Annaly Capital Management Inc.

Good morning, and welcome to the fourth quarter of 2025 earnings call for Annali Capital Management. All participants will be in listen-only mode. Should you need assistance, please signal a conference specialist by pressing star then zero on your telephone keypad. After today's presentation, there will be an opportunity to ask questions. To ask a question, you may press star then one on your telephone keypad. To withdraw your question, please press star then two. Please note, today's event is being recorded. I would now like to turn the conference over to Shawn Ketzel, Director of Investor Relations. Please go ahead.

Shawn Ketzel, Director of Investor Relations, Good morning, and welcome to the fourth quarter 2025 earnings call for Annaleigh Capital Management. Any forward-looking statements made during today's call are subject to certain risks and uncertainties, which are outlined in the risk factors section in our most recent annual and quarterly SEC filings. Actual events and results may differ materially from these forward-looking statements. We encourage you to read the disclaimer in our earnings release in addition to our quarterly and annual filings. Additionally, the content of this conference call may contain time-sensitive information that is accurate only as of the date hereof. We do not undertake and specifically disclaim any obligation to update or revise this information. During this call, we may present both GAAP and non-GAAP financial measures. A reconciliation of GAAP to non-GAAP measures is included in our earnings release. Content referenced in today's call can be found in our fourth quarter 2025 investor presentation and fourth quarter 2025 financial supplement, both found under the presentation section of our website. Please also note this event is being recorded. Participants on this morning's call include David Finkelstein, Chief Executive Officer and Co-Chief Investment Officer, Serena Wolf, Chief Financial Officer, Mike Fania, Co-Chief Investment Officer and Head of Residential Credit, V.S. Srinivasan, head of agency, and Ken Adler, head of mortgage servicing rights. And with that, I'll turn the call over to David.

