Annaly Capital posts $1B GAAP loss in Q3 2026
Non-GAAP earnings available for distribution were $649.1 million, while book value per common share was $17.86 at quarter-end.
Sentiment and the balance of points
Rhea-AI Sentiment reads the wording of the document, how positive or negative its language is on a 1 to 5 scale. The balance of points shown with the takes weighs what the document actually discloses, so the two can disagree, for example when a trial that missed its main goal is described in upbeat language.
Form Type
8-K
Rhea-AI Filing Summary
Annaly Capital Management Inc. reported a third-quarter 2026 GAAP net loss of $1,000.7 million, or $1.36 per average common share, compared with net income of $843.1 million and $1.21 per share in the quarter ended September 30, 2025. Net unrealized losses on instruments measured at fair value through earnings were $4,578.9 million; net gains on derivatives were $3,074.1 million.
Earnings available for distribution (EAD), a non-GAAP measure, totaled $649.1 million, or $0.80 per average common share, compared with $519.9 million and $0.73 a year earlier. Net interest income was $543.6 million. GAAP net interest margin was 1.54% for the quarter, compared with 1.47% in the previous quarter.
At September 30, 2026, book value per common share was $17.86, versus $20.15 at June 30, 2026, and the total investment portfolio was $140,537.3 million. Period-end GAAP leverage was 8.0x and economic leverage was 5.9x. Annaly declared common dividends of $0.75 per share for the quarter.
1 point · 0 major1 major · 2 points
How this balance works
Rhea-AI gives every point it takes from this document a weight. Minor counts 1, Moderate 3 and Major 9, so one Major point outweighs several Minor ones. The bar adds up the weights on each side, and when neither side holds more than 65% of the total the balance reads Mixed.
It reads the document as published, with the same rules for every company, and it does not look at what the market expected or at how the stock traded, so a point can be objectively good on a day the stock falls.
Rhea-AI Sentiment measures something else, the tone of the wording.
Positive
- Moderate pointEAD was $649.1 million, versus $519.9 million a year earlier.
Negative
- Major pointGAAP results shifted to a $1,000.7 million loss from $843.1 million income.
- Moderate pointBook value: $17.86 per share, versus $20.15 at June 30, 2026.
Filing Explained
At September 30, common shares outstanding were 784,673,349, versus 750,574,308 at June 30; the larger count reduces existing holders’ percentage ownership absent offsetting changes.
The
Annaly defines EAD as a non-GAAP measure that adjusts GAAP results for reported realized and unrealized investment and derivative gains or losses and certain other items; the company says it is not a substitute for GAAP.
8-K Event Classification
2 items: 8.01, 9.01
2 items
Item 8.01
Other Events
Other
Voluntary disclosure of events the company deems important to shareholders but not covered by other items.
Item 9.01
Financial Statements and Exhibits
Exhibits
Financial statements, pro forma financial information, or exhibit attachments filed with this report.
Key Figures
GAAP net loss: -$1,000.7 million
GAAP net loss per average common share: -$1.36
Earnings available for distribution: $649.1 million
+5 more
8 metrics
GAAP net loss
-$1,000.7 million
Quarter ended September 30, 2026
GAAP net loss per average common share
-$1.36
Quarter ended September 30, 2026
Earnings available for distribution
$649.1 million
Quarter ended September 30, 2026; $519.9 million in the quarter ended September 30, 2025
Earnings available for distribution per average common share
$0.80
Quarter ended September 30, 2026
Book value per common share
$17.86
At September 30, 2026; $20.15 at June 30, 2026
GAAP net interest margin
1.54%
Quarter ended September 30, 2026; 1.47% in the previous quarter
Total investment portfolio
$140,537.3 million
At September 30, 2026
Net unrealized losses on instruments measured at fair value through earnings
-$4,578.9 million
Quarter ended September 30, 2026
Key Terms
Earnings available for distribution, premium amortization adjustment (PAA), TBA dollar roll income, economic leverage ratio, +1 more
5 terms
Earnings available for distribution financial
"Earnings available for distribution, which is defined as the sum of"
Earnings available for distribution are the portion of a company’s profit that remains after paying taxes, meeting legal or contractual reserves, and covering any required debt or operating obligations — essentially the cash the business can legally and practically give to shareholders or unitholders. Investors watch this number because it shows how much income a company can return as dividends or distributions, similar to the money left in a household account after paying bills and savings goals.
TBA dollar roll income financial
"TBA dollar roll income represents a component of Net gains (losses) on derivatives."
economic leverage ratio financial
"The Company’s economic leverage ratio is computed as the sum of recourse debt"
Mortgage servicing rights financial
"Mortgage servicing rights"
Mortgage servicing rights are the contractual right to collect mortgage payments, manage escrow accounts, handle customer service and delinquency actions on a pool of home loans, in exchange for a portion of the loan’s payments. They matter to investors because their value behaves like a revenue stream that can rise or fall with interest rates and borrower behavior — similar to owning a toll bridge where income depends on traffic volume and maintenance costs — and thus affect a lender’s earnings and risk profile.
FAQ
AI-generated questions and answers. How Rhea-AI works. Not financial advice.
What was NLY's third-quarter 2026 GAAP result?
Annaly reported a GAAP net loss of $1,000.7 million, or $1.36 per average common share, for the quarter ended September 30, 2026. It reported net income of $843.1 million, or $1.21 per share, for the quarter ended September 30, 2025.
How much did NLY report in earnings available for distribution for Q3 2026?
Earnings available for distribution was $649.1 million, or $0.80 per average common share, in the quarter ended September 30, 2026. The comparable figures for the quarter ended September 30, 2025 were $519.9 million and $0.73 per share.
How does Annaly define earnings available for distribution?
Annaly defines EAD as a non-GAAP measure that includes economic net interest income, TBA dollar roll income, net servicing income less realized MSR amortization, and specified other income, expenses and taxes. It excludes the premium amortization adjustment and other specified non-EAD items, and states that non-GAAP measures are not substitutes for GAAP measures.
AI-generated analysis. How Rhea-AI works. Not financial advice.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported)
(Exact Name of Registrant as Specified in its Charter)
| (State or other jurisdiction of incorporation or organization) | (Commission File Number) | (IRS Employer Identification No.) | |||||||||
| (Address of principal executive offices) | (Zip Code) | ||||||||||
Registrant’s telephone number, including area code: (212 ) 696-0100
Not Applicable
(Former Name or Former Address, if Changed Since Last Report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
Securities registered pursuant to Section 12(b) of the Act:
| Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging growth company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Item 8.01 Other Events.
On October 20, 2026, the Registrant posted a financial supplement for the quarter ended September 30, 2026 on the Investors section of its website (www.annaly.com). A copy of the financial supplement is filed as Exhibit 99.1 to this report and incorporated herein by reference.
Item 9.01 Financial Statements and Exhibits.
(d) Exhibits
99.1 Third Quarter 2026 Financial Supplement.
101 Pursuant to Rule 406 of Regulation S-T, the cover page information is formatted in iXBRL (Inline eXtensible Business Reporting Language).
