Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2025 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Jan 29, 2026
Slide 1: Fourth Quarter 2025 Investor Presentation
Fourth Quarter 2025 Investor Presentation January 28, 2026
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 Fourth Quarte
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Financial Performance Annaly delivered a 20% economic return for the year with earnings available for distribution well covering the dividend Earnings available for distribution* of $0.74 per average common share for the quarter Book value per commo
Slide 4: Fourth Quarter 2025 Financial Highlights
Fourth Quarter 2025 Financial Highlights Net Interest Margin (ex. PAA)* Earnings & Book Value $1.40 | $0.74 $0.70 1.70% 1.69% GAAP Earnings Available Dividend per Share for Distribution* $20.21 12.5% Book Value per Share Dividend Yield(1) Q3 2025 Q4 2025 Capital Allocation(3) Average Yield on Intere
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 $104.7bn Credit Rights Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights, which collateraliz
Slide 6: The Macro Landscape
The Macro Landscape Fixed income markets continue to benefit from a resilient economy, lower rate volatility and an improved supply/demand outlook Q4 2025 Market and Economic Developments Employers are limiting hiring and firing Markets expect roughly two 25 bps cuts in ‘26 Despite the government
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) 13%–15% 12%–15% 11%–13% Key Market Dynamics & Commentary Agency MBS spreads tightened in Q4 driven by (i) HPA gained momentum, up
Slide 8: Onslow Bay 2025 Strategic Milestones
Onslow Bay 2025 Strategic Milestones Onslow Bay continued to expand market share across the Residential Credit and MSR sectors with another year of substantial growth Residential Credit MSR Key Milestones Onslow Bay has priced 104 securitizations since 2018, totaling $48.2 billion in MSR portfol
Slide 9: Business Update
ANNALY Business Update
Slide 10: Agency | Business Update
Agency | Business Update Annaly’s Agency MBS portfolio grew 6% quarter-over-quarter as accretive capital raised was predominantly deployed into the sector, which has benefitted from meaningful spread tightening and an improved technical backdrop Strategic Approach Market Trends Annaly’s Agency por
Slide 11: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly’s Agency Portfolio: $92.9 billion(1) in assets at the end of Q4 2025, an increase of 6% compared to Q3 2025 Annaly allocated accretive new capital predominantly into 5.0% coupon TBA and generic pool collateral securities, higher coupon specified pools (5.5% and
Slide 12: Residential Credit | Business Update
Residential Credit | Business Update Annaly Residential Credit Group continued to expand market share and grow loan volume, demonstrating the strength and consistency of Onslow Bay’s correspondent channel and securitization platform Strategic Approach Market and Credit Trends Agile platform that c
Slide 13: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $8.0 billion in assets(1) at the end of Q4 2025, up 16% compared to Q3 2025 − Consists of a $4.9 billion securities portfolio and a $3.1 billion whole loan portfolio(1) During the quarter, settled $5.8 billion in whole l
Slide 14: MSR | Business Update
MSR | Business Update Annaly was the second largest buyer of MSR in 2025, growing its portfolio by 15% year-over-year, and remains a top 10 Agency MBS servicer with a differentiated portfolio and strong network of subservicing and recapture partners Strategic Approach Market Trends MSR portfolio c
Slide 15: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly MSR Portfolio: $3.8 billion(1) in market value (including Current MSR Portfolio by the Numbers(2) unsettled commitments) at the end of Q4 2025, an increase (Excludes Interests in MSR / MSR of LP Interest) of 8% compared to Q3 2025 − Onslow Bay purchased ~$330 million
Slide 16: Financial Highlights and Trends
Financial Highlights and Trends
Slide 17: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 12/31/2025 9/30/2025 6/30/2025 3/31/2025 12/31/2024 (1) GAAP net income (loss) per average common share $1.40 $1.21 $0.03 $0.15 $0.78 Earnings available for distribution per average common share*(1) $0.74 $0.73 $0.73 $0.72 $0.72 Divide
Slide 18: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 12/31/2025 9/30/2025 6/30/2025 3/31/2025 12/31/2024 Agency mortgage-backed securities $89,628,654 $83,317,819 $71,756,638 $68,329,720 $67,434,068 Residential credit risk transfer securities 213,800 330,6
Slide 19: 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 December 31, 2025 and September 30, 2025, respectively The interest rate sensitivity reflects instantaneous parallel shifts in rates
Slide 20: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 21: 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 22: 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 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 12/31/2025 9/30/2025 6/30/2025 3/31/2025 12/31/2024 Premium Amortization Reconciliation Premium amortization expense $41,367 $36,719 $28,138 $57,412 $8,196 Less: PAA cost (benefit) 6,627 18,390 (3,862) 12,296 (
Slide 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 12/31/2025 9/30/2025 6/30/2025 3/31/2025 12/31/2024 Economic leverage ratio reconciliation Repurchase agreements $81,865,723 $75,118,963 $66,541,378 $61,659,460 $65,688,923 Other secured financing 1,075,000 1,0
Slide 25: Glossary and Endnotes
ANNALY Glossary and Endnotes
Slide 26: 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 27: Endnotes
Endnotes Page 3 Page 6 1. Comprised of $7.8bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Represents the 3-month moving averages of hiring and layoff rates from the Bureau of Labor Statistics' Job that have not been pledged or securitized (generally in
Slide 28: Endnotes (cont'd)
Endnotes (cont’d) Page 13 Page 19 1. Excludes assets transferred or pledged to securitization vehicles of $32.1bn, include $3.2bn of retained 1. Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with securities that are eliminated in consolidation a
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