I keep going back and forth on Annaly at roughly 13.5% yield versus just sitting in a 6-month T-bill at 5.3

The thing I keep coming back to with Annaly specifically is book value erosion eating the yield before you ever cash it. I ran a rough back-of-napkin on a position I looked at seriously in late 2022, entry around $6.40, collected two quarters of dividends, book had already slid enough that total return was flat to slightly negative even with the income counted. The 13.5% headline number assumes price holds, and with NLY that assumption has a bad historical track record over anything longer than a 12-month window. The 88-cent quarterly figure you're quoting is also already the post-cut number, so you're not getting compensated for the cut that already happened, you're just hoping the next one doesn't come.

The bucket framing you mentioned at the end is actually how I'd think about it if I were going to do both, but I'd size the mREIT piece at something I could afford to watch go to zero without it changing my next move. Not being dramatic, just meaning it shouldn't be dry powder at all, it should be risk capital that generates income, treated more like a small equity position that happens to throw off cash. The T-bill side stays liquid, rolls every six months, and gives you the actual optionality to deploy when something dislocates. The mistake I've seen people make is they call the mREIT the "income bucket" and the T-bill the "waiting bucket" and then when rates drop and NLY cuts again they're stuck because both buckets are now doing less than expected at the same time. Keep them mentally separate with different jobs and different tolerance levels or the whole thing gets muddy fast.

The dry powder framing is exactly right, just run with it explicitly. T-bills are your optionality budget, NLY is your yield budget, and mixing them mentally is what creates the paralysis.

The number I'd want before touching NLY right now is their economic return on equity for the last two quarters, not just the dividend yield, because that's where the book erosion either shows up or doesn't.