104 Cover page interactive data file (formatted in iXBRL in Exhibit 101).
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
ANNALY CAPITAL MANAGEMENT, INC. | ||||||||||||||
By: | /s/ Serena Wolfe | |||||||||||||
Name: Serena Wolfe | ||||||||||||||
Title: Chief Financial Officer | ||||||||||||||
Dated: October 20, 2026
Third Quarter 2026 Financial Supplement October 20, 2026
Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly" or the “Company”), 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 Third Quarter 2026 earnings release. This presentation is provided for investors in Annaly for informational purposes only and is not an offer to sell, or a solicitation of an offer to buy, any security or instrument. Forward-Looking Statements This presentation contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act. These statements are based on management’s beliefs and expectations, speak only as of the date on which they were made, and are subject to significant risks and uncertainties. Actual results could differ materially from those set forth in forward- looking statements. Factors that could cause actual results to differ from those contained in the forward-looking statements can be found in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. Annaly undertakes no obligation to update or revise any forward-looking statements. We use our website and LinkedIn account as additional channels for distributing material company information, along with our press releases, SEC filings and public conference calls and webcasts. 2
Financial Snapshot 3 Unaudited, dollars in thousands except per share amounts ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2026 6/30/2026 Income Statement GAAP net income (loss) per average common share ($1.36) $1.06 Earnings available for distribution per average common share * $0.80 $0.79 Annualized GAAP return (loss) on average equity (1) (24.35%) 19.88% Annualized EAD return on average equity* 15.86% 15.12% Balance Sheet Book value per common share $17.86 $20.15 GAAP leverage at period-end (2) 8.0x 7.4x Economic leverage at period-end *(2) 5.9x 5.6x GAAP capital ratio at period-end (3) 10.9% 11.8% Economic capital ratio at period-end *(3) 14.2% 14.9% Portfolio Securities $86,897,746 $89,515,485 Loans, net 6,869,820 7,280,979 Mortgage servicing rights 4,199,823 4,089,485 Interests in MSR 110,350 106,775 Assets transferred or pledged to securitization vehicles 42,459,566 38,256,690 Total investment portfolio $140,537,305 $139,249,414 GAAP Key Statistics Net interest margin (4) 1.54% 1.47% Average yield on interest earning assets (5) 5.58% 5.44% Average GAAP cost of interest bearing liabilities (6) 4.34% 4.28% Net interest spread 1.24% 1.16% Non-GAAP Key Statistics Net interest margin (excluding PAA) *(4) 1.69% 1.76% Average yield on interest earning assets (excluding PAA) *(5) 5.45% 5.46% Average economic cost of interest bearing liabilities *(6) 4.03% 3.96% Net interest spread (excluding PAA) * 1.42% 1.50% Efficiency Operating expenses to earnings available for distribution * 8.20% 9.27% Annualized operating expenses as a % of average total assets 0.15% 0.16% Annualized operating expenses as a % of average total equity 1.29% 1.40%
Portfolio Data 4 Unaudited, dollars in thousands For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Portfolio-Related Data Agency mortgage-backed securities $85,294,151 $87,768,578 $86,380,653 $89,628,654 $83,317,819 Residential credit risk transfer securities 69 46,872 110,646 213,800 330,647 Non-agency mortgage-backed securities 1,603,526 1,565,016 1,588,026 1,445,176 1,414,259 Commercial mortgage-backed securities — 135,019 394,356 — — Total securities $86,897,746 $89,515,485 $88,473,681 $91,287,630 $85,062,725 Residential mortgage loans $6,869,820 $7,280,979 $7,230,876 $5,020,784 $4,008,299 Total loans, net $6,869,820 $7,280,979 $7,230,876 $5,020,784 $4,008,299 Mortgage servicing rights $4,199,823 $4,089,485 $4,115,999 $3,645,865 $3,476,181 Interests in MSR $110,350 $106,775 $27,212 $28,626 $35,833 Residential mortgage loans transferred or pledged to securitization vehicles $42,459,566 $38,256,690 $34,207,738 $32,067,433 $29,512,309 Assets transferred or pledged to securitization vehicles $42,459,566 $38,256,690 $34,207,738 $32,067,433 $29,512,309 Total investment portfolio $140,537,305 $139,249,414 $134,055,506 $132,050,338 $122,095,347 Total assets $146,147,474 $143,741,176 $138,537,591 $135,609,838 $125,861,572 Period-end TBA contract balances, implied market value $6,488,723 $7,216,874 $5,845,420 $3,257,086 $3,991,915 Average TBA contract balances, implied market value $5,585,135 $6,083,998 $5,426,013 $2,186,109 $6,374,052
Financing & Capital Data 5 For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Financing Data Repurchase agreements $85,525,065 $86,895,874 $85,068,102 $81,865,723 $75,118,963 Other secured financing 1,125,000 1,125,000 1,125,000 1,075,000 1,025,000 Debt issued by securitization vehicles 38,380,269 34,366,098 30,719,417 28,918,753 26,601,790 Participations issued 2,200,562 2,553,709 2,484,018 1,932,655 1,831,657 U.S. Treasury securities sold, not yet purchased — — — 2,396,724 2,442,570 Total debt $127,230,896 $124,940,681 $119,396,537 $116,188,855 $107,019,980 Total liabilities $130,253,088 $126,762,800 $122,211,780 $119,449,927 $110,864,993 Cumulative redeemable preferred stock $1,802,480 $1,802,480 $1,802,480 $1,802,480 $1,802,480 Common equity (1) 14,017,443 15,122,896 14,471,629 14,288,292 13,108,417 Total Annaly stockholders' equity 15,819,923 16,925,376 16,274,109 16,090,772 14,910,897 Non-controlling interests 74,463 53,000 51,702 69,139 85,682 Total equity $15,894,386 $16,978,376 $16,325,811 $16,159,911 $14,996,579 Key Capital and Hedging Metrics Weighted average days to maturity of repurchase agreements 30 33 36 35 49 Weighted average rate on repurchase agreements, for the quarter (2)(3) 3.87% 3.84% 3.90% 4.20% 4.50% Weighted average rate on repurchase agreements, at period-end (3) 4.08% 3.85% 3.87% 4.02% 4.36% GAAP leverage at period-end 8.0x 7.4x 7.3x 7.2x 7.1x Economic leverage at period-end * 5.9x 5.6x 5.7x 5.6x 5.7x GAAP capital ratio at period-end 10.9% 11.8% 11.8% 11.9% 11.9% Economic capital ratio at period-end * 14.2% 14.9% 14.7% 14.9% 14.8% Book value per common share $17.86 $20.15 $19.82 $20.21 $19.25 Total common shares outstanding 784,673 750,574 730,291 706,972 681,052 Hedge ratio (4) 100% 97% 87% 90% 92% Weighted average pay rate on interest rate swaps, at period-end 3.19% 3.20% 3.14% 3.15% 3.16% Weighted average receive rate on interest rate swaps, at period-end 3.97% 3.73% 3.74% 3.92% 4.27% Weighted average net rate on interest rate swaps, at period-end (0.78%) (0.53%) (0.60%) (0.77%) (1.11%) Unaudited, dollars in thousands except per share amounts ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation.
