Annaly Capital Management : 2025 Annual Report

Published: 2026-04-30 20:09:02 ET NLY

Published on 04/30/2026 at 08:09 pm EDT

2025

Annual Report

TH AC M

E LEADER

ROSS RESIDENTIAL ORTGAGE FINANCE

Annaly combines the power of capital together with disciplined strategy to best serve our shareholders. Proven over 25 years, we work relentlessly to optimize risk-adjusted returns throughout market cycles.

With $16 billion in permanent capital(1), Annaly is a leading source of private capital for the U.S. housing sector.

2025 Financial Highlights

$104.7bn

Total Assets Across Annaly's Diverse Investment Strategies(1)

20.2%

2025 Economic Return

$29bn

Common and Preferred Dividends Declared(4)

1.2mm

American Homes Financed(6)

$16.1bn

Permanent Capital(2)

1,180%

Total Shareholder Return Since IPO(3)

12.5%

Dividend Yield(5)

$9.4bn

Total Assets Available for Financing(7)

Power of Annaly

The industry leading mREIT with a differentiated investing model

Larger than Median mREIT by Market Cap(1)

At 13x the size of the median mortgage REIT by market cap(1), we are a leader across the residential mortgage finance market.

Scale

Annaly is able to eficiently diversify investments across our businesses through a rigorous shared capital model and capital allocation process.

Permanent Capital(2)

Diversified

Operating

Efficiency

Operating Expense as a Percent of Average Equity(3)

Annaly operates a highly institutionalized platform and benefits from our scale and eficiency, operating at lower cost levels than peer averages.

Total Assets Available for Financing(4)

Our diversified, lower leveraged strategy supports enhanced liquidity, with $9.4bn of total assets available for financing(4) including

$6.1bn of cash and unencumbered Agency MBS.

Liquid

Market Cap ($mm) | Annaly vs. mREIT Peers(1)

Annaly Market Cap: $15.3bn

Peer Median Market Cap: $1.2bn

$16,000

$14,000

$12,000

$10,000

$8,000

$6,000

$4,000

$2,000

Peer 1

Peer 2

Peer 3

Peer 4

Peer 5

Peer 6

Peer 7

Peer 8

Peer 9

Peer 10

Peer 11

Peer 12

Proven Results

Proven over 25 years to be a competitive source of yield for shareholders

Since inception, Annaly has delivered $29bn in dividends to shareholders(1)

($ in millions)

$30,000

$25,000

$20,000

$15,000

$10,000

$5,000

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

2024

2025

Annaly has delivered a total return of 1,180% since our IPO(2)

1,200%

1,000%

800%

600%

400%

200%

1,180%

537%

476%

(200%)

Oct-97 Dec-99 Feb-02 Apr-04 Jun-06 Aug-08 Oct-10 Dec-12 Feb-15 Apr-17 Jun-19 Aug-21 Oct-23 Dec-25

Annaly S&P 500 Financials Index S&P 500 REITs Index

People First

Employee Engagement, Satisfaction and Feedback

In 2025, we conducted our eighth annual employee engagement survey to identify our strengths and areas for improvement and to measure the impact of a multitude of initiatives

Human Capital Initiatives & Recognitions

MSCI ESG Rating

Annaly received an "A" rating from MSCI, highlighting our commitment to management of financially relevant environmental, social and governance risks and opportunities

Learning & Development

Annaly provides opportunities for employees to learn in a multitude of ways. In 2025, we conducted over 60 employee training and development opportunities

Corporate Responsibility Report

In September 2025, we published our sixth annual Corporate Responsibility Report, titled Powering American Homeownership, demonstrating our continued focus on transparent disclosures and providing an update on our initiatives and priorities

5t%

of employees participated in community engagement events in 2025

42%

of employees identify as racially / ethnically diverse

37%

of employees identify

as women

Our People by the Numbers

Full-time Employees

Our greatest asset is our employees - highly skilled individuals with varying sets of professional experience across sectors, credit cycles and functions - who come to work every day committed to the long-term success and growth of our Company

total voluntary turnover in 2025, representing roughly one quarter of the financial services sector average(1)

