Form 8-K

8-K — ANNALY CAPITAL MANAGEMENT INC

Accession: 0001043219-26-000077

Filed: 2026-10-20

Period: 2026-10-20

CIK: 0001043219

SIC: 6798 (REAL ESTATE INVESTMENT TRUSTS)

Item: Results of Operations and Financial Condition

Item: Financial Statements and Exhibits

Documents

8-K — nly-20261020.htm (Primary)

EX-99.1 (a2026q3nlyex991.htm)

GRAPHIC (nlya11.jpg)

XML — IDEA: XBRL DOCUMENT (R1.htm)

8-K

8-K (Primary)

Filename: nly-20261020.htm · Sequence: 1

nly-20261020

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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)

October 20, 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

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 October 20, 2026, the Registrant issued a press release announcing its financial results for the quarter ended September 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 October 20, 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: October 20, 2026

EX-99.1

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Document

ANNALY CAPITAL MANAGEMENT, INC. REPORTS 3rd QUARTER 2026 RESULTS

NEW YORK—October 20, 2026—Annaly Capital Management, Inc. (NYSE: NLY) ("Annaly" or the "Company") today announced its financial results for the quarter ended September 30, 2026.

Financial Highlights

•GAAP net income (loss) of ($1.36) per average common share for the quarter

•Earnings available for distribution ("EAD") of $0.80 per average common share for the quarter

•Economic return (loss) of (7.6%) for the third quarter

•Book value per common share of $17.86

•GAAP leverage of 8.0x, up from 7.4x in the prior quarter; economic leverage of 5.9x, up from 5.6x in the prior quarter

•Declared quarterly common stock cash dividend of $0.75 per share

Business Highlights

Investment and Strategy

•Total portfolio of $106.5 billion, including $91.8 billion in highly liquid Agency portfolio(1)

•Annaly’s Agency portfolio decreased modestly, representing 55% of dedicated capital(2), with activity focused on further rotation into higher coupon specified pools

•Actively managed the hedge portfolio throughout the quarter, primarily adding Treasury futures to offset market-driven extension and maintain a disciplined risk posture, ending the quarter with a hedge ratio of 100%

•Annaly’s Residential Credit portfolio was effectively unchanged at $10.4 billion(1), representing 23% of dedicated capital(2), with continued strong production from its whole loan correspondent channel including record loan fundings of $5.8 billion

•Annaly's MSR portfolio increased to $4.3 billion(1) in market value, representing 22% of dedicated capital(2); Onslow Bay is the sixth-largest non-bank servicer of Agency MBS(3)

Financing and Capital

•$8.5 billion of total assets available for financing(4), including cash and unencumbered Agency MBS of $4.2 billion

•During the quarter, Annaly Residential Credit Group issued twelve securitizations totaling a record $7.4 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 4.34%, up six basis points quarter-over-quarter, and average economic cost of interest-bearing liabilities of 4.03%, up seven basis points quarter-over-quarter

•Maintained warehouse capacity of $8.3 billion across our Residential Credit and MSR businesses, including $2.8 billion of committed capacity

•Announced redemption of all outstanding shares of the $442.5 million Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock(6)

•Raised $757 million of accretive capital through the Company’s at-the-market sales program(7)

"While the third quarter of 2026 was a challenging period for fixed income markets, which we were not immune to, we entered the quarter prepared for the volatility. Our cycle-low leverage and minimal duration exposure provided us with the flexibility to actively manage our portfolio while continuing to make attractive investments across our three strategies," remarked Chief Executive Officer & Co-Chief Investment Officer David Finkelstein. "Meanwhile, Annaly generated EAD of $0.80 per share, once again exceeding the common stock dividend and underscoring the durable earnings power of our platform.

"Looking ahead, we remain disciplined in our approach to capital allocation, leverage, liquidity and our hedge portfolio. We continue to see ample investment opportunities across each of our three strategies and we believe Annaly’s deep capital base, differentiated operating capabilities and active portfolio management position us well to deploy capital and generate compelling risk-adjusted returns."

