MORTGAGE SERVICING RIGHTS The Annaly Mortgage Servicing Rights Group invests in mortgage servicing rights, which provide the right to service residential loans in exchange for a portion of the interest payments made on the loans MSR Holdings (Market Value, $mm) ASSETS(1) DEDICATED CAPITAL $2.7bn $1.9bn Strategic Approach MSR portfolio complements Annaly’s Agency MBS strategy by offering an attractive yield while providing a hedge to mortgage basis volatility and slower discount prepayment speeds As an established and scaled servicer, Annaly is wellpositioned for opportunistic and operationally efficient growth in both the bulk and flow MSR markets Annaly serves as a strategic partner to originators given certainty of capital and complementary business strategy Strong partnerships with network of subservicers Portfolio consists of low coupon, high quality conventional MSR (Fannie and Freddie)(2) Note: Please refer to Glossary for defined terms and “Our Investment Strategies | Mortgage Servicing Rights” in Endnotes section for footnoted information. MSR Portfolio Detail MSR by the Numbers(3) (Excludes Interests in MSR / MSR of LP Interest) $101 $545 $1,748 $2,122 $518 $42 $100 $39 $35 $2,675 $1,787 $645 $143 Q4 2020 Q4 2021 Q4 2022 Q4 2023 Unsettled MSR Commitments Interests in MSR / MSR of LP Interest MSR Portfolio Summary Collateral Characteristics Collateral Performance Market Value ($mm) $2,640 UPB ($bn) $188.3 Loan Count (‘000) 579 WAC 3.06% Avg Loan Size (‘000) $325 Orig FICO 758 Orig LTV 70% 1M CPR 2.7% 3M CPR 2.9% D30 0.7% D60+ 0.5% 16 ANNALY CAPITAL MANAGEMENT, INC.
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