ANNALY CAP MGMT INC

CUSIP: 035710AB8 Class: CNV

BASSO CAPITAL MANAGEMENT, L.P.'s Holding History (CIK: 0001287978)

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

Q1 2015
Shares 8,356,000 Value ($000) $8,379 Avg Close — Range —
Q4 2014
Shares 6,400,000 Value ($000) $6,440 Avg Close — Range —
Q3 2014
Shares 6,400,000 Value ($000) $6,472 Avg Close — Range —
Q2 2014
Shares 6,400,000 Value ($000) $6,544 Avg Close — Range —
Q1 2014
Shares 3,400,000 Value ($000) $3,477 Avg Close — Range —
Q4 2013
Shares 5,400,000 Value ($000) $5,464 Avg Close — Range —
Q3 2013
Shares 6,000,000 Value ($000) $6,104 Avg Close — Range —
Q2 2013
Shares 6,000,000 Value ($000) $6,053 Avg Close — Range —