Financial Data and Key Metrics Changes - Financial conditions improved during the quarter, supported by two Federal Reserve rate cuts, solid corporate earnings, and strong economic growth [4] - Book value per common share increased by 3.7% to $8.72, resulting in an 8% economic return for the quarter [7] - The liquidity position remained robust with $453 million in unrestricted cash and unencumbered assets [8] Business Line Data and Key Metrics Changes - The Agency mortgage portfolio was valued at $5.4 billion, while the Agency CMBS portfolio was $900 million [8] - Agency RMBS investments increased by 11% quarter over quarter, focusing on 5% and 5.5% coupons [18] - Agency CMBS risk premiums remained largely unchanged, with no new purchases made during the quarter [21] Market Data and Key Metrics Changes - Interest rates were generally stable, with the 10-year Treasury yield ending the year at 4.17%, 40 basis points lower than the start of the year [10] - The yield curve steepened, benefiting longer-term investments such as Agency RMBS and Agency CMBS [11] - The TBA dollar roll market showed notable improvement, indicating strong demand for Agency mortgage collateral amid limited net supply [16] Company Strategy and Development Direction - The company remains positive on Agency mortgages, anticipating favorable conditions due to lower interest rate volatility and expectations for broadening demand [9] - The strategy includes focusing on specified pools with lower loan balances to enhance predictability of future cash flows [19] - The company plans to selectively access the ATM for capital raising when conditions are favorable [42] Management's Comments on Operating Environment and Future Outlook - Management noted that while near-term risks are balanced, the current environment of low volatility in interest rates and spreads is expected to provide a positive backdrop for Agency mortgages [26] - The conclusion of quantitative tightening and the announcement of T-bill purchases by the Fed are seen as tailwinds for the company's strategy [25] - Management expressed confidence in the liquidity position, providing a cushion for potential market stress [26] Other Important Information - The Federal Reserve ended its quantitative tightening program, which had reduced its Treasury and Agency mortgage holdings by over $2.2 trillion since mid-2022 [5] - The company modestly increased leverage to 7 times, consistent with the constructive investment environment [7] Q&A Session Summary Question: Can you talk about your approach to leverage level post the tightening and where you are finding value within the coupon stack? - The company increased leverage slightly in the fourth quarter due to a positive environment, and is comfortable with current levels despite tighter spreads [30] - Good value is being found primarily in the 3.5% to 5.5% coupon range [31] Question: Have you seen any surprises within prepay reports in the specified pool portfolio? - No significant surprises were noted; prepayment speeds increased in higher coupons but were less impacted due to prepayment protection [33] Question: Have you continued rotating down in coupon with new capital invested? - The company is focusing on lower coupons for future purchases, particularly in the belly of the coupon stack [36] Question: Can you talk about your capital structure and ability to raise capital going forward? - The company feels it is in a better place regarding capital structure and selectively accesses the ATM when beneficial to shareholders [42] Question: How should we think about book value sensitivity and overall upside to further spread tightening? - The magnitude of change in book value to spread changes remains the same, but expectations for further spread tightening are reduced [56]