52%

of employees participated in at least one of our 7 employee networks

Table of Contents

Message From Our CEO 6

Annaly Investment Strategies 11

Agency 12

Residential Credit 13

Mortgage Servicing Rights 14

Financing, Capital & Liquidity 16

Onslow Bay Strategic Milestones 17

Corporate Governance

Board Composition & Shareholder Engagement 18

Board of Directors 19

Message From Our CEO

Dear Fellow Shareholders,

2025 was an exceptional year for Annaly, marked by strong performance across our three investment strategies. We generated a 20% economic return and 40% total shareholder

benefited from 75 basis points of Federal Reserve rate cuts, robust fixed income fund flows and declining volatility. Agency MBS technical factors were the most supportive they have been in years as net supply was lighter than anticipated and demand broadened across investors. Of note, CMO

return ("TSR") in 2025 - the highest TSR amongst our mortgage REIT peer group(1) and outperforming the S&P 500 by over 2x. Consistent with our focus on providing attractive income to our shareholders, we increased

20%

economic return

40%

total shareholder return, 2x higher than the S&P 500

issuance was elevated, mortgage REIT equity raises were healthy and the GSEs added to their retained portfolios for the first time in many years. Taken together, the lower volatility, steeper yield curve and highly supportive supply and demand picture drove meaningful Agency MBS spread tightening in the second half of the year.

With respect to the housing market, activity

our common stock dividend to $0.70 per share

in the first quarter of 2025 and delivered over $2 billion in common and preferred dividends during the year. We believe our results reinforce the value of our diversified housing finance model and the importance of active and disciplined portfolio management. As a leading provider of capital

and liquidity to the residential real estate market, the successful execution of our strategy plays a meaningful role in supporting homeownership

across the United States, with our portfolio financing

over one million homes by the end of 2025.(2)

PORTFOLIO PERFORMANCE

Amidst a year characterized by material shifts

remained relatively subdued though stable with both existing and new home sales in line with 2024 levels. While inventory increased modestly, continued affordability constraints left home prices little changed on a national level, rising 0.10% year-over-year(3) albeit with notable regional disparities.

Annaly's diversified housing model achieved outstanding results in this environment, with each of our three investment strategies demonstrating double-digit growth, contributing robust returns and further cementing our market-leading positioning:

Agency MBS: Our portfolio grew by $22 billion, or 30%, as the majority of accretive capital raised throughout the year

on the policy and regulatory fronts, fixed income markets were remarkably resilient as demonstrated by the Bloomberg Aggregate U.S. Bond Market Index delivering a 7.3% total return in 2025, the strongest annual return in five years. Markets

was deployed into the sector, primarily in higher coupon specified pool collateral.

These securities provide attractive returns along

30%

Agency MBS portfolio grew by 30% year-over-year

with significant call protection in a lower rate environment. We nearly doubled our Agency CMBS portfolio, which ended the year at $6.4 billion and enhanced overall portfolio returns while providing a superior convexity profile. Our allocation to TBA securities remained modest at 4% and the weighted average coupon of

the portfolio increased from 5.00% to 5.12%. With volatility declining to some of the lowest levels in recent years, we were able to maintain conservative interest rate exposure with minimal intervention and our duration management was largely focused on hedging new asset purchases through a combination of Treasury futures and

and retained OBX securities - that meet our desired preferences with respect to FICO, LTV, counterparties and geography. As the largest non-bank issuer of Prime Jumbo and Expanded Credit MBS(4), we are poised to benefit from the growth and liquidity of the Non-Agency market with 2026 expected to experience the highest issuance in nearly 20 years.(5)

Mortgage Servicing Rights: Our MSR portfolio ended the year at $3.8 billion in market value(6), representing a 15% increase year-over-year as Onslow Bay was the second largest buyer of conventional MSR in 2025.(7) We onboarded nearly $60 billion in

interest rate swaps.

