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 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) Agile platform that can deploy capital across both the residential whole loan and the Non-Agency securities markets Continued expansion of whole loan sourcing capabilities through the Onslow Bay correspondent channel 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 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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