Annaly Capital Management : First Quarter 2026 Investor Presentation

Published: 2026-04-21 16:52:49 ET NLY

Published on 04/21/2026 at 04:52 pm EDT

First Quarter 2026

Investor Presentation

April 21, 2026

Economic leverage* of 5.7x, up from 5.6x at the end of the fourth quarter

$9.0 billion of total assets available for financing(1), including cash and unencumbered Agency MBS of $5.0 billion

Annaly Residential Credit Group remains the largest non-bank issuer and the second largest issuer overall of Prime Jumbo and Expanded Credit MBS (2), pricing 12 residential whole loan securitizations totaling $6.6 billion in proceeds in 2026 year-to-date(3)

Since the beginning of the year, Annaly's Residential Credit and MSR businesses increased financing capacity by $550 million and $100 million, respectively, through expanded credit facilities; total warehouse capacity across both businesses of $7.6 billion, including $2.8 billion of committed capacity

Average GAAP cost of interest-bearing liabilities of 4.29%, down 20 basis points quarter-over-quarter, and average economic cost of interest-bearing

liabilities* of 3.93%, down 2 basis point quarter-over-quarter

Raised $509 million of accretive common equity through the Company's at-the-market sales program during the quarter(4)

Annaly maintained a disciplined leverage and liquidity profile, while achieving another record quarter of securitization activity

Earnings available for distribution* of $0.76 per average common share for the quarter

Book value per common share of $19.82

Declared quarterly common stock cash dividend of $0.70 per share

Economic return of 1.5% for the first quarter

Annaly delivered its tenth consecutive quarter of positive economic returns with EAD again outperforming the dividend

Recent Achievements and Performance Highlights

Total portfolio of $106.7 billion(5), including $92.2 billion in Agency MBS strategy, which represents 86% of total assets and 56% of dedicated capital

During the quarter, Annaly's Agency portfolio decreased marginally with paydowns reinvested primarily into 4.5% coupon TBA securities and Agency CMBS

Annaly's Residential Credit portfolio increased 30% quarter-over-quarter to $10.3 billion(5), representing 23% of dedicated capital, reflecting continued momentum across its whole loan correspondent channel and securitization platform

- During the quarter, the correspondent channel achieved a record $7.4 billion in lock volume and $5.2 billion in funded volume, up 41% and 37%, respectively, year-over-year

Annaly's MSR portfolio increased 9% quarter-over-quarter to $4.2 billion(5) in market value, representing 21% of dedicated capital, driven by robust bulk and flow purchase activity; Onslow Bay is the fifth largest non-bank servicer of Agency MBS (6)

Annaly increased its capital allocation to its Residential Credit and MSR portfolios in Q1'26 given attractive relative value

First Quarter 2026 Financial Highlights

GAAP Earnings Available for Distribution*

Dividend per Share

Net Interest Margin (ex. PAA)*

1.69% 1.71%

Book Value per Share Dividend Yield(1)

Q4 2025 Q1 2026

Capital Allocation(3) Average Yield on Interest Earning Assets (ex. PAA)*

Total Portfolio(2)

Total Stockholders' Equity

MSR 21%

Residential Credit 23%

Agency

56%

5.44% 5.35%

Q4 2025 Q1 2026

Liquidity Position

Total Hedge Portfolio(5)

Economic Leverage*(6)

Hedge Ratio(7) Average Economic Cost of Funds*(8)

of cash and unencumbered Agency MBS

of total assets available for financing(4)

Hedge portfolio, in line with Q4'25

5.6x 5.7x

Q4 2025 Q1 2026

90% 87%

Q4 2025 Q1 2026

3.95% 3.93%

Q4 2025 Q1 2026

Established, Scaled Platforms Across Annaly's Investment Strategies

Invests in Mortgage Servicing Rights, which provide the obligation to service residential loans in exchange for a fixed servicing fee

Portfolio Assets(1)

Capital(2)

