ANNALY CAP MGMT INC

CUSIP: 035710AA0 Class: CNV

Graham Capital Management, L.P.'s Holding History (CIK: 0001315421)

Note: Option positions (PUT/CALL) are excluded.

Q4 2014
Shares 4,500,000 Value ($000) $4,605 Avg Close — Range —
Q3 2014
Shares 4,500,000 Value ($000) $4,635 Avg Close — Range —
Q2 2014
Shares 4,500,000 Value ($000) $4,765 Avg Close — Range —
Q1 2014
Shares 4,500,000 Value ($000) $4,817 Avg Close — Range —
Q4 2013
Shares 4,500,000 Value ($000) $4,706 Avg Close — Range —
Q3 2013
Shares 6,500,000 Value ($000) $7,136 Avg Close — Range —