UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q ☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED: June 30, 2022 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE TRANSITION PERIOD FROM _______________ TO _________________ COMMISSION FILE NUMBER: 1-13447 ANNALY CAPITAL MANAGEMENT INC (Exact Name of Registrant as Specified in its Charter) Maryland 22-347 ...

Annaly Capital Management Inc. (NYSE:NLY) Q2 2022 Earnings Conference Call July 28, 2022 9:00 AM ET Company Participants David Finkelstein - President, Chief Executive Officer Serena Wolfe - Chief Financial Officer Ilker Ertas - Chief Investment Officer Mike Fania - Head of Residential Credit Sean Kensil - Director, Investor Relations Conference Call Participants Bose George - KBW Rick Shane - JP Morgan Doug Harter - Credit Suisse Trevor Cranston - JMP Securities Kenneth Lee - RBC Capital Markets Eric Hagen ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q ☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED: March 31, 2022 (Address of principal executive offices) (Zip Code) (212) 696-0100 (Registrant's telephone number, including area code) Securities registered pursuant to Section 12(b) of the Act: OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE TRANSITION ...

Financial Data and Key Metrics Changes - The company experienced an economic return of negative 12% in Q1 2022, with total portfolio size reducing by approximately $5 billion to end the quarter at $84.4 billion in total assets [10][38] - Book value per share decreased by $1.20 to $6.77, primarily due to lower other comprehensive income of $3.4 billion or $2.34 per share on higher rates and spread widening [38][39] - GAAP net income for Q1 was $2 billion or $1.37 per common share, up from $418 million or $0.27 per common share in the prior quarter [40] Business Line Data and Key Metrics Changes - The middle market lending portfolio was sold for $2.4 billion, which is expected to be accretive to book value and allows the company to redeploy over $1 billion into cheaper assets in core strategies [19][21] - The MSR position increased by 91% to over $1.2 billion, driven by net purchases and mark-to-market gains [33] - The residential credit portfolio ended the quarter with $4.4 billion in assets, with a capital contribution closing at $2.1 billion [34] Market Data and Key Metrics Changes - The U.S. economy showed robust growth despite a slowdown, with inflation reaching 8.5% in March, leading to a sharp repricing of fixed income assets [9][11] - The unemployment rate fell to 3.6% in March, indicating a strong labor market that could lead to higher wage pressures [12] - The Federal Reserve is expected to deliver a total of 250 basis points of rate hikes in 2022, with significant sell-offs in treasury rates observed [13][14] Company Strategy and Development Direction - The sale of the middle market lending portfolio aligns with the company's strategy to become a dedicated housing finance REIT, focusing on non-agency mortgage finance and solidifying its role in the MSR and residential credit sectors [22][23] - The company aims to increase capital allocation in non-agency mortgage finance and expects MSR to represent a greater steady-state capital allocation [24] - The company is positioned for growth with a diversified portfolio backed by three distinct but complementary businesses [26] Management's Comments on Operating Environment and Future Outlook - Management acknowledged the challenging macroeconomic environment and extreme volatility in fixed income markets, but remains optimistic about the long-term growth potential in housing finance [27][37] - The outlook for agency MBS has improved significantly, with wider spreads compared to historical averages, creating an attractive investment environment [37] - Management expressed confidence in maintaining dividend coverage despite anticipated moderation in earnings available for distribution [50][52] Other Important Information - The company maintained a strong liquidity profile with $7.2 billion of unencumbered assets, down from $9.3 billion in the prior quarter [45] - The efficiency ratio worsened during the quarter due to income compensation expenses and one-time items, but is expected to improve following the sale of the middle market lending business [45] Q&A Session Summary Question: Long-term dividend coverage outlook - Management indicated that they have consistently outearned the dividend since Q2 2020 and feel good about the current dividend coverage, although they expect earnings to moderate towards the dividend in the future [48][50] Question: Comparison of returns between agencies and credit - Management stated that returns on agencies are in the low to mid-teens, similar to residential credit, while MSR returns are currently in the high single digits [54] Question: Trends in funding costs and implications for investment spreads - Management noted that funding costs have remained stable despite volatility in short rates, and agency repo rates are expected to be about 20 basis points higher in Q2 [65][67] Question: Growth opportunities in prime jumbo and expanded credit MBS - Management highlighted strong origination activity in the non-QM market and the potential for continued growth in this sector due to partnerships with originators [70] Question: Opportunities in the bulk purchase side of non-QM - Management acknowledged seeing opportunities in the bulk market but noted challenges due to rising non-QM rates impacting originators [73]

