Annaly Capital Management (NLY) investor relations material

Residential credit platform

• Residential credit portfolio held $10.4bn of economic assets and $3.8bn of dedicated capital at Q2 2026, ~22% of total equity.

• Portfolio composition: 45% residential whole loans, 38% OBX retained bonds and 17% third-party securities.

• Onslow Bay purchases residential whole loans and mortgage servicing rights, issues OBX securitizations and uses securitization to provide term funding for whole-loan holdings.

• Since 2018, aggregate securitization issuance reached ~$65bn; the September 2026 OBX 2026-NQM14 deal marked the 134th securitization.

Origination and securitization

• Correspondent sourcing is the majority of loan purchases, with ~380 approved correspondents; the channel supports centralized pricing and underwriting control.

• Q2 2026 locked loans had weighted-average original FICO of 766 and CLTV of 68%; <1% of current locks had both CLTV >80% and FICO <700.

• September 2026 pipeline was ~95% first-lien aggregation; Expanded Prime and DSCR Investor loans represented 45.8% and 41.9%, respectively.

• 2026 YTD average broadly syndicated OBX NQM deal size was $904mm; NQM8 was the first deal above $1bn, followed by two more $1bn+ transactions.

• Retention exceeds regulatory minimums, with stated alignment through significant retained exposure; Onslow Bay has never sold below BBB on a new-issue NQM transaction.

Credit performance and risk controls

• Across ~$65bn of OBX issuance, realized bond losses including deferrals were ~$3.5mm as of August 25, 2026; OBX NQM delinquencies ranked second-lowest among the five largest issuers.

• Of loans at least 12 months seasoned that were D60+ a year earlier, 37% had paid in full, 31% were current and 20% remained D60+ or in REO; 2% were liquidated with a loss.

• New-origination NQM loans receive credit, compliance and valuation diligence; loan performance is monitored using daily sub-servicer feeds and portfolio risk indicators are tracked daily.

• Counterparty controls include committee approval, annual recertification and ongoing monitoring of regulatory findings, commitments, repurchase requests and financial condition.