Annaly Capital Management (NLY) investor relations material

Executive summary

• Achieved a 1.5% economic return in Q1 2026, marking the tenth consecutive positive quarter, with EAD per share of $0.76 exceeding the $0.70 dividend.

• Book value per share was $19.82, and portfolio totaled $106.7 billion, with $92 billion in Agency assets.

• Raised over $509 million in common equity through at-the-market sales, primarily allocated to Residential Credit and MSR strategies.

• Maintained conservative leverage at 5.7x and strong liquidity, with $9.0 billion in assets available for financing.

• Capital allocation shifted from Agency to Residential Credit and MSR, raising their combined allocation to 44%.

Financial highlights

• GAAP net income for Q1 2026 was $290.5 million ($0.33 per share); EAD was $589.9 million ($0.76 per share).

• Book value per share declined 1.9% to $19.82 from $20.21 in the prior quarter.

• Net interest margin (excluding PAA) was 1.71%, and net interest spread was 1.42%.

• Economic leverage held at 5.7x; GAAP leverage was 7.3x at quarter-end.

• Dividend yield was 13.2% based on the annualized dividend and quarter-end share price.

Outlook and guidance

• Management expects inflation to remain above the Fed's 2% target in 2026, with policy rates likely unchanged.

• Attractive investment opportunities anticipated across Agency, Residential Credit, and MSR strategies.

• Agency spreads now offer prospective new money returns in the mid-teens.

• Long-term capital allocation target remains 50% Agency, 30% Residential Credit, 20% MSR.

• Regulatory changes are expected to support bank lending and prime loan growth.