Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2026 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Apr 21, 2026
Slide 1: First Quarter 2026 Financial Supplement
First Quarter 2026 Financial Supplement April 21, 2026
Slide 2: Important Notices
Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly"), an internally managed, publicly traded company that has elected to be taxed as a real estate investment trust for federal income tax purposes, and is being furnished in connection with Annaly’s First Quarter
Slide 3: Financial Snapshot
Financial Snapshot 3 Unaudited, dollars in thousands except per share amounts ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 3/31/2026 12/31/2025 Income Statement GAAP net incom
Slide 4: Portfolio Data
Portfolio Data 4 Unaudited, dollars in thousands For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Portfolio-Related Data Agency mortgage-backed securities $86,380,653 $89,628,654 $83,317,819 $71,756,638 $68,329,720 Residential credit risk transfer securities 110,646 213,800
Slide 5: Financing & Capital Data
Financing & Capital Data 5 For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Financing Data Repurchase agreements $85,068,102 $81,865,723 $75,118,963 $66,541,378 $61,659,460 Other secured financing 1,125,000 1,075,000 1,025,000 1,025,000 900,000 Debt issued by securitization
Slide 6: Income Statement Data Summary
Income Statement Data 6 Summary Income Statement For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Total interest income $1,724,930 $1,690,707 $1,532,497 $1,418,893 $1,317,108 Total interest expense 1,272,239 1,324,128 1,256,747 1,145,693 1,097,137 Net interest income $452,69
Slide 7: Key Earnings Metrics
Key Earnings Metrics 7 Unaudited, dollars in thousands except per share amounts ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025
Slide 8: Components of Economic Net Interest Income
Components of Economic Net Interest Income* 8 ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 E
Slide 9: GAAP Net Income to Earnings Available for Distribution Reconciliation
GAAP Net Income to Earnings Available for Distribution* Reconciliation 9 ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands For the quarters ended 3/31/2026 12/31/2025 9/30
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Quarter-Over-Quarter Changes in Key Metrics 10 Unaudited ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Book Value Rollforward Book value per common share, beginning of
Slide 11: Quarter-Over-Quarter Changes in Key Metrics (cont'd)
Quarter-Over-Quarter Changes in Key Metrics (cont'd) 11 Unaudited ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Net Interest
Slide 12: Quarter-Over-Quarter Changes in Annualized Return on Average Equity
Quarter-Over-Quarter Changes in Annualized Return on Average Equity 12 ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/202
Slide 13: Residential & Other Investments Overview
Residential & Other Investments Overview as of March 31, 2026 13 ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) (1) Original Weighted Avg. Years to Maturity Current Face Valu
Slide 14: Residential & Other Investments Overview (cont'd)
Residential & Other Investments Overview as of March 31, 2026 (cont'd) 14 Unaudited, dollars in thousands ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee (bps) Weighted Avg.
Slide 15: Residential Credit Securities Detail
Residential Credit Securities Detail as of March 31, 2026 15 ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands Payment Structure Investment Characteristics (1) Product Estimated Fair Value Senior Subordinate Coupon
Slide 16: Hedging & Liabilities
Hedging & Liabilities as of March 31, 2026 16 Unaudited, dollars in thousands ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Maturity Current Notional (1)(2) Weighted Avg. Pay Rate Weighted Avg. Receive Rate Weighted Avg. Years to Maturity(3)
Slide 17: Interest Rate & MBS Spread Sensitivity
Quarter-Over-Quarter Changes Interest Rate & MBS Spread Sensitivity 17 ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited Assumptions: • The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of March 31,
Slide 18: Appendix
ANNALY Appendix
Slide 19: Consolidated Statements of Financial Condition
Consolidated Statements of Financial Condition 19 ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Dollars in thousands except per share amounts (unaudited) (unaudited) (unaudited) (unaudited) A
Slide 20: Consolidated Statements of Comprehensive Income (Loss)
Consolidated Statements of Comprehensive Income (Loss) 20 Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Net interest income Interest income $ 1,724,930 $ 1,690,707 $ 1,532,497 $ 1,418,893 $ 1,317,108 Interest expens
Slide 21: Income Statement Gains (Losses) Detail
Income Statement Gains (Losses) Detail 21 Unaudited, dollars in thousands For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Other Income Statement Details Net gains (losses) on disposal of investments and other ($26,666) ($170,701) ($87,815) ($83,468) ($49,369) Net unrealized
Slide 22: Non-GAAP Reconciliations
Non-GAAP Reconciliations 22 To supplement its consolidated financial statements, which are prepared and presented in accordance with GAAP, the Company provides non-GAAP financial measures. These measures should not be considered a substitute for, or superior to, financial measures computed in accord
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont'd) 23 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. Th
Slide 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont'd) 24 Unaudited, dollars in thousands For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Economic leverage ratio reconciliation Repurchase agreements $85,068,102 $81,865,723 $75,118,963 $66,541,378 $61,659,460 Other secured financing 1,125,000 1,
Slide 25: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont'd) 25 For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Economic capital ratio reconciliation Total GAAP assets $138,537,591 $135,609,838 $125,861,572 $112,141,892 $105,115,346 Less: Gross unrealized gains on TBA derivatives (1) (28,927) (17,648
Slide 26: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont'd) 26 Unaudited, dollars in thousands For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Economic Metrics (excluding PAA) Average interest earning assets $128,783,013 $124,781,771 $113,522,223 $104,623,036 $101,631,610 Interest income (excluding
Slide 27: Endnotes
Page 6 (1) 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). N
Slide 28: Endnotes (cont'd)
Page 19 (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 Pr
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