ENDNOTES (cont’d) Our Investment Strategies | Agency Source: Company filings. Financial data as of December 31, 2023. 1. Agency assets reflect TBA purchase contracts (market value) of ($0.6)bn. 2. Includes TBA purchase contracts. 3. Represents Agency’s hedging profile and does not reflect Annaly’s full hedging activity. Our Investment Strategies | Residential Credit Source: Company filings. Financial data as of December 31, 2023. 1. Residential Credit assets exclude assets transferred or pledged to securitization vehicles of $13.3bn, include $1.4bn of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $1.1bn. 2. Includes a $414mm and $496mm whole loan securitization that priced in January 2024, a $412mm and $440mm whole loan securitization that priced in February 2024 and a $592mm and $398mm whole loan securitization that priced in March 2024. 3. Issuer ranking data from Inside Nonconforming Markets for 2022 through 2023 year-end (January 5, 2024 issue). Our Investment Strategies | Mortgage Servicing Rights Source: Company filings. Financial data as of December 31, 2023. 1. MSR assets includes limited partnership interests in a MSR fund, which is reported in Other Assets. 2. Portfolio excludes retained servicing on whole loans within the Residential Credit portfolio. 3. Includes unsettled commitments of $518mm. MSR commitments represent the market value of deals where Annaly has executed a letter of intent. Financing, Capital & Liquidity Source: Company filings. Financial data as of December 31, 2023. 1. Repo balances exclude Residential Credit facilities and US Treasuries reversed in to support the UST short trade. 2. Represents a non-GAAP financial measure. Refer to the “Non-GAAP Financial Measures” section of the 10-K for additional information. 3. Includes a $414mm and $496mm whole loan securitization that priced in January 2024, a $412mm and $440mm whole loan securitization that priced in February 2024 and a $592mm and $398mm whole loan securitization that priced in March 2024. 4. Includes Residential Credit securitizations. 5. Amount raised through the Company’s at-the-market sales program for its common stock, net of sales agent commissions and excluded other offering expenses. 6. 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. Onslow Bay Strategic Milestones Source: Company filings. Financial data as of December 31, 2023. 1. Issuer ranking data from Inside Nonconforming Markets for 2022 through 2023 year-end (January 5, 2024 issue). 2. Includes a $414mm and $496mm whole loan securitization that priced in January 2024, a $412mm and $440mm whole loan securitization that priced in February 2024 and a $592mm and $398mm whole loan securitization that priced in March 2024. 3. Based on data from the BofA Securities Non-QM Shelf and Deal Report, December 31, 2023. 4. Information aggregated from 2023 Fannie Mae and Freddie Mac monthly loan level files by eMBS servicing transfer data as of December 31, 2023. 5. Includes unsettled commitments of $518mm. MSR commitments represent the market value of deals where Annaly has executed a letter of intent. 6. Based on data from the Inside Mortgage Finance for the period ended December 31, 2023. Corporate Responsibility & Governance Note: Data as of December 31, 2023, unless otherwise noted. 1. Financial services 2023 turnover rate estimated based on most recent data from the U.S. Bureau of Labor Statistics. Board Composition & Shareholder Engagement Efforts Board composition as of April 2024. 1. Representative of outreach during 2023-2024 proxy season and shareholder base as of December 31, 2023. Shareholder data per Ipreo as of December 31, 2023. 26 ANNALY CAPITAL MANAGEMENT, INC.
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