Annaly Credit Opportunities Management LLC: investment adviser

The Adviser’s investment advisory services to the Funds are principally focused on acquiring, through a wholly-owned subsidiary of Annaly, Onslow Bay Financial LLC (“Onslow Bay”), residential mortgage whole loans, securitizing such whole loans, holding a portion of the securities resulting from such securitizations, collapsing certain securitizations and subsequently either re-selling or re-securitizing such loans, and engaging in interest rate hedging, including through futures, swaps, and/or currency.

The Adviser provides advice to the Funds based on specific investment objectives and strategies. Funds may impose restrictions on investing in certain securities or certain types of securities. A description of the services provided by the Adviser to the Funds, as well as the fees, investment guidelines, and other relevant terms are set forth in the organizational documents, investment management agreements, offering materials, or other related documents (collectively, “Governing Documents”) of each client.

As of December 31, 2025, the Adviser had approximately $3,726,867,000 in regulatory assets under management, all of which is managed on a discretionary basis.

can include (i) administration, legal, auditing, consulting, banking, custody, regulatory, compliance, reporting (including securities filings related to the Fund) and accounting expenses (including fees incurred by any blocker subsidiaries); (ii) tax expenses and expenses related to a Fund’s financial statements, tax returns, tax estimates and filings (including, without limitation, expenses related to the foregoing incurred to allow a Fund or its affiliate(s) to comply with non-U.S. and U.S. federal, local and state laws and regulations (including all expenses incurred with respect to filing the Form PF and Form D); (iii) expenses associated with the identification, investigation, acquisition, holding, structuring, organizing, financing, refinancing, restructuring, winding up, liquidation, dissolution and disposition of the Fund’s assets; (iv) certain delivery fees and expenses of third-party servicers pursuant to applicable servicing agreements (including, funding fees, pre-close eligibility fees, scenario fees, non-warrantable condo/COOP submission fees, and tax service fees); (v) all costs incurred in connection with the organization, management, operation, and dissolution, liquidation and final winding up of any blocker subsidiaries; (vi) expenses incurred in connection with valuing a Fund’s assets, including, without limitation, thirdparty valuation services; (vii) expenses attributable to any proposed investment that is ultimately not made by a Fund (including expenses that may have been allocable to thirdparty co-investors had such transactions been consummated); (viii) all costs of leverage incurred by a Fund and other similar fees and expenses, all interest on borrowed funds (if any), and other expenses relating to the financing or refinancing of any indebtedness of, guarantees or other obligations of the Fund; (ix) expenses incurred in connection with the obtaining and maintaining of insurance policies by or on behalf of a Fund, its general partner and the Adviser (including directors and officers, errors and omissions liability and other insurance); (x) extraordinary expenses of a Fund (such as investor defaults or fees or expenses incurred in litigation or in respect of indemnification obligations); (xi) expenses of an investor led advisory board or committee, if applicable of a Fund, if any; (xii) any taxes, fees and other governmental charges levied against a Fund; (xiii) any loan servicing fees (e.g., structuring and/or underwriting and arrangement fees from loan syndication activities, administrative loan agency fees and investment advisory fees), whether such fees are paid to a third-party or to Annaly, or an entity affiliated with Annaly; and (xiv) organizational expenses of a Fund. Such costs and expenses are exclusive of and in addition to the Adviser’s fees, and, except as set forth in the applicable Governing Documents with respect to any Fund, the Adviser does not receive any portion of these costs and expenses.

In addition, Annaly, through its wholly-owned subsidiaries, will incur fees in connection with the origination or acquisition of loans or other assets or the holding of a loan or asset, including due diligence fees, commitment fees, unused facility fees, prepayment premiums, amendment fees, and other similar fees, payments or compensation. Annaly will, subject to the applicable Governing Documents, allocate to the Funds the portion of these fees attributable to the loans held by the Fund. Annaly, through its wholly-owned subsidiaries, will generate fees in connection with the origination or acquisition of loans or other assets, the holding of a loan or asset or the

sponsorship of securitizations. Certain fees will be retained by Annaly, or its subsidiaries, and will not offset the fees paid by, or otherwise shared with, the Funds.