Income Statement Data 6 Summary Income Statement For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Total interest income $1,970,425 $1,812,198 $1,724,930 $1,690,707 $1,532,497 Total interest expense 1,426,813 1,324,005 1,272,239 1,324,128 1,256,747 Net interest income $543,612 $488,193 $452,691 $366,579 $275,750 Total economic interest expense *(1) $1,322,680 $1,225,164 $1,164,874 $1,164,155 $1,051,717 Economic net interest income * $647,745 $587,034 $560,056 $526,552 $480,780 Total interest income (excluding PAA) * $1,925,907 $1,819,279 $1,721,236 $1,697,334 $1,550,887 Economic net interest income (excluding PAA) * $603,227 $594,115 $556,362 $533,179 $499,170 GAAP net income (loss) ($1,000,698) $827,773 $290,515 $1,017,951 $843,063 GAAP net income (loss) available (related) to common stockholders (2) ($1,043,064) $781,637 $242,000 $971,107 $791,318 GAAP net income (loss) per average common share (2) ($1.36) $1.06 $0.33 $1.40 $1.21 Earnings available for distribution * $649,140 $627,667 $589,888 $553,218 $519,882 Earnings available for distribution attributable to common stockholders *(2) $607,835 $586,631 $549,236 $510,831 $478,755 Earnings available for distribution per average common share *(2) $0.80 $0.79 $0.76 $0.74 $0.73 PAA cost (benefit) ($44,518) $7,081 ($3,694) $6,627 $18,390 Weighted average experienced CPR for the period 9.6% 11.6% 10.2% 9.7% 8.6% Weighted average projected long-term CPR at period-end 8.6% 11.0% 10.4% 10.8% 10.4% ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except per share amounts
Key Earnings Metrics 7 Unaudited, dollars in thousands except per share amounts ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Key GAAP Earnings Metrics Dividends declared per common share $0.75 $0.75 $0.70 $0.70 $0.70 Total common and preferred dividends declared (1) $633,114 $606,917 $554,942 $543,836 $517,126 Annualized GAAP return (loss) on average equity (2) (24.35%) 19.88% 7.15% 26.14% 23.69% Annualized GAAP return (loss) on average equity per unit of GAAP leverage (3.04%) 2.69% 0.98% 3.63% 3.34% Net interest margin 1.54% 1.47% 1.41% 1.18% 0.97% Average yield on interest earning assets 5.58% 5.44% 5.36% 5.42% 5.40% Average GAAP cost of interest bearing liabilities 4.34% 4.28% 4.29% 4.49% 4.73% Net interest spread 1.24% 1.16% 1.07% 0.93% 0.67% Key Non-GAAP Earnings Metrics Annualized EAD return on average equity * 15.86% 15.12% 14.58% 14.28% 14.70% Annualized EAD return on average equity per unit of economic leverage * 2.69% 2.70% 2.56% 2.55% 2.58% Net interest margin (excluding PAA) * 1.69% 1.76% 1.71% 1.69% 1.70% Average yield on interest earning assets (excluding PAA) * 5.45% 5.46% 5.35% 5.44% 5.46% Average economic cost of interest bearing liabilities * 4.03% 3.96% 3.93% 3.95% 3.96% Net interest spread (excluding PAA) * 1.42% 1.50% 1.42% 1.49% 1.50%
Components of Economic Net Interest Income* 8 ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Economic Net Interest Income * Interest income: Agency Securities $1,189,061 $1,094,724 $1,084,411 $1,079,716 $949,511 Resi Credit Securities 29,364 30,679 31,422 33,474 33,462 Residential mortgage loans 738,556 674,055 596,789 550,529 505,527 Commercial investment portfolio 244 4,664 1,622 — — Reverse repurchase agreements 13,200 8,076 10,686 26,988 43,997 Total interest income $1,970,425 $1,812,198 $1,724,930 $1,690,707 $1,532,497 Economic interest expense *: Repurchase agreements $887,648 $846,551 $832,947 $887,337 $852,175 Net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps (1) (104,133) (98,841) (107,365) (159,973) (205,030) U.S. Treasury securities sold, not yet purchased — — 8,266 25,444 25,962 Debt issued by securitization vehicles 502,096 438,892 398,133 383,139 349,959 Participations issued 37,069 38,562 32,893 28,208 28,651 Total economic interest expense * $1,322,680 $1,225,164 $1,164,874 $1,164,155 $1,051,717 Economic net interest income * $647,745 $587,034 $560,056 $526,552 $480,780 PAA cost (benefit) (44,518) 7,081 (3,694) 6,627 18,390 Economic net interest income (excluding PAA) * $603,227 $594,115 $556,362 $533,179 $499,170
GAAP Net Income to Earnings Available for Distribution* Reconciliation 9 ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 EAD* Reconciliation GAAP net income (loss) ($1,000,698) $827,773 $290,515 $1,017,951 $843,063 Adjustments to exclude reported realized and unrealized (gains) losses: Net (gains) losses on investments and other (1) 4,728,272 316,206 674,162 (288,630) (560,957) Net (gains) losses on derivatives (2) (2,982,293) (464,968) (312,265) (104,405) 284,199 Other adjustments: Amortization of intangibles 672 673 673 672 673 Non-EAD (income) loss allocated to equity method investments (3) — — — 405 376 Transaction expenses and non-recurring items (4) 10,738 10,246 7,951 7,223 8,117 Income tax effect of non-EAD income (loss) items 13,820 5,044 (4,812) (9,456) (6,742) TBA dollar roll income (5) 18,803 17,904 18,993 4,813 9,019 MSR amortization (6) (93,570) (89,816) (78,646) (77,955) (72,081) EAD attributable to noncontrolling interests (2,086) (2,476) (2,989) (4,027) (4,175) Premium amortization adjustment cost (benefit) (44,518) 7,081 (3,694) 6,627 18,390 Earnings available for distribution * 649,140 627,667 589,888 553,218 519,882 Dividends on preferred stock (7) 41,305 41,036 40,652 42,387 41,127 Earnings available for distribution attributable to common stockholders * $607,835 $586,631 $549,236 $510,831 $478,755
Quarter-Over-Quarter Changes in Key Metrics 10 Unaudited ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Book Value Rollforward Book value per common share, beginning of period $20.15 $19.82 $20.21 $19.25 $18.45 Net income (loss) available (related) to common stockholders (1.36) 1.06 0.33 1.40 1.21 Other comprehensive income (loss) attributable to common stockholders (0.31) (0.03) (0.06) 0.20 0.18 Common dividends declared (0.75) (0.75) (0.70) (0.70) (0.70) Other (1) 0.13 0.05 0.04 0.06 0.11 Book value per common share, end of period $17.86 $20.15 $19.82 $20.21 $19.25 Net Interest Margin Prior quarter net interest margin 1.47% 1.41% 1.18% 0.97% 1.04% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.04% 0.01% 0.04% 0.03% 0.01% Net amortization of premiums 0.10% 0.07% (0.10%) (0.01%) (0.03%) GAAP interest expense (0.07%) (0.02%) 0.29% 0.19% (0.05%) Current quarter net interest margin 1.54% 1.47% 1.41% 1.18% 0.97% Net Interest Spread Prior quarter net interest spread 1.16% 1.07% 0.93% 0.67% 0.66% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.04% 0.01% 0.04% 0.03% 0.01% Net amortization of premiums 0.10% 0.07% (0.10%) (0.01%) (0.03%) GAAP interest expense (0.06%) 0.01% 0.20% 0.24% 0.03% Current quarter net interest spread 1.24% 1.16% 1.07% 0.93% 0.67%
