ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
The effect of other derivative contracts in the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
| | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2026 |
| Derivative Instruments | Realized Gain (Loss) | | Unrealized Gain (Loss) | | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives |
| (dollars in thousands) |
| Net TBA derivatives | $ | (164,932) | | | $ | 150,058 | | | $ | (14,874) | |
| Net interest rate swaptions | — | | | 1,043 | | | 1,043 | |
Futures (1) | 546,671 | | | (527,268) | | | 19,403 | |
| Purchase commitments | — | | | 10,543 | | | 10,543 | |
| | | | | |
| | | | | |
Total | | | | | $ | 16,115 | |
| | | | | |
(1) For the three months ended June 30, 2026, includes $1.8 million of realized gain and ($10.3) million of unrealized loss related to interest rate futures and options other than treasury futures. |
| | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2025 |
| Derivative Instruments | Realized Gain (Loss) | | Unrealized Gain (Loss) | | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives |
| (dollars in thousands) |
| Net TBA derivatives | $ | (57,686) | | | $ | 74,703 | | | $ | 17,017 | |
| Net interest rate swaptions | (9,230) | | | 8,600 | | | (630) | |
Futures (1) | 154,654 | | | (224,081) | | | (69,427) | |
| Purchase commitments | — | | | 2,580 | | | 2,580 | |
| | | | | |
| | | | | |
| Total | | | | | $ | (50,460) | |
|
(1) For the three months ended June 30, 2025, includes $0.5 million of realized gain and ($6.0) million of unrealized loss related to interest rate futures and options other than treasury futures. |
| | | | | | | | | | | | | | | | | |
Six Months Ended June 30, 2026 |
| Derivative Instruments | Realized Gain (Loss) | | Unrealized Gain (Loss) | | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives |
| (dollars in thousands) |
| Net TBA derivatives | $ | (151,184) | | | $ | 42,816 | | | $ | (108,368) | |
| Net interest rate swaptions | 20,230 | | | 1,945 | | | 22,175 | |
Futures (1) | 477,150 | | | (295,864) | | | 181,286 | |
| Purchase commitments | — | | | 7,211 | | | 7,211 | |
| | | | | |
| | | | | |
| Total | | | | | $ | 102,304 | |
|
(1) For the six months ended June 30, 2026, includes $2.5 million of realized gain and ($13.9) million of unrealized loss related to interest rate futures and options other than treasury futures. |
| | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | |
Six Months Ended June 30, 2025 |
| Derivative Instruments | Realized Gain (Loss) | | Unrealized Gain (Loss) | | Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives |
| (dollars in thousands) |
| Net TBA derivatives | $ | (72,041) | | | $ | 119,236 | | | $ | 47,195 | |
| Net interest rate swaptions | (9,230) | | | — | | | (9,230) | |
Futures (1) | 68,298 | | | (541,184) | | | (472,886) | |
| Purchase commitments | — | | | 12,439 | | | 12,439 | |
| | | | | |
| | | | | |
| Total | | | | | $ | (422,482) | |
| | | | | |
(1) For the six months ended June 30, 2025, includes $9.5 million of realized gain and ($6.0) million of unrealized loss related to interest rate futures and options other than treasury futures. |
Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange.
Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features were in a net liability position at June 30, 2026.
| | |
10. FAIR VALUE MEASUREMENTS |
|
The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSR that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments and MSR into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
If the inputs used to measure the financial instrument and MSR fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value in the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows:
Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets.
Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.
Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value.
The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level.
Futures contracts and U.S. Treasury securities are valued using quoted prices for identical instruments in active markets and are classified as Level 1.
Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities.
Residential Securities, residential mortgage loans, interest rate swap, swaption and TBA derivative markets are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions and TBA derivatives markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions and TBA derivatives as Level 2.
The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial mortgage-backed securities carried at fair value are classified as Level 2.
For the fair value of debt issued by securitization vehicles, refer to the “Variable Interest Entities” Note for additional information.
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
The Company has classified its investments in MSR as Level 3. Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including discount rates, prepayment rates, delinquency rates and costs to service. Model valuations are then compared to valuations obtained from third party pricing providers. Management reviews the valuations received from third party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSR requires significant judgment by management and the third party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements.
The following tables present the estimated fair values of financial instruments and MSR measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025. There were no transfers between levels of the fair value hierarchy during the periods presented.
| | | | | | | | | | | | | | | | | | | | | | | |
| June 30, 2026 |
| | Level 1 | | Level 2 | | Level 3 | | Total |
| Assets | (dollars in thousands) |
| Securities | | | | | | | |
| Agency mortgage-backed securities | $ | — | | | $ | 87,768,578 | | | $ | — | | | $ | 87,768,578 | |
| Credit risk transfer securities | — | | | 46,872 | | | — | | | 46,872 | |
| Non-Agency mortgage-backed securities | — | | | 1,565,016 | | | — | | | 1,565,016 | |
| Commercial mortgage-backed securities | — | | | 135,019 | | | — | | | 135,019 | |
| Loans | | | | | | | |
| Residential mortgage loans | — | | | 7,280,979 | | | — | | | 7,280,979 | |
| | | | | | | |
| Mortgage servicing rights | — | | | — | | | 4,089,485 | | | 4,089,485 | |
| Interests in MSR | — | | | — | | | 106,775 | | | 106,775 | |
| Assets transferred or pledged to securitization vehicles | — | | | 38,256,690 | | | — | | | 38,256,690 | |
