Onslow Bay Closes 100th Residential Whole Loan Securitization

Annaly Capital Management, Inc. (NYSE:NLY) ("Annaly" or the "Company") announced today that its subsidiary Onslow Bay Financial LLC ("Onslow Bay" or "OBX") recently closed its 100^th residential whole loan securitization, OBX 2025-NQM22. This milestone transaction brings Onslow Bay's cumulative issuance to more than $45 billion since the platform's first securitization in 2015, including $32 billion in Non-QM issuance.

OBX 2025-NQM22, a $438.6 million privately placed securitization backed by Non-QM residential loans, continues Onslow Bay's leadership in structuring innovative and investor-friendly transactions. Recent platform achievements include:

• Multiple privately placed transactions allowing Onslow Bay to tailor the deal structure to specific investor preferences
• First issuer to introduce and price a floating-rate tranche within a Non-QM transaction providing duration flexibility in a changing rate environment
• Introduced a front cash flow / last cash flow structure within a Non-QM transaction that optimizes risk distribution and duration preferences
• Issued Onslow Bay's largest securitization ever ($743 million OBX 2025-NQM18) with a goal of steadily increasing transaction sizes by attracting a broader investor base with the aforementioned structural enhancements
• Onslow Bay's first structured repo transaction, providing non-MTM financing for retained OBX securities
• Redeemed first Non-QM securitization, OBX 2022-NQM8, with attractive pipeline of callable transactions given current securitization cost of funds and Non-QM mortgage rates

"Closing our 100th securitization is a testament to the strength and consistency of the Onslow Bay platform, which has become a preeminent leader in the Non-Agency market," said Mike Fania, Annaly's Co-Chief Investment Officer and Head of Residential Credit. "We have continued to expand market share and grow loan volume through our ability to bring innovative structures to market underscoring our commitment to providing tailored solutions and superior risk-adjusted returns to Non-Agency investors. Importantly, we have achieved this while preserving a strong borrower profile and maintaining some of the lowest delinquency rates across the market.

"We'd like to thank our valued securitization investors whose continued partnership and confidence in the Onslow Bay platform have been instrumental in reaching this milestone. We're equally grateful to our dedicated team members who work tirelessly to make all of these achievements possible."

As of Q3 2025, Onslow Bay remains the largest non-bank issuer and second largest issuer overall of Prime Jumbo and Expanded Credit MBS with an average FICO and Original LTV of 759 and 67%, respectively. The platform's disciplined credit framework, proprietary partnerships and focus on structural innovation have established Onslow Bay as a preferred counterparty for institutional investors seeking exposure to the expanding non-Agency sector. Onslow Bay aggregates residential whole loans with significant control over production including guidelines, exceptions, pricing, originator network, asset management/loss mitigation, and sub-servicing partners.

About Annaly

Annaly is a leading diversified capital manager with investment strategies across mortgage finance. Annaly's principal business objective is to generate net income for distribution to its stockholders and to optimize its returns through prudent management of its diversified investment strategies. Annaly is internally managed and has elected to be taxed as a real estate investment trust, or REIT, for federal income tax purposes. Additional information on the company can be found at www.annaly.com.

About Onslow Bay

Onslow Bay is a preeminent correspondent aggregator that purchases closed, funded residential whole loans directly from its expansive network of approved originator partners. The company focuses on providing liquidity to the U.S. housing market through the acquisition and management of residential mortgage assets and is committed to building lasting relationships with its lending partners. Onslow Bay is a wholly-owned subsidiary of Annaly Capital Management, Inc., the largest mortgage REIT in the world, and has been active in acquiring expanded credit residential whole loans for more than a decade.

Forward-Looking Statements

This news release and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "should," "estimate," "project," "believe," "expect," "anticipate," "continue," or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our residential credit business; our ability to grow our mortgage servicing rights business; credit risks related to our investments in credit risk transfer securities and residential mortgage-backed securities and related residential mortgage credit assets; risks related to investments in mortgage servicing rights; the our ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting our business; our ability to maintain our qualification as a REIT for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940; and operational risks or risk management failures by us or critical third parties, including cybersecurity incidents. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see "Risk Factors" in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. The Company does not undertake, and specifically disclaims any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.

View source version on businesswire.com: https://www.businesswire.com/news/home/20251201569611/en/

Annaly Capital Management, Inc.

Investor Relations

1-888-8Annaly

[email protected]