Common expenses may be incurred on behalf of the Funds and one or more entities and/or accounts that are sponsored and/or managed by Annaly. The Adviser will seek to allocate those common expenses among the Funds and other entities in a manner that is fair and reasonable over time. Under its current expense allocation policies, the Adviser generally expects to allocate common expenses among the Funds and other entities pro rata based on relative assets under management. The Adviser may, however, use other methods to allocate certain common expenses among the Funds and other entities if it deems another method more appropriate based on relative use of the product or service, the nature or source of the product or service, the relative benefits derived by the Funds and other entities from the product or service, or other relevant factors. Nonetheless, the portion of a common expense that the Adviser allocates to the Funds for a particular product or service may not reflect the relative benefit derived by the Funds from that product or service in any particular instance. The Adviser’s expense allocations often depend on inherently subjective determinations and, accordingly, expense allocations made by the Adviser in good faith will be final and binding on the Funds.

Such fee arrangements also create an incentive to favor higher fee-paying accounts over other accounts in the allocation of investment opportunities and an incentive to favor accounts based on differential pecuniary interests.

The Adviser can grant certain preferential terms to certain investors in the Funds, including a waiver or reduction of management fees or carried interest or other performance-based fees, a blended management fee, or carried interest rates that are lower than those generally applicable to investors in the Fund.

The Adviser seeks to treat all clients in a fair and equitable manner and in the best interests of the Funds. Accordingly, the Adviser has various procedures designed and implemented to ensure that the clients are treated fairly and in accordance with our fiduciary obligations.

Accordingly, interests in the Funds are offered and sold exclusively to investors satisfying the applicable eligibility and suitability requirements, as set forth in such Fund’s Governing Documents. Generally, investors participating in the Funds are required to meet certain suitability and net worth qualifications, such as being an “accredited investor” within the meaning of Rule 501 of Regulation D under the Securities Act and “qualified purchaser” as defined in Section 2(a)(51) of the Investment Company Act.

The Adviser intends to leverage relationships with mortgage loan originators that comply with Annaly’s disciplined underwriting process, to generate investment opportunities. The Adviser will rely on its deep experience analyzing the residential credit markets and trends in acquiring and managing these investments. Investments which the Adviser has determined meet the investment objectives and criteria of the Resi-Credit Strategy will be made by such Funds and Annaly in accordance with the Funds’ allocation policy (the “Allocation Policy”).

RISK OF LOSS

General Risk

Investing involves a risk of loss that investors in one or more Funds should be prepared to bear. Investors should carefully consider, among other factors, the following risks involved with the Adviser’s investment strategies and methods of analysis.

Cybersecurity Risks. The Adviser’s Funds’ business relies on secure information technology systems. These systems are subject to potential attacks, including through adverse events that threaten the confidentiality, integrity, or availability of the Adviser’s Funds’ information resources (i.e., cyber incidents). These attacks could involve gaining unauthorized access to the Adviser’s, its Funds’, or third-party service providers information systems for purposes of misappropriating assets, stealing confidential information, corrupting data or causing operational disruption and result in disrupted operations, misstated or unreliable financial data, liability for stolen assets, or information, increased cybersecurity protection and insurance costs, litigation and damage to the Adviser’s or its Funds’ business relationships, any of which could have a material adverse effect on the Adviser’s or its Funds’ business, financial condition and results of operations. As the Adviser’s and its Funds’ reliance on technology has increased, so have the risks posed to the Adviser’s and its Funds’ information systems, both internal and those provided by the Adviser and third-party service providers.