Residential Credit: Onslow Bay had a milestone year in 2025 and our Residential Credit portfolio ended the year at $8.0 billion in market value, a 15% increase year-over-year. With more than 300 originator partners, our correspondent channel

unpaid principal balance throughout the year

and ranked as the sixth largest non-bank Agency servicer.(8)

Expanding our recapture

$50 billion

Onboarded $60 billion of UPB in MSR throughout 2025

has achieved significant scale and delivered a

third straight record year of activity. We locked

$23 billion in loans this past year, funding $16.5 billion, which supported continued programmatic issuance for our securitization platform.

OBX remains a top issuer in the Non-Agency market, surpassing

and subservicing partners remained a strategic priority, and we furthered our role as a preferred counterparty to the originator and servicer communities through several new partnerships. While we have been most partial to buying low note rate MSR via the bulk market, we enhanced our flow purchase capabilities and are now

100 securitizations and structuring first-of-its-kind transactions that have quickly become the industry standard.

100th

Onslow Bay completed its 100th securitization

active across all GSE exchanges, providing access to current coupon MSR for opportunistic purchases. Finally, we were honored to be recognized once again for our team's dedicated efforts to support homeowners through high-

While we reached several all-time highs, we did so without sacrificing credit quality and notably 80% of the portfolio consisted of proprietary, organically created assets - across whole loans

quality servicing as the recipient of a 2025 Gold SHARP award from Freddie Mac.

FINANCING, CAPITAL & LIQUIDITY

Throughout the year, Annaly bolstered our financial strength through record securitization issuance, new and expanded credit facilities and opportunistic capital market transactions. Onslow Bay closed 29 securitizations totaling $15.2 billion in proceeds

in 2025, an increase of 38% year-over-year. We increased financing capacity for our Residential Credit and MSR businesses by $1.2 billion and $600 million, respectively, bringing total capacity to $6.9 billion, with approximately 50% utilization across both businesses. Additionally, we raised $2.9 billion of accretive capital during the year consisting of

$2.6 billion of common equity(9) via our at-the-market sales program and $275 million of Series J preferred stock(10) - our first preferred issuance since 2019 and the first residential mortgage REIT issuance in multiple years.

We maintained our prudent leverage and liquidity profile with economic leverage remaining historically low, ending the year at

three investment strategies remains supportive with macroeconomic and industry dynamics creating favorable conditions for disciplined growth.

With respect to our flagship Agency MBS strategy, as discussed earlier, the technical and fundamental backdrop for the sector is highly favorable.

While Agency MBS spreads have tightened since the beginning of 2025, levered returns remain compelling on both an absolute and relative basis. Further, the Administration is highly focused on supporting housing affordability - as demonstrated by the purchase of $200 billion of Agency MBS by the GSEs announced earlier this year - which we believe improves the overall stability of the asset class.

Our credit businesses provide complementary and differentiated growth opportunities that enhance our overall platform. Our Residential Credit business is an established market leader with Onslow Bay continuing to expand market share through strategic initiatives, including the

expansion of our correspondent network, the launch

5.6x(11), and $9.4 billion of total assets available for financing(12), an increase of $2.4 billion from 2024.

We continue to believe that

$t.4 billion

Assets available for financing, up $2.4 billion year-over-year

of non-delegated underwriting and the introduction of innovative securitization structures. Our MSR strategy supports overall portfolio returns and cash flow given our focus on low note rate collateral with high credit quality. We expect supply to stay healthy

this positioning allows us to be nimble as we pursue

opportunities across our investment strategies.

OUTLOOK & CONCLUSION

Our outlook remains constructive and we believe that our diversified housing finance strategy is well-positioned to continue delivering attractive risk-adjusted returns for our shareholders. Looking ahead, the operating environment for each of our

and we remain a synergistic buyer as a financial market participant and not a direct competitor to originators.

We continue to be responsible stewards of your capital and are mindful of the changing operating environment. We expect to maintain a disciplined approach to leverage and liquidity to protect our shareholders against an uncertain environment

in light of recent geopolitical risks and their effect on the macro backdrop, while preserving flexibility to

capitalize on market dislocations.