Invests predominantly in Non-Agency residential mortgage assets within the securitized product and whole loan markets

Portfolio Assets(1)

Capital(2)

Invests in Agency MBS & Agency CMBS securities collateralized by residential or commercial mortgages, guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae

Portfolio Assets(1)

Capital(2)

Total Portfolio(1):

Total Shareholders' Equity:

The Macro Landscape

The U.S. economy remains supported by consumer spending and business investments, though rising commodity prices linked to the war in the Middle East pose risks to the global economy

Headline inflation will rise in the near term as higher energy prices flow through, suggesting inflation should remain above the Federal Reserve's (the "Fed") 2% target in 2026

The labor market continues to show low turnover, but hiring appears to have improved modestly in the first quarter relative to last year

The Fed is expected to hold policy rates unchanged at levels close to a neutral policy stance for the time being as it assesses the impact of the war on prices and growth

Fixed income market technicals are the most positive in several years, supported by strong fixed income fund inflows, Fed purchases of Treasury bills, GSE purchases of MBS and more accommodative bank capital rules

2023 2024 2025 2026 2022 2023 2024 2025 2026

March average

-5

-10

2.5%

Feb 2026

Expectations(4)

3.0%

Average Weekly Fixed Income Fund Flows, $billion(5)

3.5%

Current Market

Expectations(4)

Fed Funds Target Rate, %

5.5%

5.0%

4.5%

4.0%

1 2 3 4 1 2 3 4 1 2 3 4

2024 2025 2026

Forecast(2)

3.0

2.5

2.0

1.5

1.0

0.5

0.0

Consumption & Investment Contribution to GDP, % SAAR(1)

3 4 1 2 3 4 1 2

'25 2026 '27

Pre-War

Latest

Actuals

3.50

3.25

3.00

2.75

2.50

2.25

2.00

Median Quarterly Headline PCE Forecast, yoy %(3)

Illustrative Return Opportunities & Market Dynamics Across Annaly's Investment Strategies

Agency

Residential Credit

MSR

After reaching multi-year tights following the FHFA purchase announcement in January, Agency MBS spreads widened modestly in February and March amid geopolitical volatility

Technicals remain highly favorable with low net issuance, strong fixed income inflows, REIT equity raises, the GSE purchase mandate and the potential return of bank buying

Fundamentals are supported by a steep yield curve and attractive carry and roll dynamics as realized volatility has been contained despite the Iran war

Prepayments remain a focus given increased policy risk, though rates have lowered near-term risk

HPA was up 13 basis points month-over-month in March on a national level; year-to-date HPA up 54 basis points(2)

Residential credit spreads were modestly wider on the quarter in sympathy with other fixed income asset classes

Non-Agency issuance volumes increased roughly 60% year-over-year; the strongest growth continued to be exhibited in Non-QM, with issuance more than doubling YoY(3)

2026 Non-Agency issuance expected to be a post-crisis period record at approximately $250+ billion(3)

MSR performance continues to be supported by low prepayments, strong credit quality, and predictable and declining servicing costs

Float income has continued to outperform underwriting in the current rate environment

MSR valuations increased modestly driven primarily by higher interest rates

Bulk supply moderated in the first quarter though remains healthy and is expected to be ample throughout the remainder of 2026

Active management across well-constructed portfolio of specified pools and TBAs provides strong prepay protection and attractive carry

Reallocated capital towards intermediate coupon

TBA securities this quarter given relative value

Agency CMBS exposure provides attractive levered returns and a favorable convexity profile

Prudent leverage with substantial liquidity and a disciplined hedge portfolio

Continued investment in best-in-class portfolio analytics and modeling

Correspondent channel delivered another record quarter of whole loan lock and funding volume

As one of the largest and most liquid sponsors of residential credit securitizations, OBX represents

~15% of Non-QM issuance YTD in 20263)

Exceptional credit quality with locked pipeline representing a 762 weighted average FICO and 67% CLTV at origination

