Annaly Capital Management Provides Update on Its Market-Leading CDO Auction Business

NEW YORK--(BUSINESS WIRE)-- Annaly Capital Management, Inc. (NYSE: NLY) ("Annaly" or "the Company") announced that the CDO auction activity of its wholly-owned subsidiary, Fixed Income Discount Advisory Company ("FIDAC"), now exceeds $40 billion notional amount. FIDAC is the leading third-party auction agent for liquidations of CDOs and other mortgage portfolios. Including the CDO auction it is conducting today, FIDAC has conducted 44 CDO auctions since the beginning of 2008, consisting of over 5,800 individual securities. Auctioned collateral includes prime, Alt-A, sub-prime, home equity, option ARMs and second lien residential mortgage-backed securities, commercial mortgage-backed securities and a wide range of other asset-backed securities and derivatives. FIDAC's auction activity has attracted significant interest from a wide range of qualified investors, resulting in substantial recoveries for the sellers.

Annaly also announced that it has begun testing its new auction platform, FIDAC|Exchange, for its auction-related businesses. FIDAC|Exchange, a Web-based marketplace that enables FIDAC to safely and securely auction multiple securities to multiple potential buyers, will operate in conjunction with today's CDO liquidation.

"FIDAC|Exchange reflects not only an enhancement of our capabilities in conducting auctions, but it also positions our company to continue to meet the needs of what has become a growing business in the securities market," said Michael A.J. Farrell, Annaly's Chairman, Chief Executive Officer and President. "There are over $600 billion of CDOs outstanding, about half of them are already in EOD, or Event of Default, and only a third of that amount has been liquidated to date. We expect EODs and liquidation activity to continue to rise. Moreover, financial institutions and other investment portfolios are in position to restructure or otherwise liquidate many of their holdings. The market's increasing level of comfort with the auction process not only helps to set clearing prices for a wide range of performing and non-performing assets but also demonstrates the degree to which the private market is willing and able to contribute to the process of clearing toxic assets from balance sheets."

Annaly manages assets on behalf of institutional and individual investors worldwide. Annaly's principal business objective is to generate net income for distribution to investors from its Investment Securities and from dividends Annaly receives from its subsidiaries. Annaly's FIDAC subsidiary earns investment advisory fee income and other service fee income. In addition to providing investment management services to funds and separate accounts, FIDAC is a leading auction agent for liquidations of CDOs and other mortgage portfolios. Annaly is a Maryland corporation that has elected to be taxed as a real estate investment trust ("REIT").

This news release and our public documents to which we refer contain or incorporate by reference certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended. Forward-looking statements which are based on various assumptions (some of which are beyond our control) may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "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 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, changes in government regulations affecting our business, our ability to maintain our qualification as a REIT for federal income tax purposes, risks associated with the broker-dealer business of our subsidiary, and risks associated with the investment advisory business of our subsidiaries, including the removal by clients of assets they manage, their regulatory requirements and competition in the investment advisory business. 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. We do not undertake, and specifically disclaim 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.

    Source: Annaly Capital Management, Inc.