Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2025 Earnings Presentation
27 slides from Annaly Capital Management's earnings presentation, Oct 23, 2025
Slide 1: Third Quarter 2025 Investor Presentation
Third Quarter 2025 Investor Presentation October 22, 2025
Slide 2: Important Notices
Important Notices 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 Third Quarter
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Financial Performance Annaly delivered a strong economic return and earnings continued to exceed the dividend as the operating environment improved Earnings available for distribution* of $0.73 per average common share for the quarter Book value per
Slide 4: Third Quarter 2025 Financial Highlights
Third Quarter 2025 Financial Highlights Net Interest Margin (ex. PAA)* Earnings & Book Value $1.21 | $0.73 $0.70 1.71% 1.70% GAAP Earnings Available Dividend per Share for Distribution* $19.25 13.9% Book Value per Share Dividend Yield(1) Q2 2025 Q3 2025 Capital Allocation(3) Average Yield on Interes
Slide 5: Established, Scaled Platforms Across Annaly's Investment Strategies
Established, Scaled Platforms Across Annaly’s Investment Strategies Total Portfolio(1): Agency Residential Mortgage Servicing $97.8bn Credit Rights Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights, which collateralize
Slide 6: The Macro Landscape
The Macro Landscape Growth remains firm even as the labor market decelerates, lowering interest rate volatility and renewing strong fixed income demand Q3 2025 Market and Economic Developments Economic growth expected to remain solid Labor market shows continued softening U.S. economic resilience
Slide 7: Illustrative Return Opportunities & Market Dynamics Across Annaly's Investment Strategies
Illustrative Return Opportunities & Market Dynamics Across Annaly's Investment Strategies Agency Residential Credit MSR Current Illustrative Market Levered Returns(1) 15%–17% 13%–16% 11%–14% Key Market Dynamics & Commentary Agency MBS nominal spreads to the Treasury HPA turned negative year-to-d
Slide 8: Business Update
ANNALY Business Update
Slide 9: Agency | Business Update
Agency | Business Update Annaly’s Agency portfolio increased by nearly $8 billion in market value as accretive capital raised during the quarter was deployed predominantly into Agency MBS/CMBS given attractive returns Strategic Approach Market Trends Annaly’s Agency portfolio is made up of high-qu
Slide 10: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly’s Agency Portfolio: $87.3 billion(1) in assets at the end of Q3 2025, an increase of 10% compared to Q2 2025 Annaly allocated accretive new capital into specified pools with call protection predominantly in 5.5% and 6.0% coupon securities − The weighted average
Slide 11: Residential Credit | Business Update
Residential Credit | Business Update Annaly’s Residential Credit portfolio benefitted from record correspondent channel activity as the platform achieved several milestones during the quarter that demonstrate its differentiated leadership in the Non-Agency market Strategic Approach Market and Credit
Slide 12: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $6.9 billion in assets(1) at the end of Q3 2025, up 4% compared to Q2 2025 − Consists of a $4.7 billion securities portfolio and a $2.2 billion whole loan portfolio(1) During the quarter, settled $4.5 billion in whole lo
Slide 13: MSR | Business Update
MSR | Business Update Annaly’s MSR portfolio grew by ~$215 million in the third quarter through opportunistic purchases and a new strategic partnership that enhances its best-in-class network of servicing and recapture relationships Strategic Approach Market Trends MSR portfolio complements Annaly
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly MSR Portfolio: $3.5 billion in market value at the end of Current MSR Portfolio by the Numbers(1) Q3 2025, an increase of 6% compared to Q2 2025 (Excludes Interests in MSR / MSR of LP Interest) − Onslow Bay purchased ~$300 million in market value ($17 billion in UPB)
Slide 15: Financial Highlights and Trends
Financial Highlights and Trends
Slide 16: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 9/30/2025 6/30/2025 3/31/2025 12/31/2024 9/30/2024 (1) GAAP net income (loss) per average common share $1.21 $0.03 $0.15 $0.78 $0.05 Earnings available for distribution per average common share*(1) $0.73 $0.73 $0.72 $0.72 $0.66 Dividen
Slide 17: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2025 6/30/2025 3/31/2025 12/31/2024 9/30/2024 Agency mortgage-backed securities $83,317,819 $71,756,638 $68,329,720 $67,434,068 $69,150,399 Residential credit risk transfer securities 330,647 414,04
Slide 18: Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity Unaudited The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of September 30, 2025 and June 30, 2025, respectively The interest rate sensitivity reflects instantaneous parallel shifts in rates The
Slide 19: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 20: Non-GAAP Reconciliations
Non-GAAP Reconciliations Earnings Available for Distribution (“EAD”), a non-GAAP measure, 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,
Slide 21: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands, except per share amounts) 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 subs
Slide 22: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2025 6/30/2025 3/31/2025 12/31/2024 9/30/2024 Premium Amortization Reconciliation Premium amortization expense $36,719 $28,138 $57,412 $8,196 $53,448 Less: PAA cost (benefit) 18,390 (3,862) 12,296 (25,287)
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2025 6/30/2025 3/31/2025 12/31/2024 9/30/2024 Economic leverage ratio reconciliation Repurchase agreements $75,118,963 $66,541,378 $61,659,460 $65,688,923 $64,310,276 Other secured financing 1,025,000 1,02
Slide 24: Glossary and Endnotes
ANNALY Glossary and Endnotes
Slide 25: Glossary
Glossary ARM: Refers to Adjustable-Rate Mortgage MSR: Refers to Mortgage Servicing Rights CES: Refers to Closed End Second Liens MTM: Refers to Mark-to-Market CLTV: Refers to Combined Loan-to-Value Ratio Non-Performing Loan A loan that is close to defaulting or is in default (“NPL”): CMO: Refers to
Slide 26: Endnotes
Endnotes Page 3 Page 6 1. Comprised of $7.4bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Represents seasonally adjusted annualized quarterly growth rate of GDP according to the Bureau of Economic that have not been pledged or securitized (generally in
Slide 27: Endnotes (cont'd)
Endnotes (cont’d) Page 14 1. D60+ stat based on UPB. Non-GAAP Reconciliations 2. Excludes unsettled commitments. Prepayment data excludes assets in interim servicing. Page 21 Page 16 1. Includes write-downs or recoveries on investments which is reported in Other, net in the Company’s 1. Net of divid
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