Organically created assets (whole loans and retained OBX securities) remain preferred growth channel relative to third-party securities

Top 10 Agency MBS servicer with the lowest note rate among top 20 servicers(4)

MSR portfolio continued to exhibit exceptional credit characteristics (757 weighted average FICO and 71% LTV ratio at origination)

Significantly expanded flow purchase capabilities with flow purchase volume up 88% QoQ in Q1

Strong network of recapture and subservicing relationships with industry leaders

Recognized for high-quality servicing as recipient of Freddie Mac 2025 Gold SHARP award

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

Annaly's ability to deploy capital dynamically across its three investment strategies where most accretive, while maintaining a lower leverage profile, enhances shareholder value through improved risk-adjusted returns, balance sheet flexibility and reduced downside volatility

Annaly's economic return per unit

of leverage of 2% is ~30% higher than its mREIT peers on average(3)

mREIT Average: 7%

Agency

mREIT

Hybrid

mREIT

9 / 75%

mREIT Average: 8 / 68%

7 / 60%

Annaly

Agency mREIT

Hybrid mREIT

Business Update

Agency | Business Update

Annaly's Agency portfolio is made up of high-quality and liquid securities, predominantly specified pools and TBAs

Portfolio benefits from in-house proprietary analytics that identify emerging prepayment trends and a focus on durable cash flows

Diverse set of investment options within the Agency market, including Agency CMBS, which provides complementary duration and return profiles to Agency MBS

Comprehensive hedging capabilities through an array of products (swaps, swaptions, Treasuries) enhance portfolio performance

Access to deep and varied financing sources, including traditional bilateral repo, sponsored repo and proprietary broker-dealer repo

Agency MBS spreads reached the tightest levels in four years following the GSE MBS purchase announcement in January, though widened in February and March driven in-part by geopolitical instability

Market technicals have been the most accommodative in years:

Fixed income demand continues to be robust driven by substantial money manager inflows and CMO issuance while net supply is below recent averages

GSEs have supported liquidity and acted as a spread stabilizer

Proposed bank capital rules incrementally positive for MBS, likely via lower securitization rates

Given higher interest rates, near-term prepay risk has decreased though

policy risk remains elevated

'26

2022

2023

2024

2025

NLY Specified Pools and TBA Holdings, % 100%

75%

50%

25%

Pools TBA

Agency Hedging Composition, % 100%

'26

2022

2023

2024

2025

75%

50%

25%

Swaps Swaptions Treasuries

Agency Funding Composition, % 100%

'26

2022

2023

2024

2025

75%

50%

25%

Within 30 30-120 days Over 120

Source: Company filings. Financial data as of March 31, 2026. Note: Portfolio data as of quarter end for each respective period.

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 average coupon of the portfolio decreased by 6 basis points to 5.06%

Elevated rate and macro volatility led to more active, though disciplined, hedging during the quarter, with conservative positioning maintained amid a rapidly evolving market backdrop

Net hedge notional was largely unchanged, as duration was adjusted tactically around rate moves and headline-driven volatility

Annaly's MBS portfolio prepaid modestly faster in the first quarter at 10.2 CPR, up from 9.7 CPR in Q4 2025, as mortgage rates briefly declined below 6% in February before facing upward pressure in March due to geopolitical turmoil

<1%

6.5+

95%

6.0

35%

36%

21% 7%

5.5

19%

40%

22% 8% 11%

All

34%

31%

17% 11% 6%

High Quality

Other Call Protected Generic/Other

Medium Quality

WALA

5.0%

22%

5.5%

24%

4.5%

17%

6.0%

16%

4.0%

3.0%

2% 3.5%

<=2.5%

>=6.5% <1%

IO/IIO

<1%

ACMBS

30yr

91%

ARM

<1%

Note: Financial data as of March 31, 2026. Percentages based on fair market value and may not sum to 100% due to rounding.