While the Adviser performs cybersecurity diligence on key service providers, the Adviser does not control its service providers and its ability to monitor their cybersecurity infrastructure is limited. Service providers may store or have access to the Advisor’s or its Funds’ data and may not have effective controls, processes, or practices to protect the information from loss, unauthorized disclosure, unauthorized use or misappropriation, cyberattacks or other information security breach. A vulnerability in the Adviser’s service providers’ software or systems, a failure of a service providers’ safeguards, policies or procedures, or a cyberattack or other information security breach affecting Advisor’s or its Funds’ data or its key service providers business could harm the Adviser’s business.

Inflation Risk. Client accounts are subject to inflation risk. Inflation risk is the risk that the value of investments or income from investments will be lower in the future as inflation decreases the value of money. As inflation increases, the value of the investments in a client’s account can decline. The inflation outlook for 2025 is uncertain, as many policy proposals from President Donald Trump’s new administration – such as expansionary fiscal policy, immigration restrictions, and tariffs – indicate potential inflationary pressures. Disease Outbreaks and Public Health Concerns. Health crises, such as pandemic and epidemic diseases, as well as other catastrophes that interrupt the expected course of

events, such as natural disasters, war or civil disturbance, acts of terrorism, power outages and other unforeseeable and external events, and the public response to or fear of such diseases or events, have and may in the future have an adverse effect on the Funds’ investments and the Adviser’s operations. For example, any preventative or protective actions that governments may take in respect of such diseases or events may have a negative impact on the economic and business activities of the Adviser’s Funds and its current and potential borrowers, which could materially and adversely affect the performance of the Funds’ investments and the Funds’ business, financial condition, liquidity, results of operations and prospects, and further may materially adversely affect the Adviser’s ability to effectively conduct and manage the affairs of the Adviser’s Funds. The Adviser cannot predict the likelihood of disease outbreaks occurring in the future, nor how such outbreaks may affect the performance of the Adviser’s Funds. Further, the occurrence and pendency of such diseases or events could adversely affect the economies and financial markets either in specific countries or worldwide. Artificial Intelligence. The Adviser may use artificial intelligence, generative artificial intelligence, machine learning and similar tools and technologies (collectively, “AI”) in connection with the business. The use of generative artificial intelligence, a relatively new and emerging technology in the early stages of commercial use, exposes the Adviser to additional risks, such as damage to the Adviser’s reputation, competitive position, and business, legal and regulatory risks and additional costs. For example, generative artificial intelligence has been known to produce false or “hallucinatory” inferences or output, and certain generative artificial intelligence uses machine learning and predictive analytics, which can create inaccurate, incomplete, or misleading content, unintended biases and other discriminatory or unexpected results, errors or inadequacies, any of which may not be easily detectable by the Adviser or any of its related service providers. Accordingly, while AI systems may help provide more tailored or personalized user experiences, if the content, analyses, or recommendations that AI systems assist in producing are deficient, inaccurate, biased, unethical or otherwise flawed, the Adviser’s reputation, competitive position and business may be materially and adversely affected.

Funds

Identifying investment opportunities and managing those investments can be difficult. There can be no assurance that any client account managed by the Adviser will be able to make and realize any particular investment or generate returns. Please refer to the Governing Documents for the applicable client for more complete and detailed information regarding its investment strategies and methods of analysis, and the corresponding risks associated with those investment strategies and analysis. Residential Credit Funds

General Business Risks. The residential credit Fund’s investment portfolio consists primarily of residential mortgage whole loans, securitized whole loans and subordinated securities issued in such securitization (collectively, “Residential Credit Assets”), each of which may have significant risks as a result of business, financial, market or legal uncertainties. Such investments involve business and financial risks that can result in substantial losses and investors may lose their entire investment in a Fund. In particular, Residential Credit Assets will be materially affected by conditions in the financial markets and economic conditions in the United States, including interest rates, availability of and terms of credit, housing supply and demand, employment rates, inflation rates, economic uncertainty, natural disasters, changes in laws, regulation and policy, particularly those affecting the U.S. housing and real estate markets.

