Investor Presentaiton

Endnotes Page 3 1. Issuer ranking data from Inside Nonconforming Markets for the first half of 2022. 2. Represents a $250mm committed credit facility and a $250mm accordion for total capacity of $500mm. 3. Total portfolio represents Annaly's investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Assets exclude assets transferred or pledged to securitization vehicles of $8.9bn, include TBA purchase contracts (market value) of $19.3bn, unsettled MSR commitments of $190mm, CMBX derivatives (market value) of $0.4bn and $1.0bn of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $0.7bn. 4. Includes limited partnership interests in two MSR funds, one of which is reported in Other Assets, and unsettled commitments of $190mm. MSR commitments represent the market value of deals where Annaly has executed a letter of intent. There can be no assurance whether these deals will close or when they will close. 5. Annaly announced the sale of its Middle Market Lending portfolio for approximately $2.4bn on April 25, 2022. The transaction represents substantially all of the Middle Market Lending assets held on balance sheet as well as assets managed for third parties. The majority of these assets were legally transferred during the second quarter of 2022 and the remaining assets are expected to be transferred by the third quarter 2022. For more information, please see the 8-K filing. 6. These amounts include ~$220mm raised through the Company's at-the-market sales program for its common stock net of sales agent commissions and other offering expenses. The May 2022 common equity offering excludes any applicable underwriting discounts and other estimated offering expenses and includes the underwriters' full exercise of their overallotment option to purchase additional shares of stock. Page 4 1. Dividend yield is based on annualized Q2 2022 dividend of $0.22 and a closing price of $5.91 on June 30, 2022. 2. Total portfolio represents Annaly's investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Assets exclude assets transferred or pledged to securitization vehicles of $8.9bn, include TBA purchase contracts (market value) of $19.3bn, unsettled MSR commitments of $190mm, CMBX derivatives (market value) of $0.4bn and $1.0bn of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $0.7bn. MSR commitments represent the market value of deals where Annaly has executed a letter of intent. There can be no assurance whether these deals will close or when they will close. 3. Capital allocation for each of the investment strategies is calculated as the difference between each investment strategy's allocated assets, which include TBA purchase contracts, and liabilities. Dedicated capital allocations as of June 30, 2022 exclude commercial real estate assets. 4. Hedge portfolio excludes receiver swaptions. 5. Computed as the sum of recourse debt, cost basis of TBA and CMBX derivatives outstanding and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued and mortgages payable are non-recourse to the Company and are excluded from this measure. 6. Hedge ratio measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver swaptions) and futures relative to repurchase agreements, other secured financing and cost basis of TBA derivatives outstanding; excludes MSR and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities. 7. Average economic cost of funds includes GAAP interest expense and the net interest component of interest rate swaps. Page 5 1. Total portfolio represents Annaly's investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Total assets include commercial real estate related assets, including CMBX derivatives (market value) of $0.4bn, which are excluded from capital allocation calculations. Agency assets exclude assets transferred or pledged to securitization vehicles of $0.5bn and include TBA purchase contracts (market value) of $19.3bn and $30mm of retained securities that are eliminated in consolidation. Residential Credit assets exclude assets transferred or pledged to securitization vehicles of $8.4bn, include $1.0bn of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $0.7bn. MSR assets include limited partnership interests in two MSR funds, one of which is reported in Other Assets, and unsettled commitments of $190mm. MSR commitments represent the market value of deals where Annaly has executed a letter of intent. There can be no assurance whether these deals will close or when they will close. 2. Capital allocation for each of the investment strategies is calculated as the difference between each investment strategy's allocated assets, which include TBA purchase contracts, and liabilities. Dedicated capital allocations as of June 30, 2022 exclude commercial real estate assets. Page 7 1. Based on July 19, 2022 market data retrieved via Bloomberg. 2. Based on July 19, 2022 market rates retrieved via Bloomberg and June 2022 FOMC projection materials. Page 8 1. Represents the normalized average level of existing home sales, pending home sales, new homes sales, mortgage purchase applications and sales pairs in the Case-Shiller 20-City Index retrieved via Macrobond as of July 19, 2022. 2. Represents the hypothetical mortgage payment if a homeowner were to obtain a mortgage representing 80% of the median existing home sale price at the prevailing 30-year Freddie Mac monthly mortgage survey rate retrieved via Macrobond as of July 19, 2022. 3. The relative share of the increase due to higher rates is calculated by keeping the home price constant at the May 2021 levels, while the relative share of the increase due to higher prices is calculated by keeping the mortgage rate constant. Page 9 1. Data sourced from Inside Nonconforming Markets. 2. Data sourced from Inside Mortgage Finance. Page 12 1. Represents Agency's hedging profile and does not reflect Annaly's full hedging activity. 2. Represents Agency's funding profile and does not reflect Annaly's full funding activity. Page 13 1. Includes TBA purchase contracts. 2. Includes TBA purchase contracts and fixed-rate pass-through certificates. 3. Includes fixed-rate pass-through certificates only. "High Quality Spec" protection is defined as pools backed by original loan balances of up to $125k, highest LTV pools (CR>125% LTV), geographic concentrations (NY/PR). "Med Quality Spec" includes $200k loan balance, $175k loan balance, $150k loan balance, high LTV (CQ 105-125% LTV) and 40-year pools. "40+ WALA" is defined as weighted average loan age greater than 40 months and treated as seasoned collateral. Page 14 1. Annaly's MSR that were held directly on balance sheet were not leveraged through June 30, 2022. Subsequent to quarter end, Annaly's Mortgage Servicing Rights platform established a $250mm committed credit facility with a $250mm accordion for total capacity of $500mm. 2. 3. Portfolio excludes retained servicing on whole loans within our Residential Credit portfolio. Issuer ranking data from EMBS as of June 30, 2022. 4. Based on SitusAMC observed bulk MSR transactions data as of June 30, 2022. ANNALY 28