(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 $42.5 billion, include TBA purchase contracts (market value) of $6.5 billion, include $4.1 billion of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $2.2 billion.

(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 September 30, 2026. Excludes transfer activity related to platform acquisitions.

(4) Comprised of $6.9 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 (October 9, 2026 issue). Used with permission.

(6) All outstanding shares of Annaly's 6.750% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock were redeemed subsequent to quarter end on October 1, 2026.

(7) 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 September 30, 2026, June 30, 2026 and September 30, 2025:

September 30, 2026

June 30, 2026

September 30, 2025

Book value per common share $ 17.86 $ 20.15 $ 19.25

GAAP net income per average common share (1)

$ (1.36) $ 1.06 $ 1.21

Annualized GAAP return on average equity (2)

(24.35 %) 19.88 % 23.69 %

GAAP leverage at period-end (3)

8.0:1 7.4:1 7.1:1

Net interest margin (4)

1.54 % 1.47 % 0.97 %

Average yield on interest earning assets (5)

5.58 % 5.44 % 5.40 %

Average GAAP cost of interest bearing liabilities (6)

4.34 % 4.28 % 4.73 %

Net interest spread 1.24 % 1.16 % 0.67 %

Non-GAAP metrics *

Earnings available for distribution per average common share (1)

$ 0.80 $ 0.79 $ 0.73

Annualized EAD return on average equity 15.86 % 15.12 % 14.70 %

Economic leverage at period-end (3)

5.9:1 5.6:1 5.7:1

Net interest margin (excluding PAA) (4)

1.69 % 1.76 % 1.70 %

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

5.45 % 5.46 % 5.46 %

Average economic cost of interest bearing liabilities (6)

4.03 % 3.96 % 3.96 %

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

* 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 September 30, 2025 includes cumulative and undeclared dividends of $3.7 million on the Company's 8.875% Series J Fixed-Rate Cumulative Redeemable Preferred Stock (the "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 (6.09%), 4.97%, and 5.92% for the quarters ended September 30, 2026, June 30, 2026, and September 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 Third Quarter 2026 Investor Presentation and the Third Quarter 2026 Financial Supplement can be found on our website.

Conference Call

The Company will hold the third quarter 2026 earnings conference call on October 21, 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/IDX71212VIP2npOaYFOwrG0Td. 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 800-715-9871 within the U.S., or 646-307-1963 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)

September 30, 2026 June 30, 2026 March 31, 2026

December 31, 2025 (1)

September 30, 2025

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

Assets

Cash and cash equivalents $ 2,180,894 $ 2,912,086 $ 1,912,444 $ 2,037,838 $ 2,096,696

Securities 86,897,746 89,515,485 88,473,681 91,287,630 85,062,725

Loans, net 6,869,820 7,280,979 7,230,876 5,020,784 4,008,299

Mortgage servicing rights 4,199,823 4,089,485 4,115,999 3,645,865 3,476,181

Interests in MSR 110,350 106,775 27,212 28,626 35,833

Assets transferred or pledged to securitization vehicles 42,459,566 38,256,690 34,207,738 32,067,433 29,512,309

Derivative assets 1,204,812 81,784 395,099 115,533 47,899

Reverse repurchase agreements 32,425 33,047 33,524 34,389 35,004

Receivable for unsettled trades 705,160 104,722 891,293 1,031 185,916

Principal and interest receivable 882,299 846,548 806,484 926,660 959,435

Intangible assets, net 4,708 5,380 6,053 6,726 7,398

Other assets 599,871 508,195 437,188 437,323 433,877

Total assets $ 146,147,474 $ 143,741,176 $ 138,537,591 $ 135,609,838 $ 125,861,572

Liabilities and stockholders’ equity

Liabilities

Repurchase agreements $ 85,525,065 $ 86,895,874 $ 85,068,102 $ 81,865,723 $ 75,118,963

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

Debt issued by securitization vehicles 38,380,269 34,366,098 30,719,417 28,918,753 26,601,790

