Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Onslow Bay Financial — Debt Investor Presentation (October 2026)
40 slides from Annaly Capital Management's debt investor presentation, October 2026
Slide 1: Onslow Bay Financial LLC
Onslow Bay Financial LLC October 2026
Slide 2: Important Notices
Important Notices This presentation is issued by Onslow Bay Financial LLC (“Onslow Bay”) and its parent company, Annaly Capital Management, Inc. ("Annaly“ and, together with Onslow Bay, the “Companies”), an internally-managed, publicly traded company that has elected to be taxed as a real estate inv
Slide 3: Table of Contents
Table of Contents Annaly Capital Management, Inc. Overview 4 Onslow Bay Financial LLC 7 Onslow Bay Correspondent & OBX Platform 10 Onslow Bay Performance 18 Onslow Bay Dedicated Resources and Processes 24 Appendix 28 Market Rankings 29 Recent Securitizations 33 Onslow Bay Investor Relations 36 Annal
Slide 4: Annaly Capital Management, Inc. Overview
Annaly Capital Management, Inc. Overview 4
Slide 5: Established, Scaled Platforms Across Annaly's Investment Strategies
Established, Scaled Platforms Across Annaly’s Investment Strategies Total Portfolio(1): Agency Residential Mortgage Servicing $109.4bn Credit Rights Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights, which collateraliz
Slide 6: Annaly's Residential Credit Portfolio
Annaly’s Residential Credit Portfolio $10.4 bn $3.8 bn of economic assets(1) of dedicated capital ▪ Annaly Residential Credit portfolio: $10.4 billion in assets(1) at the end of Q2 2026 & $3.8 billion of dedicated capital (~22% of the firm’s equity) Third Party − Portfolio(2) consists of: OBX Retain
Slide 7: Onslow Bay Financial LLC
ANNALY Onslow Bay Financial LLC
Slide 8: Annaly Residential Credit | Onslow Bay Financial LLC
Annaly Residential Credit | Onslow Bay Financial LLC Annaly purchases residential whole loans and mortgage servicing rights through Onslow Bay Financial LLC (“Onslow Bay”) What is Onslow Bay Financial? ▪ Onslow Bay is a wholly owned subsidiary of Annaly Capital Management, Inc. (“Annaly”), equity ti
Slide 9: Full Alignment With Securitization Investors
Residential Credit | Full Alignment With Securitization Investors Public equity ticker: NLY US Equity Annaly Resi-Credit Fund LP Largest mortgage REIT $900mm committed third party capital 25+ years as a public company Closed-end PE-style fund Fund mandate is to replicate Annaly’s economics in the Ta
Slide 10: Onslow Bay Correspondent & OBX Platform
Onslow Bay Correspondent & OBX Platform 10
Slide 11: What Differentiates Onslow?
Onslow Bay Financial | What Differentiates Onslow? Onslow Bay continues to lead from the front in growing the Non -QM Market ✓ Programmatic issuer with securitization as a business model leading to strong liquidity in the OBX shelf in both primary secondary and markets ▪ 2nd largest RMBS Issuer and
Slide 12: Loan Acquisition
Onslow Bay Financial | Loan Acquisition Onslow Bay Correspondent Channel ▪ Majority of Onslow Bay loan purchases are aggregated via our fully scaled and diversified correspondent channel. Sourcing via a correspondent channel provides advantages to “bulk” or affiliated originator sourcing − No single
Slide 13: Tight Credit Standards
Onslow Bay Financial | Tight Credit Standards Onslow Bay’s correspondent channel displays strong credit characteristics ▪ Onslow Bay has tightened credit standards since the middle of 2022 through a combination of guideline adjustments (restriction of credit availability) and pricing ▪ Onslow Bay’s
Slide 14: September 2026 Locked Pipeline
