Annaly Capital Management Q2 2026 Earnings Call Transcript

Annaly Capital Management (NYSE: NLY ) reported second-quarter financial results on Wednesday.

The transcript from the company's second-quarter earnings call has been provided below.

APIs provide real-time access to earnings call transcripts and financial data.

Visit to learn more.

The full earnings call is available at Summary Annaly Capital Management grew its agency portfolio by $3 billion, ending the quarter with a market value of $95 billion, increasing the capital allocation to agency to 57%.

The company reported a book value per share increase of 1.7% to $20.15 and a positive economic return of 5.5% for the quarter.

Annaly set a quarterly record by purchasing $7.1 billion in loans and closed 13 deals for $6.8 billion in principal balance in Q2, maintaining its position as a leading issuer in the non-agency market.

The MSR portfolio remained stable at $4.1 billion, with strategic purchases and sales to enhance return profiles.

Annaly's residential credit platform showed strong performance, with significant securitization activity and a focus on non-QM and DSCR loans.

The company increased its quarterly dividend to $0.75 per share, reflecting confidence in its earnings power and future outlook.

Management emphasized the benefits of a diversified housing finance platform, disciplined risk management, and structural advantages over origination-dependent models.

Full Transcript David Finkelstein, Chief Executive Officer & Co-Chief Investment Officer Income inflows, increased purchases from overseas investors and a robust CMO market which is absorbing roughly 30% of gross issuance and broadly distributing the risk to a diversified set of investors.

Given this attractive environment, we grew our agency portfolio by roughly 3 billion, ending the quarter at 95 billion in market value, which increased our capital allocation to agency to 57%.

As far as portfolio activity, we rotated slightly up in coupon by reducing our exposure to four-and-a-halfs in favor of five-and-a-halfs and sixes, and we invested capital raised primarily into production coupon MBS and agency CMBS.

Over the first half of the year, specified pools outperformed in spite of relatively benign rate volatility and a subdued prepayment outlook which typically favors more generic collateral and TBAs.

Notably, pool outperformance was largely driven by strong GSE demand and we took advantage of these valuations and reduced our pay-up exposure by moving to lower pay-up pools and increasing our TBA holdings.

Late in the second quarter, pool valuations became more attractive as GSE demand waned and as a consequence we expect new investments to be more balanced across TBAs and specified pools.

With respect to our hedge profile, we were conservative in managing our rate exposure and proactively added additional swap hedges to protect against rising rates.

Our portfolio remains diversified across Treasury futures and swaps, with a preference for the latter given more attractive carry and comfort around balance sheet availability going forward.

Now moving to residential credit, our portfolio ended the second quarter at 10.4 billion in market value, virtually unchanged quarter over quarter and representing 22% of the firm's capital.

Residential credit spreads moved in tandem with broader fixed income markets, with AAAs ending the quarter approximately 10 basis points tighter.

Our Onslow Bay correspondent channel produced another strong quarter of volume with 6.7 billion of locks and 5.1 billion of fundings including whole loan bulk purchases and our partnerships.

Annaly purchased 7.1 billion of loans in Q2 which is a new quarterly record for the firm; despite record volumes, the credit quality of our loan pipeline continues to improve, best evidenced by the locked pipeline: 765 FICO, 67% CLTV.

Non-agency gross securitization issuance totaled over 150 billion year-to-date, up approximately 50% year over year, putting the private label market on pace for its largest gross issuance year since 2007.

And Annaly remains the largest issuer of expanded credit mortgages and the second largest issuer overall as we closed 13 deals for 6.8 billion in principal balance in the second quarter, creating approximately 780 million in proprietary investments.

Year to date the OBX platform has priced 25 transactions totaling 14.2 billion and notably we have securitized eight different forms of residential collateral, underscoring the depth and diversity of our platform.

The OBX securitization program also had the distinction of closing the first billion-dollar new origination non-QM transaction, demonstrating Annaly's leadership position in the non-agency market.

This inaugural billion-dollar deal was well received by investors which allowed us to price a second equally sizable transaction approximately two weeks later.

Our residential credit platform is well positioned for continued growth of the non-agency market given the substantial investments we've made over the last number of years which we believe is a key differentiator and should continue to result in Annaly manufacturing high-yielding proprietary investments difficult to duplicate at scale.

Now shifting to MSR, our portfolio was roughly unchanged at 4.1 billion in market value with our allocation to the sector representing 21% of the firm's capital during the quarter.

We've modestly rotated the portfolio higher in loan balance as we committed to purchase approximately $200 million in market value of MSR across our various sourcing channels while also committing to sell two bulk pools with lower loan balances for $220 million in proceeds.

These transactions capitalized on differing buyer economics across the MSR market, highlighting our relative value approach and portfolio flexibility.

Moving into higher average loan balance MSR meaningfully enhances our return profile as our cost to service is contractually a fixed amount per loan in co