| Derivative assets | | | | | | | |
| | | | | | | |
| Interest rate swaps | — | | | 14,137 | | | — | | | 14,137 | |
| Other derivatives | 1,800 | | | 65,847 | | | — | | | 67,647 | |
| Total assets | $ | 1,800 | | | $ | 135,133,138 | | | $ | 4,196,260 | | | $ | 139,331,198 | |
| Liabilities | | | | | | | |
| Debt issued by securitization vehicles | $ | — | | | $ | 34,366,098 | | | $ | — | | | $ | 34,366,098 | |
| Participations issued | — | | | 2,553,709 | | | — | | | 2,553,709 | |
| | | | | | | |
| Derivative liabilities | | | | | | | |
| Interest rate swaps | — | | | 7,219 | | | — | | | 7,219 | |
| Other derivatives | 233,242 | | | 7,507 | | | — | | | 240,749 | |
| Total liabilities | $ | 233,242 | | | $ | 36,934,533 | | | $ | — | | | $ | 37,167,775 | |
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
| | | | | | | | | | | | | | | | | | | | | | | |
| December 31, 2025 |
| | Level 1 | | Level 2 | | Level 3 | | Total |
| Assets | (dollars in thousands) |
| Securities | | | | | | | |
| Agency mortgage-backed securities | $ | — | | | $ | 89,628,654 | | | $ | — | | | $ | 89,628,654 | |
| Credit risk transfer securities | — | | | 213,800 | | | — | | | 213,800 | |
| Non-Agency mortgage-backed securities | — | | | 1,445,176 | | | — | | | 1,445,176 | |
| | | | | | | |
| Loans | | | | | | | |
| Residential mortgage loans | — | | | 5,020,784 | | | — | | | 5,020,784 | |
| | | | | | | |
| Mortgage servicing rights | — | | | — | | | 3,645,865 | | | 3,645,865 | |
| Interests in MSR | — | | | — | | | 28,626 | | | 28,626 | |
| Assets transferred or pledged to securitization vehicles | — | | | 32,067,433 | | | — | | | 32,067,433 | |
| Derivative assets | | | | | | | |
| | | | | | | |
| Interest rate swaps | — | | | 7,372 | | | — | | | 7,372 | |
| Other derivatives | 71,065 | | | 37,096 | | | — | | | 108,161 | |
| Total assets | $ | 71,065 | | | $ | 128,420,315 | | | $ | 3,674,491 | | | $ | 132,165,871 | |
| Liabilities | | | | | | | |
| Debt issued by securitization vehicles | $ | — | | | $ | 28,918,753 | | | $ | — | | | $ | 28,918,753 | |
| Participations issued | — | | | 1,932,655 | | | — | | | 1,932,655 | |
| U.S. Treasury securities sold, not yet purchased | 2,396,724 | | | — | | | — | | | 2,396,724 | |
| Derivative liabilities | | | | | | | |
| Interest rate swaps | — | | | 16,385 | | | — | | | 16,385 | |
| Other derivatives | 6,644 | | | 30,726 | | | — | | | 37,370 | |
| Total liabilities | $ | 2,403,368 | | | $ | 30,898,519 | | | $ | — | | | $ | 33,301,887 | |
|
Qualitative and Quantitative Information about Level 3 Fair Value Measurements
The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements are described below. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently from changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply. For MSR, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSR, which in turn could result in a decline in the estimated fair value of MSR. Refer to the “Mortgage Servicing Rights” Note for additional information, including rollforwards.
The following table presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSR. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.
| | | | | | | | | | | | | | | |
| | |
Unobservable Input (1) | Range (Weighted Average) (2) |
| June 30, 2026 | | December 31, 2025 | | | | |
| Discount rate | 5.6% - 11.2% (7.8%) | | 4.7% - 12.0% (7.9%) | | | | |
| | | | | | | |
| Prepayment rate | 4.7% - 18.7% (5.9%) | | 4.6% - 22.8% (5.8%) | | | | |
| Delinquency rate | 0.2% - 4.7% (1.2%) | | 0.2% - 3.7% (1.1%) | | | | |
| Cost to service | $68 - $92 ($80) | | $68 - $93 ($82) | | | | |
(1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSR, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSR. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at June 30, 2026 and December 31, 2025.
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | June 30, 2026 | | December 31, 2025 |
| | | | Carrying
Value | | Fair
Value | | Carrying
Value | | Fair
Value |
| Financial assets | | | (dollars in thousands) |
| Reverse repurchase agreements | | | $33,047 | | $33,047 | | $34,389 | | $34,389 |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Financial liabilities | | | | | | | | | |
| Repurchase agreements | | | $86,895,874 | | $86,895,874 | | $81,865,723 | | $81,865,723 |
| Other secured financing | | | 1,125,000 | | 1,125,000 | | 1,075,000 | | 1,075,000 |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| | | | | | | | | |
| | | | | | | | | |
The carrying values of repurchase agreements and other secured financing approximate fair value and are considered Level 2 fair value measurements.
Finite life intangible assets are amortized over their expected useful lives. As part of the Company’s management internalization transaction, which closed on June 30, 2020, the Company recognized an intangible asset for the acquired assembled workforce of approximately $41.2 million based on the replacement cost of the employee base acquired by the Company.
The following table presents the activity of finite lived intangible assets for the six months ended June 30, 2026.
| | | | | |
| Intangible Assets, net |
| (dollars in thousands) |
Beginning balance January 1, 2026 | $ | 6,726 | |
| |
| |
| |
| |
| Less: amortization expense | (1,346) | |
Ending balance June 30, 2026 | $ | 5,380 | |
|
Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing, and has determined that each of the financing agreements should be treated as a secured financing. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. To mitigate credit exposure, the Company monitors the market value of these securities and delivers or obtains additional collateral based on changes in market value of these securities. Generally, the Company receives or posts collateral with a fair value approximately equal to or greater than the value of the secured financing.
Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows.
The Company had outstanding $86.9 billion and $81.9 billion of repurchase agreements with weighted average remaining maturities of 33 days and 35 days and weighted average rates of 3.85% and 4.02% at June 30, 2026 and December 31, 2025, respectively. In connection with its residential mortgage loans, the Company had select arrangements with counterparties to enter into repurchase agreements for $6.1 billion with remaining capacity of $2.4 billion at June 30, 2026.
