Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2026 Earnings Presentation
27 slides from Annaly Capital Management's earnings presentation, Oct 20, 2026
Slide 1: Third Quarter 2026 Investor Presentation
Third Quarter 2026 Investor Presentation October 20, 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 Annaly generated earnings in excess of the dividend amidst the challenging interest rate environment ▪ Earnings available for distribution* of $0.80 per average common share for the quarter ▪ Book value per common share of $17.86 ▪
Slide 4: Third Quarter 2026 Financial Highlights
Third Quarter 2026 Financial Highlights Earnings & Book Value Net Interest Margin (ex. PAA)* ($1.36)|$0.80 $0.75 1.76% 1.69% GAAP Earnings Available Dividend per Share for Distribution* $17.86 15.9% Book Value per Share Dividend Yield(1) Q2 2026 Q3 2026 Capital Allocation(3) Average Yield on Interes
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 $106.5bn 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 Solid economic growth and high debt issuance have driven rates higher, increasing volatility and weighing on rate -sensitive sectors Q3 2026 Market and Economic Sound economic performance… …and strong debt issuance… Developments GDP Growth, % Annualized(1) Estimated Net Debt Issu
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) 15%–17% 13%–16% 12%–15% Key Market Dynamics & Commentary ▪ Agency MBS spreads widened in Q3 following a ▪ Non-QM spreads were ~10 bas
Slide 8: Business Update
ANNALY Business Update
Slide 9: Agency | Business Update
Agency | Business Update Annaly’s Agency MBS portfolio decreased modestly during the quarter, with activity focused on continuing to shift up in coupo n through the addition of higher coupon specified pools Strategic Approach Market Trends ▪ Annaly’s Agency portfolio is comprised of high-quality and
Slide 10: Agency | Portfolio Summary
Agency | Portfolio Summary ▪ Annaly Agency Portfolio: $91.8 billion(1) in assets at the end of Q3 2026, down 3% compared to Q2 2026 ▪ Annaly’s notional holdings, however, increased ~$2.0 billion during the quarter, with portfolio activity focused on deploying a portion of the incremental capital rai
Slide 11: Residential Credit | Business Update
Residential Credit | Business Update Annaly's Residential Credit portfolio generated record whole loan correspondent channel funding volume and securitizationuance iss amidst a volatile market environment Strategic Approach Market and Credit Trends ▪ Agile platform that can deploy capital across bot
Slide 12: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary ▪ Annaly Residential Credit Portfolio: $10.4 billion in assets(1) at the end of Q3 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 $7.4 bi
Slide 13: MSR | Business Update
MSR | Business Update Annaly's MSR portfolio increased by nearly $250 million, or 6%, in the third quarter as we made opportunistic purchases acros s our bulk and flow channels Strategic Approach Market Trends ▪ MSR portfolio complements Annaly’s Agency MBS strategy by offering an ▪ Bulk MSR trading
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary ▪ Annaly MSR Portfolio: $4.3 billion in market value at the end of Q3 2026, up 6% quarter-over-quarter Current MSR Portfolio by the Numbers(1) (Excludes Interests in MSR / MSR of LP Interest) − Onslow Bay committed to purchase approximately $190 million in market value across
Slide 15: Financial Highlights and Trends
Financial Highlights and Trends
Slide 16: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 (1) GAAP net income (loss) per average common share ($1.36) $1.06 $0.33 $1.40 $1.21 (1) Earnings available for distribution per average common share* $0.80 $0.79 $0.76 $0.74 $0.73 Divi
Slide 17: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Agency mortgage-backed securities $85,294,151 $87,768,578 $86,380,653 $89,628,654 $83,317,819 Residential credit risk transfer securities 69 46,872 110,
Slide 18: 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 September 30, 2026 and June 30, 2026, respectively ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪ The
Slide 19: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 20: 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 21: 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 22: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Premium Amortization Reconciliation Premium amortization expense $18,422 $52,423 $67,509 $41,367 $36,719 Less: PAA cost (benefit) (44,518) 7,081 (3,694) 6,627
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Economic leverage ratio reconciliation Repurchase agreements $85,525,065 $86,895,874 $85,068,102 $81,865,723 $75,118,963 Other secured financing 1,125,000 1,12
Slide 24: Glossary and Endnotes
ANNALY Glossary and Endnotes
Slide 25: 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 26: Endnotes
Endnotes Page 3 Page 6 1. Comprised of $6.9bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Represents the seasonally adjusted annualized quarterly growth rate of GDP according to the Bureau of that have not been pledged or securitized (generally includi
Slide 27: Endnotes (cont'd)
Endnotes (cont’d) Page 14 1. D60+ stat based on UPB. Non-GAAP Reconciliations 2. Excludes unsettled commitments. Prepayment data excludes assets in interim servicing. Page 21 Page 16 1. Includes write-downs or recoveries on investments which is reported in Other, net in the Company’s 1. Net of divid
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