Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 6

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 6
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ymac, whereby Pennymac will perform all subservicing and recapture responsibilities for the portfolio sold.

Meanwhile, we believe our MSR portfolio should remain insulated against a potential spike in refinancing activity, as the aggregate borrower is approximately 300 bps out of the money with a 3.27% note rate and the portfolio continues to exhibit highly predictable, durable cash flows, paying 4.6 CPR over the last three months ended September 30, 2025.  The associated fundamentals remained positive as well, evidenced by the portfolio’s serious delinquencies being unchanged at 50 bps, escrow balances increasing 7% year-over-year, better-than-expected float income, and declining subservicing costs given increased technological investments across our servicing partners.

Looking ahead, we remain optimistic about our portfolio’s ability to deliver attractive risk-adjusted returns. We expect our investment strategies to be well-positioned for the balance of 2025 given declining macro-volatility, additional expected Fed interest rate cuts and healthy fixed income demand. While our outlook remains positive, we have carefully built our portfolio to guard against uncertainty and are flexible in the current investing climate with historically low leverage and significant liquidity. We believe Annaly’s diversified housing finance model has yielded proven results, having generated a 13% average annual economic return over the trailing three year period since scaling each business.

Economic return, earnings available for distribution and economic leverage are non-GAAP financial measures. Refer to "Non-GAAP Financial Measures" for additional information, including a reconciliation to their most directly comparable GAAP results. 

Economic Environment

Delays in official economic data releases due to the ongoing government shutdown have limited our ability to gauge the current state of the U.S. economy. Nonetheless, real economic growth appears to have remained strong in Q3 2025 with the Bloomberg median economists’ forecast indicating that gross domestic product rose 2.7% on a seasonally adjusted annualized rate 

41

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIESItem 2. Management’s Discussion and Analysis 

(“SAAR”), above the 1.6% SAAR average growth seen in the first half of 2025. Measures of consumption through the month of August show healthy consumer spending with consumption growth tracking 2.8% SAAR in the third quarter – a growth rate consistent with the 2.9% SAAR expansion in 2024 and a rebound from the 1.5% SAAR gain in the first