Financial Data and Key Metrics Changes - Financial conditions improved during the quarter, supported by two Federal Reserve rate cuts, solid corporate earnings, and strong economic growth [4] - Book value per common share increased by 3.7% to $8.72, resulting in an 8% economic return for the quarter [7] - The liquidity position remained robust with $453 million in unrestricted cash and unencumbered assets [8] Business Line Data and Key Metrics Changes - The agency mortgage portfolio was valued at $5.4 billion, while the agency CMBS portfolio was $900 million [8] - Agency RMBS investments increased by 11% quarter over quarter, focusing on 5% and 5.5% coupons [18] - The agency CMBS allocation declined modestly due to growth in the overall portfolio, despite no new purchases [21] Market Data and Key Metrics Changes - Interest rates were generally stable, with the 10-year Treasury yield ending the year at 4.17%, 40 basis points lower than the start of the year [10] - The yield curve steepened, benefiting longer-term investments such as agency RMBS and agency CMBS [11] - Agency mortgages delivered strong performance, driven by reduced interest rate volatility and robust demand from money managers [13] Company Strategy and Development Direction - The company remains positive on agency mortgages, anticipating favorable conditions due to lower interest rate volatility and expectations for broadening demand [9] - The strategy includes a focus on specified pools with lower loan balances to enhance predictability of cash flows [19] - The company plans to selectively access the ATM for capital raising when conditions are favorable [42] Management's Comments on Operating Environment and Future Outlook - Management noted that the economic environment is supportive, with expectations for additional Federal Reserve rate cuts through 2026 [6] - The company views near-term risks as balanced, with a positive outlook for agency mortgages due to favorable supply and demand technicals [26] - Management highlighted that the current environment reflects a more normalized investment landscape, providing attractive levered returns [25] Other Important Information - The Federal Reserve ended its quantitative tightening program, which alleviated funding pressures and improved repo spreads [12] - The company reported a 4.5% increase in book value since year-end through the week of the call [25] Q&A Session Summary Question: Can you talk about your approach to leverage levels post the tightening and where you find value within the coupon stack? - Management indicated that leverage was modestly increased in Q4, reflecting a positive environment, and they are comfortable with current levels despite tighter spreads [30] Question: Have you seen any surprises in prepayment reports within the specified pool portfolio? - Management noted no significant surprises, with prepayment speeds in higher coupons increasing but less impacted due to prepayment protection [33] Question: Have you continued rotating down in coupon with new capital invested? - Management confirmed a focus on lower coupons, particularly in the 3.5-5.5 range, due to attractive conditions in the TBA dollar roll market [36] Question: Can you discuss your capital structure and ability to raise capital going forward? - Management expressed confidence in their capital structure, indicating selective access to the ATM when beneficial to shareholders [42] Question: How should we think about book value sensitivity and overall upside to further spread tightening? - Management stated that while the magnitude of change in book value to spread changes remains the same, expectations for further spread tightening are reduced [56]

Core Viewpoint - Annaly Capital Management, Inc. (NYSE:NLY) is identified as one of the most undervalued REIT stocks currently available for investment, with a recent upgrade from Neutral to Buy by BTIG, which has set a price target of $25 for the shares [1]. Group 1: Investment Potential - The firm anticipates that Annaly Capital Management, Inc. (NYSE:NLY) could see additional upside if mortgage-backed securities spreads compared to Treasuries, currently at approximately 115 basis points, narrow further [2]. - A more stable stock valuation for NLY is expected if spreads expand again amid rising interest rate volatility [2]. Group 2: Market Conditions - BTIG has noted a decline in long-term interest rates, which may increase prepayment vulnerability in NLY's mortgage servicing rights (MSR) and non-qualified mortgage (non-QM) portfolios [3]. - The firm's assessment includes an expectation that the Trump presidency may attempt to engineer lower mortgage rates, potentially benefiting NLY [3]. Group 3: Company Overview - Annaly Capital Management, Inc. (NYSE:NLY) operates as a diversified capital manager in the mortgage finance sector, with a portfolio that includes securities, loans, and equity in the mortgage finance market [3].

4Q25 EARNINGS REPORT PennyMac Mortgage Investment Trust January 2026 FORWARD LOOKING STATEMENTS This presentation contains forward-looking statements within the meaning of Section 21E of the Securities Exchange Act of 1934, as amended, regarding management's beliefs, estimates, projections and assumptions with respect to, among other things, the Company's financial results, future operations, business plans and investment strategies, as well as industry and market conditions, all of which are subject to cha ...

