Investor Presentaiton

MSR Portfolio Summary Annaly grew its MSR portfolio by $502 million during the quarter and over $1 billion year-to-date Annaly MSR Portfolio: $1.7 billion (1) in assets at the end of Q2 2022, an increase of 41% compared to Q1 2022 Purchased $450 million of MSR during the second quarter - Portfolio experienced $52 million of mark-to-market gains during the quarter net of paydowns Portfolio is comprised of primarily low WAC, high credit quality collateral As of the end of the second quarter, MSR represented 15% of Annaly's dedicated equity capital Total Dedicated Capital: $1.6 billion Annaly MSR Holdings (Market Value, $mm) MSR by the Numbers (Excludes Interests in MSR and Unsettled Commitments) Market Value ($mm) $1,421 $83 $211 $143 $124 $486 $12 $42 42$56 $203 $101 $113 ألس. $1,735 $124 $190 Porfolio Summary UPB ($bn) $100 Loan Count 284,189 $1,233 $124 WAC 2.94% Avg Loan Size $350,136 Collateral Characteristics Orig FICO 759 $409 $575 $89 $645 $100 $1,109 $1,421 Orig LTV 68% 1M CPR 6.0% $545 3M CPR 6.4% Collateral Performance D30 0.5% (2) Q4 2020 Q1 2021 Q2 2021 Q3 2021 Q4 2021 MSR Unsettled MSR Commitments Q1 2022 Interests in MSR (1) Q2 2022 D60+ 0.3% Source: Company filings. Financial data as of June 30, 2022. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. ANNALY 15

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