NLY 2023 Annual Report

OBX Securitization History – UPB Issued ($mm)(2) Top Prime Jumbo & Expanded Credit MBS Issuers ($mm)(3) RESIDENTIAL CREDIT The Annaly Residential Credit Group invests in non-Agency residential mortgage assets within the securitized product and whole loan markets ASSETS(1) DEDICATED CAPITAL $5.7bn $2.3bn Strategic Approach ƒ Programmatic securitization sponsor of new origination, residential whole loans with fifty-eight deals comprising $23 billion of issuance completed since the beginning of 2018(2) ƒ Agile platform that can deploy capital across both the residential whole loan and the Non-Agency securities markets ƒ Continued expansion of whole loan sourcing capabilities through the Onslow Bay correspondent channel ƒ Whole loan acquisition and securitization program provides the ability to create proprietary investments tailored to desired credit preferences with control over asset selection, counterparties and loss mitigation ƒ Modest use of balance sheet leverage with most positions term financed through securitization Note: Please refer to Glossary for defined terms and “Our Investment Strategies | Residential Credit” in Endnotes section for footnoted information. Annaly Securitization History $1,094 $2,095 $1,846 $3,857 $6,196 $7,693 3 5 4 10 16 19 2018 2019 2020 2021 2022 2023-2024YTD UPB Issued Deal Count 0 2 4 6 8 10 12 14 16 18Rank Issuer 2022–2023 1 JP Morgan 15,287 2 11,147 3 Invictus Capital Partners 11,021 4 Goldman Sachs 9,317 5 Blue River Mtg. / Angelo Gordon 5,179 6 Angel Oak 5,128 7 Lone Star Funds 4,756 8 A&D Mortgage 4,610 9 MFA Financial 3,949 10 Credit Suisse 3,373 15 2023 ANNUAL REPORT

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