Residential Credit | Business Update

Agile platform that can deploy capital across both the residential whole loan and Non-Agency securities markets

Whole loan acquisition via Onslow Bay correspondent channel and securitization program provides the ability to create proprietary investments tailored to desired credit preferences with control over asset selection, counterparties and loss mitigation

Programmatic securitization sponsor of new origination residential whole loans with 113 deals comprising $52.8 billion of priced securitizations since the beginning of 2018(1)

$7,416

$6,199

$6,394

$5,397

$5,268 $5,269

$4,369

$3,742

$4,091

Q1 2024 Q2 2024 Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026

Locks

Fundings

OBX 2026-CES1

CES | Apr 2026

Agency-eligible | Apr 2026 Agency-eligible | Apr 2026

OBX 2026-INV2

OBX 2026-AHC1

OBX 2026-NQM5

Non-QM | Apr 2026

OBX 2026-NQM4

Non-QM | Mar 2026

OBX 2026-R1

Relever | Mar 2026

OBX 2026-NQM3

Non-QM | Feb 2026

OBX 2026-HE1

HELOC | Feb 2026

OBX 2026-J1 OBX 2026-INV1

Jumbo | Feb 2026 Agency-eligible | Feb 2026

OBX 2026-NQM2

Non-QM | Jan 2026

OBX 2026-NQM1

Non-QM | Jan 2026

$2,266

$2,767

$2,889

$3,715

$3,789

$3,815

$5,023

$3,970

$5,207

Modest use of balance sheet leverage with whole loans predominantly financed through securitization

Non-Agency RMBS spreads tightened early in the quarter, with AAA Non-QM reaching ~100 bps, before widening modestly with broader fixed-income markets amid geopolitical uncertainty, ending the quarter

~15 bps wider

Post quarter end, spreads have narrowed following improved risk

sentiment, with current valuations marginally tighter relative to YE'25

Zillow Home Price Index was up 13 basis points month-over-month in March(2) with home sales remaining subdued

Onslow Bay Q1'26 GAAP whole loan portfolio mark-to-market LTV of 62% compared to 67% original LTV with the average borrower having approximately $400k of equity in their home

Source: Company filings. Financial data as of March 31, 2026.

Detailed endnotes and a glossary of defined terms are included at the end of this presentation.

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 loans(2) across both Onslow Bay and our joint venture, up ~15% quarter-over-quarter

Since the beginning of 2026, Annaly has priced 12 securitizations totaling $6.6 billion in proceeds(3)

Record quarterly securitization issuance of $4.7 billion across eight transactions in Q1; subsequent to quarter-end, we continued to broaden securitization transaction types including our first deal backed entirely by owner-occupied Agency-eligible collateral (OBX 2026-AHC1) and inaugural closed-end second deal (OBX 2026-CES1)

Annaly remained the largest non-bank issuer and the second largest issuer overall of Prime Jumbo & Expanded Credit MBS(4)

CRT

CRE CLO

OBX Retained

34%

ARM

Floating 6%

12%

Unrated

26%

46%

Prime

Fixed

64%

Investment

Grade 53%

Non-QM

Fixed Duration

<2yrs 16%

Prime Jumbo

RTL

NPL/RPL

SBC

Non-Investment

Grade 21%

Attractive pipeline of callable transactions expected to provide value given current securitization cost of funds and Non-QM mortgage rates

Note: Financial data as of March 31, 2026, unless otherwise noted. Portfolio statistics and percentages are based on fair market value, reflect economic interest in securitizations and are net of participations issued. OBX Retained classification includes the fair market value of the economic interest of certain positions that are classified as Assets transferred or pledged to securitization vehicles within our Consolidated Financial Statements. Percentages may not sum to 100% due to rounding.