Quarter-Over-Quarter Changes in Key Metrics (cont'd) 11 Unaudited ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Net Interest Margin (excluding PAA)* Prior quarter net interest margin (excluding PAA) * 1.76% 1.71% 1.69% 1.70% 1.71% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (including average TBA dollar roll balances) 0.07% (0.01%) (0.10%) 0.24% 0.02% Net amortization of premiums (excluding PAA) (0.05%) 0.10% (0.12%) (0.07%) 0.05% TBA dollar roll income (0.01%) 0.01% 0.04% (0.02%) 0.01% Economic interest expense * (0.08%) (0.05%) 0.20% (0.16%) (0.09%) Current quarter net interest margin (excluding PAA) * 1.69% 1.76% 1.71% 1.69% 1.70% Net Interest Spread (excluding PAA)* Prior quarter net interest spread (excluding PAA) * 1.50% 1.42% 1.49% 1.50% 1.47% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.04% 0.01% 0.04% 0.03% 0.01% Net amortization of premiums (excluding PAA) (0.05%) 0.09% (0.13%) (0.05%) 0.04% Economic interest expense * (0.07%) (0.02%) 0.02% 0.01% (0.02%) Current quarter net interest spread (excluding PAA) * 1.42% 1.50% 1.42% 1.49% 1.50%
Quarter-Over-Quarter Changes in Annualized Return on Average Equity 12 ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Annualized GAAP Return (Loss) on Average Equity Prior quarter annualized GAAP return (loss) on average equity 19.88% 7.15% 26.14% 23.69% 1.82% Quarter-over-quarter changes in contribution: Coupon income 3.71% 0.56% (0.20%) 0.50% 0.56% Net amortization of premiums and accretion of discounts 0.72% 0.49% (0.73%) (0.15%) (0.24%) GAAP interest expense (2.92%) (0.47%) 2.67% 1.31% (0.80%) Net servicing income 0.02% 0.27% (0.08%) 0.04% (0.28%) Net gains (losses) on investments and other (107.26%) 8.90% (23.98%) (8.36%) 13.27% Net gains (losses) on derivatives 61.54% 3.20% 3.60% 9.06% 9.12% Other (1) (0.04%) (0.22%) (0.27%) 0.05% 0.24% Current quarter annualized GAAP return (loss) on average equity (24.35%) 19.88% 7.15% 26.14% 23.69% Annualized EAD Return on Average Equity* Prior quarter annualized EAD return on average equity * 15.12% 14.58% 14.28% 14.70% 14.86% Quarter-over-quarter changes in contribution: Coupon income 3.76% 0.54% (0.26%) 0.44% 0.54% Net amortization of premiums (excluding PAA) (0.55%) 0.76% (1.00%) (0.49%) 0.40% Economic interest expense (2.79%) (0.73%) 1.25% (0.30%) (0.99%) Net servicing income 0.02% 0.27% (0.08%) 0.03% (0.29%) TBA dollar roll income 0.03% (0.04%) 0.35% (0.13%) 0.03% Other (2) 0.27% (0.26%) 0.04% 0.03% 0.15% Current quarter annualized EAD return on average equity * 15.86% 15.12% 14.58% 14.28% 14.70%
Residential & Other Investments Overview as of September 30, 2026 13 ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) (1) Original Weighted Avg. Years to Maturity Current Face Value % (3) Weighted Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Weighted Avg. 3-Month CPR Estimated Fair Value >=30 years (2) $81,450,281 100.0% 5.13% 100.3% 94.4% 9.7% $76,901,584 Total/Weighted Avg. $81,450,281 100.0% 5.13% 100.3% 94.4% 9.7% $76,901,584 Other Agency Securities Type Current Face Value % (3) Weighted Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Weighted Avg. 3-Month CPR Estimated Fair Value Multifamily $7,646,456 98.1% 4.53% 99.4% 93.2% —% $7,127,360 Adjustable-rate 149,026 1.9% 5.44% 105.0% 100.2% 8.5% 149,307 Total/Weighted Avg. $7,795,482 100.0% 4.55% 99.5% 93.3% 8.5% $7,276,667 Agency Interest-Only Collateralized Mortgage-Backed Obligations Type Current Notional Value % (4) Weighted Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Weighted Avg. 3-Month CPR Estimated Fair Value Interest-only $1,291,825 2.4% 3.46% 17.8% 17.3% 7.4% $223,688 Inverse interest-only 4,711,138 8.8% 2.42% 10.7% 6.9% 8.4% 325,270 Multifamily interest-only 47,345,291 88.8% 0.25% 1.2% 1.2% —% 566,942 Total/Weighted Avg. $53,348,254 100.0% 0.52% 2.5% 2.1% 7.3% $1,115,900
Residential & Other Investments Overview as of September 30, 2026 (cont'd) 14 Unaudited, dollars in thousands ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee (bps) Weighted Avg. Note Rate Valuation (bps) Discount Rate Projected CPR Estimated Fair Value MSR held directly $267,027,911 26 3.3% 157.3 8.7% 5.0% $4,199,823 Interests in MSR 5,823,902 110,350 Total/Weighted Avg. $272,851,813 26 3.3% 157.3 8.7% 5.0% $4,310,173 Residential Credit Portfolio Sector Current Face / Notional Value % (1) Weighted Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Estimated Fair Value Residential credit risk transfer $70 0.1% 3.80% 103.5% 98.6% $69 Non-QM 473,645 0.8% 6.96% 99.1% 95.9% 454,371 Prime 2,644,066 0.5% 6.14% 110.9% 109.5% 244,775 Small balance commercial 159,125 0.3% 6.84% 94.1% 92.4% 147,010 Re-performing and non-performing loan securitizations 471,063 0.9% 7.09% 96.6% 95.8% 451,080 Residential transition loan securitizations 106,617 0.2% 7.08% 99.8% 99.6% 106,232 Prime jumbo 11,278,007 0.4% 5.25% 152.4% 161.4% 200,058 Residential mortgage loans 49,969,405 96.8% 6.65% 101.6% 98.7% 49,329,386 Total/Weighted Avg. $65,101,998 100.0% 6.65% $50,932,981
Residential Credit Securities Detail as of September 30, 2026 15 ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands Payment Structure Investment Characteristics (1) Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancement 60+ Delinquencies 3M VPR (2) Credit Risk Transfer $69 $— $69 3.80% 7.97% 0.86% 6.38% Non-QM 454,371 — 454,371 6.96% 6.86% 3.49% 15.19% Prime 244,775 195,508 49,267 6.14% 17.92% 0.79% 13.80% Small balance commercial 147,010 15,360 131,650 6.84% 24.42% 10.32% 26.94% Re-performing and non-performing loan securitizations 451,080 45,754 405,326 7.09% 20.30% 44.78% 9.29% Residential transition loan securitizations 106,232 51,226 55,006 7.08% 17.49% 7.21% 52.85% Prime Jumbo 200,058 104,437 95,621 5.25% 1.12% 0.73% 6.89% Total $1,603,595 $412,285 $1,191,310 6.74% 14.58% 16.32% 16.73% Bond Coupon Product ARM Fixed Floater Interest Only Estimated Fair Value Credit Risk Transfer $— $— $69 $— $69 Non-QM 1,307 453,064 — — 454,371 Prime — 212,194 — 32,581 244,775 Small balance commercial — 141,140 5,870 — 147,010 Re-performing and non-performing loan securitizations — 441,456 9,589 35 451,080 Residential transition loan securitizations — 106,232 — — 106,232 Prime Jumbo — 76,817 18,804 104,437 200,058 Total $1,307 $1,430,903 $34,332 $137,053 $1,603,595
