Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2025 Earnings Presentation
27 slides from Annaly Capital Management's earnings presentation, May 1, 2025
Slide 1: First Quarter 2025 Investor Presentation
First Quarter 2025 Investor Presentation April 30, 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 First Quarter
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Financial Performance Annaly increased the dividend to $0.70 per share, underscoring the strong performance of its diversified housing finance portfolio Earnings available for distribution* of $0.72 per average common share for the quarter Book valu
Slide 4: First Quarter 2025 Financial Highlights
First Quarter 2025 Financial Highlights Net Interest Margin (ex. PAA)* Earnings & Book Value $0.15 | $0.72 $0.70 1.71% 1.69% GAAP Earnings Available Dividend per Share for Distribution* $19.02 13.8% Book Value per Share Dividend Yield(1) Q4 2024 Q1 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 $84.9bn 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 Macroeconomic State of Affairs
The Macroeconomic State of Affairs Rising policy uncertainty has dampened business and consumer confidence, in turn slowing economic growth Q12025 Market and Economic Developments Increased tariffs have clouded the outlook for growth and inflation The U.S. economy has entered a period of heightene
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) 16%–19% 13%–16% 12%–14% Key Market Dynamics & Commentary While Agency MBS spreads ended the first HPA continued to decelerate wit
Slide 8: Business Update
ANNALY Business Update
Slide 9: Agency | Business Update
Agency | Business Update Annaly deployed accretive capital raised into Agency MBS while maintaining prudent leverage and ample liquidity Strategic Approach Market Trends Annaly’s Agency portfolio is made up of high-quality and liquid securities, Agency MBS spreads ended the quarter relatively un
Slide 10: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly’s Agency Portfolio: $75.0 billion(1) in assets at the end of Q1 2025, an increase of 6% compared to Q4 2024 Annaly allocated incremental capital into intermediate coupon TBA securities (4.0% and 4.5% coupons) and higher coupon specified pools (predominantly 5.5%
Slide 11: Residential Credit | Business Update
Residential Credit | Business Update Annaly Residential Credit Group continued its robust pace of securitization activity while focusing on maintaining the strong credit profile of the portfolio Strategic Approach Market and Credit Trends Agile platform that can deploy capital across both the resi
Slide 12: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $6.6 billion in assets(1) at the end of Q1 2025, a decrease of 5% compared to Q4 2024 primarily attributable to opportunistic net sales of third-party securities early in the quarter and a reduced whole loan position − Con
Slide 13: MSR | Business Update
MSR | Business Update Annaly’s MSR portfolio was roughly unchanged in the first quarter with new purchases replacing runoff; the portfolio continued to exhibit highly stable cash flows with strong credit quality Strategic Approach Market Trends MSR portfolio complements Annaly’s Agency MBS strateg
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly MSR Portfolio: $3.3 billion(1) in market value at the end Current MSR Portfolio by the Numbers(2) of Q1 2025, relatively unchanged compared to Q4 2024 (Excludes MSR of LP Interest) − Onslow Bay settled $28 billion in UPB during the first quarter, which consisted prim
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 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 GAAP net income (loss) per average common share(1) $0.15 $0.78 $0.05 ($0.09) $0.85 Earnings available for distribution per average common share*(1) $0.72 $0.72 $0.66 $0.68 $0.64 Divide
Slide 17: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Agency mortgage-backed securities $68,329,720 $67,434,068 $69,150,399 $64,390,905 $63,542,230 Residential credit risk transfer securities 521,059 754,91
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 March 31, 2025 and December 31, 2024, 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 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Premium Amortization Reconciliation Premium amortization expense $57,412 $8,196 $53,448 $10,437 $26,732 Less: PAA cost (benefit) 12,296 (25,287) 21,365 (7,306)
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Economic leverage ratio reconciliation Repurchase agreements $61,659,460 $65,688,923 $64,310,276 $60,787,994 $58,975,232 Other secured financing 900,000 750,00
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 Non-Performing Loan A loan that is close to defaulting or is in default (“NPL”): CPR: Refers to Constant Prepayment Rate Non-QM: Refers to a Non-Qualified Mortgage CRT: Re
Slide 26: Endnotes
Endnotes Page 3 Page 6 1. Comprised of $6.3bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Represents the U.S. effective tariff rate from the U.S. International Trade Commission. that have not been pledged or securitized (generally including cash and ca
Slide 27: Endnotes (cont'd)
Endnotes (cont’d) Page 13 1. Portfolio excludes retained servicing on whole loans within the Residential Credit portfolio. Non-GAAP Reconciliations Page 14 Page 21 1. MSR assets include unsettled MSR commitments of $34mm. MSR commitments represent the market value of 1. Includes write-downs or recov
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