Federal and State Policy Considerations. As a result of the credit crisis and subsequent financial turmoil beginning around 2007, the federal government put in place statutory and regulatory frameworks and policies (including the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) enacted in 2010) providing for extensive supervision and regulation of financial firms, as well as various state and local laws and regulations. In particular, the Dodd-Frank Act and other federal and state legislation and rules have also affected residential mortgage loan origination, including underwriting practices. These include rules prohibiting lenders from originating residential mortgage loans unless the lender determines that the borrower has a reasonable ability to repay the loan. Loans originated with features more indicative of meeting that ability to pay, including annual percentage rates below certain prescribed thresholds and, as of March 2021, non-QM loans (as defined herein) meeting amortization, term and points and fee requirements along with limited delinquencies may be denominated as a “qualified mortgage” thirty-six months or more after consummation. Purchasers of qualified mortgages have limited assignee liability and securitizers of such mortgages are not subject to the risk retention rules described under “Liquidity” below. If a loan is not originated or seasoned in compliance with the “qualified mortgage” requirements (such loans being commonly referred to as “non-QM loans”), purchasers are not afforded the enhanced protections from legal liability associated with qualified mortgages, which, in addition to the risk retention requirements described below, increases the risk of

investment in these types of loans. These laws and regulations may affect the price and/or marketability of residential mortgage loans.

Funds bear the risk that future regulatory and legal developments, and the attendant increase in servicing costs, may result in situations where proceeds received in respect of residential mortgage loans are less than anticipated.

Securitizations and Financing Facilities. In a securitization structure, a pool of assets is conveyed to a special purpose vehicle, the issuing entity, and in turn the issuing entity issues one or more classes of non-recourse notes, secured by the pool of assets, pursuant to the terms of an indenture. In exchange for the transfer of assets to the issuing entity, the Fund receives a pro rata portion of cash proceeds of the sale of non-recourse notes and a pro rata interest in certain subordinate interests of the issuing entity. The securitization of all or a portion of the Funds’ residential loan portfolio might magnify its exposure to losses because any subordinate interest retained in the issuing entity would be subordinate to the notes issued to investors and would, therefore, absorb losses sustained with respect to a securitized pool of assets before the owners of the more senior notes experience any losses. Moreover, there is no assurance that Onslow Bay or the Fund will be able to access the securitization market or be able to do so at favorable rates. The inability to securitize the Funds’ residential loan portfolio could adversely affect the Funds’ performance.

The Adviser, on behalf of the Funds, may seek to finance the Funds’ residential loan portfolio assets with relatively short-term facilities until a sufficient portfolio is accumulated for purposes of securitization. As a result, the Funds are subject to the risk that they would not be able to acquire, during the period that any short-term facilities are available, sufficient eligible assets to maximize the efficiency of a securitization. The Funds also bear the risk that they would not be able to obtain a new short-term facility or would not be able to renew any short-term facilities after they expire should it need more time to seek and acquire sufficient eligible assets for a securitization. In addition, conditions in the capital markets, including potential volatility and disruption in the capital and credit markets, may not permit a non-recourse securitization at any particular time or may make the issuance of any such securitization less attractive to the Fund, even when it has sufficient eligible assets. While the Adviser intends that the Funds retain the non-investment grade tranches of securitizations and still have exposure to any assets included in such securitizations, the Adviser’s (or its affiliate’s) inability to enter into such securitizations would increase the Funds’ overall exposure to risks associated with direct ownership of such assets, including the risk of default. The Adviser’s inability to refinance any short-term facilities on behalf of the Funds would also increase the Funds’ risk because borrowings thereunder would likely be recourse to the Funds. If the Adviser is unable to obtain and renew short-term facilities on behalf of the Funds’, or to consummate securitizations to finance the Funds’ residential loan

portfolio assets on a long-term basis, the Adviser, on the Funds’ behalf, may be required to seek other forms of potentially less attractive financing or to liquidate assets at an inopportune time or price. To the extent that the Adviser is unable to obtain financing for the Funds’ assets, and to the extent that such assets are retained in the Funds’ portfolio, the Funds’ returns on investment and earnings will be negatively impacted.

