Investor Presentaiton

Agency Business Update While Agency MBS performance faced persistent headwinds during the quarter, relative value returned to the market via performance of specified pools, which represent the majority of Annaly's portfolio Strategic Approach Annaly's Agency Portfolio is made up of high quality and liquid securities, predominately specified pools, TBAs and derivatives Portfolio benefits from in-house proprietary analytics that identify emerging prepayment trends and a focus on durable cash flows Diverse set of investment options within Agency market, including Agency CMBS, that provide complementary duration and return profiles to Agency MBS Access to deep and varied financing sources, including traditional wholesale repo and proprietary broker-dealer repo Market Trends Agency MBS continued to underperform during the second quarter as a result of macroeconomic uncertainty, sustained volatility, historically elevated supply and a general risk-off tone across markets With the rise in mortgage rates and slowdown in housing, supply should slow in the second half of 2022, improving the technical backdrop Agency MBS has historically benefited in periods of economic slowdown due to the lack of credit risk and superior liquidity relative to other fixed income assets Amidst elevated realized interest rate volatility, the improved convexity of specified pools outperformed relative to TBA Assets NLY Specified Pools and TBA Holdings, % ■ Pools ■TBA 100% 75% 50% 25% 0% 2019 2020 2021 2022 Agency Portfolio Detail Hedges() Funding (2) Agency Hedging Composition, % Agency Funding Composition, % ■Swaps ■Swaptions Futures Within 30 30-120 days Over 120 100% 100% 75% 50% 25% 0% 2019 2020 2021 2022 Source: Company filings. Financial data as of June 30, 2022. Note: Portfolio data as of quarter end for each respective period. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. 75% 50% 25% 0% 2019 2020 2021 2022 ANNALY 12

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