Participations issued 2,200,562 2,553,709 2,484,018 1,932,655 1,831,657

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

Derivative liabilities 302,774 247,968 207,369 53,755 199,100

Payable for unsettled trades 1,108,206 331,586 1,522,750 2,059,386 2,604,278

Interest payable 319,589 420,764 347,607 380,688 285,080

Dividends payable 588,505 562,931 511,203 494,881 476,737

Other liabilities 703,118 258,870 226,314 272,362 279,818

Total liabilities 130,253,088 126,762,800 122,211,780 119,449,927 110,864,993

Stockholders’ equity

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

1,802,480 1,802,480 1,802,480 1,802,480 1,802,480

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

7,847 7,506 7,303 7,070 6,811

Additional paid-in capital 29,654,134 28,886,263 28,427,555 27,927,113 27,352,976

Accumulated other comprehensive income (loss) (795,806) (557,014) (533,614) (488,566) (624,387)

Accumulated deficit (14,848,732) (13,213,859) (13,429,615) (13,157,325) (13,626,983)

Total stockholders’ equity 15,819,923 16,925,376 16,274,109 16,090,772 14,910,897

Noncontrolling interests 74,463 53,000 51,702 69,139 85,682

Total equity 15,894,386 16,978,376 16,325,811 16,159,911 14,996,579

Total liabilities and equity $ 146,147,474 $ 143,741,176 $ 138,537,591 $ 135,609,838 $ 125,861,572

(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. 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 784,673,349 shares issued and outstanding at September 30, 2026; 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.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(dollars in thousands, except per share data)

(Unaudited)

For the quarters ended

September 30,

2026 June 30,

2026 March 31,

2026 December 31,

2025 September 30,

2025

Net interest income

Interest income $ 1,970,425 $ 1,812,198 $ 1,724,930 $ 1,690,707 $ 1,532,497

Interest expense 1,426,813 1,324,005 1,272,239 1,324,128 1,256,747

Net interest income 543,612 488,193 452,691 366,579 275,750

Net servicing income

Servicing and related income 173,096 175,059 159,133 156,131 141,356

Servicing and related expense 17,087 17,835 16,580 16,485 15,104

Net servicing income 156,009 157,224 142,553 139,646 126,252

Other income (loss)

Net gains (losses) on investments and other (4,721,745) (318,503) (672,119) 289,428 561,927

Net gains (losses) on derivatives 3,074,072 552,426 409,112 251,799 (92,308)

Other, net 16,895 13,521 9,323 13,952 13,959

Total other income (loss) (1,630,778) 247,444 (253,684) 555,179 483,578

General and administrative expenses

Compensation expense 41,185 44,640 41,384 39,279 38,393

Other general and administrative expenses 12,021 13,549 11,180 11,928 11,947

Total general and administrative expenses 53,206 58,189 52,564 51,207 50,340

Income (loss) before income taxes (984,363) 834,672 288,996 1,010,197 835,240

Income taxes 16,335 6,899 (1,519) (7,754) (7,823)

Net income (loss) (1,000,698) 827,773 290,515 1,017,951 843,063

Net income (loss) attributable to noncontrolling interests 1,061 5,100 7,863 4,457 10,618

Net income (loss) attributable to Annaly (1,001,759) 822,673 282,652 1,013,494 832,445

Dividends on preferred stock (1)

41,305 41,036 40,652 42,387 41,127

Net income (loss) available (related) to common stockholders $ (1,043,064) $ 781,637 $ 242,000 $ 971,107 $ 791,318

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

Basic $ (1.36) $ 1.06 $ 0.33 $ 1.40 $ 1.21

Diluted $ (1.36) $ 1.06 $ 0.33 $ 1.40 $ 1.20

Weighted average number of common shares outstanding

Basic 764,359,434 738,926,270 722,707,153 693,011,031 656,335,974

Diluted 764,359,434 740,256,247 724,364,897 695,034,348 657,856,427

Other comprehensive income (loss)

Net income (loss) $ (1,000,698) $ 827,773 $ 290,515 $ 1,017,951 $ 843,063

Unrealized gains (losses) on available-for-sale securities (250,449) (23,400) (45,048) 74,992 113,281

