Annaly Capital Management (NLY) investor relations material

Executive summary

• Q3 economic return was -7.6%; book value fell to $17.86/share, while EAD of $0.80/share exceeded the $0.75 dividend.

• Higher rates and wider Agency MBS spreads drove fair-value losses; 5.9x economic leverage and $8.5B of assets available for financing supported flexibility.

Financial highlights

• GAAP net loss was $1.001B, or $1.36 per average common share; net investment losses were $4.7B, partly offset by $3.074B of net derivative gains.

• Adjusted EAD was $649.1M, including $607.8M attributable to common shareholders, or $0.80 per average common share, versus $0.79 in Q2.

• Net interest income was $543.6M and net servicing income was $156.0M; both exceeded Q3 2025 levels.

• Common book value per share fell to $17.86 from $20.15 in Q2 and $19.25 a year earlier.

• Total assets were $146.1B at September 30, 2026; stockholders’ equity was $15.8B.

Outlook and guidance

• Management expected Q4 EAD to exceed the $0.75 dividend; 2027 outlook remained uncertain.

• Illustrative current-market levered return ranges were Agency 15%–17%, Residential Credit 13%–16%, and MSR 12%–15%; these were prospective market assumptions, not portfolio returns.

• Residential Credit was the first priority for incremental capital, with Agency close behind and MSR also offering growth opportunities; targeted MSR allocation was ~20%.

• MSR supply was expected to remain robust through year-end; full-year 2026 Non-Agency issuance was expected to reach a post-crisis record.