At June 30, 2026 and December 31, 2025, the repurchase agreements had the following remaining maturities and collateral types:
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| June 30, 2026 |
| | Agency Mortgage-Backed Securities | | CRTs | | Non-Agency Mortgage-Backed Securities | | Residential Mortgage Loans | | | | Commercial Mortgage-Backed Securities | | | | Total Repurchase Agreements |
| | (dollars in thousands) |
| 1 day | $ | 35,324,478 | | | $ | — | | | $ | 26,890 | | | $ | — | | | | | $ | — | | | | | $ | 35,351,368 | |
| 2 to 29 days | 12,595,792 | | | — | | | 1,277,694 | | | — | | | | | — | | | | | 13,873,486 | |
| 30 to 59 days | 27,132,432 | | | — | | | 904,094 | | | — | | | | | — | | | | | 28,036,526 | |
| 60 to 89 days | 4,954,581 | | | — | | | 527,659 | | | — | | | | | — | | | | | 5,482,240 | |
| 90 to 119 days | 1,909 | | | — | | | 87,054 | | | — | | | | | — | | | | | 88,963 | |
Over 119 days (1) | 8,606 | | | — | | | 437,873 | | | 3,666,812 | | | | | — | | | | | 4,113,291 | |
| Total | $ | 80,017,798 | | | $ | — | | | $ | 3,261,264 | | | $ | 3,666,812 | | | | | $ | — | | | | | $ | 86,945,874 | |
|
| Amounts offset in accordance with netting arrangements | | | | (50,000) | |
| Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | | | | $ | 86,895,874 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| December 31, 2025 |
| | Agency Mortgage-Backed Securities | | CRTs | | Non-Agency Mortgage-Backed Securities | | Residential Mortgage Loans | | | | Commercial Mortgage-Backed Securities | | | | Total Repurchase Agreements |
| | (dollars in thousands) |
| 1 day | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | $ | — | | | | | $ | — | |
| 2 to 29 days | 43,487,076 | | | 96,162 | | | 1,371,672 | | | — | | | | | — | | | | | 44,954,910 | |
| 30 to 59 days | 31,834,906 | | | — | | | 376,364 | | | 519,921 | | | | | — | | | | | 32,731,191 | |
| 60 to 89 days | 3,969,641 | | | — | | | 655,204 | | | — | | | | | — | | | | | 4,624,845 | |
| 90 to 119 days | — | | | — | | | 18,763 | | | 165,305 | | | | | — | | | | | 184,068 | |
Over 119 days (1) | — | | | — | | | 275,341 | | | 1,532,712 | | | | | — | | | | | 1,808,053 | |
| Total | $ | 79,291,623 | | | $ | 96,162 | | | $ | 2,697,344 | | | $ | 2,217,938 | | | | | $ | — | | | | | $ | 84,303,067 | |
|
| Amounts offset in accordance with netting arrangements | | | | (2,437,344) | |
| Net amounts of Repurchase agreements as presented in the Consolidated Statements of Financial Condition | | | | $ | 81,865,723 | |
| | | | | | | | | | | | | | | |
(1) Less than 1% of repurchase agreements had a remaining maturity over 1 year at June 30, 2026 and December 31, 2025. |
The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at June 30, 2026 and December 31, 2025. Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.
| | | | | | | | | | | | | | | | | | | | | | | |
| | June 30, 2026 | | December 31, 2025 |
| | Reverse Repurchase Agreements | | Repurchase Agreements | | Reverse Repurchase Agreements | | Repurchase Agreements |
| | (dollars in thousands) |
| Gross amounts | $ | 83,047 | | | $ | 86,945,874 | | | $ | 2,471,733 | | | $ | 84,303,067 | |
| Amounts offset | (50,000) | | | (50,000) | | | (2,437,344) | | | (2,437,344) | |
| Netted amounts | $ | 33,047 | | | $ | 86,895,874 | | | $ | 34,389 | | | $ | 81,865,723 | |
|
The fair value of collateral received in connection with reverse repurchase agreements as of June 30, 2026 was $83.0 million, of which the Company sold $0.0 million. The fair value of collateral received in connection with reverse repurchase agreements as of December 31, 2025 was $2.5 billion, of which the Company sold $2.4 billion. The amount of collateral sold is reported at fair value in the Company’s Consolidated Statements of Financial Condition as U.S. Treasury securities sold, not yet purchased.
Other Secured Financing - As of June 30, 2026, the Company had $2.3 billion in total committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under these facilities as of June 30, 2026 totaled $1.1 billion with maturities ranging between six months to two years. As of December 31, 2025, the Company had $2.2 billion in total committed credit facilities to finance a portion of its MSR portfolio. Outstanding borrowings under these facilities as of December 31, 2025 totaled $1.1 billion with maturities ranging between one to two years. The weighted average interest rate of the borrowings was 6.23% and 6.44% as of June 30, 2026 and December 31, 2025, respectively. Borrowings are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition.
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $91.1 billion and $434.3 million, respectively, at June 30, 2026 and $89.0 billion and $404.1 million, respectively, at December 31, 2025.
The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at June 30, 2026 and December 31, 2025.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Shares authorized | | Shares issued and outstanding | |
| June 30, 2026 | | December 31, 2025 | | June 30, 2026 | | December 31, 2025 | Par Value |
Common stock | 1,456,750,000 | | | 1,456,750,000 | | | 750,574,308 | | | 706,972,452 | | $0.01 |
In January 2025, the Company announced that its Board authorized the repurchase of up to $1.5 billion of its outstanding shares of common stock through December 31, 2029 (the “Common Stock Repurchase Program”). During the three and six months ended June 30, 2026 and 2025, no shares were repurchased under the Common Stock Repurchase Program.
On September 20, 2024, the Company entered into separate Distribution Agency Agreements (collectively, the “2024 Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., Citizens JMP Securities, LLC, Goldman Sachs & Co. LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co., LLC, RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (collectively, the “2024 Sales Agents”). Under the terms of the 2024 Sales Agreements, the Company offered and sold shares of its common stock, having an aggregate offering price of up to $1.5 billion, from time to time through any of the 2024 Sales Agents (the “2024 At-The-Market Sales Program”).
On May 8, 2025, the Company entered into separate Distribution Agency Agreements (collectively, the “Prior Sales Agreements”) with each of Barclays Capital Inc., BNP Paribas Securities Corp., BofA Securities, Inc., BTIG, LLC, Citizens JMP Securities, LLC, Goldman Sachs & Co. LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., Morgan Stanley & Co., LLC, Piper Sandler & Co., RBC Capital Markets, LLC, UBS Securities LLC and Wells Fargo Securities, LLC (the “Sales Agents”), which terminated and replaced the 2024 Sales Agreements. Under the terms of the Prior Sales Agreements, the Company offered and sold shares of its common stock, having an aggregate offering price of up to $2.0 billion, from time to time through any of the Sales Agents (the "Prior At-The-Market Sales Program").
On December 22, 2025, the Company entered into separate Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of the Sales Agents, which terminated and replaced the Prior Sales Agreements. Under the terms of the Sales Agreements, the Company may offer and sell shares of its common stock, having an aggregate offering price of up to $2.5 billion, from time to time through any of the Sales Agents (the "Current At-The-Market Sales Program" and, together with the 2024 At-The-Market Sales Program and the Prior At-The-Market Sales Program, the "at-the-market sales program").
During the three and six months ended June 30, 2026, under the at-the-market sales program, the Company issued 20.3 million and 42.6 million shares for proceeds of $447.2 million and $955.7 million, respectively, each net of commissions and fees. During the three and six months ended June 30, 2025, under the at-the-market sales program, the Company issued 39.7 million and 63.0 million shares for proceeds of $761.2 million and $1.3 billion, respectively, each net of commissions and fees.
(B) Preferred Stock
The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at June 30, 2026 and December 31, 2025. In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets.
