Annaly Capital Management : Residential Credit Presentation - July 2022

Onslow Bay Financial LLC

July 13, 2022

Important Notices

This presentation is issued by Annaly Capital Management, Inc. ("Annaly"), an internally-managed, publicly traded company that has elected to be taxed as a real estate investment trust for federal income tax purposes. This presentation is provided for investors in Annaly for informational purposes only and is not an offer to sell, or a solicitation of an offer to buy, any security or instrument.

Forward-Looking Statements

This presentation, other written or oral communications, and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "believe," "expect," "anticipate," "continue," or similar terms or variations on those terms or the negative of those terms. Such statements include those relating to the Company's future performance, macro outlook, the interest rate and credit environments, tax reform and future opportunities. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, risks and uncertainties related to the COVID-19 pandemic, including as related to adverse economic conditions on real estate-related assets and financing conditions; changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities ("MBS") and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of the Company's assets; changes in business conditions and the general economy; operational risks or risk management failures by us or critical third parties, including cybersecurity incidents; the Company's ability to grow its residential credit business; the sale of our middle market lending business; credit risks related to the Company's investments in credit risk transfer securities, residential mortgage-backed securities and related residential mortgage credit assets and corporate debt; risks related to investments in mortgage servicing rights; the Company's ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting the Company's business; the Company's ability to maintain its qualification as a REIT for U.S. federal income tax purposes; and the Company's ability to maintain its exemption from registration under the Investment Company Act of 1940. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see "Risk Factors" in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. The Company does not undertake, and specifically disclaims any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.

We routinely post important information for investors on our website, www.annaly.com. We intend to use this webpage as a means of disclosing material information, for complying with our disclosure obligations under Regulation FD and to post and update investor presentations and similar materials on a regular basis. Annaly encourages investors, analysts, the media and others interested in Annaly to monitor the Investors section of our website, in addition to following our press releases, SEC filings, public conference calls, presentations, webcasts and other information we post from time to time on our website. To sign-up for email-notifications, please visit the "Email Alerts" section of our website, www.annaly.com, under the "Investors" section and enter the required information to enable notifications. The information contained on, or that may be accessed through, our webpage is not incorporated by reference into, and is not a part of, this document.

Past performance is no guarantee of future results. There is no guarantee that any investment strategy referenced herein will work under all market conditions. Prior to making any investment decision, you should evaluate your ability to invest for the long-term, especially during periods of downturns in the market. You alone assume the responsibility of evaluating the merits and risks associated with any potential investment or investment strategy referenced herein. To the extent that this material contains reference to any past specific investment recommendations or strategies which were or would have been profitable to any person, it should not be assumed that recommendations made in the future will be profitable or will equal the performance of such past investment recommendations or strategies. The information contained herein is not intended to provide, and should not be relied upon for accounting, legal or tax advice or investment recommendations for Annaly or any of its affiliates.

Regardless of source, information is believed to be reliable for purposes used herein, but Annaly makes no representation or warranty as to the accuracy or completeness thereof and does not take any responsibility for information obtained from sources outside of Annaly. Certain information contained in the presentation discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research or investment advice.

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Annaly Capital Management Overview

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Annaly Investment Strategies

Total Portfolio: $84.4 billion(1) | Total Shareholders' Equity: $11.5 billion

Mortgage

AgencyServicing

Rights

Invests in Agency MBS collateralized by	Invests in Mortgage Servicing Rights,
residential mortgages, which are	which provide the right to service
guaranteed by Fannie Mae, Freddie Mac	residential loans in exchange for a
or Ginnie Mae, and complementary	portion of the interest payments
investments within the Agency market	made on the loans

$76.1bn	$8.2bn	$1.2bn	$1.1bn
Assets(1)	Capital(2)	Assets(1)	Capital(2)

(Includes AMML Capital)

Residential

Credit

Invests in Non-Agency residential

mortgage assets within the securitized

product and whole loan markets

$4.4bn $2.1bn

Assets(1)Capital(2)

Source: Company filings. Financial data as of March 31, 2022.

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 $18.3bn and $39mm of retained securities that are eliminated in consolidation. Residential Credit assets exclude assets transferred or pledged to securitization vehicles of $7.3bn, include $893mm of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $0.8bn. MSR assets include limited partnership interests in two MSR funds, one of which is reported in Other Assets.
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 March 31, 2022 assume capital related to the Middle Market Lending business will be redeployed within the Agency business and exclude commercial
   real estate assets.

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30Yr+:

96%

Agency | Portfolio Summary

• Annaly Agency Portfolio: $76.1 billion in assets at the end of Q1 2022, a decrease of 6% compared to Q4 2021
• During the first quarter, Annaly's notional holdings were roughly unchanged and portfolio activity focused on shifting up in coupon − Annaly reduced exposure to lower coupons (30-year 2.0% and 15-year 1.5%) by rotating into higher coupons (3.0% - 3.5%)
• Actively delta hedged throughout the quarter and moved interest rate hedges further out the curve as our cash flows extended in the higher rate environment; our hedge ratio increased from 95% to 109% as a result of higher notional hedge portfolio
• Annaly's MBS portfolio prepaid 16.7 CPR during the quarter, down from 21.4 CPR in Q4 2021

Asset Type(1)

IO/IIO/CMO	15yr	20yr
1%
2%
2%
DUS
2%
ARM/HECM
<1%

Total Dedicated Capital: $8.2 billion(1)(2)

Pass Through Coupon Type(3)

15 & 20Yr:

4%	3.0%	3.5%	>=4.0
	1%	1%
	<=2.5%	1%
	1%

>=4.5%

Portfolio Quality(4)

Generic

15%

12%

4.0%

15%

<=2.5%

33%

40+ WALA

9%High

Quality

43%

30yr

93%

3.5%

17%3.0%

19%

Medium

Quality

33%

Note: Data as of March 31, 2022. Percentages based on fair market value and may not sum to 100% due to rounding.

1. Includes TBA purchase contracts.

2. Includes capital related to the Middle Market Lending business.

3. Includes TBA purchase contracts and fixed-ratepass-through certificates.

4. Includes fixed-ratepass-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.

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