Reclassification adjustment for net (gains) losses included in net income (loss) 11,657 — — 60,829 2,378

Other comprehensive income (loss) (238,792) (23,400) (45,048) 135,821 115,659

Comprehensive income (loss) (1,239,490) 804,373 245,467 1,153,772 958,722

Comprehensive income (loss) attributable to noncontrolling interests 1,061 5,100 7,863 4,457 10,618

Comprehensive income (loss) attributable to Annaly (1,240,551) 799,273 237,604 1,149,315 948,104

Dividends on preferred stock (1)

41,305 41,036 40,652 42,387 41,127

Comprehensive income (loss) attributable to common stockholders $ (1,281,856) $ 758,237 $ 196,952 $ 1,106,928 $ 906,977

(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 nine months ended

September 30, 2026 September 30, 2025

(unaudited) (unaudited)

Net interest income

Interest income $ 5,507,553 $ 4,268,498

Interest expense 4,023,057 3,499,577

Net interest income 1,484,496 768,921

Net servicing income

Servicing and related income 507,288 423,461

Servicing and related expense 51,502 43,788

Net servicing income 455,786 379,673

Other income (loss)

Net gains (losses) on investments and other (5,712,367) 1,456,242

Net gains (losses) on derivatives 4,035,610 (1,458,960)

Other, net 39,739 37,169

Total other income (loss) (1,637,018) 34,451

General and administrative expenses

Compensation expense 127,209 112,273

Other general and administrative expenses 36,750 36,149

Total general and administrative expenses 163,959 148,422

Income (loss) before income taxes 139,305 1,034,623

Income taxes 21,715 884

Net income (loss) 117,590 1,033,739

Net income (loss) attributable to noncontrolling interests 14,024 19,971

Net income (loss) attributable to Annaly 103,566 1,013,768

Dividends on preferred stock (1)

122,993 115,544

Net income (loss) available (related) to common stockholders $ (19,427) $ 898,224

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

Basic $ (0.03) $ 1.45

Diluted $ (0.03) $ 1.44

Weighted average number of common shares outstanding

Basic 742,107,269 621,484,893

Diluted 742,107,269 622,768,481

Other comprehensive income (loss)

Net income (loss) $ 117,590 $ 1,033,739

Unrealized gains (losses) on available-for-sale securities (318,897) 311,717

Reclassification adjustment for net (gains) losses included in net income (loss) 11,657 81,578

Other comprehensive income (loss) (307,240) 393,295

Comprehensive income (loss) (189,650) 1,427,034

Comprehensive income (loss) attributable to noncontrolling interests 14,024 19,971

Comprehensive income (loss) attributable to Annaly (203,674) 1,407,063

Dividends on preferred stock (1)

122,993 115,544

Comprehensive income (loss) attributable to common stockholders $ (326,667) $ 1,291,519

(1) The nine months 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 September 30, 2026, June 30, 2026 and September 30, 2025:

September 30, 2026 June 30, 2026 September 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 9.6 % 11.6 % 8.6 %

Weighted average projected long-term CPR at period-end 8.6 % 11.0 % 10.4 %

Liabilities and hedging metrics

Weighted average days to maturity on repurchase agreements outstanding at period-end 30 33 49

Hedge ratio (1)

100 % 97 % 92 %

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

3.19 % 3.20 % 3.16 %

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

3.97 % 3.73 % 4.27 %

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

(0.78 %) (0.53 %) (1.11 %)

GAAP leverage at period-end (3)

8.0:1 7.4:1 7.1:1

GAAP capital ratio at period-end (4)

10.9 % 11.8 % 11.9 %

Performance related metrics

Book value per common share $ 17.86 $ 20.15 $ 19.25

GAAP net income per average common share (5)

$ (1.36) $ 1.06 $ 1.21

Annualized GAAP return on average equity (6)

(24.35 %) 19.88 % 23.69 %

Net interest margin (7)

1.54 % 1.47 % 0.97 %

Average yield on interest earning assets (8)