Onslow Bay Financial | September 2026 Locked Pipeline Onslow Bay remains focused on st1 Lien aggregation (~95% of Onslow Bay’s pipeline) % <700 FICO, % <680 FICO, Type % GWAC FICO LTV CLTV % Investor % Cashout % CA % <680 FICO % <700 FICO % > 80 LTV >80 LTV > 85 LTV Expanded Prime 45.8% 7.131 772 69
Slide 15: OBX Securitizations
Onslow Bay Financial | OBX Securitizations Onslow Bay purchases and securitizes collateral across the residential credit spectrum Agency Closed End Non-QM Investor/Second HELOCs Prime Jumbo Other Seconds Homes Broadly Private Re- INV HE CES J - Syndicated Placements Securitizations UPB Issued $46.1b
Slide 16: Callable Pipeline and Relevers
Onslow Bay Financial | Callable Pipeline and Relevers Onslow Bay redeemed over $2bn of seasoned deals in Q4 2025 and 2026 YTD Deal Name Date Called UPB When Called GWAC OBX 2019-EXP1 25-Oct 38.5mm 6.211 OBX 2022-NQM8 25-Oct 291.4mm 6.433 OBX 2022-NQM9 25-Dec 249.2mm 6.704 OBX 2023-NQM1 26-Mar 265.4m
Slide 17: Onslow Bay Financial continues to reach new milestones
Onslow Bay Financial Onslow Bay continues to reach new milestones and adapt to ever changing market conditions November 2016 December 2025 Onslow Bay’s first bulk whole loan September 2023 Completed first OBX purchase under Annaly’s ownership Onslow Bay begins relever transaction structuring Non-QM
Slide 18: Onslow Bay Performance
ANNALY Onslow Bay Performance
Slide 19: Industry Leading Performance
Onslow Bay Financial | Industry Leading Performance High quality assets and hands-on active management lead to strong performance ▪ Despite the significant issuance volumes, Onslow Bay remains focused on sourcing top-tier credit ▪ Serious delinquencies among OBX Non-QM loans remain muted (second low
Slide 20: Tight Credit Standards
Onslow Bay Financial | Tight Credit Standards Onslow Bay’s credit box is tighter than industry, heightened focus on limiting layered risk NQM Outstanding, % <700 FICO NQM Outstanding, % >80 LTV 35% 30% 30% 25% 25% 20% 20% 15% 15% 10% 10% 7.8% 5% 5% 3.1% 0% 0% Source: BofA Research, “Non-QM Prepays,
Slide 21: Tight Credit Standards
Onslow Bay Financial | Tight Credit Standards Onslow Bay’s credit box is tighter than industry, heightened focus on limiting layered risk Shelf, All Issuance Total UPB ($mn) Fixed % ARM % WA FICO WA DTI GWAC %<700 ORIG FICO %>80 ORIG LTV OBX $27,322 90% 10% 758 37 7.04 7.8% 3.1% VERUS $21,103 89% 11
Slide 22: Delinquent Loan Performance
Onslow Bay | Delinquent Loan Performance Over 75% of loans that were D60+ a year+ ago have moved to a better status ▪ Population of the pie chart includes all seasoned Onslow Bay loans that first went D60+ on or before 8/31/2025 Liquidated With Loss REO 2% 3% ▪ Pie chart reflects the most recent sta
Slide 23: Prepayments
Onslow Bay Financial | Prepayments The OBX NQM shelf has offered superior convexity relative to other residential sectors ▪ Historical prepayment speeds demonstrate that the OBX Non-QM shelf has delivered a flatter S curve and more stable prepayment speeds relative to Agency MBS (FNMA), GNMA II (G2S
Slide 24: Dedicated Resources and Processes
Onslow Bay Dedicated Resources and Processes 24
Slide 25: Strong Commitment to Non-Agency Lending
Onslow Bay Financial | Strong Commitment to Non-Agency Lending Annaly has dedicated significant resources to building our mortgage finance strategies ▪ Annaly and its wholly-owned subsidiaries, including Onslow Bay, maintain a corporate headquarters in New York City while operating a scaled office f
Slide 26: Counterparty Oversight
