Investor Presentaiton

Residential Credit Portfolio Summary Annaly Residential Credit Portfolio: $4.8 billion in assets at the end of Q2 2022, an increase of 10% compared to Q1 2022 driven primarily by securities purchases, in particular NPL/RPL and CRT securities The composition consists of a $4.0 billion securities portfolio and $0.8 billion whole loan portfolio(1) Securities portfolio grew 15% quarter-over-quarter driven by $356 million in CRT purchases (primarily new issue M1B/M2 bonds) and $346 million of NPL/RPL purchases (primarily A1s) Settled $1.1 billion of whole loans during the quarter across both Onslow Bay and our joint venture(2) Dedicated capital decreased to 14% from 19% in the prior quarter as a result of tactically taking advantage of strong financing levels Annaly remains an active issuer in Non-Agency space, pricing five securitizations during the second quarter totaling $2.0 billion - Annaly is the largest non-bank issuer of Prime Jumbo & Expanded Credit MBS for first half of 2022(3) Securitization strategy has resulted in $7.1bn of OBX debt outstanding at an average cost of funds of 2.7% (4) Sector Type(5)(6) Total Dedicated Capital: $1.5 billion ARM 2% Coupon Type (5) Rating WL 18% CRT 20% OBX Retained 21% NPL 10% RPL 15% Prime Jumbo 5% Prime 6% Alt A 2% Floating 23% Subprime 3% Fixed Duration <2yrs 17% ΙΟ 6% Investment Grade Unrated 35% 42% Fixed 52% Non-Investment Grade 23% Note: Data as of June 30, 2022, unless otherwise noted. Portfolio statistics and percentages are based on fair market value, reflect economic interest in securitizations and are net of participations issued. OBX Retained classification includes the fair market value of the economic interest of certain positions that are classified as Assets transferred or pledged to securitization vehicles within our Consolidated Financial Statements. Percentages may not sum to 100% due to rounding. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. ANNALY 17

View entire presentation