Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Debt Investor Presentation (June 2026)
38 slides from Annaly Capital Management's debt investor presentation, June 2026
Slide 1: Onslow Bay Financial LLC
Onslow Bay Financial LLC June 2026
Slide 2: Important Notices
Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly“ or the “Company”), an internally-managed, publicly traded company that has elected to be taxed as a real estate investment trust for federal income tax purposes. This presentation is provided for investors in
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 17 Onslow Bay Dedicated Resources and Processes 23 Appendix 27 Market Rankings 28 Recent Securitizations 31 Onslow Bay Investor Relations 34 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 $106.7bn 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 $10.3 bn $3.8 bn of economic assets(1) of dedicated capital Annaly Residential Credit portfolio: $10.3 billion in assets(1) at the end of Q1 2026 & $3.8 billion of dedicated capital (~23% of the firm’s equity) OBX Retained − Portfolio(2) consists of: Third Par
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: Residential Credit | 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 and secondary markets 2nd largest RMBS Issuer behin
Slide 12: Loan Acquisition
Onslow Bay Financial | Loan Acquisition Onslow Bay Correspondent Channel Approximately 80% of Q1 2026 settlements were aggregated via our fully scaled and diversified correspondent channel. Sourcing via a correspondent channel provides advantages to “bulk” or affiliated originator sourcing − No si
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: May 2026 Locked Pipeline
Onslow Bay Financial | May 2026 Locked Pipeline Onslow Bay remains focused on 1st 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 52.5% 6.770 772 70.43 70
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 Publicly Private Re-Securitizations INV HE CES J - Syndicated Placements UPB Issued $40.3b
Slide 16: Callable Pipeline
Onslow Bay Financial | Callable Pipeline Onslow Bay redeemed over $1bn of seasoned deals in Q4 2025 and 2026 YTD Deal Name Date Called UPB When Called GWAC OBX 2019-EXP1 Oct25 38.5mm 6.21 OBX 2022-NQM8 Oct25 291.4mm 6.43 OBX 2022-NQM9 Dec25 249.2mm 6.70 OBX 2023-NQM1 Mar26 265.4mm 6.69 OBX 2023-NQM2
Slide 17: Onslow Bay Performance
ANNALY Onslow Bay Performance
Slide 18: Industry Leading Performance
Onslow Bay Financial | Industry Leading Performance High quality assets and hands-on active management lead to strong performance Despite the significant issuance volumes, Onslow Bay remains focused on sourcing top-tier credit Serious delinquencies among OBX Non-QM loans remain muted (Lowest del
Slide 19: Tight Credit Standards
Onslow Bay Financial | Tight Credit Standards Onslow Bay’s credit box is tighter than industry, heightened focus on limiting layered risk Shelf, All Issuance Total UPB ($mn) Fixed % ARM % WA FICO WA DTI GWAC %<700 ORIG FICO %>80 ORIG LTV OBX $24,646 90% 10% 756 37 7.12 8.49% 3.79% VERUS $19,714 88%
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 30% 18% 16% 25% 14% 20% 12% 10% 15% 8% 10% 6% 8% 4% 4% 5% 2% 0% 0% Source: BofA Research, “Non-QM Prepays,
Slide 21: Delinquent Loan Performance
Onslow Bay | Delinquent Loan Performance Nearly 80% 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 12/31/2024 Liquidated With Loss REO 2% 3% Pie chart reflects the most recent
Slide 22: 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 23: Onslow Bay Dedicated Resources and Processes
Onslow Bay Dedicated Resources and Processes 23
Slide 24: 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 25: 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 26: 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 27: Appendix
ANNALY Appendix
Slide 28: Market Rankings
ANNALY Mar et Rankings
Slide 29: Securitizations | Market Rankings
Onslow Bay Securitizations | Market Rankings Onslow Bay is the largest issuer of prime jumbo and expanded credit MBS and 2nd largest overall only to JP Morgan Top Expanded Credit MBS Issuers ($mm), 1Q25-1Q26(1) Top Prime Jumbo & ECM Issuers ($mm), 1Q25-1Q26(2) Total Total Rank Issuer Mkt Share Rank
Slide 30: MSR Portfolio | Market Rankings
Onslow Bay MSR Portfolio | Market Rankings Onslow Bay is the 11th largest owner of servicing as of Q1 2026; 8th largest non-bank servicer Top Owners of Servicing ($mm), Q1 2026(1) Top Non-Bank Owners of Servicing ($mm), Q1 2026(1) Rank Servicer, Owned Servicing Owned Mkt Share Rank Servicer, Owned S
Slide 31: Recent Securitizations
ANNALY Recent Securitizations
Slide 32: Securitizations | Broadly Syndicated Non-QM Issuance
Onslow Bay Securitizations | Broadly Syndicated Non-QM Issuance OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2026- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2026-R2(1) OBX 2026-R1 NQM7 NQM6 NQM5 NQM4 NQM3 NQM2 NQM1 NQM23 NQM21 NQM20 NQM19 NQM18 NQM16 Issue Da
Slide 33: Securitizations | Other Residential Credit Issuance
Onslow Bay Securitizations | Other Residential Credit Issuance 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 OBX 2025-J3 OBX 2025-J2 OBX 2025-HE2 OBX 2025-J1 OBX 2025-HE1 Issue Date May-26 May-26 May-26 Apr-26 Apr-26 Apr-26
Slide 34: Onslow Bay Investor Relations
Onslow Bay Investor Relations 34
Slide 35: 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 36: Annaly & Onslow Bay Corporate Responsibility
Annaly & Onslow Bay Corporate Responsibility 36
Slide 37: Corporate Responsibility Update
Corporate Responsibility Update Annaly’s 2024 Corporate Responsibility Report highlights our continued focus on purposeful and effective corporate responsibility workstreams that help managing risk, provide transparency, and ensure accountability 900,000+ American homes financed(1) “ At Annaly, our
Slide 38: 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
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