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Shares Authorized | | Shares Issued And Outstanding | | Carrying Value | Contractual Rate | Earliest Redemption Date (1) | Effective Date of Floating Rate Dividend Period | Floating Annual Rate (2) |
| June 30, 2026 | | December 31, 2025 | | June 30, 2026 | | December 31, 2025 | | June 30, 2026 | | December 31, 2025 |
| Fixed-rate | | (dollars in thousands) | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Series J | 11,500,000 | | | 11,500,000 | | | 11,000,000 | | | 11,000,000 | | | $ | 265,911 | | | $ | 265,911 | | 8.875% | 9/30/2030 | NA | NA |
| Fixed-to-floating rate |
| Series F | 28,800,000 | | | 28,800,000 | | | 28,800,000 | | | 28,800,000 | | | 696,910 | | | 696,910 | | 6.95% | 9/30/2022 | 9/30/2022 | 3M Term SOFR + 4.993% |
| Series G | 17,000,000 | | | 17,000,000 | | | 17,000,000 | | | 17,000,000 | | | 411,335 | | | 411,335 | | 6.50% | 3/31/2023 | 3/31/2023 | 3M Term SOFR + 4.172% |
| Series I | 17,700,000 | | | 17,700,000 | | | 17,700,000 | | | 17,700,000 | | | 428,324 | | | 428,324 | | 6.75% | 6/30/2024 | 6/30/2024 | 3M Term SOFR + 4.989% |
| Subtotal | 63,500,000 | | | 63,500,000 | | | 63,500,000 | | | 63,500,000 | | | $ | 1,536,569 | | | $ | 1,536,569 | | | | | |
| Total | 75,000,000 | | | 75,000,000 | | | 74,500,000 | | | 74,500,000 | | | $ | 1,802,480 | | | $ | 1,802,480 | | | | | |
|
(1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. (2) For each series of fixed-to-floating rate cumulative redeemable preferred stock, the floating rate is calculated as 3-month CME Term SOFR (plus a spread adjustment of 0.26161%) plus the spread specified in the prospectus. |
Each series of preferred stock has a par value of $0.01 per share and a liquidation and redemption price of $25.00, plus accrued and unpaid dividends through their redemption date. Through June 30, 2026, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock.
The Series F Fixed-to-Floating Rate Cumulative Preferred Stock, Series G Fixed-to-Floating Rate Cumulative Preferred Stock, Series I Fixed-to-Floating Rate Cumulative Preferred Stock and Series J Fixed-Rate Cumulative Preferred Stock rank senior to the common stock of the Company.
On December 31, 2024, the Board approved a repurchase plan for all of our existing outstanding Fixed-to-Floating Rate Preferred Stock (as defined below) (the “Preferred Stock Repurchase Program”). Under the terms of the Preferred Stock Repurchase Program, we are authorized to repurchase up to an aggregate of 63,500,000 shares of Fixed-to-Floating Rate Preferred Stock, comprised of up to (i) 28,800,000 shares of its 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series F Preferred Stock”), (ii) 17,000,000 shares of its 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series G Preferred Stock”), and (iii) 17,700,000 shares of its 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series I Preferred Stock”, and together with Series F Preferred Stock and Series G Preferred Stock, the “Fixed-to-Floating Rate Preferred Stock”). The aggregate liquidation value of the Fixed-to-Floating Rate Preferred Stock that may be repurchased by the Company pursuant to the Preferred Stock Repurchase Program, as of June 30, 2026, was approximately $1.6 billion.
The Preferred Stock Repurchase Program became effective on January 1, 2025 and will expire on December 31, 2029. During the three and six months ended June 30, 2026 and 2025, no shares were repurchased under the Preferred Stock Repurchase Program.
(C) Distributions to Stockholders
The following table provides a summary of the Company’s dividend distribution activity for the periods presented:
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
| | | | | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended | | For the Six Months Ended |
| | June 30, 2026 | | June 30, 2025 | | June 30, 2026 | | June 30, 2025 |
| | (dollars in thousands, except per share data) |
| Dividends and dividend equivalents declared on common stock and share-based awards | $ | 565,881 | | | $ | 452,199 | | | $ | 1,080,171 | | | $ | 876,062 | |
| Distributions declared per common share | $ | 0.75 | | | $ | 0.70 | | | $ | 1.45 | | | $ | 1.40 | |
| Distributions paid to common stockholders after period end | $ | 562,931 | | | $ | 449,453 | | | $ | 562,931 | | | $ | 449,453 | |
| Distributions paid per common share after period end | $ | 0.75 | | | $ | 0.70 | | | $ | 0.75 | | | $ | 0.70 | |
| Date of distributions paid to common stockholders after period end | July 31, 2026 | | July 31, 2025 | | July 31, 2026 | | July 31, 2025 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Dividends declared to series F preferred stockholders | $ | 16,118 | | | $ | 17,197 | | | $ | 32,186 | | | $ | 34,447 | |
| Dividends declared per share of series F preferred stock | $ | 0.560 | | | $ | 0.597 | | | $ | 1.118 | | | $ | 1.196 | |
| Dividends declared to series G preferred stockholders | $ | 8,738 | | | $ | 9,381 | | | $ | 17,350 | | | $ | 18,691 | |
| Dividends declared per share of series G preferred stock | $ | 0.514 | | | $ | 0.552 | | | $ | 1.021 | | | $ | 1.100 | |
| | | | | | | |
| | | | | | | |
| Dividends declared to series I preferred stockholders | $ | 10,011 | | | $ | 10,682 | | | $ | 19,881 | | | $ | 21,279 | |
| Dividends declared per share of series I preferred stock | $ | 0.566 | | | $ | 0.603 | | | $ | 1.123 | | | $ | 1.202 | |
| Dividends declared to series J preferred stockholders | $ | 6,169 | | | $ | — | | | $ | 12,271 | | | $ | — | |
| Dividends declared per share of series J preferred stock | $ | 0.561 | | | $ | — | | | $ | 1.116 | | | $ | — | |
| | | | | | | |
| | | | | | | |
| | |
14. INTEREST INCOME AND INTEREST EXPENSE |
|
Refer to the “Significant Accounting Policies” Note for details surrounding the Company’s accounting policy related to net interest income on securities and loans.The following table summarizes the interest income recognition methodology for Residential Securities:
| | | | | |
| | Interest Income Methodology |
| Agency | |
Fixed-rate pass-through (1) | Effective yield (3) |
Adjustable-rate pass-through (1) | Effective yield (3) |
Multifamily (1) | Contractual Cash Flows |
CMO (1) | Effective yield (3) |
| |
Reverse mortgages (2) | Prospective |
Interest-only (2) | Prospective |
| Residential credit | |
CRT (2) | Prospective |
Non-QM (2) | Prospective |
Prime (2) | Prospective |
SBC (2) | Prospective |
| |
NPL/RPL (2) | Prospective |
RTL (2) | Prospective |
| |
Prime jumbo interest-only (2) | Prospective |
(1) Changes in fair value are recognized in Other comprehensive income (loss) in the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022. Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities. (2) Changes in fair value are recognized in Net gains (losses) on investments and other in the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. |
The following table presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2026 and 2025.