Servicing-Related Risks. In connection with the acquisition and securitization of residential whole loans, Onslow Bay relies on unaffiliated servicing companies to service and manage the mortgages underlying the Funds’ residential whole loans. If a servicer is not vigilant in seeing that borrowers make their required monthly payments, borrowers may be less likely to make these payments, resulting in a higher frequency of default. If a servicer takes longer to liquidate non-performing mortgages, our losses related to those loans may be higher than originally anticipated.

Any failure by servicers to service these mortgages and related real estate owned properties impacts the value of these investments and the Funds’ financial performance. In addition, while Onslow Bay has contracted, and will continue to contract, with unaffiliated servicing companies to carry out the actual servicing of the loans the Funds’ purchase, Onslow Bay is nevertheless ultimately responsible, vis-àvis the borrowers and state and federal regulators, for ensuring that the loans are serviced in accordance with the terms of the related notes and mortgages and applicable law and regulation. In light of the current regulatory environment, such exposure could be significant even though Onslow Bay might have contractual claims against its servicers for any failure to service the loans to the required standard. When a residential whole loan the Fund owns is foreclosed upon, title to the underlying property would be taken by one of the Adviser’s affiliates. The foreclosure process, especially in judicial foreclosure states such as New York, Florida and New Jersey can be lengthy and expensive, and the delays and costs involved in completing a foreclosure, and then liquidating the property through sale, may materially increase any related loss. Finally, at such time as title is taken to a foreclosed property, it may require more extensive rehabilitation than Onslow Bay estimated at acquisition or a previously unknown environmental liability may be discovered that would require expensive and time-consuming remediation.

Before acquiring a residential real estate debt asset, Onslow Bay will assess the strengths and weaknesses of the borrower, originator or issuer of the asset as well as other factors and characteristics that are material to the performance of the asset. In making the assessment and otherwise conducting customary due diligence, Onslow Bay will rely on resources available to it, including our third party service providers and servicers. This process is particularly important with respect to newly formed originators or issuers because there may be little or no information publicly available about these entities and assets. There can be no assurance that Onslow Bay’s due

diligence process will uncover all relevant facts or that any asset acquisition will be successful.

As a result of market conditions and legislation, lenders initially adjusted their loan programs and underwriting standards to be generally more conservative, thereby reducing the availability of mortgage credit to prospective mortgagors and mortgagors seeking to refinance their mortgage loans. More recently, as the market has improved and the legislative requirements have become more mature and established, lenders have begun to offer loan products to borrowers across a broader credit spectrum.

Housing Market Cyclicality. Beginning in the second quarter of 2007, the residential mortgage market in the United States, and the United States economy as a whole, experienced a variety of difficulties and negative economic conditions that adversely affected the performance and market value of Residential Credit Assets, which rebounded starting in 2012. Between 2007 and 2012, residential real estate values declined, often severely, after extended periods of significant appreciation. Similarly, delinquencies and losses with respect to Residential Credit Assets increased during this period, leaving many mortgagors with little or no equity in their mortgaged properties. The lack of equity gives borrowers less incentive to cure delinquencies and avoid foreclosure and hinders their ability to refinance in an environment of increasingly restrictive lending standards.

Model Assumptions. Given the strategies and the complexity of the valuation of the Funds’ assets, the Adviser relies heavily on analytical models (both proprietary models developed by the Adviser and those supplied by third parties) and information and data supplied by third party vendors and servicers. Although updated periodically to reflect changing or additional assumptions or data, reliance on analytic models like those used by the Adviser entails significant risk, particularly if the assumptions or the data on which such models rely prove to be incorrect, misleading, or incomplete. In such case, reliance on models may lead the Adviser to recommend the purchase of Residential Credit Assets at prices that are too high, the sale of such assets at prices that are too low, or cause the Funds to miss favorable opportunities altogether. In addition, the Adviser stores the majority of the data upon which these models rely in computer databases. The failure of such computer systems could adversely affect Fund accounts for whom such models are used.