Onslow Bay Financial | Counterparty Oversight Rigorous oversight of correspondent originators and partners; Onslow Bay makes Reps & Warrants direct into securitizations Whole Loan Acquisitions Description Correspondent ("Best Efforts") Bulk and Mini-Bulk Partners ▪ Origination partners offer Onslow
Slide 27: Robust Asset Management
Onslow Bay Financial | Robust Asset Management “Best in Class” asset management platform with deep experience ▪ Onslow Bay’s whole loan acquisition strategy and proactive portfolio management is guided by strong internal governance processes and credit discipline through meticulous asset selection,
Slide 28: Appendix
ANNALY Appendix
Slide 29: Market Rankings
ANNALY Mar et Rankings
Slide 30: Consolidated Loan Portfolio | Market Rankings
Onslow Bay Consolidated Loan Portfolio | Market Rankings Onslow Bay’s GAAP whole loan portfolio ranks as the th 9 largest first-lien loan position among banks Top Bank/Thrift First -Lien Residential Mortgage Portfolios ($bn),2Q26(1) Rank Issuer Total ($bn) 1 JPMorgan Chase & Co $306.0 2 Bank Of Amer
Slide 31: Securitizations | Market Rankings
Onslow Bay Securitizations | Market Rankings Onslow Bay is the largest issuer of prime jumbo and expanded credit MBS andnd2largest overall only to JP Morgan Top Expanded Credit MBS Issuers ($mm), 1Q25-2Q26(1) Top Prime Jumbo & ECM Issuers ($mm), 1Q25-2Q26(2) Total Total Rank Issuer Mkt Share Rank Is
Slide 32: MSR Portfolio | Market Rankings
Onslow Bay MSR Portfolio | Market Rankings th largest owner of servicing as of Q2 2026; th Onslow Bay is the 11 6 largest non-bank servicer Top Owners of Servicing ($bn), Q2 2026(1) Top Non-Bank Owners of Servicing ($bn), Q2 2026(1) Rank Servicer, Owned Servicing Owned Mkt Share Rank Servicer, Owned
Slide 33: Recent Securitizations
ANNALY Recent Securitizations
Slide 34: Securitizations | Non-QM Issuance YTD 2026
Onslow Bay Securitizations | Non-QM Issuance YTD 2026 OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026-R3 OBX 2026-R2 OBX 2026-R1 NQM14 NQM13 NQM11 NQM10 NQM9 NQM8 NQM7 NQM6 NQM5 NQM4 NQM3 NQM2 NQM1 Issue Date
Slide 35: Securitizations | Other Residential Credit Issuance YTD
Onslow Bay Securitizations | Other Residential Credit Issuance YTD OBX 2026-AHC4 OBX 2026-INV5 OBX 2026-J2 OBX 2026-AHC3 OBX 2026-AHC2 OBX 2026-HE2 OBX 2026-INV4 OBX 2026-HYB1 OBX 2026-INV3 OBX 2026-CES1 OBX 2026-AHC1 OBX 2026-INV2 OBX 2026-HE1 OBX 2026-INV1 OBX 2026-J1 Issue Date Aug-26 Jul-26 Jul-
Slide 36: Investor Relations
Onslow Bay Investor Relations 36
Slide 37: Investor Relations
Onslow Bay Financial | Investor Relations Onslow Bay Website www.onslowbayfinancial.com ▪ The Onslow Bay website provides an overview of the whole loan programs offered, as well as a matrix comparing underwriting criteria − A Quick Quote tool allows users to input terms of a loan and receive indicat
Slide 38: Annaly & Onslow Bay Corporate Responsibility
Annaly & Onslow Bay Corporate Responsibility 38
Slide 39: Corporate Responsibility Update
Corporate Responsibility Update Our Corporate Responsibility Vision: Annaly is committed to sustainable business practices and sound corporate governance. Our culture champions exceptional talent, shared ownership, and collaboration. We transparently pursue these priorities for our business objectiv
Slide 40: Deal Level ESG Disclosures
Onslow Bay Financial | Deal Level ESG Disclosures OBX securitizations disclose ESG metrics as identified by the SASB Mortgage Finance Standard Deal-Level Disclosures ▪ Starting in 2022, Onslow Bay started providing ESG disclosures on its securitizations based upon guidance from the Sustainability Ac
Onslow Bay Financial — Debt Investor Presentation (October 2026) on 6ix