Hedging & Liabilities as of September 30, 2026 16 Unaudited, dollars in thousands ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Maturity Current Notional (1)(2) Weighted Avg. Pay Rate Weighted Avg. Receive Rate Weighted Avg. Years to Maturity(3) Interest Rate Swaps 0 to 3 years $20,010,637 3.36% 3.98% 1.34 > 3 to 6 years 22,942,704 2.74% 4.00% 4.65 > 6 to 10 years 15,038,627 3.60% 3.92% 8.07 Greater than 10 years 1,956,430 3.34% 3.95% 21.27 Total / Weighted Avg. $59,948,398 3.19% 3.97% 4.95 Interest Rate Swaptions Type Current Underlying Notional Weighted Avg. Underlying Fixed Rate Weighted Avg. Underlying Floating Rate Weighted Avg. Underlying Years to Maturity Weighted Avg. Months to Expiration Long Receive $830,000 3.54% SOFR 7.19 2.15 Short Receive ($1,800,000) 3.23% SOFR 3.19 2.15 SOFR Futures and U.S. Treasury Hedging Positions Type Long Contracts Short Contracts Net Positions Weighted Avg. Years to Maturity 2-year swap equivalent SOFR contracts $1,000,000 $— $1,000,000 2.00 U.S. Treasury Positions - 2 year $— ($10,788,000) ($10,788,000) 2.00 U.S. Treasury Positions - 10 year & greater $— ($22,686,900) ($22,686,900) 10.14 U.S. Swap Future Positions - 10 year & greater $— ($110,000) ($110,000) 10.22 Total / Weighted Avg. $1,000,000 ($33,584,900) ($32,584,900) 7.69 Repurchase Agreements and Other Secured Financing Maturity Principal Balance Weighted Avg. Rate At Period End Within 30 days $56,711,930 3.99% 30 to 59 days 20,972,454 4.08% 60 to 89 days 4,267,197 4.40% 90 to 119 days 1,027,952 5.63% Over 120 days(4) 3,670,532 5.51% Total / Weighted Avg. $86,650,065 4.11% Total Indebtedness Principal Balance Weighted Average Rate(5) Days to Maturity(6)At Period End For the Quarter Repurchase agreements $85,525,065 4.08% 3.87% 30 Other secured financing 1,125,000 6.35% 6.29% 278 Debt issued by securitization vehicles 39,605,157 5.30% 5.35% 12,878 Participations issued 2,192,635 6.55% 6.15% 10,898 Total indebtedness $128,447,857
Quarter-Over-Quarter Changes Interest Rate & MBS Spread Sensitivity 17 ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited Assumptions: • The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of September 30, 2026 and June 30, 2026 • 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 September 30, 2026 As of June 30, 2026 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) 0.4% 3.4% (0.3%) (2.0%) (50) 0.4% 2.7% (0.1%) (0.6%) (25) 0.2% 1.6% —% 0.1% 25 (0.2%) (1.8%) (0.1%) (0.8%) 50 (0.5%) (3.7%) (0.3%) (2.2%) 75 (0.8%) (5.8%) (0.6%) (3.9%) MBS Spread Sensitivity (1) MBS Spread Shock (bps) As of September 30, 2026 As of June 30, 2026 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) 1.4% 10.4% 1.3% 8.9% (15) 0.8% 6.2% 0.8% 5.3% (5) 0.3% 2.1% 0.3% 1.8% 5 (0.3%) (2.0%) (0.3%) (1.8%) 15 (0.8%) (6.1%) (0.8%) (5.2%) 25 (1.3%) (10.1%) (1.2%) (8.7%)
Appendix
Consolidated Statements of Financial Condition 19 ___________________ Detailed endnotes are included within the Appendix at the end of this presentation. 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Dollars in thousands except per share amounts (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash equivalents $ 2,180,894 $ 2,912,086 $ 1,912,444 $ 2,037,838 $ 2,096,696 Securities 86,897,746 89,515,485 88,473,681 91,287,630 85,062,725 Loans, net 6,869,820 7,280,979 7,230,876 5,020,784 4,008,299 Mortgage servicing rights 4,199,823 4,089,485 4,115,999 3,645,865 3,476,181 Interests in MSR 110,350 106,775 27,212 28,626 35,833 Assets transferred or pledged to securitization vehicles 42,459,566 38,256,690 34,207,738 32,067,433 29,512,309 Derivative assets 1,204,812 81,784 395,099 115,533 47,899 Reverse repurchase agreements 32,425 33,047 33,524 34,389 35,004 Receivable for unsettled trades 705,160 104,722 891,293 1,031 185,916 Principal and interest receivable 882,299 846,548 806,484 926,660 959,435 Intangible assets, net 4,708 5,380 6,053 6,726 7,398 Other assets 599,871 508,195 437,188 437,323 433,877 Total assets $ 146,147,474 $ 143,741,176 $ 138,537,591 $ 135,609,838 $ 125,861,572 Liabilities and stockholders’ equity Liabilities Repurchase agreements $ 85,525,065 $ 86,895,874 $ 85,068,102 $ 81,865,723 $ 75,118,963 Other secured financing 1,125,000 1,125,000 1,125,000 1,075,000 1,025,000 Debt issued by securitization vehicles 38,380,269 34,366,098 30,719,417 28,918,753 26,601,790 Participations issued 2,200,562 2,553,709 2,484,018 1,932,655 1,831,657 U.S. Treasury securities sold, not yet purchased — — — 2,396,724 2,442,570 Derivative liabilities 302,774 247,968 207,369 53,755 199,100 Payable for unsettled trades 1,108,206 331,586 1,522,750 2,059,386 2,604,278 Interest payable 319,589 420,764 347,607 380,688 285,080 Dividends payable 588,505 562,931 511,203 494,881 476,737 Other liabilities 703,118 258,870 226,314 272,362 279,818 Total liabilities 130,253,088 126,762,800 122,211,780 119,449,927 110,864,993 Stockholders’ equity Preferred stock, par value $0.01 per share (2) 1,802,480 1,802,480 1,802,480 1,802,480 1,802,480 Common stock, par value $0.01 per share (3) 7,847 7,506 7,303 7,070 6,811 Additional paid-in capital 29,654,134 28,886,263 28,427,555 27,927,113 27,352,976 Accumulated other comprehensive income (loss) (795,806) (557,014) (533,614) (488,566) (624,387) Accumulated deficit (14,848,732) (13,213,859) (13,429,615) (13,157,325) (13,626,983) Total stockholders’ equity 15,819,923 16,925,376 16,274,109 16,090,772 14,910,897 Noncontrolling interests 74,463 53,000 51,702 69,139 85,682 Total equity 15,894,386 16,978,376 16,325,811 16,159,911 14,996,579 Total liabilities and equity $ 146,147,474 $ 143,741,176 $ 138,537,591 $ 135,609,838 $ 125,861,572 (1)
Consolidated Statements of Comprehensive Income (Loss) 20 Unaudited, dollars in thousands except per share amounts For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Net interest income Interest income $ 1,970,425 $ 1,812,198 $ 1,724,930 $ 1,690,707 $ 1,532,497 Interest expense 1,426,813 1,324,005 1,272,239 1,324,128 1,256,747 Net interest income 543,612 488,193 452,691 366,579 275,750 Net servicing income Servicing and related income 173,096 175,059 159,133 156,131 141,356 Servicing and related expense 17,087 17,835 16,580 16,485 15,104 Net servicing income 156,009 157,224 142,553 139,646 126,252 Other income (loss) Net gains (losses) on investments and other (4,721,745) (318,503) (672,119) 289,428 561,927 Net gains (losses) on derivatives 3,074,072 552,426 409,112 251,799 (92,308) Other, net 16,895 13,521 9,323 13,952 13,959 Total other income (loss) (1,630,778) 247,444 (253,684) 555,179 483,578 General and administrative expenses Compensation expense 41,185 44,640 41,384 39,279 38,393 Other general and administrative expenses 12,021 13,549 11,180 11,928 11,947 Total general and administrative expenses 53,206 58,189 52,564 51,207 50,340 Income (loss) before income taxes (984,363) 834,672 288,996 1,010,197 835,240 Income taxes 16,335 6,899 (1,519) (7,754) (7,823) Net income (loss) (1,000,698) 827,773 290,515 1,017,951 843,063 Net income (loss) attributable to noncontrolling interests 1,061 5,100 7,863 4,457 10,618 Net income (loss) attributable to Annaly (1,001,759) 822,673 282,652 1,013,494 832,445 Dividends on preferred stock (1) 41,305 41,036 40,652 42,387 41,127 Net income (loss) available (related) to common stockholders $ (1,043,064) $ 781,637 $ 242,000 $ 971,107 $ 791,318 Net income (loss) per share available (related) to common stockholders Basic $ (1.36) $ 1.06 $ 0.33 $ 1.40 $ 1.21 Diluted $ (1.36) $ 1.06 $ 0.33 $ 1.40 $ 1.20 Weighted average number of common shares outstanding Basic 