Liquidity; Yield. Investments in Residential Credit Assets are relatively illiquid, and such illiquidity may limit the Adviser’s ability to optimally execute on loss mitigation or asset resolution strategies. Residential Credit Assets acquired by Funds may be subject to legal and other restrictions on transfer and a liquid market for such Residential Credit Assets may not exist. The market prices, if any, for such investments tend to be volatile and may not be readily ascertainable and a Fund may

not be able to sell them when it desires to do so or to realize what it perceives to be their fair value in the event of a sale. Prices for such Residential Credit Assets may fluctuate due to a variety of factors, including market and regulatory conditions, type of pool and composition of Residential Credit Assets and whether the Residential Credit Assets are performing or not.

The ability to securitize Residential Credit Assets may be adversely affected by the risk retention rules enacted by the federal bank regulatory agencies, United States Department of Housing and Urban Development (HUD) and the SEC pursuant to the Dodd-Frank Act, which became effective in late 2015. Such rules generally require securitizers to retain not less than 5% of the credit risk of the mortgage loans (other than qualified mortgage loans) securitized. The private market is a less liquid market, and generally affords investors more input into the price and other terms of the securitization. The sale of such Residential Credit Assets may require significant time. Such risk retention rules may also adversely affect the availability or terms of financing of Residential Credit Assets.

Prepayments and delinquencies. The rate and timing of residential mortgage loan prepayments as well as residential mortgage loan delinquencies will affect the investment’s yield.

Concentration. Investment in Residential Credit Assets generally involves more risk than investment in diversified asset types. In addition, specific portfolios of Residential Credit Assets may be or become concentrated in certain geographic areas, and as a result, may be adversely affected by economic, political, regulatory or natural events only affecting those limited regions.

Leverage. The Adviser’s strategy involves the use of leverage, which increases the risk that the Funds may incur substantial losses. The Adviser expects the Funds’ leverage to vary with market conditions and the Adviser’s assessment of risk/return on investments. The Funds’ incur this leverage by borrowing against a substantial portion of the market value of their assets. Leverage, which is fundamental to the Adviser’s investment strategy, creates significant risks. The risks associated with leverage are more acute during periods of economic slowdown or recession. Because of this leverage, the Funds have in the past and may in the future incur substantial losses if borrowing costs increase, and the Funds may be unable to execute the Adviser’s investment strategy for the Fund if leverage is unavailable or is unavailable on attractive terms. The reasons borrowing costs may increase or the ability to borrow may decline include, but are not limited to, the following: short-term interest rates increase; the market value of investments available to collateralize borrowings decreases; the “haircut” applied to assets under the repurchase agreements or other secured financing arrangements increases; interest rate volatility increases; disruption in the repo market generally or the infrastructure,

including technology infrastructure, that supports it; or the availability of financing in the market decreases.

A Fund may not be successful without the use of significant leverage in its portfolio investments and leverage may be costly or unavailable. See “Liquidity” above. The inability of a client to obtain desired amounts of leverage may limit the Funds’ overall investment exposure, thereby reducing total returns. Borrowed funds are subject to interest, transaction and other costs, which may not be recovered by portfolio returns and therefore decrease investment returns.

Interest Rate Risk. Changes in market interest rates can affect the value of Residential Credit Assets. Generally, the value of residential mortgage loans is adversely affected as interest rates rise. The Adviser may attempt to minimize the exposure of the portfolios to interest rate changes using U.S. Treasury futures or TBA contracts. However, there can be no guarantee that such hedges will be implemented, and if implemented, will be successful in mitigating the impact of interest rate changes on the Funds. Hedges often do not perfectly match the asset or liability being hedged, particularly with respect to mortgage-related assets where the underlying borrower has shifting incentives to prepay based on market conditions.

