GLOSSARY OF TERMS BBREMTG Index: Represents the Bloomberg Mortgage REIT Index as of December 31, 2023, including Annaly CRT: Refers to Credit Risk Transfer Securities Dedicated Capital: Represents the capital allocation for each of the investment strategies calculated as the difference between each investment strategies’ assets and related financing. This calculation includes TBA purchase contracts and excludes non-portfolio related activity and will vary from total stockholders’ equity Economic Return: Refers to the Company’s change in book value plus dividends declared divided by the prior period’s book value Ginnie Mae: Refers to the Government National Mortgage Association GSE: Refers to government sponsored enterprise LTV: Refers to Loan to Value mREIT: Refers to mortgage Real Estate Investment Trust MSR: Refers to Mortgage Servicing Rights Non-Performing Loan (“NPL”): Refers to a loan that is close to defaulting or is in default Non-QM: Refers to a Non-Qualified Mortgage OBX: Refers to Onslow Bay Securities Re-Performing Loan (“RPL”): Refers to a type of loan in which payments were previously delinquent by at least 90 days but have resumed TBA: Refers to a To-Be-Announced security UPB: Refers to Unpaid Principal Balance WAC: Refers to Weighted Average Coupon 24 ANNALY CAPITAL MANAGEMENT, INC.
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