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
| | | | | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended | | For the Six Months Ended |
| | June 30, 2026 | | June 30, 2025 | | June 30, 2026 | | June 30, 2025 |
| Interest income | (dollars in thousands) |
| | | | | | | |
| Agency securities | $ | 1,094,724 | | | $ | 875,937 | | | $ | 2,179,135 | | | $ | 1,696,119 | |
| Residential credit securities | 30,679 | | | 36,853 | | | 62,101 | | | 77,060 | |
Residential mortgage loans (1) | 674,055 | | | 467,959 | | | 1,270,844 | | | 894,014 | |
| Commercial investment portfolio | 4,664 | | | 163 | | | 6,286 | | | 1,218 | |
| | | | | | | |
| Reverse repurchase agreements | 8,076 | | | 37,981 | | | 18,762 | | | 67,590 | |
| Total interest income | $ | 1,812,198 | | | $ | 1,418,893 | | | $ | 3,537,128 | | | $ | 2,736,001 | |
| Interest expense | | | | | | | |
| Repurchase agreements | $ | 846,551 | | | $ | 775,918 | | | $ | 1,679,498 | | | $ | 1,536,701 | |
| | | | | | | |
| Debt issued by securitization vehicles | 438,892 | | | 312,383 | | | 837,025 | | | 595,975 | |
| Participations issued | 38,562 | | | 30,738 | | | 71,455 | | | 57,782 | |
| U.S. Treasury securities sold, not yet purchased | — | | | 26,654 | | | 8,266 | | | 52,372 | |
| | | | | | | |
| Total interest expense | $ | 1,324,005 | | | $ | 1,145,693 | | | $ | 2,596,244 | | | $ | 2,242,830 | |
| Net interest income | $ | 488,193 | | | $ | 273,200 | | | $ | 940,884 | | | $ | 493,171 | |
| | | | | | | |
(1) Includes assets transferred or pledged to securitization vehicles. |
| | |
15. NET INCOME (LOSS) PER COMMON SHARE |
|
The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three and six months ended June 30, 2026 and 2025. | | | | | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended | | For the Six Months Ended |
| | June 30, 2026 | | June 30, 2025 | | June 30, 2026 | | June 30, 2025 |
| | (dollars in thousands, except per share data) |
| Net income (loss) | $ | 827,773 | | | $ | 60,371 | | | $ | 1,118,288 | | | $ | 190,676 | |
| Net income (loss) attributable to noncontrolling interests | 5,100 | | | 3,272 | | | 12,963 | | | 9,353 | |
| Net income (loss) attributable to Annaly | 822,673 | | | 57,099 | | | 1,105,325 | | | 181,323 | |
Dividends on preferred stock (1) | 41,036 | | | 37,260 | | | 81,688 | | | 74,417 | |
| Net income (loss) available (related) to common stockholders | $ | 781,637 | | | $ | 19,839 | | | $ | 1,023,637 | | | $ | 106,906 | |
| | | | | | | |
| | | | | | | |
| Weighted average shares of common stock outstanding-basic | 738,926,270 | | | 620,208,712 | | | 730,798,630 | | | 603,770,531 | |
| Add: Effect of stock awards, if dilutive | 1,329,977 | | | 894,506 | | | 1,519,091 | | | 1,111,764 | |
| Weighted average shares of common stock outstanding-diluted | 740,256,247 | | | 621,103,218 | | | 732,317,721 | | | 604,882,295 | |
| Net income (loss) per share available (related) to common share | | | | | | | |
| Basic | $ | 1.06 | | | $ | 0.03 | | | $ | 1.40 | | | $ | 0.18 | |
| Diluted | $ | 1.06 | | | $ | 0.03 | | | $ | 1.40 | | | $ | 0.18 | |
|
There were no potentially dilutive restricted stock units or performance stock units for the three and six months ended June 30, 2026 and 2025.
For the three months ended June 30, 2026, the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Annaly TRS, Inc. and certain subsidiaries of joint ventures, have made separate joint elections to treat these subsidiaries as TRSs. As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income.
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. As of June 30, 2026, the Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at June 30, 2026 and December 31, 2025.
The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT and, therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. The Company’s federal, state and local tax returns from 2022 and forward remain open for examination.
During the three and six months ended June 30, 2026, the Company recorded $6.9 million and $5.4 million, respectively, of income tax expense attributable to its TRSs. During the three and six months ended June 30, 2025, the Company recorded $0.4 million and $8.7 million, respectively, of income tax expense attributable to its TRSs.
| | | | | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended | | For the Six Months Ended |
| | June 30, 2026 | | June 30, 2025 | | June 30, 2026 | | June 30, 2025 |
| | (dollars in thousands) | | (dollars in thousands) |
| Current Tax Expense (Benefit) | | | | | | | |
| Federal | $ | (557) | | | $ | — | | | $ | 839 | | | $ | — | |
| State and local | (69) | | | — | | | 104 | | | 13 | |
| Total current income tax expense (benefit) | $ | (626) | | | $ | — | | | $ | 943 | | | $ | 13 | |
| Deferred Tax Expense (Benefit) | | | | | | | |
| Federal | $ | 6,871 | | | $ | 385 | | | $ | 4,051 | | | $ | 7,607 | |
| State and local | 654 | | | 55 | | | 386 | | | 1,087 | |
| Total deferred income tax expense (benefit) | $ | 7,525 | | | $ | 440 | | | $ | 4,437 | | | $ | 8,694 | |
| Total income tax expense (benefit) | $ | 6,899 | | | $ | 440 | | | $ | 5,380 | | | $ | 8,707 | |
| | | | | | | |
The difference between the Company's reported income tax provision and the U.S. federal statutory rate of 21.0% is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended | | For the Six Months Ended |
| | June 30, 2026 | | | June 30, 2025 | | June 30, 2026 | | June 30, 2025 |
| (dollars in thousands) | | (percentage) | | (dollars in thousands) | | (percentage) |
| Statutory federal income tax rate | $ | 175,281 | | | 21.0 | % | | | 21.0 | % | | $ | 235,970 | | | 21.0 | % | | 21.0 | % |
| Non-taxable REIT income | (158,799) | | | (19.0 | %) | | | (8.8 | %) | | (190,949) | | | (17.0 | %) | | (12.8 | %) |
State and local taxes, net of federal income tax effect (1) | 585 | | | 0.1 | % | | | 3.0 | % | | 490 | | | — | % | | 3.0 | % |
| VIE and Other | (8,201) | | | (1.1 | %) | | | (14.5 | %) | | (38,689) | | | (3.4 | %) | | (6.9 | %) |
| TRS Permanent Differences | (1,967) | | | (0.2 | %) | | | — | % | | (1,442) | | | (0.1 | %) | | — | % |
| Change in valuation allowance | — | | | — | % | | | — | % | | — | | | — | % | | — | % |
| Total provision | $ | 6,899 | | | 0.8 | % | | | 0.7 | % | | $ | 5,380 | | | 0.5 | % | | 4.3 | % |
| | | | | | | | | | | | |
(1) State and local taxes in New York made up the majority (greater than 50 percent) of the tax effect in this category. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
During the three and six months ended June 30, 2026, the amount of cash income taxes paid by the Company (net of refunds) consists of the following:
| | | | | | | | | | | |
| | For the Three Months Ended | | For the Six Months Ended |
| | June 30, 2026 | | June 30, 2026 |
| (dollars in thousands) |
| Federal | $ | 550 | | | $ | 550 | |
| State and local | 822 | | | 876 | |
| Total income taxes paid (net of refunds) | $ | 1,372 | | | $ | 1,426 | |
| | | |
As of June 30, 2026, the Company recorded a net deferred tax asset of $94.9 million resulting primarily from net operating loss carryforwards and securitization gains, and a net deferred tax liability of $161.4 million resulting primarily from unrealized gains on MSR, residential mortgage loans, forward purchase commitments, and interest rate swaps, which are included in Other assets and Other liabilities, respectively, in the Consolidated Statements of Financial Condition. As of June 30, 2026, no valuation allowance was established.
As of June 30, 2026, the Company's TRSs had approximately $92.4 million of net operating loss carryforwards for federal income tax purposes which may be available to offset future taxable income, including approximately $7.7 million of net operating loss carryforwards that are subject to an annual limitation under Internal Revenue Code Section 382 and $84.7 million that can be carried forward indefinitely.
The Company operates in three reportable segments further described in the Description of Business Note. The accounting policies applied to the segments are the same as those described in the summary of significant accounting policies, with the exception of allocations between segments related to net interest income and other comprehensive income (loss), which are reflected in Other income (loss), and allocations between segments related to investment balances, which are presented net of associated financings in Total Assets. These allocations are made to reflect the economic hedging relationship between investments within different operating segments. Activities that are not directly attributable or not allocated to any of the three current operating segments (such as preferred stock dividends and corporate existence costs) are reported under Corporate and Other as reconciling items to the Company’s consolidated financial statements. The tables below summarize the result of operations and total assets by segment that are provided to the Chief Operating Decision Maker (CODM), which is the Company’s Operating Committee. Comprehensive income is the measure of segment profit or loss that is determined in accordance with the measurement principles used in measuring the corresponding amounts in the consolidated financial statements and is a key determinant of the Company’s economic return (computed as the change in stockholders’ equity attributable to common stockholders plus common stock dividends declared divided by the prior period’s stockholders’ equity attributable to common stockholders), a measure which is used by the CODM to evaluate segment results and is one of the factors considered in determining capital allocation among the segments. The following tables present the reportable operating segments related to the Company’s results of operations for the three and six months ended June 30, 2026 and 2025:
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
| | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2026 |
| | Agency | Residential Credit | MSR | Corporate & Other | Consolidated |
| (dollars in thousands) |
| Interest income | $ | 1,102,237 | | $ | 709,961 | | $ | — | | $ | — | | $ | 1,812,198 | |
| Interest expense | 755,259 | | 568,746 | | — | | — | | 1,324,005 | |
| Net interest income | 346,978 | | 141,215 | | — | | — | | 488,193 | |
| Servicing and related income | — | | — | | 175,059 | | — | | 175,059 | |
| Servicing and related expense | — | | — | | 17,835 | | — | | 17,835 | |
| Net servicing income | — | | — | | 157,224 | | — | | 157,224 | |
| Other income (loss) | 238,951 | | 34,412 | | (25,231) | | (688) | | 247,444 | |
| Less: Total general and administrative expenses | 18,968 | | 19,600 | | 11,018 | | 8,603 | | 58,189 | |
| Income (loss) before income taxes | 566,961 | | 156,027 | | 120,975 | | (9,291) | | 834,672 | |
| Income taxes | 581 | | 1,772 | | 4,546 | | — | | 6,899 | |
| Net income (loss) | 566,380 | | 154,255 | | 116,429 | | (9,291) | | 827,773 | |
| Less: Net income (loss) attributable to noncontrolling interest | — | | 5,100 | | — | | — | | 5,100 | |
| Net income (loss) attributable to Annaly | 566,380 | | 149,155 | | 116,429 | | (9,291) | | 822,673 | |
| Dividends on preferred stock | — | | — | | — | | 41,036 | | 41,036 | |
| Net income (loss) available (related) to common stockholders | 566,380 | | 149,155 | | 116,429 | | (50,327) | | 781,637 | |
