Investor Presentaiton

Agency Portfolio Summary Annaly Agency Portfolio: $74.9 billion in assets at the end of Q2 2022, a modest decrease of 2% compared to Q1 2022 Consistent with the prior quarter, Annaly's portfolio activity remained focused on shifting up in coupon to take advantage of improved carry and wider spreads in production coupons Annaly reduced exposure to lower coupons (2.0% - 3.0%) through a combination of TBA and specified pool sales and rotated into higher coupons (3.5% -5.0%) primarily through TBA purchases Annaly's MBS portfolio speeds continued to slow during the quarter to 14.9 CPR, down from 16.7 CPR in Q1 2022 Total Dedicated Capital: $7.8 billion (1) Asset Type() Pass Through Coupon Type(2) 15 & 20Yr: 4% 10/110/CMO 1% 15yr 2% 20yr 2% 3.0% 2% 3.5% 1% >=4.0 DUS <=2.5% 1% <1% 1% ARM/HECM <1% 30yr 94% >=4.5% 26% <=2.5% 17% 4.0% 3.5% 19% 21% Note: Data as of June 30, 2022. Percentages based on fair market value and may not sum to 100% due to rounding. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. 3.0% 13% 40+ WALA 10% Portfolio Quality(3) Generic 20% 30Yr+: 96% Medium Quality 30% High Quality 40% ANNALY 13

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