated with MAC interest rate swaps are not reflected in the net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).

Similarly, economic net interest income (excluding PAA), as computed below, provides investors with additional information to enhance their understanding of the net economics of our primary business operations.

For the quarters ended

March 31, 2026

December 31, 2025

March 31, 2025

Interest income (excluding PAA) reconciliation

(dollars in thousands)

GAAP interest income

1,724,930

1,690,707

1,317,108

Premium amortization adjustment

(3,694

)

6,627

12,296

Interest income (excluding PAA) *

1,721,236

1,697,334

1,329,404

Economic interest expense reconciliation

GAAP interest expense

1,272,239

1,324,128

1,097,137

Add:

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

(107,365

)

(159,973

)

(204,389

)

Economic interest expense *

1,164,874

1,164,155

892,748

Economic net interest income (excluding PAA) reconciliation

Interest income (excluding PAA) *

1,721,236

1,697,334

1,329,404

Less:

Economic interest expense *

1,164,874

1,164,155

892,748

Economic net interest income (excluding PAA) *

556,362

533,179

436,656

* Represents a non-GAAP financial measure.

(1) Interest on initial margin related to interest rate swaps is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss).

Average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA), net interest margin (excluding PAA) and average economic cost of interest bearing liabilities

Net interest spread (excluding PAA), which is the difference between the average yield on interest earning assets (excluding PAA) and the average economic cost of interest bearing liabilities, which represents annualized economic interest expense divided by average interest bearing liabilities, and net interest margin (excluding PAA), which is calculated as the sum of interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average TBA contract balances, provide management with additional measures of the Company’s profitability that management relies upon in monitoring the performance of the business.

Disclosure of these measures, which are presented below, provides investors with additional detail regarding how management evaluates the Company’s performance.

For the quarters ended

March 31, 2026

December 31, 2025

March 31, 2025

Economic metrics (excluding PAA)

(dollars in thousands)

Average interest earning assets

128,783,013

124,781,771

101,631,610

Interest income (excluding PAA) *

1,721,236

1,697,334

1,329,404

Average yield on interest earning assets (excluding PAA) *

5.35

5.44

5.23

Average interest bearing liabilities

118,603,594

115,319,739

92,001,700

Economic interest expense *

1,164,874

1,164,155

892,748

Average economic cost of interest bearing liabilities *

3.93

3.95

3.88

Economic net interest income (excluding PAA) *

556,362

533,179

436,656

Net interest spread (excluding PAA) *

1.42

1.49

1.35

Interest income (excluding PAA) *

1,721,236

1,697,334

1,329,404

TBA dollar roll income

18,993

4,813

11,275

Economic interest expense *

(1,164,874

)

(1,164,155

)

(892,748

)

Subtotal

575,355

537,992

447,931

Average interest earnings assets

128,783,013

124,781,771

101,631,610

Average TBA contract balances

5,443,741

2,182,985

4,625,212

Subtotal

134,226,754

126,964,756

106,256,822

Net interest margin (excluding PAA) *

1.71

1.69

* Represents a non-GAAP financial measure.