Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q2 2025 Earnings Presentation
27 slides from Annaly Capital Management's earnings presentation, Jul 24, 2025
Slide 1: Second Quarter 2025 Investor Presentation
Second Quarter 2025 Investor Presentation July 23, 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 Second Quarte
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Financial Performance Annaly generated Q2 earnings in excess of the dividend and delivered a strong economic return for the first half of the year Earnings available for distribution* of $0.73 per average common share for the quarter Book value per
Slide 4: Second Quarter 2025 Financial Highlights
Second Quarter 2025 Financial Highlights Net Interest Margin (ex. PAA)* Earnings & Book Value $0.03 | $0.73 $0.70 1.69% 1.71% GAAP Earnings Available Dividend per Share for Distribution* $18.45 14.9% Book Value per Share Dividend Yield(1) Q1 2025 Q2 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 $89.5bn 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 Landscape
The Macroeconomic Landscape Despite heightened policy uncertainty, U.S. economic data has remained resilient Q2 2025 Market and Economic Developments Hiring is steady at a lower pace Slower services inflation offset uptick in goods The U.S. economy has slowed but continues to perform well consider
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 Agency MBS spreads remain attractive relative to HPA continued to modera
Slide 8: Business Update
ANNALY Business Update
Slide 9: Agency | Business Update
Agency | Business Update Annaly remained overweight Agency MBS given robust relative returns while maintaining low leverage and ample liquidity Strategic Approach Market Trends Annaly’s Agency portfolio is made up of high-quality and liquid securities, Despite the decline in volatility and a ste
Slide 10: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly’s Agency Portfolio: $79.5 billion(1) in assets at the end of Q2 2025, an increase of 6% compared to Q1 2025 Annaly allocated accretive capital raised into both specified pools and TBAs across 4.5% through 6.0% coupon securities − The weighted average coupon of t
Slide 11: Residential Credit | Business Update
Residential Credit | Business Update Annaly’s Residential Credit portfolio grew modestly in the second quarter, achieving record quarterly origination and securitization issuance; remain focused on credit quality of the portfolio Strategic Approach Market and Credit Trends Agile platform that can
Slide 12: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $6.6 billion in assets(1) at the end of Q2 2025, relatively unchanged compared to Q1 2025 − Consists of a $4.5 billion securities portfolio and a $2.1 billion whole loan portfolio(1) During the quarter, settled $4.1 bill
Slide 13: MSR | Business Update
MSR | Business Update Annaly’s MSR portfolio activity was measured during the second quarter; the portfolio continued to benefit from positive fundamentals, and we remain well-positioned to be an opportunistic buyer as relative value improves Strategic Approach Market Trends MSR portfolio compleme
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 Q2 2025, in line with the prior quarter, as purchases and (Excludes MSR of LP Interest) mark-to-market gains largely offset paydowns − Onslow Bay committed to purchas
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 6/30/2025 3/31/2025 12/31/2024 9/30/2024 6/30/2024 (1) GAAP net income (loss) per average common share $0.03 $0.15 $0.78 $0.05 ($0.09) Earnings available for distribution per average common share*(1) $0.73 $0.72 $0.72 $0.66 $0.68 Divid
Slide 17: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2025 3/31/2025 12/31/2024 9/30/2024 6/30/2024 Agency mortgage-backed securities $71,756,638 $68,329,720 $67,434,068 $69,150,399 $64,390,905 Residential credit risk transfer securities 414,047 521,05
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 June 30, 2025 and March 31, 2025, respectively The interest rate sensitivity reflects instantaneous parallel shifts in rates The MBS
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 6/30/2025 3/31/2025 12/31/2024 9/30/2024 6/30/2024 Premium Amortization Reconciliation Premium amortization expense $28,138 $57,412 $8,196 $53,448 $10,437 Less: PAA cost (benefit) (3,862) 12,296 (25,287) 21,365
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2025 3/31/2025 12/31/2024 9/30/2024 6/30/2024 Economic leverage ratio reconciliation Repurchase agreements $66,541,378 $61,659,460 $65,688,923 $64,310,276 $60,787,994 Other secured financing 1,025,000 900,
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 $5.9bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Represents the 3-month moving average of headline hiring through June 2025 according to the Employment that have not been pledged or securitized (generally includ
Slide 27: Endnotes (cont'd)
Endnotes (cont’d) Page 14 1. MSR assets include unsettled MSR commitments of $21mm. MSR commitments represent the market value of Non-GAAP Reconciliations deals where Annaly has executed a letter of intent. There can be no assurance whether these deals will close or Page 21 when they will close. 1.
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