Financial Data and Key Metrics Changes - The company's book value per share increased by 5% from $19.25 in the prior quarter to $20.21 as of December 31, 2025 [23] - Earnings Available for Distribution (EAD) rose by $0.01 to $0.74, exceeding the dividend for the quarter [24] - Economic return for Q4 was 8.6%, bringing the full-year economic return to 20.2% [23][24] - Economic leverage decreased to 5.6 turns, down from the previous quarter [8][25] Business Line Data and Key Metrics Changes - The agency portfolio ended 2025 at $93 billion, an increase of nearly $6 billion quarter-over-quarter and $22 billion year-over-year, representing 62% of the firm's capital [9] - The residential credit portfolio reached $8 billion, up $1.1 billion quarter-over-quarter, representing approximately 19% of the firm's capital [13] - The mortgage servicing rights (MSR) portfolio ended at $3.8 billion, a $280 million increase quarter-over-quarter and a 15% increase year-over-year [17] Market Data and Key Metrics Changes - Fixed income markets showed strong performance, with the U.S. aggregate bond index registering the highest total return since 2020 [7] - The yield curve steepened during the quarter as short-term yields fell while long-term yields rose modestly [7] - The agency market experienced significant spread tightening following GSE's MBS purchase announcements [20] Company Strategy and Development Direction - The company aims to increase capital allocation to residential credit and MSR, targeting a long-term equity allocation of 50% Agency MBS, 30% RESI, and 20% MSR [78][79] - The diversified housing finance model is expected to continue performing well for shareholders, with a focus on maintaining market leadership across various strategies [21][22] Management's Comments on Operating Environment and Future Outlook - The macroeconomic environment remains solid, with the labor market showing signs of softness but limited layoffs [5][6] - Management expressed confidence in the durability of the swaps market as a hedge and the overall stability of the agency market [31][32] - The company anticipates continued growth in the non-agency market and is well-positioned to benefit from increased liquidity in the non-QM market [20][21] Other Important Information - The company raised $560 million of common equity in Q4, bringing total equity raised in 2025 to $2.9 billion [9] - The efficiency ratio improved to 1.31% for Q4, with a full-year ratio of 1.42% [27] Q&A Session Summary Question: Update on mark-to-market book values - Management reported a 4% increase in book value, inclusive of dividend accrual [30] Question: Portfolio returns and comfort level with dividend in 2026 - Management expressed confidence in achieving mid-teens returns and stated the dividend is safe [31][32] Question: Insights on MSR portfolio and current coupon MSR - Management discussed the infrastructure set up for active participation in the MSR market and the potential for increased origination [36][40] Question: Impact of G-fee cuts on prepayment environment - Management indicated that a G-fee cut on purchase loans could be beneficial, but broad cuts might negatively impact the MBS market [46] Question: Risks that could change the low-risk environment - Management identified global fiscal risks and asset market euphoria as potential concerns [60][61] Question: Attractiveness of buying lower-coupon MBS - Management noted that valuations on low-coupon MBS are tight, and better ways to manage risk exist [68] Question: Likelihood of GSE portfolio caps being increased - Management stated uncertainty regarding the increase of caps but noted the GSEs have significant capacity [84]

