Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2026 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Apr 22, 2026
Slide 1: First Quarter 2026 Investor Presentation
First Quarter 2026 Investor Presentation 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: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Financial Performance Annaly delivered its tenth consecutive quarter of positive economic returns with EAD again outperforming the dividend ▪ Earnings available for distribution* of $0.76 per average common share for the quarter ▪ Book value per common
Slide 4: First Quarter 2026 Financial Highlights
First Quarter 2026 Financial Highlights Earnings & Book Value Net Interest Margin (ex. PAA)* $0.33 | $0.76 $0.70 1.69% 1.71% GAAP Earnings Available Dividend per Share for Distribution* $19.82 13.2% Book Value per Share Dividend Yield(1) Q4 2025 Q1 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 $106.7bn 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 Geopolitical uncertainty rose in March, though economic fundamentals and fixed income technicals remain strong Q1 2026 Market and Economic Developments U.S. economy has been resilient… …but inflation is likely to rise in the near term ▪ The U.S. economy remains supported by Media
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 ▪ After reaching multi-year tights following the FHFA ▪ HPA was up 13 basis
Slide 8: Diversified Platform Drives Durable Outperformance
Diversified Platform Drives Durable Outperformance ▪ Annaly’s diversified housing finance platform has delivered meaningful outperformance with a lower risk profile and greater consistency since divesting non-core businesses and scaling our Residential Credit and MSR portfolios by year-end 2022 ▪ An
Slide 9: Business Update
ANNALY Business Update
Slide 10: Agency | Business Update
Agency | Business Update Annaly’s Agency MBS portfolio activity focused on increasing exposure to intermediate coupon TBAs and Agency CMBS given relat ive value while maintaining low leverage and ample liquidity Strategic Approach Market Trends ▪ Annaly’s Agency portfolio is made up of high-quality
Slide 11: Agency | Portfolio Summary
Agency | Portfolio Summary ▪ Annaly Agency Portfolio: $92.2 billion(1) in assets at the end of Q1 2026, a marginal decrease compared to Q4 2025 ▪ Annaly reinvested paydowns primarily into 4.5% coupon TBA securities and Agency CMBS given relative value and lower perceived policy risk − The weighted a
Slide 12: Residential Credit | Business Update
Residential Credit | Business Update Annaly’s Residential Credit portfolio grew 30% quarter -over-quarter driven by strong production from the whole loan corresponden t channel while maintaining a diligent focus on credit quality Strategic Approach Market and Credit Trends ▪ Agile platform that can
Slide 13: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary ▪ Annaly Residential Credit Portfolio: $10.3 billion in assets(1) at the end of Q1 2026, up 30% compared to Q4 2025 − Consists of a $5.6 billion securities portfolio and a $4.7 billion whole loan portfolio(1) ▪ During the quarter, settled $6.7 billion in whole
Slide 14: MSR | Business Update
MSR | Business Update Annaly’s MSR portfolio grew 9% quarter-over-quarter driven by robust purchase activity and ended the quarter as the fifth larges t non- bank Agency MBS servicer Strategic Approach Market Trends ▪ MSR portfolio complements Annaly’s Agency MBS strategy by offering an ▪ Bulk MSR s
Slide 15: MSR | Portfolio Summary
MSR | Portfolio Summary ▪ Annaly MSR Portfolio: $4.2 billion(1) in market value (including unsettled commitments) at the end of Q1 2026, an increase of Current MSR Portfolio by the Numbers(2) 9% compared to Q4 2025 (Excludes Interests in MSR / MSR of LP Interest) − Onslow Bay purchased ~$388 million
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 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 (1) GAAP net income (loss) per average common share $0.33 $1.40 $1.21 $0.03 $0.15 (1) Earnings available for distribution per average common share* $0.76 $0.74 $0.73 $0.73 $0.72 Divide
Slide 18: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Agency mortgage-backed securities $86,380,653 $89,628,654 $83,317,819 $71,756,638 $68,329,720 Residential credit risk transfer securities 110,646 213,80
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 March 31, 2026 and December 31, 2025, respectively ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪ The
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 3/31/2026 12/31/2025 9/30/2025 6/30/2025 3/31/2025 Premium Amortization Reconciliation Premium amortization expense $67,509 $41,367 $36,719 $28,138 $57,412 Less: PAA cost (benefit) (3,694) 6,627 18,390 (3,862)
Slide 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) 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 1,07
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 $7.4bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Represents the annualized quarterly real GDP growth contribution of private consumption and investment activity that have not been pledged or securitized (general
Slide 28: Endnotes (cont'd)
Endnotes (cont’d) Page 13 1. Excludes assets transferred or pledged to securitization vehicles of $34.2bn, include $3.5bn of retained Non-GAAP Reconciliations securities that are eliminated in consolidation and are shown net of participations issued totaling $2.5bn. Page 22 2. Whole loans settled in
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