Thank you, Sean. Good morning, everyone, and thank you all for joining us for our fourth quarter earnings call. Today, I'll open with a brief overview of the macro and market environment and then touch on our performance for the quarter and the year, following which I'll provide an update on each of our three investment strategies and conclude with our outlook for 2026. Serena will then discuss our financials before opening up the call to Q&A. Now, starting with the macro landscape, The fourth quarter supported the prevailing narrative of a solid U.S. economy. Although official data flow was disrupted by the government shutdown, reports received thus far suggest that the expansion continues at an above-trend pace. The labor market remains soft, however, as hiring slowed further in Q4, but limited layoffs and a reduction in labor force growth have muted the rise in the unemployment rate. Fixed income markets exhibited another strong quarter, in turn helping 2025 register the highest total return in the U.S. aggregate bond index since 2020. The market benefited from continued strong inflows into bond funds and the ongoing decrease in both implied and realized rate volatility to the lowest levels since 2021. This decline in volatility was supported by a more predictable outlook for monetary policy, and following 75 basis points of aggregate rate cuts in 2025, markets currently price nearly two additional cuts later this year. The pace and realization of those projected cuts will be dependent on developments in the labor market, stability and inflation, and the composition of the FOMC going forward. The yield curve further steepened during the quarter, and short-term yields fell while long-term yields rose modestly. Swap spreads continued to widen, partially driven by a shift on the part of the Fed from quantitative tightening to balance sheet expansion through reserve management purchases and bills, which served to increase the stability in short-term funding markets. Amid this constructive environment, our portfolio generated an economic return of 8.6% for the fourth quarter, with all three businesses contributing solid returns. For the full year 2025, we've delivered an economic return of just over 20% and a total shareholder return of 40%, underscoring the strength and resilience of our diversified housing finance strategies. And notably, we've been able to produce these results with a conservative leverage profile, and our economic leverage decreased modestly to 5.6 turns on the quarter. Our earnings available for distribution rose marginally to $0.74, again out-earning our dividend. And also to note, we remained active in capital markets, raising $560 million of common equity through our ATM in Q4, bringing total equity raised in 2025 to $2.9 billion, inclusive of our Series J preferred stock issuance this past summer. With capital raised, we were able to accretively grow our portfolio by 30% on the year, with each of our three strategies demonstrating double-digit growth. Now turning to our investment businesses and beginning with agency, our portfolio ended 2025 at $93 billion in market value, an increase of nearly $6 billion on the quarter, and $22 billion over the course of the year, with agency ending the year representing 62% of the firm's capital. In addition to MBS benefiting fundamentally from lower volatility and a steeper yield curve, sector has exhibited a highly supportive supply and demand picture as well. In particular, strong and consistent bond fund inflows, REIT equity raises, and GSE portfolio growth of $50 billion through year-end against a backdrop of net MBS supply surprising to the downside helped fuel spread contraction in the second half of 2025. With respect to our portfolio activity, our purchase is centered on adding 5% coupons evenly split between pools and TBAs. Given the range-bound rate environment and steeper curve, we were comfortable taking on current coupon exposure to drive higher returns in light of the anticipated reduced hedging costs. And we also grew our agency CMBS portfolio by roughly $1 billion, given the sector's relative attractiveness compared to lower coupon MBS. With mortgage rates approaching 6% and recent prepay activity highlighting a more reactive borrower, higher coupons lagged on the coupon stack. However, we have deliberately constructed our specified pool portfolio with enough call protection to withstand a lower rate environment. For example, our 6% and 6.5% coupon pools have prepaid 40% slower than that of generic, cheapest-to-deliver collateral, and we anticipate our holdings in these coupons should provide durable carry for years to come. Now, our hedge position remained broadly stable this quarter, consistent with our strategy of maintaining a conservative rate posture. With volatility at some of the lowest levels we've experienced over the past five years, our duration management focused predominantly on hedging new asset purchases using a combination of both treasury futures and swaps. Now, shifting to residential credit, our portfolio ended the fourth quarter at $8 billion in market value, up $1.1 billion quarter over quarter, representing approximately 19% of the firm's capital. Non-agency residential credit was relatively range-bound throughout the quarter, with AAA non-QM spreads ending the year marginally tighter at 125 to the curve. Q4 represented another record quarter for our Onslow Bay franchise as we achieved all-time highs across lock volume, fundings, and securitization issuance. During the quarter, our correspondent channel locked and funded $6.4 billion and $5 billion, respectively. We settled an additional $800 million of whole loans via bulk acquisitions, and we closed eight securitizations, totaling $4.6 billion. And this securitization activity resulted in the creation of $570 million of proprietary OBX assets on the quarter with mid-teens expected ROEs. And throughout the entire year, we locked over $23 billion of loans to the correspondent and funded $16.5 billion exclusively through that channel, representing an increase of 30% and 40% year-over-year, respectively. During 2025, we closed 29 securitizations for an aggregate $15.2 billion, generating approximately $1.9 billion of high-quality retained assets for Annalie and our joint venture, while remaining firmly entrenched as the largest non-bank issuer in the residential credit sector. And even with the continued growth in the Onslow Bay Channel and securitization program, we remain disciplined on credit, with our current locked pipeline representing a 762 weighted average FICO and a 68 original LTV with limited layered risk. Now, the first few weeks of 2026 have been marked by credit spread tightening as both the corporate credit and structured finance asset classes have strengthened given the movement in the agency MBS market. Now, this is a supportive backdrop for our business as declining cost of funds and stability in capital markets should keep our volumes elevated. Given our market leadership, Analeigh remains well-positioned to continue to benefit from the growth and liquidity of not only the non-QM market, but also the broader non-agency market, which is expected to experience the highest growth securitization issuance since 2007 this year. Now, turning to MSR, our portfolio ended the fourth quarter at $3.8 billion in market value, including unsettled commitments, representing a nearly $280 million increase quarter over quarter and a 15% increase year over year. And MSR ended the year representing 19% of the firm's capital. And during the quarter, we committed to purchase $22 billion in principal balance, or roughly $330 billion in market value of MSR, with a weighted average note rate of 3.46%. Now, these purchases were across five bulk packages in our flow channels, of which $150 million in market value is expected to settle in Q1. Notably, we are the second largest buyer of conventional MSR in 2025, onboarding $59 billion in UPB throughout the year, and we ranked as the sixth largest non-bank agency servicer. Bulk supply was ample this past year, and we expect this pace of activity to continue in 2026 due to increasing origination volumes coupled with compressed gain-on-sale margins necessitating MSR sales, as demonstrated throughout 2025. Now regarding our flow business, we're focused on expanding our footprint and are now active across all GSE platforms, providing access to current coupon MSR, which we plan to purchase opportunistically. Our MSR valuation multiple increased marginally on the quarter, driven by a steeper yield curve, modest spread tightening, and lower volatilities. Fundamental performance within the MSR portfolio continues to be strong and cash flows remain durable. The portfolio paid 4.6 CPR in Q4, unchanged quarter over quarter, while serious delinquencies remain muted at 55 basis points. And with a weighted average note rate at 3.28%, our portfolio is still 250 basis points out of the money. As we continue to enhance our subservicing and recapture relationships, we look forward to growing our MSR portfolio in the coming year, taking advantage of the role we've created as a preferred partner to the originator and servicer community. Now, to conclude with our outlook, as we look further into 2026, each of our investment strategies is well positioned to continue delivering strong results for our shareholders. The agency spread tightening following the GSE's recent MBS purchase announcement has been pronounced, but it is important to note that not only are technicals in the market vastly better than at any time since the Fed was actively buying MBS, also MBS hedging costs should be meaningfully lower given the decline in volatility, supporting low to mid-teen prospective returns. We anticipate the non-agency market to continue to grow as a share of total origination, and Onslow Bay is uniquely positioned to maintain its healthy pace of loan acquisitions and securitization issuance. The non-QM market in particular has matured into a more liquid institutional asset class, and our early positioning gives us significant competitive advantages in loan selection and execution. And our best-in-class MSR portfolio remains distinguished with an average note rate that is significantly out of the money and an exceptional credit profile, which provides our portfolio with a stable cash flow vehicle, supporting our overall yield and returns. Most importantly, we believe our diversified housing model will continue to perform for our shareholders in the year ahead. In an environment where spreads across various asset classes have tightened unevenly, the optionality to invest in the most accretive assets is an important lever to drive returns that monoline peer strategies are not afforded. And accordingly, while agency will certainly continue to remain the anchor of our portfolio, our non-agency strategies will likely see additional capital allocation all else equal. We do, however, have the earnings power and the liquidity to be both patient and opportunistic. And the scale to maintain our market leadership across housing finance and our diversification enables us to be resilient across different rate cycles and market environments. And now with that, I'll hand it over to Serena to discuss the financials.