5.58 % 5.44 % 5.40 %

Average GAAP cost of interest bearing liabilities (9)

4.34 % 4.28 % 4.73 %

Net interest spread 1.24 % 1.16 % 0.67 %

Dividend declared per common share $ 0.75 $ 0.75 $ 0.70

Annualized dividend yield (10)

15.88 % 13.42 % 13.85 %

Non-GAAP metrics *

Earnings available for distribution per average common share (5)

$ 0.80 $ 0.79 $ 0.73

Annualized EAD return on average equity (excluding PAA) 15.86 % 15.12 % 14.70 %

Economic leverage at period-end (3)

5.9:1 5.6:1 5.7:1

Economic capital ratio at period end (4)

14.2 % 14.9 % 14.8 %

Net interest margin (excluding PAA) (7)

1.69 % 1.76 % 1.70 %

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

5.45 % 5.46 % 5.46 %

Average economic cost of interest bearing liabilities (9)

4.03 % 3.96 % 3.96 %

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

* 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 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.

(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 (6.09%), 4.97% and 5.92% for the quarters ended September 30, 2026, June 30, 2026, and September 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 $18.89, $22.36 and $20.21 at September 30, 2026, June 30, 2026 and September 30, 2025, respectively.

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

For the quarters ended

September 30, 2026 June 30, 2026 September 30, 2025

Agency mortgage-backed securities $ 85,294,151 $ 87,768,578 $ 83,317,819

Residential credit risk transfer securities 69 46,872 330,647

Non-agency mortgage-backed securities 1,603,526 1,565,016 1,414,259

Commercial mortgage-backed securities — 135,019 —

Total securities $ 86,897,746 $ 89,515,485 $ 85,062,725

Residential mortgage loans $ 6,869,820 $ 7,280,979 $ 4,008,299

Total loans, net $ 6,869,820 $ 7,280,979 $ 4,008,299

Mortgage servicing rights $ 4,199,823 $ 4,089,485 $ 3,476,181

Interests in MSR $ 110,350 $ 106,775 $ 35,833

Residential mortgage loans transferred or pledged to securitization vehicles $ 42,459,566 $ 38,256,690 $ 29,512,309

Assets transferred or pledged to securitization vehicles $ 42,459,566 $ 38,256,690 $ 29,512,309

Total investment portfolio $ 140,537,305 $ 139,249,414 $ 122,095,347

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

September 30, 2026 June 30, 2026 September 30, 2025

(dollars in thousands, except per share data)

GAAP net income (loss) $ (1,000,698) $ 827,773 $ 843,063

Adjustments to exclude reported realized and unrealized (gains) losses

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

4,728,272 316,206 (560,957)

Net (gains) losses on derivatives (2)

(2,982,293) (464,968) 284,199

Other adjustments

Amortization of intangibles 672 673 673

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

— — 376

Transaction expenses and non-recurring items (4)

10,738 10,246 8,117

Income tax effect of non-EAD income (loss) items 13,820 5,044 (6,742)

TBA dollar roll income (5)

18,803 17,904 9,019

MSR amortization (6)

(93,570) (89,816) (72,081)

EAD attributable to noncontrolling interests (2,086) (2,476) (4,175)

Premium amortization adjustment cost (benefit) (44,518) 7,081 18,390

Earnings available for distribution *

649,140 627,667 519,882

Dividends on preferred stock (7)

41,305 41,036 41,127

Earnings available for distribution attributable to common stockholders *

$ 607,835 $ 586,631 $ 478,755

GAAP net income (loss) per average common share $ (1.36) $ 1.06 $ 1.21

Earnings available for distribution per average common share *

$ 0.80 $ 0.79 $ 0.73

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

(24.35 %) 19.88 % 23.69 %

Annualized EAD return on average equity * 15.86 % 15.12 % 14.70 %

* 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 $91.8 million, $87.5 million and $191.9 million for the quarters ended September 30, 2026, June 30, 2026 and September 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) 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.