Financial Data and Key Metrics Changes - The company's book value per share increased by 5% from $19.25 in the prior quarter to $20.21 as of December 31, 2025 [19] - Earnings Available for Distribution (EAD) rose marginally to $0.74, exceeding the dividend for the quarter [7][20] - Economic return for Q4 was 8.6%, bringing the full-year economic return to 20.2% [19][20] Business Line Data and Key Metrics Changes - The agency portfolio ended 2025 at $93 billion in market value, an increase of nearly $6 billion quarter-over-quarter and $22 billion year-over-year [8] - The residential credit portfolio reached $8 billion in market value, up $1.1 billion quarter-over-quarter, representing approximately 19% of the firm's capital [10] - The mortgage servicing rights (MSR) portfolio ended the fourth quarter at $3.8 billion in market value, a nearly $280 million increase quarter-over-quarter and a 15% increase year-over-year [13] Market Data and Key Metrics Changes - Fixed income markets exhibited strong performance, contributing to the highest total return in the U.S. aggregate bond index since 2020 [5] - The yield curve steepened during the quarter as short-term yields fell while long-term yields rose modestly [5] - Swap spreads continued to widen, supported by a shift from Quantitative Tightening to balance sheet expansion by the Fed [6] Company Strategy and Development Direction - The company aims to increase its allocation to residential credit and MSR, targeting a long-term weighting of 50% agency, 30% residential credit, and 20% MSR [46][47] - The diversified housing finance model is expected to continue performing well for shareholders, with a focus on opportunistic investments in the current coupon MSR market [18] - The company remains well-positioned to benefit from growth in the non-QM market and the broader non-agency market [13][17] Management's Comments on Operating Environment and Future Outlook - The macroeconomic environment remains solid, with the labor market showing signs of softness but limited layoffs [4] - The company anticipates continued strong results from its investment strategies in 2026, supported by favorable market conditions [16][18] - Risks include global fiscal challenges and potential changes in housing policy that could impact the agency markets [39][40] Other Important Information - The company raised $560 million of common equity through its ATM in Q4, bringing total equity raised in 2025 to $2.9 billion [8] - The economic leverage ratio remained low at 5.6x, down from the previous quarter [22] - Total assets available for financing reached approximately $9.4 billion, providing significant liquidity and flexibility [23] Q&A Session Summary Question: Update on mark-to-market book values - The book value was up 4%, inclusive of the dividend accrual, with a slight increase noted [25] Question: Portfolio returns and comfort level with the dividend in 2026 - The company expects mid-teens returns and feels confident about the durability of the swaps market as a hedge [26] Question: Insights on the MSR portfolio and current coupon MSR - The company is now active in the MSR exchange platforms and is well-positioned to manage recapture effectively [27][29] Question: Impact of potential G-fee cuts on prepayment environment - A G-fee cut on purchase loans is seen as appropriate, but broad cuts could negatively impact the MBS market [31] Question: Factors that could change the current low-risk environment - Risks include global fiscal issues and asset market euphoria, which could lead to corrections [39] Question: Attractiveness of buying lower-coupon MBS - The valuation on low-coupon MBS is tight, and better ways to manage risk are available [41] Question: Likelihood of GSE portfolio caps being increased - The current capacity is far from hitting caps, and future increases remain uncertain [48]

Core Insights - The article discusses the implications of recent regulatory changes on the financial services industry, particularly focusing on data privacy and consumer protection measures [1] Group 1: Regulatory Changes - Recent regulations emphasize the importance of consumer data protection, requiring companies to enhance their privacy policies and practices [1] - Financial institutions are now mandated to provide clearer disclosures regarding data usage and sharing, impacting their operational frameworks [1] Group 2: Industry Impact - The changes are expected to lead to increased compliance costs for financial firms, potentially affecting their profitability in the short term [1] - Companies that adapt quickly to these regulations may gain a competitive advantage by building consumer trust and loyalty [1]

Group 1 - KBRA has assigned preliminary ratings to three classes of FREMF Series 2026-K176 mortgage pass-through certificates and three classes of Freddie Mac structured pass-through certificates, with the total transaction amounting to $1.3 billion [1] - The underlying transaction is backed by 49 fixed-rate multifamily mortgage loans, with principal balances ranging from $2.1 million to $110.6 million, and the largest loan being Crystal Square at 8.8% of the pool [2] - The five largest loans account for 35.1% of the cut-off date balance, with significant concentrations in Virginia (20.5%), New York (10.8%), and Washington D.C. (8.5%) [2] Group 2 - KBRA's analysis utilized its CMBS Multi-Borrower rating process, estimating a weighted average KNCF that is 4.2% lower than the issuer's NCF, and applying capitalization rates that resulted in property values being 40.3% lower than third-party appraisals [3] - The weighted average KBRA capitalization rate for the transaction is 8.51%, and the credit model incorporates various stresses and calculations to determine potential losses for each loan [3]