764,359,434 738,926,270 722,707,153 693,011,031 656,335,974 Diluted 764,359,434 740,256,247 724,364,897 695,034,348 657,856,427 Other comprehensive income (loss) Net income (loss) $ (1,000,698) $ 827,773 $ 290,515 $ 1,017,951 $ 843,063 Unrealized gains (losses) on available-for-sale securities (250,449) (23,400) (45,048) 74,992 113,281 Reclassification adjustment for net (gains) losses included in net income (loss) 11,657 — — 60,829 2,378 Other comprehensive income (loss) (238,792) (23,400) (45,048) 135,821 115,659 Comprehensive income (loss) (1,239,490) 804,373 245,467 1,153,772 958,722 Comprehensive income (loss) attributable to noncontrolling interests 1,061 5,100 7,863 4,457 10,618 Comprehensive income (loss) attributable to Annaly (1,240,551) 799,273 237,604 1,149,315 948,104 Dividends on preferred stock (1) 41,305 41,036 40,652 42,387 41,127 Comprehensive income (loss) attributable to common stockholders $ (1,281,856) $ 758,237 $ 196,952 $ 1,106,928 $ 906,977 ___________________ Detailed endnotes are included within the Appendix at the end of this presentation.
Income Statement Gains (Losses) Detail 21 Unaudited, dollars in thousands For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Other Income Statement Details Net gains (losses) on disposal of investments and other ($142,867) ($91,196) ($26,666) ($170,701) ($87,815) Net unrealized gains (losses) on instruments measured at fair value through earnings (4,578,878) (227,307) (645,453) 460,129 649,742 Net gains (losses) on investments and other ($4,721,745) ($318,503) ($672,119) $289,428 $561,927 Net interest component of interest rate swaps $91,779 $87,458 $96,847 $147,394 $191,891 Realized gains (losses) on termination or maturity of interest rate swaps 44,994 — (5,750) 1,788 (3,187) Unrealized gains (losses) on interest rate swaps 1,878,977 448,853 231,826 78,471 (188,961) Net gains (losses) on other derivatives 1,058,322 16,115 86,189 24,146 (92,051) Net gains (losses) on derivatives $3,074,072 $552,426 $409,112 $251,799 ($92,308)
Non-GAAP Reconciliations 22 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 substitute for, or superior to, financial measures computed in accordance with GAAP. While intended to offer a fuller understanding of the Company’s results and operations, non-GAAP financial measures also have limitations. For example, the Company may calculate its non-GAAP metrics, such as Earnings Available for Distribution ("EAD"), or the premium amortization adjustment ("PAA"), differently than its peers making comparative analysis difficult. Additionally, in the case of non-GAAP measures that exclude the PAA, the amount of amortization expense excluding the PAA is not necessarily representative of the amount of future periodic amortization nor is it indicative of the term over which the Company will amortize the remaining unamortized premium. Changes to actual and estimated prepayments will impact the timing and amount of premium amortization and, as such, both GAAP and non-GAAP results. These non-GAAP measures provide additional detail to enhance investor understanding of the Company’s period-over-period operating performance and business trends, as well as for assessing the Company’s performance versus that of industry peers. Additional information pertaining to these non-GAAP financial measures and reconciliations to their most directly comparable GAAP results are provided on the following pages. A reconciliation of GAAP net income (loss) to non-GAAP Earnings available for distribution for the quarters ended September 30, 2026, June 30, 2026, March 31, 2026, December 31, 2025 and September 30, 2025, is provided on page 9 of this financial supplement. Earnings available for distribution, earnings available for distribution attributable to common stockholders, earnings available for distribution per average common share and annualized EAD return on average equity The Company's principal business objective is to generate net income for distribution to its stockholders and to preserve capital through prudent selection of investments and continuous management of its portfolio. The Company generates net income by earning a net interest spread on its investment portfolio, which is a function of interest income from its investment portfolio less financing, hedging and operating costs. Earnings available for distribution, which 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, non-EAD income allocated to equity method investments and other non-EAD components of other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non-recurring items), and (f) income taxes (excluding the income tax effect of non-EAD income (loss) items) and excludes (g) the premium amortization adjustment ("PAA") representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities is used by the Company's management and, the Company believes, used by analysts and investors to measure its progress in achieving its principal business objective. The Company seeks to fulfill this objective through a variety of factors including portfolio construction, the degree of market risk exposure and related hedge profile, and the use and forms of leverage, all while operating within the parameters of the Company's capital allocation policy and risk governance framework. The Company believes these non-GAAP measures provide management and investors with additional details regarding the Company’s underlying operating results and investment portfolio trends by (i) making adjustments to account for the disparate reporting of changes in fair value where certain instruments are reflected in GAAP net income (loss) while others are reflected in other comprehensive income (loss) and (ii) by excluding certain unrealized, non-cash or episodic components of GAAP net income (loss) in order to provide additional transparency into the operating performance of the Company’s portfolio. In addition, EAD serves as a useful indicator for investors in evaluating the Company's performance and ability to pay dividends. Annualized EAD return on average equity, which is calculated by dividing earnings available for distribution over average stockholders’ equity, provides investors with additional detail on the earnings available for distribution generated by the Company’s invested equity capital. Premium Amortization Expense In accordance with GAAP, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities, excluding interest-only securities, multifamily and reverse mortgages, taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. The Company’s GAAP metrics include the unadjusted impact of amortization and accretion associated with this method. Certain of the Company’s non-GAAP metrics exclude the effect of the PAA, which quantifies the component of premium amortization representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term CPR.
