Investor Presentaiton

Recent Achievements and Performance Highlights Financial Performance Financing & Liquidity Portfolio Performance Shareholder Value Annaly produced strong earnings and robust dividend coverage in the second quarter despite sustained market volatility Earnings available for distribution* of $0.30 per average common share for the quarter, up $0.02 from the prior quarter with dividend coverage of over 135% Book value per common share of $5.90 Declared quarterly common stock cash dividend of $0.22 per share with yield of 14.9% Economic return (loss) of (9.6%) for the second quarter Annaly remained prudent with respect to its leverage and liquidity position as challenging macroeconomic conditions persisted Economic leverage* of 6.6x, up from 6.4x quarter-over-quarter $6.3 billion of unencumbered assets, including cash and unencumbered Agency MBS of $4.5 billion Annaly Residential Credit Group is the largest non-bank issuer of Prime Jumbo and Expanded Credit MBS(1) with five residential whole loan securitizations totaling $2.0 billion in proceeds priced during the second quarter ■ Added $500 million of credit facility capacity within Annaly's Residential Credit Group during the quarter and established a $500 million credit facility(2) for Annaly's Mortgage Servicing Rights platform subsequent to quarter end Financing costs increased with average GAAP cost of interest-bearing liabilities of 1.12%, up 64 basis points and average economic cost of interest-bearing liabilities* of 1.11%, up 22 basis points quarter-over-quarter Annaly continued to expand its housing finance footprint through strong growth in its MSR and Residential Credit strategies ■ Total assets of $82.3 billion, including $74.9 billion in highly liquid Agency portfolio representing 91% of total assets (3) Annaly's MSR platform grew assets by 41% to $1.7 billion in the second quarter with MSR representing 15% of dedicated equity capital(4) Annaly's Residential Credit Group portfolio increased 10% during the quarter to $4.8 billion, driven by opportunistic CRT and NPL/RPL purchases within its securities portfolio Annaly's focus on shareholder value is highlighted by closing the Middle Market Lending portfolio sale and raising accretive equity ■ Closed previously announced sale of Annaly's Middle Market Lending portfolio during the quarter (5) Raised nearly $1 billion of accretive common equity in 1H'22, including $742 million through a common stock follow-on offering in May (6) Published third Corporate Responsibility Report, highlighting Annaly's commitment to ESG practices and policies Included in the 2022 FTSE4Good Index Series for fourth consecutive year Source: Company filings. Financial data as of June 30, 2022, unless otherwise noted. * Represents a non-GAAP financial measure; see Appendix. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. ANNALY 3

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