Annaly Capital Management (NLY) investor relations material

Executive summary

• Economic return was -7.6% as book value fell to $17.86/share; EAD of $0.80/share exceeded the $0.75 dividend.

• Higher rates and wider Agency MBS spreads pressured results; positioning included 5.9x economic leverage and $8.5B of assets available for financing.

Financial highlights

• GAAP net loss attributable to common stockholders was $1.043B, or $1.36/diluted share, versus net income of $781.6M, or $1.06/share, in Q2.

• Book value per share fell 11.4% QoQ to $17.86 from $20.15; economic return, including the $0.75 dividend, was -7.6%.

• 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 losses on investments and other were $4.722B, partly offset by $3.074B of net derivative gains; total other loss was $1.631B.

• Net interest income was $543.6M, up from $488.2M QoQ; net servicing income was $156.0M versus $157.2M.

Outlook and guidance

• Management expected Q4 EAD to exceed the dividend; current portfolio earnings and projected new-money returns supported the $0.75 dividend, while 2027 remained uncertain.

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

• Residential Credit was the first choice for incremental capital, Agency close behind, and MSR not far behind; Agency new-money returns were cited in the mid-to-high teens.

• 2026 Non-QM originations were projected at $150B–$175B, likely toward the high end, or 8%–9% of total mortgage originations of $1.9T–$2T.

• MSR bulk supply was expected to remain healthy through year-end as originator profitability faced ongoing challenges.