(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 (6.09%), 4.97%, and 5.92% for the quarters ended September 30, 2026, June 30, 2026, and September 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 September 30, 2026, June 30, 2026 and September 30, 2025:

For the quarters ended

September 30, 2026 June 30, 2026 September 30, 2025

(dollars in thousands)

Premium amortization expense (accretion) $ 18,422 $ 52,423 $ 36,719

Less: PAA cost (benefit) (44,518) 7,081 18,390

Premium amortization expense (excluding PAA) $ 62,940 $ 45,342 $ 18,329

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

September 30, 2026 June 30, 2026 September 30, 2025

Economic leverage ratio reconciliation

(dollars in thousands)

Repurchase agreements

$ 85,525,065 $ 86,895,874 $ 75,118,963

Other secured financing

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

Debt issued by securitization vehicles

38,380,269 34,366,098 26,601,790

Participations issued

2,200,562 2,553,709 1,831,657

U.S Treasury securities sold, not yet purchased — — 2,442,570

Total GAAP debt

$ 127,230,896 $ 124,940,681 $ 107,019,980

Less Non-recourse debt:

Debt issued by securitization vehicles (1)

$ (38,136,634) $ (34,114,655) $ (26,601,790)

Participations issued

(2,200,562) (2,553,709) (1,831,657)

Total recourse debt $ 86,893,700 $ 88,272,317 $ 78,586,533

Plus / (Less):

Cost basis of TBA derivatives

$ 6,710,766 $ 7,169,573 $ 3,981,439

Payable for unsettled trades 1,108,206 331,586 2,604,278

Receivable for unsettled trades (705,160) (104,722) (185,916)

Economic debt *

$ 94,007,512 $ 95,668,754 $ 84,986,334

Total equity

$ 15,894,386 $ 16,978,376 $ 14,996,579

Economic leverage ratio *

5.9:1 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

September 30, 2026 June 30, 2026 September 30, 2025

Economic capital ratio reconciliation

(dollars in thousands)

Total GAAP assets

$ 146,147,474 $ 143,741,176 $ 125,861,572

Less:

Gross unrealized gains on TBA derivatives (1)

(34,383) (50,393) (24,074)

Debt issued by securitization vehicles (2)

(38,136,634) (34,114,655) (26,601,790)

Participations issued (2,200,562) (2,553,709) (1,831,657)

Plus:

Implied market value of TBA derivatives

6,488,723 7,216,874 3,991,915

Total economic assets *

$ 112,264,618 $ 114,239,293 $ 101,395,966

Total equity

$ 15,894,386 $ 16,978,376 $ 14,996,579

Economic capital ratio *

14.2% 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

September 30, 2026 June 30, 2026 September 30, 2025

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

GAAP interest income $ 1,970,425 $ 1,812,198 $ 1,532,497

Premium amortization adjustment (44,518) 7,081 18,390

Interest income (excluding PAA) * $ 1,925,907 $ 1,819,279 $ 1,550,887

Economic interest expense reconciliation

GAAP interest expense $ 1,426,813 $ 1,324,005 $ 1,256,747

Add:

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

(104,133) (98,841) (205,030)

Economic interest expense * $ 1,322,680 $ 1,225,164 $ 1,051,717

Economic net interest income (excluding PAA) reconciliation

Interest income (excluding PAA) * $ 1,925,907 $ 1,819,279 $ 1,550,887

Less:

Economic interest expense * 1,322,680 1,225,164 1,051,717

Economic net interest income (excluding PAA) * $ 603,227 $ 594,115 $ 499,170

* 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

September 30, 2026 June 30, 2026 September 30, 2025

Economic metrics (excluding PAA) (dollars in thousands)

Average interest earning assets $ 141,338,058 $ 133,263,735 $ 113,522,223

Interest income (excluding PAA) * $ 1,925,907 $ 1,819,279 $ 1,550,887

Average yield on interest earning assets (excluding PAA) * 5.45 % 5.46 % 5.46 %

Average interest bearing liabilities $ 129,667,247 $ 122,802,541 $ 103,994,302

Economic interest expense * $ 1,322,680 $ 1,225,164 $ 1,051,717

Average economic cost of interest bearing liabilities * 4.03 % 3.96 % 3.96 %

Economic net interest income (excluding PAA) * $ 603,227 $ 594,115 $ 499,170

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

Interest income (excluding PAA) * $ 1,925,907 $ 1,819,279 $ 1,550,887

TBA dollar roll income 18,803 17,904 9,019

Economic interest expense * (1,322,680) (1,225,164) (1,051,717)