First Quarter 2022 Financial Summary April 27, 2022 Important Notices 1 This presentation is issued by Annaly Capital Management, Inc. ("Annaly"), 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 First Quarter 2022 earnings release. This presentation is provided for investors in Annaly for informational purposes only and is not an offer to sell, or a solicitation o ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE FISCAL YEAR ENDED: December 31, 2021 OR FOR THE TRANSITION PERIOD FROM _______________ TO _________________ COMMISSION FILE NUMBER: 1-13447 ANNALY CAPITAL MANAGEMENT INC (Exact Name of Registrant as Specified in its Charter) (State or other jurisdiction of incorporation or organization) (IRS Employer Identification No.) Maryland 22-3 ...

Annaly Capital Management (NYSE:NLY) Q4 2021 Earnings Conference Call February 10, 2022 10:00 AM ET Company Participants Sean Kensil - Vice President, Investor Relations David Finkelstein - Chief Executive Officer & Chief Investment Officer Ilker Ertas - Chief Investment Officer Serena Wolfe - Chief Financial Officer Mike Fania - Head of Residential Credit Conference Call Participants Richard Shane - JPMorgan Douglas Harter - Credit Suisse Kenneth Lee - RBC Capital Markets Bose George - KBW Eric Hagen - B ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q ☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED: September 30, 2021 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE TRANSITION PERIOD FROM _______________ TO _________________ COMMISSION FILE NUMBER: 1-13447 ANNALY CAPITAL MANAGEMENT INC (Exact Name of Registrant as Specified in its Charter) Maryland 2 ...

Annaly Capital Management (NYSE:NLY) Q3 2021 Earnings Conference Call October 28, 2021 9:00 AM ET Company Participants Sean Kensil ??? Vice President, Investor Relations David Finkelstein ??? Chief Executive Officer & Chief Investment Officer Ilker Ertas ??? Head of Securitized Products Serena Wolfe ??? Chief Financial Officer Mike Fania ??? Head of Residential Credit Conference Call Participants Steve Delaney ??? JMP Securities Bose George ??? KBW Rick Shane ??? JPMorgan Eric Hagen ??? BTIG Kenneth Lee ??? ...

Financial Performance - Earnings available for distribution was $028 per average common share for the third quarter, a decrease of $002 quarter-over-quarter, with dividend coverage of +125%[10] - Book value per common share increased to $839, up $002 quarter-over-quarter[10] - The economic return and tangible economic return for the third quarter was 29%[10] - The company declared a quarterly common stock cash dividend of $022 per share, resulting in a yield of 105%[10] Portfolio and Asset Management - Total assets amounted to $942 billion, with the Agency portfolio constituting 92% of total assets[10] - The Agency portfolio was increased by nearly $3 billion during the quarter, achieved through redeploying capital from the sale of the Commercial Real Estate Business[10] - The MSR portfolio grew by 41% quarter-over-quarter, representing 4% of dedicated capital[10] - The Residential Credit Group's portfolio has surpassed its pre-COVID size, representing 21% of dedicated capital, with approximately $14 billion of whole loans purchased during the quarter[10] Financing and Capital Activities - Financing costs reached a record low, with the average economic cost of interest-bearing liabilities decreasing by 17 basis points to 066%[10] - Economic leverage remained unchanged from the prior quarter at 58x[10] - The company completed the sale of Annaly's Commercial Real Estate Business for $233 billion[10] - $471 million of accretive common equity was raised year-to-date through the company's at-the-market sales program[10]