Importantly, we have paid a dividend on our common stock to our shareholders for 117 consecutive quarters, with $29 billion in common and preferred dividends paid since inception.(13) Our commitment to providing our investors with durable and meaningful income is core to Annaly's mission and we believe our 12.5% yield on book value is highly attractive relative to our peer set and other fixed income benchmarks.(14)

117

Common stock dividend paid for 117 consecutive quarters

Overall, we are confident that Annaly's differentiated and industry-leading business model should continue to outperform in the current environment - as demonstrated by our 36% economic return over the last three years, compared to 13.7% and 8.9% on average for Agency and Hybrid mREITs, respectively.(15)

On behalf of our Board and leadership team, we thank you for your continued trust and partnership and remain focused on creating long-term value for all of our stakeholders.

Best regards,

David Finkelstein

David L. Finkelstein is Chief Executive Oficer and Co-Chief Investment Oficer of Annaly. Mr. Finkelstein was elected to serve as a director of Annaly in March 2020. Mr. Finkelstein has over 25 years of experience in fixed income

investments. Prior to joining Annaly in 2013, Mr. Finkelstein served for four years as an Oficer in the Markets Group of the Federal Reserve Bank of New York where he was the primary strategist and policy advisor for the MBS Purchase Program. Prior to that, Mr. Finkelstein held senior Agency MBS trading positions at Salomon Smith Barney, Citigroup Inc. and Barclays PLC. Mr. Finkelstein is Vice Chair of the Treasury Market Practices Group sponsored by the Federal Reserve Bank of New York as well as a member of the Financial Sector Advisory Council of the Federal Reserve Bank of Dallas. Mr. Finkelstein received a B.A. in Business Administration from the University of Washington and a M.B.A. from the University of Chicago, Booth School of Business. Mr. Finkelstein also holds the Chartered Financial Analyst® designation.

Chief Executive Oficer & Co-Chief Investment Oficer

Annaly Agency Group

Annaly

Residential Credit Group

AT ANNAL WE LEAD PURPOSE

Y, WITH

Annaly Mortgage Servicing Rights Group

which means being accountable for how we drive durable value for our stakeholders

Annaly Investment Strategies

$16.1bn

Permanent Capital(2)

WE ARE A LEADER ACROSS THE RESIDENTIAL MORTGAGE FINANCE MARKET

>=6.5%

<=2.5%

3.0%

3.5%

4.0% 5%

6.0%

20%

4.5%

12%

52%

of Dedicated Capital(4)

5.5%

25%

5.0%

21%

OBX Retained

41%

CRT

Whole Loans 39%

Prime

Non-QM

SBC

1t%

of Dedicated Capital(4)

NPL / RPL

Prime Jumbo

RTL

4.5% to 5.0%

>5.0%

4.0% to 4.5%

<2.0%

2.0% to 2.5%

3.5% to 4.0%

12%

2.5% to 3.0%

48%

1t%

of Dedicated Capital(4)

3.0% to 3.5%

26%

Underlying Note Rate Distribution

Sector Type(5)

Pass Through Coupon Type(3)

Portfolio Overview(1)

Agency

The Annaly Agency Group invests in Agency MBS & Agency CMBS securities collateralized by residential or commercial mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae

$92.9bn

Assets(1)

$9.9bn

Dedicated Capital

Strategic Approach

Annaly's Agency portfolio is made up of high-quality and liquid securities, predominantly specified pools,

TBAs and derivatives

Portfolio benefits from in-house proprietary analytics that identify emerging prepayment trends and a focus on durable cash flows

Diverse set of investment options within the Agency market, including Agency CMBS, which provides

complementary duration and return profiles to Agency MBS

Comprehensive hedging capabilities through an array of products (swaps, swaptions, Treasuries) enhance portfolio performance

Access to deep and varied financing sources, including traditional bilateral repo, sponsored repo and

proprietary broker-dealer repo

Agency Portfolio Detail

Assets

Hedges(2)

