Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Debt Investor Presentation (October 2025)
31 slides from Annaly Capital Management's debt investor presentation, Oct 2, 2025
Slide 1: Onslow Bay Financial LLC
Onslow Bay Financial LLC October 2025
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 Strategy & Performance 12 Onslow Bay Correspondent Channel 22 Appendix 26 Onslow Bay Investor Relations 27 Annaly & Onslow Bay Corporate Responsibility 29 3
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 $89.5bn Credit Rights Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights, which collateralize
Slide 6: Annaly's Residential Credit Portfolio
Annaly’s Residential Credit Portfolio $6.6 bn $2.4 bn of economic assets(1) of dedicated capital Annaly Residential Credit portfolio: $6.6 billion in assets(1) at the end of Q2 2025 & $2.4 billion of dedicated capital (~19% of the firm’s equity) − Portfolio(2) consists of: Third Party OBX Retained
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 $700mm committed third party capital 25+ years as a public company Closed-end PE-style fund Fund mandate is to replicate Annaly’s economics in the Ta
Slide 10: Onslow Bay Securitizations | Market Rankings
Onslow Bay Securitizations | Market Rankings Onslow Bay is the largest issuer of prime jumbo and expanded credit MBS and 2nd largest overall only to JP Morgan Top Non-Bank Prime Jumbo & ECM Issuers ($bn), 1Q24-2Q25(1) Top Prime Jumbo & ECM Issuers ($bn), 1Q24-2Q25(1) Rank Issuer Total ($bn) Mkt Shar
Slide 11: Onslow Bay MSR Portfolio | Market Rankings
Onslow Bay MSR Portfolio | Market Rankings Onslow Bay is the 13th largest Agency MBS servicer as of Q4 2024; 7th largest non-bank servicer Top Agency MBS Servicers ($bn), Q2 2025(1) Top Non-Bank Agency MBS Servicers, Q2 2025($bn)(1) Rank Servicer, Owned Servicing Owned Mkt Share Rank Servicer, Owned
Slide 12: Strategy & Performance
Onslow Bay Strategy & Performance 12
Slide 13: 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 (not a trade) leading to strong liquidity in the OBX shelf in both primary and secondary markets Underlying borr
Slide 14: Fully Scaled & Diversified Correspondent
Onslow Bay Financial | Fully Scaled & Diversified Correspondent Onslow Bay’s correspondent channel allows for complete control over all aspects of mortgage aggregation Onslow Bay aggregates residential whole loans with significant control over production: guidelines, exceptions, pricing, originato
Slide 15: Industry Leading Performance
Onslow Bay Financial | Industry Leading Performance High quality assets and hands-on active management lead to strong performance Serious delinquencies among OBX Non-QM loans continue to perform favorably (2nd lowest delinquencies across the top 10 largest Non-QM issuers) − The OBX Non-QM shelf ha
Slide 16: 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 $ 19,161 87% 13% 753 36 7.168 10.1% 5.5% VERUS $ 12,724 77
Slide 17: 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 35.0% 30.0% 30.0% 25.0% 25.0% 20.0% 20.0% 15.0% 15.0% 10.0% 10.1% 10.0% 5.5% 5.0% 5.0% 0.0% 0.0% CROSS GSM
Slide 18: August 2025 Locked Pipeline
Onslow Bay Financial | August 2025 Locked Pipeline Onslow Bay remains focused on 1st Lien aggregation (~95% of Onslow Bay’s pipeline) % <700 FICO, % <680 FICO, > % GWAC FICO LTV CLTV % Investor % Cashout % CA % <680 FICO % <700 FICO % > 80 LTV Type >80 LTV 85 LTV Expanded Prime 45.0% 7.136 766 70.60
Slide 19: Delinquent Loan Performance
Onslow Bay | Delinquent Loan Performance 78% of loans that were D60+ a year+ ago have cured Population of the pie chart includes all seasoned Onslow REO Liquidated With Loss 1% 0% Bay Loans that first went D60+ on or before 07/31/2024 D60+ 15% D30 Pie chart reflects the most recent status of tho
Slide 20: Securitizations | Non-QM Issuance
Onslow Bay Securitizations | Non-QM Issuance OBX 2025-NQM15 OBX 2025-NQM14 OBX 2025-NQM13 OBX 2025-NQM12 OBX 2025-NQM11 OBX 2025-NQM10 OBX 2025-NQM9 OBX 2025-NQM8 OBX 2025-NQM7 OBX 2025-NQM6 OBX 2025-NQM5 Issue Date Aug-25 Aug-25 Jul-25 Jun-25 Jun-25 Jun-25 May-25 May-25 Apr-25 Apr-25 Mar-25 Expande
Slide 21: Securitizations | Other Residential Credit Issuance
Onslow Bay Securitizations | Other Residential Credit Issuance OBX 2025-HE2 OBX 2025-J1 OBX 2025-HE1 OBX 2024-J1 OBX 2024-HY2 OBX 2024-HY1 OBX 2023-J2 OBX 2023-INV1 OBX 2023-J1 Issue Date Aug-25 May-25 Mar-25 Sep-24 Mar-24 Feb-24 Nov-23 May-23 Feb-23 Collateral Type HELOC Prime Jumbo HELOC Prime Jum
Slide 22: Correspondent Channel
Onslow Bay Correspondent Channel 22
Slide 23: 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 24: 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 25: 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 26: Appendix
ANNALY Appendix
Slide 27: Investor Relations
Onslow Bay Investor Relations 27
Slide 28: 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 29: Annaly & Onslow Bay Corporate Responsibility
Annaly & Onslow Bay Corporate Responsibility 29
Slide 30: 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 31: 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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