Counterparty Risk. Financial services institutions are interrelated as a result of trading, clearing, counterparty, borrower, or other relationships. The Funds are exposed to credit or counterparty risk in the event of default of a counterparty. The Funds’ are subject to counterparty risk and may be unable to seek indemnity or require counterparties to repurchase residential whole loans if they breach representations and warranties, which could cause the Funds to suffer losses. When selling or securitizing mortgage loans, sellers typically make customary representations and warranties about such loans. Residential mortgage loan purchase agreements may entitle the purchaser of the loans to seek indemnity or demand repurchase or substitution of the loans in the event the seller of the loans breaches a representation or warranty given to the purchaser. There can be no assurance that a mortgage loan purchase agreement will contain appropriate representations and warranties, that Onslow Bay would be able to enforce a contractual right to repurchase or substitution, or that the seller of the loans will remain solvent or otherwise be able to honor its obligations under its mortgage loan purchase agreements. The inability to obtain or enforce an indemnity or require repurchase of a significant number of loans could adversely affect our results of operations, financial condition and business.

The Adviser’s employees provide investment advisory and management services to the Adviser through a personnel-sharing arrangement with Annaly, the indirect parent of the adviser and the entity that employs (directly or through its subsidiary Onslow Bay) such employees for tax, accounting and related purposes.

These arrangements create conflicts of interest, as discussed below and in the Governing Documents for the Funds, but this conflict of interest may also arise in ways not contemplated in this brochure or the applicable Governing Documents. In general, however, the Adviser and Annaly address conflicts of interest arising from this business relationship through the Allocation Policy applicable to a Fund or other account, the Governing Documents of the Funds and by adhering to the requirements of the Advisers Act and other applicable law.

Conflicts Related to Multiple Legal Duties. The Adviser has a fiduciary duty under the Advisers Act to act in the best interest of the Funds. The directors, officers and employees of Annaly, the parent of the Adviser, have a duty under Maryland law to act in the best interest of Annaly’s shareholders. There may be instances where these duties are in conflict and present a conflict of interest to the Adviser’s duties to the Funds.

Conflicts Related to Allocation of Investment Opportunities. There may be a conflict of interest in the allocation of investment opportunities among the Funds, Annaly, and the other investment vehicles permitted by the Governing Documents of the Funds (collectively, the “Annaly Vehicles”). The many investment activities by the Adviser, Annaly and their affiliates may present conflicts of interest in determining how much, if any, of certain investment opportunities to offer to the Funds. The Adviser intends to address such conflicts through the Allocation Policy applicable to such Funds.

Further, because Annaly generally will invest in the same investment opportunities that the Adviser identifies for the Funds in accordance with the applicable Allocation Policy, we must ensure that the investment opportunities are appropriate for both Annaly and the Funds, which could create a conflict of interest. The type and characteristics of investments that are desirable to Annaly may change over time and are outside of the control of the Adviser. If a type or characteristic of a particular investment is not desirable to Annaly at any given time, the Funds may not have the opportunity to invest in such investments even though they otherwise meet Annaly’s investment criteria and objectives.

Conflicts Related to Other Investment Activities. Annaly and its affiliates have purchased and sold, or may purchase and sell, securities in securitizations beyond the amounts purchased, owned or sold by the Funds, which poses potential conflicts of interest. Annaly and its affiliates receive, or may receive, investment income or profits from these additional purchases and sales of securities in securitizations, and except as specifically disclosed, the Funds will not receive any benefit from the receipt of such investment income or profits. Additionally, Annaly and its affiliates may retain certain bonds which poses a potential conflict of interest as such bonds may have better ratings, higher yields, and may be subject to different risks relative to comparable securities held by the Funds. Conflicts Relating to Other Annaly Vehicles. The Adviser, Annaly or their affiliates manage, or may manage, funds other than the Funds, Annaly, or the Annaly Vehicles, which invest in assets eligible for purchase by the Funds, and the Funds may or may not participate in such investments. There may be a conflict of interest in the allocation of investment opportunities among the Funds, Annaly, and the Annaly Vehicles, which are generally expected to be allocated pursuant to the applicable Allocation Policy, as amended from time to time to account for new Annaly Vehicles.

