Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q2 2026 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Jul 22, 2026
Slide 1: Second Quarter 2026 Investor Presentation
Second Quarter 2026 Investor Presentation July 21, 2026
Slide 2: Important Notices
Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly" or the “Company”), 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 Annal
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Financial Performance EAD again outperformed the dividend, highlighting the durable earnings power of Annaly’s diversified housing finance portfolio ▪ Earnings available for distribution* of $0.79 per average common share for the quarter ▪ Book value pe
Slide 4: Second Quarter 2026 Financial Highlights
Second Quarter 2026 Financial Highlights Earnings & Book Value Net Interest Margin (ex. PAA)* $1.06 | $0.79 $0.75 1.71% 1.76% GAAP Earnings Available Dividend per Share for Distribution* $20.15 13.4% Book Value per Share Dividend Yield(1) Q1 2026 Q2 2026 Capital Allocation(3) Average Yield on Intere
Slide 5: Established, Scaled Platforms Across Annaly’s Investment Strategies
Established, Scaled Platforms Across Annaly’s Investment Strategies Total Portfolio(1): Agency Residential Mortgage Servicing $109.4bn Credit Rights Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights, which collateraliz
Slide 6: The Macro Landscape
The Macro Landscape Firm inflation but a stable labor market have changed expectations for monetary policy, in turn lifting short -term yields Q2 2026 Market and Economic Developments Inflation remains elevated… … while hiring has improved in recent months ▪ U.S. economic growth has shown few signs
Slide 7: Illustrative Return Opportunities & Market Dynamics Across Annaly's Investment Strategies
Illustrative Return Opportunities & Market Dynamics Across Annaly's Investment Strategies Agency Residential Credit MSR Current Illustrative Market Levered Returns(1) 14%–16% 12%–15% 11%–13% Key Market Dynamics & Commentary ▪ Agency MBS spreads tightened modestly in Q2 and ▪ HPA was down 7 basis poi
Slide 8: Annaly’s Diversified Platform Has Generated Strong and Consistent Returns
Annaly’s Diversified Platform Has Generated Strong and Consistent Returns ▪ Since scaling our Residential Credit and MSR businesses and exiting non-core strategies by year-end 2022, Annaly's diversified platform has delivered a ~37% cumulative economic return - roughly 15 percentage points higher th
Slide 9: Business Update
ANNALY Business Update
Slide 10: Agency | Business Update
Agency | Business Update Annaly primarily deployed accretive capital raised into Agency MBS, predominantly into higher coupon TBAs and specified pools Strategic Approach Market Trends ▪ Annaly’s Agency portfolio is made up of high-quality and liquid securities, ▪ Agency MBS spreads recovered most of
Slide 11: Agency | Portfolio Summary
Agency | Portfolio Summary ▪ Annaly Agency Portfolio: $95.0 billion(1) in assets at the end of Q2 2026, up 3% or ~$3 billion compared to Q1 2026 ▪ Annaly predominantly allocated incremental capital into higher coupon TBAs and specified pools (primarily 5.0% coupons and higher) − The weighted average
Slide 12: Residential Credit | Business Update
Residential Credit | Business Update Annaly's Residential Credit portfolio delivered another quarter of strong whole loan correspondent channel production andord rec securitization issuance across a variety of product types Strategic Approach Market and Credit Trends ▪ Agile platform that can deploy
Slide 13: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary ▪ Annaly Residential Credit Portfolio: $10.4 billion in assets(1) at the end of Q2 2026, relatively unchanged quarter-over-quarter − Consists of a $5.7 billion securities portfolio and a $4.7 billion whole loan portfolio(1) ▪ During the quarter, settled $7.1 bi
Slide 14: MSR | Business Update
MSR | Business Update Annaly's MSR portfolio activity included both accretive purchases and sales during the quarter, underscoring our positioning as a relative value investor; the portfolio continues to generate stable and durable cash flows Strategic Approach Market Trends ▪ MSR portfolio compleme
Slide 15: MSR | Portfolio Summary
MSR | Portfolio Summary ▪ Annaly MSR Portfolio: $4.1 billion(1) in market value (including unsettled commitments) at the end of Q2 2026, roughly Current MSR Portfolio by the Numbers(2) unchanged quarter-over-quarter (Excludes Interests in MSR / MSR of LP Interest) − Onslow Bay committed to purchase
Slide 16: Financial Highlights and Trends
Financial Highlights and Trends
Slide 17: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 6/30/2026 3/31/2026 12/31/2025 9/30/2025 6/30/2025 (1) GAAP net income (loss) per average common share $1.06 $0.33 $1.40 $1.21 $0.03 (1) Earnings available for distribution per average common share* $0.79 $0.76 $0.74 $0.73 $0.73 Divide
Slide 18: Financial Highlights and Trends (cont’d)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2026 3/31/2026 12/31/2025 9/30/2025 6/30/2025 Agency mortgage-backed securities $87,768,578 $86,380,653 $89,628,654 $83,317,819 $71,756,638 Residential credit risk transfer securities 46,872 110,646
Slide 19: Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity Unaudited ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of June 30, 2026 and March 31, 2026, respectively ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪ The MBS
Slide 20: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 21: Non-GAAP Reconciliations
Non-GAAP Reconciliations Earnings Available for Distribution (“EAD”), a non-GAAP measure, 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,
Slide 22: Non-GAAP Reconciliations (cont’d)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands, except per share amounts) 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 subs
Slide 23: Non-GAAP Reconciliations (cont’d)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2026 3/31/2026 12/31/2025 9/30/2025 6/30/2025 Premium Amortization Reconciliation Premium amortization expense $52,423 $67,509 $41,367 $36,719 $28,138 Less: PAA cost (benefit) 7,081 (3,694) 6,627 18,390 (3
Slide 24: Non-GAAP Reconciliations (cont’d)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2026 3/31/2026 12/31/2025 9/30/2025 6/30/2025 Economic leverage ratio reconciliation Repurchase agreements $86,895,874 $85,068,102 $81,865,723 $75,118,963 $66,541,378 Other secured financing 1,125,000 1,12
Slide 25: Glossary and Endnotes
ANNALY Glossary and Endnotes
Slide 26: Glossary
Glossary ARM: Refers to Adjustable-Rate Mortgage MSR: Refers to Mortgage Servicing Rights CES: Refers to Closed End Second Liens MTM: Refers to Mark-to-Market CLTV: Refers to Combined Loan-to-Value Ratio Non-Performing Loan A loan that is close to defaulting or is in default (“NPL”): CMO: Refers to
Slide 27: Endnotes
Endnotes Page 3 Page 6 1. Comprised of $8.0bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Represents the Personal Consumption Expenditure Price Index excluding food and energy (Core PCE) according that have not been pledged or securitized (generally in
Slide 28: Endnotes (cont’d)
Endnotes (cont’d) Page 13 1. Excludes assets transferred or pledged to securitization vehicles of $38.3bn, include $3.9bn of retained Non-GAAP Reconciliations securities that are eliminated in consolidation and are shown net of participations issued totaling $2.6bn. Page 22 2. Whole loans settled in
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