| Unrealized gains (losses) on available-for-sale securities | (23,400) | | — | | — | | — | | (23,400) | |
| Reclassification adjustment for net (gains) losses included in net income (loss) | — | | — | | — | | — | | — | |
| Other comprehensive income (loss) | (23,400) | | — | | — | | — | | (23,400) | |
| Comprehensive income (loss) | 542,980 | | 154,255 | | 116,429 | | (9,291) | | 804,373 | |
| Comprehensive income (loss) attributable to noncontrolling interests | — | | 5,100 | | — | | — | | 5,100 | |
| Comprehensive income (loss) attributable to Annaly | $ | 542,980 | | $ | 149,155 | | $ | 116,429 | | $ | (9,291) | | $ | 799,273 | |
| Noncash investing and financing activities: | |
| Receivable for unsettled trades | 92,317 | | — | | 12,405 | | — | | 104,722 | |
| Payable for unsettled trades | 262,764 | | 14,443 | | 54,379 | | — | | 331,586 | |
| Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | (23,400) | | — | | — | | — | | (23,400) | |
| Dividends declared, not yet paid | — | | — | | — | | 562,931 | | 562,931 | |
| Total assets | |
| Total assets | $ | 90,585,914 | | $ | 48,138,201 | | $ | 4,985,815 | | $ | 31,246 | | $ | 143,741,176 | |
| | | | | |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
| | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2025 |
| | Agency | Residential Credit | MSR | Corporate & Other | Consolidated |
| (dollars in thousands) |
| Interest income | $ | 913,267 | | $ | 505,463 | | $ | — | | $ | 163 | | $ | 1,418,893 | |
| Interest expense | 731,316 | | 414,222 | | — | | 155 | | 1,145,693 | |
| Net interest income | 181,951 | | 91,241 | | — | | 8 | | 273,200 | |
| Servicing and related income | — | | — | | 141,670 | | — | | 141,670 | |
| Servicing and related expense | — | | — | | 14,571 | | — | | 14,571 | |
| Net servicing income | — | | — | | 127,099 | | — | | 127,099 | |
| Other income (loss) | (252,852) | | (193) | | (39,372) | | 2,947 | | (289,470) | |
| Less: Total general and administrative expenses | 16,551 | | 15,917 | | 9,243 | | 8,307 | | 50,018 | |
| Income (loss) before income taxes | (87,452) | | 75,131 | | 78,484 | | (5,352) | | 60,811 | |
| Income taxes | (130) | | (8,217) | | 8,833 | | (46) | | 440 | |
| Net income (loss) | (87,322) | | 83,348 | | 69,651 | | (5,306) | | 60,371 | |
| Less: Net income (loss) attributable to noncontrolling interest | — | | 3,272 | | — | | — | | 3,272 | |
| Net income (loss) attributable to Annaly | (87,322) | | 80,076 | | 69,651 | | (5,306) | | 57,099 | |
| Dividends on preferred stock | — | | — | | — | | 37,260 | | 37,260 | |
| Net income (loss) available (related) to common stockholders | (87,322) | | 80,076 | | 69,651 | | (42,566) | | 19,839 | |
| Unrealized gains (losses) on available-for-sale securities | 33,559 | | — | | — | | — | | 33,559 | |
| Reclassification adjustment for net (gains) losses included in net income (loss) | 13,797 | | — | | — | | — | | 13,797 | |
| Other comprehensive income (loss) | 47,356 | | — | | — | | — | | 47,356 | |
| Comprehensive income (loss) | (39,966) | | 83,348 | | 69,651 | | (5,306) | | 107,727 | |
| Comprehensive income (loss) attributable to noncontrolling interests | — | | 3,272 | | — | | — | | 3,272 | |
| Comprehensive income (loss) attributable to Annaly | $ | (39,966) | | $ | 80,076 | | $ | 69,651 | | $ | (5,306) | | $ | 104,455 | |
| Noncash investing and financing activities: | |
| Receivable for unsettled trades | 1,104,920 | | — | | 29,976 | | — | | 1,134,896 | |
| Payable for unsettled trades | 1,479,249 | | — | | 59,277 | | — | | 1,538,526 | |
| Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 47,356 | | — | | — | | — | | 47,356 | |
| Dividends declared, not yet paid | — | | — | | — | | 449,453 | | 449,453 | |
| Total assets | |
| Total assets | $ | 75,289,321 | | $ | 32,919,304 | | $ | 3,835,511 | | $ | 97,756 | | $ | 112,141,892 | |
| | | | | |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
| | | | | | | | | | | | | | | | | |
| Six Months Ended June 30, 2026 |
| | Agency | Residential Credit | MSR | Corporate & Other | Consolidated |
| (dollars in thousands) |
| Interest income | $ | 2,196,530 | | $ | 1,340,598 | | $ | — | | $ | — | | $ | 3,537,128 | |
| Interest expense | 1,520,703 | | 1,075,541 | | — | | — | | 2,596,244 | |
| Net interest income | 675,827 | | 265,057 | | — | | — | | 940,884 | |
| Servicing and related income | — | | — | | 334,192 | | — | | 334,192 | |
| Servicing and related expense | — | | — | | 34,415 | | — | | 34,415 | |
| Net servicing income | — | | — | | 299,777 | | — | | 299,777 | |
| Other income (loss) | (95,592) | | 178,776 | | (88,029) | | (1,395) | | (6,240) | |
| Less: Total general and administrative expenses | 37,090 | | 37,514 | | 21,105 | | 15,044 | | 110,753 | |
| Income (loss) before income taxes | 543,145 | | 406,319 | | 190,643 | | (16,439) | | 1,123,668 | |
| Income taxes | 1,663 | | (3,681) | | 7,400 | | (2) | | 5,380 | |
| Net income (loss) | 541,482 | | 410,000 | | 183,243 | | (16,437) | | 1,118,288 | |
| Less: Net income (loss) attributable to noncontrolling interest | — | | 12,963 | | — | | — | | 12,963 | |
| Net income (loss) attributable to Annaly | 541,482 | | 397,037 | | 183,243 | | (16,437) | | 1,105,325 | |
| Dividends on preferred stock | — | | — | | — | | 81,688 | | 81,688 | |
| Net income (loss) available (related) to common stockholders | 541,482 | | 397,037 | | 183,243 | | (98,125) | | 1,023,637 | |
| Unrealized gains (losses) on available-for-sale securities | (68,448) | | — | | — | | — | | (68,448) | |
| Reclassification adjustment for net (gains) losses included in net income (loss) | — | | — | | — | | — | | — | |
| Other comprehensive income (loss) | (68,448) | | — | | — | | — | | (68,448) | |
| Comprehensive income (loss) | 473,034 | | 410,000 | | 183,243 | | (16,437) | | 1,049,840 | |
| Comprehensive income (loss) attributable to noncontrolling interests | — | | 12,963 | | — | | — | | 12,963 | |
| Comprehensive income (loss) attributable to Annaly | $ | 473,034 | | $ | 397,037 | | $ | 183,243 | | $ | (16,437) | | $ | 1,036,877 | |
| Noncash investing and financing activities: | |
| Receivable for unsettled trades | 92,317 | | — | | 12,405 | | — | | 104,722 | |
| Payable for unsettled trades | 262,764 | | 14,443 | | 54,379 | | — | | 331,586 | |
| Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | (68,448) | | — | | — | | — | | (68,448) | |
| Dividends declared, not yet paid | — | | — | | — | | 562,931 | | 562,931 | |
| Total assets | |
| Total assets | $ | 90,585,914 | | $ | 48,138,201 | | $ | 4,985,815 | | $ | 31,246 | | $ | 143,741,176 | |
| | | | | |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
| | | | | | | | | | | | | | | | | |
| Six Months Ended June 30, 2025 |
| | Agency | Residential Credit | MSR | Corporate & Other | Consolidated |
| (dollars in thousands) |
| Interest income | $ | 1,762,467 | | $ | 972,316 | | $ | — | | $ | 1,218 | | $ | 2,736,001 | |
| Interest expense | 1,449,569 | | 792,396 | | — | | 865 | | 2,242,830 | |
| Net interest income | 312,898 | | 179,920 | | — | | 353 | | 493,171 | |