MSR | Business Update

MSR portfolio complements Annaly's Agency MBS strategy by offering an attractive yield while providing a hedge to mortgage basis volatility and slower prepayment speeds on discount dollar-priced MBS

As an established and scaled master servicer, Annaly is well-positioned for opportunistic growth in both the bulk and flow MSR markets

Annaly serves as a strategic partner to originators given certainty of

capital and complementary business strategy

Dynamic recapture and servicing capabilities through the ability to allocate across several industry-leading subservicer and recapture partners

$3,326

$3,338

$3,333

$3,548

$3,826

$4,156

$27

$152

$29

1 Truist Bank

16.9

$2,675

$32

$31

$65

JP Morgan

PNC Bank

Huntington

10.4

7.8

5.5

$35

$3,646

Q4 2023

MSR

Q4 2024

Q1 2025

Q2 2025

Q3 2025

Q4 2025

Q1 2026

Unsettled MSR Commitments

Interests in MSR / MSR of LP Interest

$2,122

$518

$2,909

$3,281

$21

$3,273

$34

$385

$3,476

$4,116

$13

2 11.6

Portfolio predominantly consists of low coupon, high-quality conventional MSR(1)

Bulk MSR supply moderated from elevated fourth quarter levels, though was up ~13% year-over-year

Expect supply to be healthy throughout 2026 given industry consolidation and the origination community operating at breakeven levels of profitability

Pricing has remained stable across both bulk and flow channels

Annaly's MSR valuations increased slightly, driven by higher interest

rates and a wider MBS basis

6 CrossCountry

5.3

7 Rocket

4.4

8 Nexus Nova

4.0

9 PHH

3.8

10 Bungalow Funding

3.6

MSR | Portfolio Summary

(Excludes Interests in MSR / MSR of LP Interest)

UPB ($bn)

Loan Count ('000)

Weighted Average

Note Rate

3M CPR

Wtd. Avg. FICO / LTV

(at Origination)

D60+

Annaly MSR Portfolio: $4.2 billion(1) in market value (including unsettled commitments) at the end of Q1 2026, an increase of 9% compared to Q4 2025

Onslow Bay purchased ~$388 million in market value ($24 billion in UPB) across four bulk packages and our flow channels

Flow settlements in Q1 totaled $1.9bn UPB, the largest volume quarter since inception, with 88% growth QoQ

Portfolio surpassed $250 billion in UPB in the first quarter

MSR portfolio remained significantly out-of-the-money, exhibiting stable cash flows with exceptional credit quality

3M CPR

MSR Multiple

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar

Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026

3.0% to 3.5%

26%

2.5% to 3.0%

46%

4.1% 3.9% 4.2%

4.4% 4.6% 4.7% 4.6% 4.6% 4.7% 4.6% 4.6%

3.3% 3.2% 3.4% 3.9%

3.5% to 4.0%

12%

5.94x

5.87x

5.84x

5.88x

5.84x

<2.0%

2.0% to 2.5%

>5.0%

4.5% to 5.0%

4.0% to 4.5%

Delinquencies continue to be stable and prepayments were relatively unchanged quarter-over-quarter

Financial Highlights and Trends

3/31/2025

For the quarters ended

12/31/2025 9/30/2025 6/30/2025

3/31/2026

Unaudited

GAAP net income (loss) per average common share(1)

Earnings available for distribution per average common share*(1)

$0.33

$0.76

$1.40

$0.74

$1.21

$0.73

$0.03

$0.73

$0.15

$0.72

Dividends declared per common share

$0.70

Book value per common share

$19.82

$20.21

$19.25

$18.45

$19.02

Annualized GAAP return (loss) on average equity(2)

7.15%

26.14%

23.69%

1.82%

4.04%

Annualized EAD return on average equity*

14.58%

14.28%

14.70%

14.86%

14.43%

Net interest margin(3)

1.41%

1.18%

0.97%

1.04%

0.87%

Average yield on interest earning assets(4)

5.36%

5.42%

5.40%

5.42%

5.18%

Average GAAP cost of interest bearing liabilities(5)

4.29%

4.49%

4.73%

4.76%

4.77%

Net interest margin (excluding PAA)(3)*

1.71%

1.69%

1.70%

1.71%

1.69%

Average yield on interest earning assets (excluding PAA)(4)*

5.35%

5.44%

5.46%

5.41%

5.23%

Average economic cost of interest bearing liabilities(5)*

3.93%

3.95%

3.96%

3.94%

3.88%

GAAP leverage, at period-end(6)

7.3x

7.2x

7.1x

6.8x

Economic leverage, at period-end(6)*

5.7x

5.6x

5.7x

5.8x

5.7x

* Represents a non-GAAP financial measure; see Appendix.