The Funds may invest, directly or indirectly, in investments in which Annaly and/or an Annaly Vehicle (i) have an investment, (ii) are contemplating an investment, or (iii) have decided not to invest. In addition, Annaly and/or the Annaly Vehicles may invest, directly or indirectly, in investments in which the Funds (i) have an investment, (ii) are contemplating an investment, or (iii) have decided not to invest. Without limiting the foregoing, investors should be aware that the Funds may have conflicting interests in negotiating the terms of an investment and investing in a company if Annaly and/or one or more other Annaly Vehicles have or propose to make an investment in the same issuer, particularly where Annaly and/or such Annaly Vehicle(s) have a controlling interest in the issuer. Such negotiated terms may include, but are not limited to, the collateral, if any, pledged to secure the issuer’s obligations, the interest rates to be paid on the issuer’s debt securities, the characterization of the issuer’s securities (whether as preferred stock or subordinated debt), the amount and nature of equity securities (if any) attached to

debt, the fees and expenses to be charged to or by the Funds, and the nature of the covenants running in favor of the Funds.

With respect to the Funds in the Resi-Credit Strategy, the Adviser will regularly acquire certain residential mortgage whole loans as well as residential mortgagebacked securities from securitizations that are sponsored by an affiliate of the Adviser.

Conflicts Related to Non-Public Information. From time to time, the Adviser, Annaly and/or one or more of their affiliates may come into possession of material nonpublic information, and such information may limit the ability of the Funds to buy and sell investments, even if such information was obtained in the context of the investment activities of Annaly and/or other Annaly Vehicles.

Unless permitted by the Chief Compliance Officer, our supervised persons are prohibited from trading and investing in securities issued by the Funds, as well as in mortgage-backed securities and derivatives of mortgage-backed securities. We maintain a Restricted List of securities in which there is a conflict or non-public information known about an issuer of securities. Our supervised persons are prohibited from trading and investing in securities on the Restricted List. For compliance purposes, supervised persons are required to report their personal securities transactions on a quarterly basis, have their accounts monitored electronically by MCO, (or if unable to connect electronically, provide duplicate confirmations and account statements) for review by Compliance.

The Code is designed to assure that the personal securities transactions, activities and interests of our supervised persons will not interfere with (i) making decisions in the best interest of the Funds, and (ii) implementing such decisions while, at the same time, allowing supervised persons to invest for their own accounts. Under the Code certain classes of securities have been designated as exempt transactions, based upon a determination that these would not materially interfere with the best interests of the Funds. In addition, the Code requires pre-clearance of many transactions. Nonetheless, because the Code in some circumstances would permit employees to invest in the same securities as the Fund, the possibility exists employees might benefit from market activity by a Fund in a security held by an employee. Supervised person trading is continually monitored under the Code through MCO and the review of supervised person account confirmations and statements, in

a reasonable effort to prevent conflicts of interest between supervised persons and the Funds. Investors or prospective investors may request a copy of the Code by contacting the Chief Compliance Officer at 212-696-0100.

The Adviser recommends to the Funds, the purchase or sale of certain assets from its affiliates, “principal transactions”. This is done in a manner that is consistent with the best interests of the Fund, applicable law, and the Governing Documents of each respective Fund.

The Adviser provides reports to investors in the Funds as required by the applicable Governing Documents for such Funds, or as otherwise agreed upon with a Fund or an investor in a Fund. The Governing Documents require quarterly and annual financial statements to be distributed to the Fund’s investors, and the Adviser also typically provides written additional disclosure with respect to a Fund and its performance. The Adviser distributes tax information on Schedule K-1 to investors, where applicable, and provides certain other reports and analyses to investors and potential investors upon request.