Financial Data and Key Metrics Changes - The total economic return for the fourth quarter was 10.2%, consisting of $0.51 of common dividends and a $0.78 increase in book value per share [25] - For the year, the book value increased by $0.75, and $2 of dividends per common share were declared, paid monthly [25] - Comprehensive income for the quarter was $190 million and $354 million for the year [25] - The company ended the quarter with leverage of 7.3x total equity and a strong liquidity position of $1.4 billion in cash and unencumbered securities, representing over 55% of total equity [25] Business Line Data and Key Metrics Changes - The TBA and mortgage-backed securities portfolio started the year at $9.8 billion, grew to $15.8 billion by the end of September, and ended the year at $19.4 billion, with approximately $22 billion currently [27] - The company raised and invested over $1 billion in 2025, with a price-to-book valuation rising [16] Market Data and Key Metrics Changes - The company experienced a 29.4% total shareholder return in 2025, driven by both dividend income and significant share price performance [8] - The total equity market capitalization, including preferred shares, was $3 billion at the end of the reporting period [8] Company Strategy and Development Direction - The company emphasizes a performance-first mentality and ethical stewardship of shareholders' capital, focusing on risk management and adaptability [4][6] - The strategy includes raising capital at accretive levels to expand the equity base and improve trading liquidity, which strengthens the shareholder base and lowers the cost of capital [12][13] - The company is prepared for a rapidly changing global landscape, with a focus on liquidity and flexibility in its risk appetite [10] Management's Comments on Operating Environment and Future Outlook - Management highlighted the importance of government policy in shaping asset returns and indicated that the current environment presents both risks and opportunities [14][18] - The return of GSE balance sheets is expected to provide a technical tailwind for spreads, supporting valuations and limiting spread widening [18][20] - Management expressed confidence in the ability to generate reliable dividends backed by a resilient portfolio, attracting capital seeking durable income [11][12] Other Important Information - The company has made significant investments in its team and infrastructure, including the addition of a new Chief Operating Officer and expansion of its legal and investment teams [9] - General and administrative expenses as a percentage of capital decreased from 2.9% to 2.1% year-over-year [29] Q&A Session Summary Question: Can you quantify where you see incremental investment returns today? - Management indicated that hedged ROEs are in the mid-teens with leverage around 7x, and with targeted leverage in the low eights, ROEs could reach mid- to high teens [33] Question: How does this compare to three months ago given the spread tightening? - The dynamic is that spreads are approximately 150 to 300 basis points tighter than at the end of the previous quarter [35] Question: What is the probability of politically motivated actions to improve housing affordability? - Management acknowledged the historical role of GSEs in managing housing and indicated that government intervention is possible, including lowering G-fees [49] Question: Can you provide an update on where you've deployed the capital raised in January? - The company is finding opportunities primarily in the belly of the coupon stack, particularly in fives and five and a halves [55] Question: What is the appropriate size of the portfolio in context with the current opportunity set? - Management believes there are significant opportunities to generate alpha and that the company can grow while still maintaining a compelling investment environment [63][64]

Core Viewpoint - President Trump's housing policy proposals, including preventing institutional investors from buying single-family homes and allowing Americans to use 401(k) savings for down payments, may not effectively address the root causes of high housing costs and could make homeownership less accessible for many Americans [1][4]. Group 1: Housing Policy Proposals - Trump announced a ban on institutional investors purchasing single-family homes, claiming it is unfair to the public [3]. - The administration plans to direct Fannie Mae and Freddie Mac to purchase $200 billion in mortgage-backed securities to lower mortgage rates [2]. - Trump has proposed capping credit card interest rates at 10% to help Americans save for home purchases [3]. Group 2: 401(k) Withdrawal Proposal - The proposal to allow Americans to use 401(k) funds for down payments could require congressional approval due to potential tax code changes [4]. - Currently, Americans can withdraw up to $10,000 from IRAs for home purchases without penalties, but this does not apply to 401(k)s unless a penalty is paid [6]. - The median home price in the U.S. is approximately $428,000, meaning a typical down payment could be around $81,000 [3]. Group 3: Benefits and Drawbacks of the Proposal - The number of first-time homebuyers has decreased significantly, with many relying on borrowed money or gifts for down payments [5]. - While accessing 401(k) funds could provide liquidity for down payments, it risks concentrating investments into a single asset, which could be detrimental if housing prices decline [10][12]. - Experts argue that the proposal does not address the supply side of the housing market, potentially exacerbating affordability issues by increasing competition for homes [11][12]. Group 4: Retirement Savings Concerns - The median retirement savings for Americans aged 45 to 55 is $115,000, which may not be sufficient for a comfortable retirement [13]. - Experts suggest that making it easier to access retirement savings for non-retirement purposes could worsen financial security for many individuals [14].