Financial Highlights and Trends (cont'd)

3/31/2025

For the quarters ended

12/31/2025 9/30/2025 6/30/2025

3/31/2026

Unaudited (dollars in thousands)

Agency mortgage-backed securities

Residential credit risk transfer securities

$86,380,653

110,646

$89,628,654

213,800

$83,317,819

330,647

$71,756,638

414,047

$68,329,720

521,059

Non-Agency mortgage-backed securities

1,588,026

1,445,176

1,414,259

1,329,941

1,451,524

Commercial mortgage-backed securities

394,356

59,061

Total securities

$88,473,681

$91,287,630

$85,062,725

$73,500,626

$70,361,364

Residential mortgage loans

$7,230,876

$5,020,784

$4,008,299

$3,722,272

$3,860,555

Total loans, net

$7,230,876

$5,020,784

$4,008,299

$3,722,272

$3,860,555

Mortgage servicing rights

$4,115,999

$3,645,865

$3,476,181

$3,281,190

$3,272,902

Interests in MSR

$27,212

$28,626

$35,833

Residential mortgage loans transferred or pledged to securitization vehicles

$34,207,738

$32,067,433

$29,512,309

$27,021,790

$24,464,281

Assets transferred or pledged to securitization vehicles

$34,207,738

$32,067,433

$29,512,309

$27,021,790

$24,464,281

Total investment portfolio

$134,055,506

$132,050,338

$122,095,347

$107,525,878

$101,959,102

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 MBS spread sensitivity shifts MBS spreads instantaneously and reflects exposure to MBS basis risk

All tables assume no active management of the portfolio in response to rate or spread changes

Interest Rate Sensitivity(1)

Interest Rate Change (bps)

As of March 31, 2026

As of December 31, 2025

Estimated Percentage Change in Portfolio Market Value(2)

Estimated Change as a % of NAV(2)(3)

Estimated Percentage Change in Portfolio Market Value(2)

Estimated Change as a % of NAV(2)(3)

(75)

0.2%

(0.3%)

(2.2%)

(50)

0.1%

0.9%

(0.1%)

(0.7%)

(25)

0.1%

0.8%

(0.2%)

(1.5%)

(0.1%)

(0.8%)

(0.5%)

(3.5%)

(0.3%)

(2.2%)

(0.8%)

(5.9%)

(0.5%)

(4.0%)

MBS Spread Sensitivity(1)

MBS Spread Shock (bps)

As of March 31, 2026

As of December 31, 2025

Estimated Change in Portfolio Market Value(2)

Estimated Change as a % of NAV(2)(3)

Estimated Change in Portfolio Market Value(2)

Estimated Change as a % of NAV(2)(3)

(25)

1.3%

9.3%

1.2%

8.8%

(15)

0.8%

5.5%

0.7%

5.3%

(5)

0.3%

1.8%

0.2%

1.7%

(0.3%)

(1.8%)

(0.2%)

(1.7%)

(0.8%)

(5.5%)

(0.7%)

(5.2%)

(1.3%)

(9.1%)

(1.2%)

(8.6%)

Appendix | Non-GAAP Reconciliations

Disclaimer

Annaly Capital Management Inc. published this content on April 21, 2026, and is solely responsible for the information contained herein. Distributed via Public Technologies (PUBT), unedited and unaltered, on April 21, 2026 at 20:48 UTC.