ENDNOTES Annaly | Leader Across Residential Mortgage Finance Source: Company filings and Bloomberg. Market and financial data as of December 31, 2023. 1. Permanent capital represents Annaly’s total stockholders’ equity as of December 31, 2023. 2. Total portfolio represents Annaly’s investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Assets reflect TBA purchase contracts (market value) of ($0.6)bn, exclude assets transferred or pledged to securitization vehicles of $13.3bn and include unsettled MSR commitments of $0.5bn and $1.4bn of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $1.1bn. MSR commitments represent the market value of deals where Annaly has executed a letter of intent. 3. Comprised of $5.2bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets that have not been pledged or securitized (generally including cash and cash equivalents, Agency MBS, CRT, Non-Agency MBS, residential mortgage loans, MSR, reverse repurchase agreements, other unencumbered financial assets and capital stock), and $1.0bn of fair value of collateral pledged for future advances. 4. Represents total shareholder return for the period beginning October 7, 1997 through December 31, 2023. 5. Data shown since Annaly’s initial public offering in October 1997 through December 31, 2023 and includes common and preferred dividends declared. 6. Represents the estimated number of homes financed by Annaly’s holdings of Agency MBS, residential whole loans and securities, as well as multi-family commercial real estate loans, securities and equity investments. The number includes all homes related to securities and loans wholly-owned by Annaly and a pro-rata share of homes in securities or equity investments that are partially owned by Annaly. 7. Represents the cumulative impact of Annaly’s investments, including current and prior investments, with Capital Impact Partners. Power of Annaly Source: Company filings and Bloomberg. Market data as of December 31, 2023. Financial data as of December 31, 2023. 1. Representative of the BBREMTG Index. Excludes Annaly. 2. Permanent capital represents Annaly’s total stockholders’ equity as of December 31, 2023. 3. Comprised of $5.2bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets that have not been pledged or securitized (generally including cash and cash equivalents, Agency MBS, CRT, Non-Agency MBS, residential mortgage loans, MSR, reverse repurchase agreements, other unencumbered financial assets and capital stock), and $1.0bn of fair value of collateral pledged for future advances. Proven Results Source: Company filings and Bloomberg. Market data as of December 31, 2023. Financial data as of December 31, 2023. 4. Data shown since Annaly’s initial public offering in October 1997 through December 31, 2023 and includes common and preferred dividends declared. 5. Represents total shareholder return for the period beginning October 7, 1997 through December 31, 2023. Message from Our CEO Source: Company filings. Financial data as of December 31, 2023. 1. Refers to economic return relative to Agency-focused peers with Bloomberg mREIT Index from 2022-23. 2. Refers to economic return relative to Agency-focused peers with Bloomberg mREIT Index and the Bloomberg US MBS Index Total Return. 3. Represents full year 2023 operating expense as a percent of average equity relative to the mREIT index peer average. 4. Based on data from the BofA Securities Non-QM Shelf and Deal Report, December 31, 2023. 5. Information aggregated from 2023 Fannie Mae and Freddie Mac monthly loan level files by eMBS servicing transfer data as of December 31, 2023. 6. Represents Annaly MSR Group’s weighted average coupon as compared to members of the Bloomberg Mortgage REIT index with MSR holdings of over $1 billion. 7. Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section of the 10-K for additional information. 8. Comprised of $5.2bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets that have not been pledged or securitized (generally including cash and cash equivalents, Agency MBS, CRT, Non-Agency MBS, residential mortgage loans, MSR, reverse repurchase agreements, other unencumbered financial assets and capital stock), and $1.0bn of fair value of collateral pledged for future advances. 9. Issuer ranking data from Inside Nonconforming Markets for 2022 through 2023 year-end (January 5, 2024 issue). 10. Includes a $414 million and $496 million whole loan securitization that priced in January 2024, a $412 million and $440 million whole loan securitization that priced in February 2024 and a $592 million and $398 whole loan securitization that priced in March 2024. 11. In March 2024, Onslow Bay closed its $592.4mm non-QM transaction, OBX 2024-NQM4. 12. Represents total shareholder return for Annaly, the S&P 500 and the Bloomberg Mortgage REIT Index for the period beginning October 7, 1997 through December 31, 2023. 13. Data shown since Annaly’s initial public offering in October 1997 through December 31, 2023 and includes common and preferred dividends declared. Annaly Investment Strategies Source: Company filings. Financial data as of December 31, 2023. 1. Investment strategy pie charts are calculated off of total assets. 2. Permanent capital represents Annaly’s total stockholders’ equity as of December 31, 2023. 3. Includes TBA purchase contracts and fixed-rate pass-through certificates. 4. Represents the capital allocation for each of the investment strategies and is calculated as the difference between each investment strategy’s allocated assets, which include TBA purchase contracts, and liabilities. Dedicated capital allocations as of December 31, 2023 exclude commercial real estate assets. 5. Prime includes $5.0mm of Prime IO, OBX Retained contains $179.2mm of Prime IO and Prime Jumbo IO and Prime Jumbo includes $70.4mm of Prime Jumbo IO. 25 2023 ANNUAL REPORT
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