Onslow Bay, Annaly’s wholly owned subsidiary through which we purchase Non-Agency loans, issue securitizations and own MSR, has firmly established itself as a leader in the Residential Credit and MSR markets with significant growth in 2023 ONSLOW BAY STRATEGIC MILESTONES SINCE THE BEGINNING OF 2023 Largest non-bank issuer of Prime Jumbo & Expanded Credit MBS from 2022 to 2023(1) Since the beginning of 2023, completed 19 whole loan securitizations for $7.7 billion in proceeds(2) Purchased $4.7 billion in whole loans throughout 2023, of which $3.9 billion were acquired through our correspondent channel Record year of loan locks in 2023 with $7.6 billion in lock volume, and each quarter surpassed the prior quarter Portfolio continues to exhibit exceptional credit quality, including: – Original FICO of 758 and Original LTV of 68% – Mark-to-market LTV of 60% Top 10 non-bank servicer, servicing 1.7% of the Agency MBS market(4) MSR portfolio grew by nearly 1.5x to $2.7 billion in assets year-over-year(5) Fifth largest buyer of bulk MSR in 2023(6) onboarding over $42 billion of UPB throughout the year Attractive portfolio with very low WAC, stable cash flows and high credit quality collateral – WAC of 3.06% – Original FICO of 758 and LTV of 70% – 3 Month CPR of 2.9% Leading Securitizer Non-Bank Issuer of Prime Jumbo & Expanded Credit MBS and #2 Issuer Overall from 2022 to 2023(1) #1 Exceptional Credit Quality Lowest Delinquencies (D60+) Amongst Top 10 Non-QM Issuers(3) #1 Scaled Platform Non-Bank Servicer of the Agency MBS Market(4) Top 10 Portfolio Growth Largest Buyer of Bulk MSR in 2023(6) 5th Residential Credit Mortgage Servicing Rights Note: Please refer to Glossary for defined terms and “Onslow Bay Strategic Milestones” in Endnotes section for footnoted information. 19 2023 ANNUAL REPORT
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