Subtotal $ 622,030 $ 612,019 $ 508,189

Average interest earnings assets $ 141,338,058 $ 133,263,735 $ 113,522,223

Average TBA contract balances 5,624,613 6,088,214 6,356,708

Subtotal $ 146,962,671 $ 139,351,949 $ 119,878,931

Net interest margin (excluding PAA) * 1.69 % 1.76 % 1.70 %

* Represents a non-GAAP financial measure.

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v3.26.3

Cover Page

Oct. 20, 2026

Document Information [Line Items]

Document Type

8-K

Document Period End Date

Oct. 20, 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

Written Communications

false

Soliciting Material

false

Pre-commencement Tender Offer

false

Pre-commencement Issuer Tender Offer

false

Entity Emerging Growth Company

false

Entity Central Index Key

0001043219

Amendment Flag

false

Common Stock, par value $0.01 per share

Document Information [Line Items]

Title of 12(b) Security

Common Stock, par value $0.01 per share

Trading Symbol

NLY

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

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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No definition available.

+ Details

Name:

dei_EntityAddressAddressLine1

Namespace Prefix:

dei_

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xbrli:normalizedStringItemType

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duration

- Definition

Name of the City or Town

+ References

No definition available.

+ Details

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dei_EntityAddressCityOrTown

Namespace Prefix:

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Data Type:

xbrli:normalizedStringItemType

Balance Type:

Period Type:

duration

- Definition

Code for the postal or zip code

+ References

No definition available.

+ Details

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dei_EntityAddressPostalZipCode

Namespace Prefix:

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Data Type:

xbrli:normalizedStringItemType

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- Definition

Name of the state or province.

+ References

No definition available.

+ Details

Name:

dei_EntityAddressStateOrProvince

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- Definition

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

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Exchange Act

-Number 240

-Section 12

-Subsection b-2

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- Definition

Indicate if registrant meets the emerging growth company criteria.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Exchange Act

-Number 240

-Section 12

-Subsection b-2

+ Details

Name:

dei_EntityEmergingGrowthCompany

Namespace Prefix:

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Data Type:

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- Definition

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.

+ References

No definition available.

+ Details

Name:

dei_EntityFileNumber

Namespace Prefix:

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Data Type:

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- Definition

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

+ References

No definition available.

+ Details

Name:

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Data Type:

dei:edgarStateCountryItemType

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- Definition

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

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Exchange Act

-Number 240

-Section 12

-Subsection b-2

+ Details

Name:

dei_EntityRegistrantName

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- Definition

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

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Exchange Act

-Number 240

-Section 12

-Subsection b-2

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Name:

dei_EntityTaxIdentificationNumber

Namespace Prefix:

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Data Type:

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- Definition

Local phone number for entity.

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No definition available.

+ Details

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- Definition

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.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Exchange Act

-Number 240

-Section 13e

-Subsection 4c

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Namespace Prefix:

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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.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Exchange Act

-Number 240

-Section 14d

-Subsection 2b

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- Definition

Title of a 12(b) registered security.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Exchange Act

-Number 240

-Section 12

-Subsection b

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- Definition

Name of the Exchange on which a security is registered.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Exchange Act

-Number 240

-Section 12

-Subsection d1-1

+ Details

Name:

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Data Type:

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Balance Type:

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- Definition

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.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Exchange Act

-Number 240

-Section 14a

-Subsection 12

+ Details

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- Definition

Trading symbol of an instrument as listed on an exchange.

+ References

No definition available.

+ Details

Name:

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Namespace Prefix:

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Balance Type:

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- Definition

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.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Securities Act

-Number 230

-Section 425

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