Investor Presentaiton

☐ Residential Credit Business Update Annaly Residential Credit Group continues to generate substantial activity through its correspondent channel and securitization platform and the portfolio is well-positioned to withstand the anticipated slowdown in the housing market Strategic Approach Programmatic securitization sponsor of new origination, residential whole loans with thirty-three deals comprising over $13 billion of issuance priced since the beginning of 2018 Securitization program gives Annaly the ability to create proprietary investments tailored to desired credit preferences with control over diligence, origination partners, servicers and loss mitigation Nimble platform that can deploy capital across both the residential whole loan and the Non-Agency securities markets depending on relative value Expanded whole loan sourcing capabilities through introduction of the Onslow Bay correspondent channel Modest use of balance sheet leverage with most positions term financed through securitization Market Trends All sectors of the Non-Agency RMBS market experienced meaningful spread widening as a result of elevated supply and rising mortgage rates Non-Agency MBS issuance of ~$90 billion during the first half of the year was in line with the prior year, while Non-QM issuance nearly doubled year-over-year, reaching a record $24 billion for 1H'22(1) Non-QM AAA ended the quarter ~35bps wider over swaps; senior unrated NPL/RPL ended the quarter ~100bps wider; and investment grade-rated CRT M2s ended the quarter ~100bps wider Housing transaction activity and momentum is slowing, implying that home price appreciation could soon follow Existing and new home sales fell 5% and 17% year-over-year, respectively, in June 2022(2) OBX Securitization History - UPB Issued ($mm) Deal Count: 3 5 $2,095 $1,846 $1,095 2018 2019 2020 Source: Company filings and Bloomberg. Financial data as of June 30, 2022, unless otherwise noted. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. 10 11 $4,448 $3,857 Q2'22: $1,961 Q1'22: $2,487 2021 2022 YTD Q2 2022 Securitizations ONSLOW BAY FINANCIAL $389 Million OBX 2022-J1 Prime Jumbo | May 2022 $391 Million OBX 2021-NQM5 Non-QM | Jun 2022 An Annaly Company $457 Million OBX 2022-NQM4 Non-QM | May 2022 $336 Million OBX 2022-INV4 Agency Investor | Jun 2022 $388 Million OBX 2022-NQM6 Non-QM | Jun 2022 ANNALY 16

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