Non-GAAP Reconciliations (cont'd) 23 Economic leverage and economic capital ratios The Company uses capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on its assets and the cost of its borrowings and hedging activities. The Company’s capital structure is designed to offer an efficient complement of funding sources to generate positive risk-adjusted returns for its stockholders while maintaining appropriate liquidity to support its business and meet the Company’s financial obligations under periods of market stress. To maintain its desired capital profile, the Company utilizes a mix of debt and equity funding. Debt funding may include the use of repurchase agreements, loans, securitizations, participations issued, lines of credit, asset backed lending facilities, corporate bond issuance, convertible bonds or other liabilities. Equity capital primarily consists of common and preferred stock. The Company’s economic leverage ratio is computed as the sum of recourse debt, cost basis of TBA derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage. Interest income (excluding PAA), economic interest expense and economic net interest income (excluding PAA) Interest income (excluding PAA) represents interest income excluding the effect of the PAA, and serves as the basis for deriving average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA) and net interest margin (excluding PAA), which are discussed below. The Company believes this measure provides management and investors with additional detail to enhance their understanding of the Company’s operating results and trends by excluding the component of premium amortization expense representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), which can obscure underlying trends in the performance of the portfolio. Economic interest expense includes GAAP interest expense, the net interest component of interest rate swaps (which includes net interest on variation margin related to interest rate swaps) and net interest on initial margin related to interest rate swaps. The Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Accordingly, adding the net interest component of interest rate swaps to interest expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with additional information about the cost of the Company's financing strategy. The Company may use market agreed coupon (“MAC”) interest rate swaps in which the Company may receive or make a payment at the time of entering into such interest rate swap to compensate for the off-market nature of such interest rate swap. In accordance with GAAP, upfront payments associated with MAC interest rate swaps are not reflected in the net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). Average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA), net interest margin (excluding PAA) and average economic cost of interest bearing liabilities Net interest spread (excluding PAA), which is the difference between the average yield on interest earning assets (excluding PAA) and the average economic cost of interest bearing liabilities, which represents annualized economic interest expense divided by average interest bearing liabilities, and net interest margin (excluding PAA), which is calculated as the sum of interest income (excluding PAA) plus TBA dollar roll income less interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average TBA contract balances, provide management with additional measures of the Company’s profitability that management relies upon in monitoring the performance of the business.
Non-GAAP Reconciliations (cont'd) 24 Unaudited, dollars in thousands For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Economic leverage ratio reconciliation Repurchase agreements $85,525,065 $86,895,874 $85,068,102 $81,865,723 $75,118,963 Other secured financing 1,125,000 1,125,000 1,125,000 1,075,000 1,025,000 Debt issued by securitization vehicles 38,380,269 34,366,098 30,719,417 28,918,753 26,601,790 Participations issued 2,200,562 2,553,709 2,484,018 1,932,655 1,831,657 U.S. Treasury securities sold, not yet purchased — — — 2,396,724 2,442,570 Total GAAP debt $127,230,896 $124,940,681 $119,396,537 $116,188,855 $107,019,980 Less Non-recourse debt: Debt issued by securitization vehicles (1) ($38,136,634) ($34,114,655) ($30,463,341) ($28,651,989) ($26,601,790) Participations issued (2,200,562) (2,553,709) (2,484,018) (1,932,655) (1,831,657) Total recourse debt $86,893,700 $88,272,317 $86,449,178 $85,604,211 $78,586,533 Plus / (Less): Cost basis of TBA derivatives $6,710,766 $7,169,573 $5,948,177 $3,252,601 $3,981,439 Payable for unsettled trades 1,108,206 331,586 1,522,750 2,059,386 2,604,278 Receivable for unsettled trades (705,160) (104,722) (891,293) (1,031) (185,916) Economic debt * $94,007,512 $95,668,754 $93,028,812 $90,915,167 $84,986,334 Total equity $15,894,386 $16,978,376 $16,325,811 $16,159,911 $14,996,579 Economic leverage ratio * 5.9x 5.6x 5.7x 5.6x 5.7x ___________________ * Represents a non-GAAP financial measure.
Non-GAAP Reconciliations (cont'd) 25 For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Economic capital ratio reconciliation Total GAAP assets $146,147,474 $143,741,176 $138,537,591 $135,609,838 $125,861,572 Less: Gross unrealized gains on TBA derivatives (1) (34,383) (50,393) (28,927) (17,648) (24,074) Debt issued by securitization vehicles (2) (38,136,634) (34,114,655) (30,463,341) (28,651,989) (26,601,790) Participations issued (2,200,562) (2,553,709) (2,484,018) (1,932,655) (1,831,657) Plus: Implied market value of TBA derivatives 6,488,723 7,216,874 5,845,420 3,257,086 3,991,915 Total economic assets * $112,264,618 $114,239,293 $111,406,725 $108,264,632 $101,395,966 Total equity $15,894,386 $16,978,376 $16,325,811 $16,159,911 $14,996,579 Economic capital ratio *(3) 14.2% 14.9% 14.7% 14.9% 14.8% Premium Amortization Reconciliation Premium amortization expense $18,422 $52,423 $67,509 $41,367 $36,719 Less: PAA cost (benefit) (44,518) 7,081 (3,694) 6,627 18,390 Premium amortization expense (excluding PAA) $62,940 $45,342 $71,203 $34,740 $18,329 Interest Income (excluding PAA) Reconciliation GAAP interest income $1,970,425 $1,812,198 $1,724,930 $1,690,707 $1,532,497 PAA cost (benefit) (44,518) 7,081 (3,694) 6,627 18,390 Interest income (excluding PAA) * $1,925,907 $1,819,279 $1,721,236 $1,697,334 $1,550,887 Economic Interest Expense Reconciliation GAAP interest expense $1,426,813 $1,324,005 $1,272,239 $1,324,128 $1,256,747 Add: Net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps(4) (104,133) (98,841) (107,365) (159,973) (205,030) Economic interest expense * $1,322,680 $1,225,164 $1,164,874 $1,164,155 $1,051,717 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $1,925,907 $1,819,279 $1,721,236 $1,697,334 $1,550,887 Less: Economic interest expense * 1,322,680 1,225,164 1,164,874 1,164,155 1,051,717 Economic net interest income (excluding PAA) * $603,227 $594,115 $556,362 $533,179 $499,170 Unaudited, dollars in thousands ___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation.