| Servicing and related income | — | | — | | 282,105 | | — | | 282,105 | |
| Servicing and related expense | — | | — | | 28,684 | | — | | 28,684 | |
| Net servicing income | — | | — | | 253,421 | | — | | 253,421 | |
| Other income (loss) | (419,777) | | 11,897 | | (42,333) | | 1,086 | | (449,127) | |
| Less: Total general and administrative expenses | 33,867 | | 31,423 | | 18,636 | | 14,156 | | 98,082 | |
| Income (loss) before income taxes | (140,746) | | 160,394 | | 192,452 | | (12,717) | | 199,383 | |
| Income taxes | 160 | | (8,741) | | 17,343 | | (55) | | 8,707 | |
| Net income (loss) | (140,906) | | 169,135 | | 175,109 | | (12,662) | | 190,676 | |
| Less: Net income (loss) attributable to noncontrolling interest | — | | 9,353 | | — | | — | | 9,353 | |
| Net income (loss) attributable to Annaly | (140,906) | | 159,782 | | 175,109 | | (12,662) | | 181,323 | |
| Dividends on preferred stock | — | | — | | — | | 74,417 | | 74,417 | |
| Net income (loss) available (related) to common stockholders | (140,906) | | 159,782 | | 175,109 | | (87,079) | | 106,906 | |
| Unrealized gains (losses) on available-for-sale securities | 198,436 | | — | | — | | — | | 198,436 | |
| Reclassification adjustment for net (gains) losses included in net income (loss) | 79,200 | | — | | — | | — | | 79,200 | |
| Other comprehensive income (loss) | 277,636 | | — | | — | | — | | 277,636 | |
| Comprehensive income (loss) | 136,730 | | 169,135 | | 175,109 | | (12,662) | | 468,312 | |
| Comprehensive income (loss) attributable to noncontrolling interests | — | | 9,353 | | — | | — | | 9,353 | |
| Comprehensive income (loss) attributable to Annaly | $ | 136,730 | | $ | 159,782 | | $ | 175,109 | | $ | (12,662) | | $ | 458,959 | |
| Noncash investing and financing activities: | |
| Receivable for unsettled trades | 1,104,920 | | — | | 29,976 | | — | | 1,134,896 | |
| Payable for unsettled trades | 1,479,249 | | — | | 59,277 | | — | | 1,538,526 | |
| Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 277,636 | | — | | — | | — | | 277,636 | |
| Dividends declared, not yet paid | — | | — | | — | | 449,453 | | 449,453 | |
| Total assets | |
| Total assets | $ | 75,289,321 | | $ | 32,919,304 | | $ | 3,835,511 | | $ | 97,756 | | $ | 112,141,892 | |
| | | | | |
The primary risks to the Company are liquidity and funding risk, investment/market risk, credit risk and operational risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral or liquidating some of the existing collateral to reduce borrowing levels. The Company may seek to mitigate the potential financial impact of these risks by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges.
Weakness in the mortgage market, the shape of the yield curve, changes in the expectations for the volatility of future interest rates and deterioration of financial conditions in general may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies.
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, which exclude CRT securities issued by Freddie Mac and Fannie Mae, is guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities is backed by the full faith and credit of the U.S. government.
The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on commercial mortgage-backed securities, residential mortgage loans, CRT securities and other non-Agency mortgage-backed securities. MSR values may also be adversely impacted by rising borrower delinquencies which would reduce servicing income and increase overall costs to service the underlying mortgage loans. The Company is exposed to risk of loss if an issuer, borrower or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, pre-purchase due diligence, maintaining qualifying collateral, continually assessing the creditworthiness of issuers, borrowers and counterparties, credit rating monitoring and active servicer oversight.
The Company depends on third party service providers to perform various business processes related to its operations, including mortgage loan servicers and sub-servicers. The Company’s vendor management policy establishes procedures for engaging, onboarding and monitoring the performance of third party vendors. For mortgage loan servicers and sub-servicers, these procedures include assessing a vendor’s financial health as well as oversight of its compliance with applicable laws and regulations, cybersecurity and business continuity programs and security of personal information.
| | |
19. LEASE COMMITMENTS AND CONTINGENCIES |
|
The Company’s operating leases are primarily comprised of corporate office leases with remaining lease terms of approximately two years and sixteen years. The corporate office leases include options to extend for up to five years, however the extension terms were not included in the operating lease liability calculation. Leases with an initial term of 12 months or less are not recorded on the balance sheet. The Company recognizes lease expense for these leases on a straight-line basis over the lease term. The lease cost for the three and six months ended June 30, 2026 was $0.9 million and $1.8 million, respectively. The lease cost for the three and six months ended June 30, 2025 was $1.5 million and $2.7 million, respectively.
Supplemental information related to leases as of and for the six months ended June 30, 2026 was as follows:
| | | | | | | | |
| Operating Leases | Classification | June 30, 2026 |
|
| Assets | (dollars in thousands) |
| Operating lease right-of-use assets | Other assets | $ | 25,975 | |
| | |
| Liabilities |
Operating lease liabilities (1) | Other liabilities | $ | 34,222 | |
| | |
| Lease term and discount rate |
| Weighted average remaining lease term | | 15.7 years |
| | |
Weighted average discount rate (1) | | 7.0% |
|
| | |
| Cash paid for amounts included in the measurement of lease liabilities |
| Operating cash flows from operating leases | | $ | 130 | |
(1) For the Company’s leases that do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. |
|
The following table provides details related to maturities of lease liabilities:
| | | | | |
| Maturity of Lease Liabilities |
| Years ending December 31, | (dollars in thousands) |
| 2026 (remaining) | $ | 131 | |
| 2027 | 2,503 | |
| 2028 | 3,854 | |
| 2029 | 3,831 | |
| 2030 | 3,831 | |
| |
| Later years | 48,210 | |
| Total lease payments | $ | 62,360 | |
| Less: imputed interest | 28,138 | |
| Present value of lease liabilities | $ | 34,222 | |
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
Contingencies
From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at June 30, 2026 and December 31, 2025.
In July 2026, the Company completed and closed two securitizations of residential mortgage loans, OBX 2026-NQM9, with a face value of $1.0 billion, and OBX 2026-NQM10, with a face value of $937.8 million. These securitizations represent financing transactions which provided and continue to provide non-recourse financing to the Company collateralized by residential mortgage loans purchased by the Company.
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
