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Investor Presentaiton

MSR | Business Update As the fourth largest MSR purchaser during the first half of 2022, Annaly continues to gain market share in the sector Strategic Approach MSR portfolio is complementary to Annaly's Agency MBS strategy Offers attractive unlevered yield (1) Provides a mechanism to hedge mortgage basis volatility, potential slowdown in discount prepayment speeds, and policy risk Annaly is well equipped to invest in MSR given strong Agency MBS trading history, prepayment modeling expertise and prior experience owning one of the largest non-bank MSR co-issue platforms Complementary strategic partner to originators given certainty of capital and business strategy Portfolio consists of all Conventional MSR(2) Top Conventional MSR Purchasers ($mm)(3) Market Trends MSR bulk volumes remained elevated during the quarter and the 2022 YTD total already exceeds that of full year 2021 The majority of MSR traded in bulk markets has been backed by collateral originated 1-2 years ago that originators had previously retained Despite elevated supply, demand has remained strong with a diversified buyer base including banks, REITs, non-bank mortgage companies and private equity MSR spreads widened modestly toward the end of the quarter, but remained relatively stable compared to cheapening experienced in other risk assets Bulk Servicing Volume (4) vs. the Primary-Secondary Mortgage Spread ("PSS") Onslow Bay was the fourth largest MSR purchaser during 1H 2022 $400 200 Rank Buyer UPB ($mm) 180 1 JP Morgan 68,029 160 $300 2 Mr. Cooper 52,111 140 120 3 Freedom Mortgage Corp 46,766 $200 100 4 ONSLOW BAY FINANCIAL 41,277 $366 $373 5 Matrix (Two Harbors) 38,144 $317 80 60 6 Lakeview / Bayview Loan Servicing 25,376 $100 $199 $212 $194 7 Ocwen Oaktree 14,460 $149 40 20 8 PNC Bank 11,145 $0 0 10 Fifth Third Quicken 9,074 2016 2017 2018 2019 2020 2021 2022 YTD 7,169 UPB ($bn) (lhs) - PSS (bps) (rhs) Source: Company filings. Financial data as of June 30, 2022. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. ANNALY 14
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