Non-GAAP Reconciliations (cont'd) 26 Unaudited, dollars in thousands For the quarters ended 9/30/2026 6/30/2026 3/31/2026 12/31/2025 9/30/2025 Economic Metrics (excluding PAA) Average interest earning assets $141,338,058 $133,263,735 $128,783,013 $124,781,771 $113,522,223 Interest income (excluding PAA) * $1,925,907 $1,819,279 $1,721,236 $1,697,334 $1,550,887 Average yield on interest earning assets (excluding PAA) * 5.45% 5.46% 5.35% 5.44% 5.46% Average interest bearing liabilities $129,667,247 $122,802,541 $118,603,594 $115,319,739 $103,994,302 Economic interest expense * $1,322,680 $1,225,164 $1,164,874 $1,164,155 $1,051,717 Average economic cost of interest bearing liabilities * 4.03% 3.96% 3.93% 3.95% 3.96% Economic net interest income (excluding PAA)* $603,227 $594,115 $556,362 $533,179 $499,170 Net interest spread (excluding PAA) * 1.42% 1.50% 1.42% 1.49% 1.50% Interest income (excluding PAA) * $1,925,907 $1,819,279 $1,721,236 $1,697,334 $1,550,887 TBA dollar roll income 18,803 17,904 18,993 4,813 9,019 Economic interest expense * (1,322,680) (1,225,164) (1,164,874) (1,164,155) (1,051,717) Subtotal $622,030 $612,019 $575,355 $537,992 $508,189 Average interest earning assets $141,338,058 $133,263,735 $128,783,013 $124,781,771 $113,522,223 Average TBA contract balances, implied cost basis 5,624,613 6,088,214 5,443,741 2,182,985 6,356,708 Subtotal $146,962,671 $139,351,949 $134,226,754 $126,964,756 $119,878,931 Net interest margin (excluding PAA) * 1.69% 1.76% 1.71% 1.69% 1.70% ___________________ * Represents a non-GAAP financial measure.
Page 6 (1) Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). Net interest on variation margin related to interest rate swaps is included in the Net interest component of interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss). (2) Net of dividends on preferred stock. The quarter ended December 31, 2025 excludes, and the quarter ended September 30, 2025 includes, cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025. Page 7 (1) Includes dividend equivalents on share-based awards. (2) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is (6.09)%, 4.97%, 1.79%, 6.53% and 5.92% for the quarters ended September 30, 2026, June 30, 2026, March 31, 2026, December 31, 2025, and September 30, 2025, respectively. Page 8 (1) Interest on initial margin related to interest rate swaps is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). Page 9 (1) Includes write-downs or recoveries on investments which are reported in Other, net in the Company's Consolidated Statements of Comprehensive Income (Loss). (2) The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $91.8 million, $87.5 million, $96.8 million, $147.4 million and $191.9 million for the quarters ended September 30, 2026, June 30, 2026, March 31, 2026, December 31, 2025 and September 30, 2025, respectively. (3) The Company excludes non-EAD (income) loss allocated to equity method investments, which represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). (4) All quarters presented include costs incurred in connection with securitizations of residential whole loans. (5) TBA dollar roll income represents a component of Net gains (losses) on derivatives. (6) MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period. (7) The quarter ended December 31, 2025 excludes, and the quarter ended September 30, 2025 includes, cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025. Page 10 (1) Other includes the impact of net proceeds from the issuance, repurchase or redemption of common and preferred stock, stock compensation expense, the settlement of stock-based awards in satisfaction of withholding tax requirements and other timing differences on share count related to any of the aforementioned items. Endnotes Page 3 (1) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is (6.09)% and 4.97% for the quarters ended September 30, 2026 and June 30, 2026, respectively. (2) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and U.S. Treasury securities sold, not yet purchased divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, structured repurchase transactions (included within Debt issued by securitization vehicles) and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued are non-recourse to us and are excluded from economic leverage. (3) GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and are net of debt issued by securitization vehicles (excluding structured repurchase transactions) and participations issued. (4) Net interest margin represents interest income less interest expense divided by average interest earning assets. Net interest margin (excluding PAA) represents the sum of the Company's interest income (excluding PAA) plus TBA dollar roll income less interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average TBA contract balances. (5) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). (6) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Page 5 (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit. (2) Utilizes an actual/360 factor. (3) The average and period-end rates are net of reverse repurchase agreements. Without netting reverse repurchase agreements, the average rate and the period-end rate was unchanged for each period. (4) Measures total notional balances of interest rate swaps, interest rate swaptions (excluding long receiver swaptions), futures and U.S. Treasury securities sold, not yet purchased, at fair value relative to repurchase agreements, other secured financing, cost basis of TBA derivatives outstanding and net forward purchases (sales) of investments; excludes MSR and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities. 27
Page 19 (1) Derived from the audited consolidated financial statements at December 31, 2025. (2) 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 28,800,000 shares authorized, issued and outstanding. 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 17,000,000 shares authorized, issued and outstanding. 6.75% Series I Preferred Stock - Includes 17,700,000 shares authorized, issued and outstanding, 8.875% Series J Cumulative Redeemable Preferred Stock - Includes 11,500,000 shares authorized, and 11,000,000 issued and outstanding. All outstanding shares of Annaly's 6.750% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock were redeemed subsequent to quarter end on October 1, 2026. (3) Includes 1,456,750,000 shares authorized. Includes 784,673,349 shares issued and outstanding at September 30, 2026; 750,574,308 shares issued and outstanding at June 30, 2026; 730,290,500 shares issued and outstanding at March 31, 2026; Includes 706,972,452 shares issued and outstanding at December 31, 2025; and 681,052,317 shares issued and outstanding at September 30, 2025. Page 20 (1) The quarter ended December 31, 2025 excludes, and the quarter ended September 30, 2025 includes, cumulative and undeclared dividends of $3.7 million on the Company's Series J Preferred Stock as of September 30, 2025. Page 24 (1) Non-recourse debt excludes debt issued by securitization vehicles related to structured repurchase transactions. Page 25 (1) Included in Derivative assets in the Company’s Consolidated Statements of Financial Condition. (2) Excludes debt issued by securitization vehicles related to structured repurchase transactions. (3) Economic capital ratio is computed as total equity divided by total economic assets. (4) Interest on initial margin related to interest rate swaps is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). Endnotes (cont'd) 28 Page 12 (1) Includes other, net, general and administrative expenses and income taxes. (2) Includes other, net (excluding non-EAD items), MSR amortization (a component of net gains (losses) on investments and other), general and administrative expenses (excluding transaction related expenses) and income taxes (excluding non-EAD income tax). Page 13 (1) Excludes TBA contracts with a notional value of $6.9 billion. (2) Includes fixed-rate collateralized mortgage obligations with an estimated fair value of $2.1 million. (3) Weighted by current face value. (4) Weighted by current notional value. Page 14 (1) Weighted by estimated fair value. Page 15 (1) Investment characteristics exclude the impact of interest-only securities. (2) Represents the 3 month voluntary prepayment rate. Page 16 (1) Current notional is presented net of receiver swaps. (2) As of September 30, 2026, 2% and 98% of the Company's interest rate swaps were linked to the Federal funds rate and the Secured Overnight Financing Rate, respectively. (3) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. (4) Less than 1% of the total repurchase agreements and other secured financing have a remaining maturity over one year. (5) Rates for repurchase agreements and other secured financing are determined by the weighted- average stated interest rates while debt issued by securitization vehicles and participations issued are determined by the weighted-average yield. (6) Determined based on estimated weighted average lives of the underlying debt instruments. Page 17 (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with internally derived inputs, analysis, and adjustments. Models are periodically updated to help better capture market risks and conditions. Such updates are completed by third parties and through the Company's calibration of external models. Any model updates that occur are reflected in the period in which they occur. Actual results could differ materially from these estimates. (2) Scenarios include Residential Investment Securities, residential mortgage loans, MSR and derivative instruments. (3) Net asset value (“NAV”) represents book value of common equity.