NLY Specified Pools and TBA Holdings, % Agency Hedging Composition, %

100%

75%

50%

25%

100%

2022

2023

2024

2025

75%

50%

25%

2022

2023

2024

2025

Residential Credit

The Annaly Residential Credit Group invests in non-Agency residential mortgage assets within the securitized product and whole loan markets

$8.0bn

Assets(1)

$3.1bn

Dedicated Capital

Strategic Approach

Agile platform that can deploy capital across both the residential whole loan and Non-Agency securities markets

Whole loan acquisition via Onslow Bay correspondent channel and securitization program provides the ability to create proprietary investments tailored to desired credit preferences with control over asset selection, counterparties and loss mitigation

Programmatic securitization sponsor of new origination residential whole loans with 111 deals comprising $52.2 billion of issuance since the beginning of 2018(2)

Modest use of balance sheet leverage with whole loans predominantly financed through securitization

Onslow Bay Financial | Fully Scaled Correspondent Channel

Correspondent Channel Quarterly Lock and Funded Volumes ($mm)

OBX Securitization History - UPB Issued ($mm)

Number of Deals

$6,199

$6,394

$5,268

$5,269

$5,023

$3,789

$3,715

$3,970

$11,005

$6,196

$4,941

$3,857

$2,095 $1,846

Q1'25:

$3,092

Q2'25:

$3,596

Q3'25:

$3,863

Q4'25:

$4,641

$15,193

Q1 2025 Q2 2025 Q3 2025 Q4 2025

2019 2020 2021 2022 2023 2024 2025

Mortgage Servicing Rights

The Annaly Mortgage Servicing Rights Group invests in mortgage servicing rights, which provide the obligation to service residential loans in exchange for a fixed servicing fee

$3.8bn

Assets(1)

$3.1bn

Dedicated Capital

Strategic Approach

MSR portfolio complements Annaly's Agency MBS strategy by offering an attractive yield while providing a hedge to mortgage basis volatility and slower prepayment speeds on discount dollar-priced MBS

As an established and scaled master servicer, Annaly is well-positioned for opportunistic growth in both

the bulk and flow MSR markets

Annaly serves as a strategic partner to originators given certainty of capital and complementary business strategy

Dynamic recapture and servicing capabilities through the ability to allocate across several industry-leading recapture partners

Portfolio predominantly consists of low coupon, high-quality conventional MSR(2)

MSR Portfolio Detail

MSR Holdings (Market Value, $mm)

Current MSR Portfolio by the Numbers(3) (Excludes Interests in MSR / MSR of LP Interest)

$2,909

$518

$2,122

$152

$3,646

$3,476

$34

$3,273

$21

$3,281

$35

$2,675

$65

$3,333

$31

$3,326 $3,338

$32

$385

$3,548

$3,826

$242.8

UPB ($bn)

792

Loan Count ('000)

3.28%

Weighted Average Note Rate

4.6%

3M CPR

0.6%

D60+

757 / 71%

Wtd. Avg. FICO / LTV (at Origination)

$29

Q4 2023 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025

Financing, Capital & Liquidity

Annaly's deep and diverse financing sources provide it with unique competitive advantages. Throughout the year, Annaly continued to enhance its leverage and liquidity position

Total Capitalization (as of December 31, 2025)

In-House

Broker-Dealer

Street

Repo

Agency &

Non-Agency Repo(1)

$82.3 billion

Direct

Repo

2025 Financial Highlights

2025 year-end average economic cost of interest-bearing liabilities* of 3.95% and GAAP cost of interest-bearing liabilities of 4.49%

Closed 29 residential whole loan securitizations totaling $15.2 billion throughout 2025

Credit Facilities

/ Warehouse Financing

Non-Recourse Term Financing(2)

Secured Financing

$33.t billion

Weighted average days to maturity for repurchase agreements of 35 days

Total warehouse capacity across both Annaly's Residential Credit and MSR businesses of

$6.9 billion, including $2.7 billion of committed capacity

Raised $2.9 billion of accretive capital throughout 2025, which consisted of:

Preferred

Equity

Preferred Equity

$1.8 billion

$2.6 billion(3) of common equity through the Company's at-the-market sales program

$275 million(4) of preferred stock

Common

Equity

Common Equity

$14.3 billion

Maintained significant liquidity throughout the year, enabling Annaly to be well-positioned for opportunistic growth

Ended the year with $9.4 billion of total assets available for financing(5), including cash and unencumbered Agency MBS of $6.1 billion

Note: Please refer to Glossary for defined terms and "Financing, Capital & Liquidity" in Endnotes section for footnoted information.

