Company: NLY-PF
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001043219-25-000012
Chunk: 8

Company: ANNALY CAPITAL MANAGEMENT INC
Filing Date: 2025-10-30
Form: 10-Q
Item: Part I, Item 2
Chunk 8
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 forecasts from the FOMC showed a median of two additional 25 bps cuts for the remainder of 2025, and one 25 bp per year in 2026 and 2027. Fed Chair Jerome Powell highlighted that the risk of weak employment growth had risen, which justified a lower rate path under their risk management framework but also argued for maintaining a restrictive stance while the FOMC assesses the appropriate monetary policy response. The updated economic forecast now expects higher growth and gradual improvement in the unemployment rate across the projection horizon while inflation projections for 2026 rose. Meanwhile, regarding the FOMC’s balance sheet policy, the Fed did not make any additional announcements and maintained its monthly redemption cap of Treasury and Agency MBS holdings at $5 billion and $35 billion, respectively.

The continued resilience of the U.S. economy supported strong financial market performance in the third quarter, with both equities and bonds rebounding from tariff-related concerns in Q2 2025. Equity market strength was driven by the ongoing AI boom, solid corporate earnings, and the Fed’s rate cut. Meanwhile, the Fed’s easing bias pushed interest rate expectations lower, particularly at the front end of the Treasury curve, while longer-dated Treasuries continued to reflect caution around fiscal risks and persistent inflation. The 10-year Treasury yield ended the quarter at 4.15%, down 8 bps from the prior quarter, and interest rate volatility fell to its lowest levels in many years. In this low volatility environment the mortgage basis, defined as the spread between the 30-year Agency MBS coupon and 10-year U.S. Treasury rate, tightened by 20 bps over the quarter.

The following table presents interest rates and spreads at each date presented:

 September 30, 2025June 30, 2025December 31, 2024September 30, 202430-Year mortgage current coupon5.20%5.48%5.83%4.96%Mortgage basis105 bps125 bps126 bps118 bps10-Year U.S. Treasury rate4.15%4.23%4.57%3.78%OIS SOFR Swaps1-Month4.13%4.33%4.32%4.86%6-Month3.83%4.15%4.25%4.31%

Income Tax Reform

On July 4, 2025, H.R. 1, also known as the One Big Beautiful Bill