Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Debt Investor Presentation (February 2026)
39 slides from Annaly Capital Management's debt investor presentation, Feb 18, 2026
Slide 1: Onslow Bay Financial LLC
Onslow Bay Financial LLC February 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 11 Onslow Bay Performance 18 Onslow Bay Dedicated Resources and Processes 24 Appendix 28 Market Rankings 29 Recent Securitizations 32 Onslow Bay Investor Relations 35 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 $104.7bn 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 $8.0 bn $3.1 bn of economic assets(1) of dedicated capital ▪ Annaly Residential Credit portfolio: $8.0 billion in assets(1) at the end of Q4 2025 & $3.1 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: Onslow Bay 2025 Strategic Milestones
Onslow Bay 2025 Strategic Milestones Onslow Bay continued to expand market share across the Residential Credit and MSR sectors with another year of substantial owth gr Residential Credit MSR Key Milestones ▪ Onslow Bay has priced 104 securitizations since 2018, totaling $48.2 billion in ▪ MSR portfo
Slide 10: 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 11: Onslow Bay Correspondent & OBX Platform
Onslow Bay Correspondent & OBX Platform 11
Slide 12: 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 behi
Slide 13: Loan Acquisition
Onslow Bay Financial | Loan Acquisition Onslow Bay Correspondent Channel ▪ Over 95% of Onslow’s loan acquisitions in 2025 were aggregated via our fully scaled and diversified correspondent channel. Sourcing via a correspondent channel provides advantages to “bulk” or affiliated originator sourcing −
Slide 14: Tight Credit Standards
Onslow Bay Financial | Tight Credit Standards Onslow Bay’s credit characteristics continue to improve ▪ 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 weighted average (
Slide 15: January 2026 Locked Pipeline
Onslow Bay Financial | January 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 50.3% 6.747 766 69.0
Slide 16: OBX Securitizations
Onslow Bay Financial | OBX Securitizations Onslow Bay purchases and securitizes collateral across the residential credit spectrum Agency Investor/Second Non-QM HELOCs Prime Jumbo Other Homes Publicly Private Re-Securitizations INV HE J - Syndicated Placements $36.0bn $1.6bn $408mm $4.4bn $433mm $4.4
Slide 17: Callable Pipeline
Onslow Bay Financial | Callable Pipeline Onslow Bay redeemed approximately $580mm of non -QM in Q4 ‘25 OBX NQM Deals Called Date Called UPB When Called GWAC OBX 2019-EXP1 Oct25 38.5mm 6.211 OBX 2022-NQM8 Oct25 291.4mm 6.433 OBX 2022-NQM9 Dec25 249.2mm 6.704 Total OBX NQM Called 579.2mm 2018-2023 Out
Slide 18: Onslow Bay Performance
ANNALY Onslow Bay Performance
Slide 19: Industry Leading Performance
Onslow Bay Financial | Industry Leading Performance High quality assets and hands-on active management lead to strong performance ▪ Serious delinquencies among OBX Non-QM loans remain muted (Lowest delinquencies across the top 5 largest Non-QM issuers) ▪ OBX 2025 D60+ second lowest across top 10 iss
Slide 20: Tight Credit Standards
Onslow Bay Financial | Tight Credit Standards Onslow Bay’s credit box is tighter than industry, heightened focus on limiting layered risk Shelf, All Issuance Total UPB ($mn) Fixed % ARM % WA FICO WA DTI GWAC %<700 ORIG FICO %>80 ORIG LTV OBX $22,718 89% 11% 755 36.5 7.20 9.1% 4.0% VERUS $18,326 86%
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 NQM Outstanding, % <700 FICO NQM Outstanding, % >80 LTV 30% 30% 25% 25% 20% 20% 15% 15% 10% 9.1% 10% 5% 5% 4.0% 0% 0% PRKCM EFMT MSRM SAN ARRW STAR BRAVO PRPM AOM
Slide 22: Delinquent Loan Performance
Onslow Bay | Delinquent Loan Performance 80% of loans that were D60+ a year prior have paid in full, have been repurchased or are Current/D30 REO ▪ Population of the pie chart includes all seasoned Onslow Bay Loans that Liquidated With Loss first went D60+ on or before 12/31/2024 2% 1% D60+ 17% ▪ Pi
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: 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 ($bn), 1Q24-4Q25(1) Top Prime Jumbo & ECM Issuers ($bn), 1Q24-4Q25(2) Rank Issuer Total ($bn) Mkt Share Rank Is
Slide 31: MSR Portfolio | Market Rankings
Onslow Bay MSR Portfolio | Market Rankings Onslow Bay is the 8th largest Agency MBS servicer as of Q4 2025; th6 largest non-bank servicer Top Agency MBS Servicers ($bn), Q4 2025(1) Top Non-Bank Agency MBS Servicers, Q4 2025($bn)(1) Rank Servicer, Owned Servicing Owned Mkt Share Rank Servicer, Owned
Slide 32: Recent Securitizations
ANNALY Recent Securitizations
Slide 33: Securitizations | Broadly Syndicated Non-QM Issuance
Onslow Bay Securitizations | Broadly Syndicated Non-QM Issuance OBX 2026- OBX 2026- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- OBX 2025- NQM2 NQM1 NQM23 NQM21 NQM20 NQM19 NQM18 NQM16 NQM15 NQM14 NQM13 NQM11 NQM10 NQM8 Issue Date Jan-
Slide 34: Securitizations | Other Residential Credit Issuance
Onslow Bay Securitizations | Other Residential Credit Issuance OBX 2026-INV1 OBX 2026-J1 OBX 2025-J3 OBX 2025-J2 OBX 2025-HE2 OBX 2025-J1 OBX 2025-HE1 OBX 2024-J1 OBX 2024-HYB2 OBX 2024-HYB1 Issue Date Feb-26 Feb-26 Oct-25 Sep-25 Aug-25 May-25 Mar-25 Sep-24 Mar-24 Feb-24 Collateral Type Agency Inves
Slide 35: Investor Relations
Onslow Bay Investor Relations 35
Slide 36: 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 37: Annaly & Onslow Bay Corporate Responsibility
Annaly & Onslow Bay Corporate Responsibility 37
Slide 38: Corporate Responsibility Update
Corporate Responsibility Update Annaly’s 2024 Corporate Responsibility Report highlights our continued focus on purposeful and effective corporate responsibi lity workstreams that help managing risk, provide transparency, and ensure accountability 900,000+ American homes financed(1) “ At Annaly, our
Slide 39: 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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