* Represents a non-GAAP financial measure; see Appendix.

2 0 2 5 A N N U A L R E P O R T 17

Onslow Bay Strategic Milestones

Since the Beginning of 2025

Onslow Bay, Annaly's wholly owned subsidiary through which we purchase non-Agency loans, issue securitizations and own MSR, expanded its leadership across the Residential Credit and MSR markets with another year of substantial growth

Key Milestones Across Our Housing Finance Expansion Strategy

Residential Credit

Mortgage Servicing Rights

Onslow Bay has issued 111 securitizations since 2018, totaling $52.2 billion in issuance(1)

Issued $15.2 billion across 29 securitizations in 2025

2025 was the third straight record year for OBX's correspondent channel with $23.1 billion and $16.5 billion in lock volume and fundings, respectively

300+ originators in the correspondent channel network

Purchased $18 billion of whole loans in 2025, up 38% year-over-year(2)

Demonstrated leadership in structuring innovative transactions, including 5 privately placed transactions

Redeemed first Non-QM securitization (OBX 2022-NQM8) and issued first relever securitization (OBX 2025-R1) with an attractive pipeline of callable deals

MSR portfolio, grew by nearly 15% to $3.8 billion in assets year-over-year(4)

Second largest buyer of conventional MSR in 2025(5) onboarding nearly $60 billion of UPB throughout the year

Attractive portfolio with very low note rate, stable cash

flows and high credit quality collateral

Lowest note rate of Top 20 Agency MBS servicers at

3.28%

Original FICO of 757 and Original LTV of 71%

3 Month CPR of 4.6%

Recapture and subservicing relationships with industry leaders

Sixth largest non-bank servicer of the Agency MBS market(6)

Leading Securitizer

Non-Bank Issuer of Prime Jumbo

& Expanded Credit MBS and #2 Issuer Overall(3)

Exceptional Credit Quality

GAAP Whole Loan Portfolio

Original FICO and Original LTV

Portfolio Growth

Largest Buyer of Conventional MSR in 2025(5)

Freddie Mac 2025 Gold SHARP Award Recipient

2025 Freddie Mac SHARPSM Award Winner

Board Composition & Shareholder Engagement Efforts

Board of Directors

We are committed to having a Board representing a wide range of backgrounds and professional experiences that we believe benefits the long-term interest of our shareholders, whom we regularly engage with on corporate responsibility, governance and strategic matters

Directors

Standing

Board Committees

Directors are

Independent

Tenure

>=5 Years

5 Directors

Years

<=3 Years

2 Directors

Age

50s

2 Directors

Years

Diversity

Racially/

Ethnically Diverse

5 Directors

White

4 Directors

3 Directors

5 Directors

Men

Women

3-5 Years

2 Directors

50s

7 Directors

Represents the average tenure of Directors

Represents the average age of Directors

of Directors identify as women or racially / ethnically diverse

" 2025-2025 Global Shareholder Engagement Efforts(1)

We take pride in our extensive

outreach efforts and are committed to transparency, enhanced disclosure and continued engagement

Outreach Included

of top 100 institutional investors

Investor Meeting Participation

investor meetings in 2025

Note: Please refer to Glossary for defined terms and "Board Composition & Shareholder Engagement Efforts" in Endnotes section for footnoted information.

Disclaimer

Annaly Capital Management Inc. published this content on April 30, 2026, and is solely responsible for the information contained herein. Distributed via Public Technologies (PUBT), unedited and unaltered, on April 30, 2026 at 23:49 UTC.