Annaly Capital Management : 2021 Annual Meeting Presentation

Annual Meeting Presentation

May 19, 2021

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 and is being furnished in connection with Annaly's 2021 Annual Meeting. 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; the Company's ability to grow its residential credit business; the Company's ability to grow its 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, commercial real estate 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; the Company's ability to maintain its exemption from registration under the Investment Company Act of 1940; and the timing and ultimate completion of the sale of our commercial real estate business. 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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About Our Company

Annaly Capital Management, Inc. ("Annaly") is a leading diversified capital manager that invests in two fundamental pillars of the American

economy: housing and business

	$14bn			970%				$20bn+
	Permanent					Total Shareholder	Common and Preferred
	Capital(1)					Return Since IPO(2)				Dividends Declared(3)

~700k ~$295mm~180

American Homes	Investments Supporting		Talented
Financed(4)		Communities(5)		Professionals

We are internally managed and have elected to be taxed as a real estate investment trust, or REIT, for federal income tax purposes

Note: Company filings. Financial data as of March 31, 2021. Employee composition as of December 31, 2020.	3
Detailed endnotes are included at the end of this presentation.

Power of Annaly |The Industry Leader With a Differentiated Investing Model

~14x	$100bn	10	$8.9bn
Size of Median mREIT	Total Assets(2)	Financing Options	Unencumbered Assets
by Market Cap(1)

Scale		Diversified		Financing		Liquid
Annaly uses its size and scale to		Annaly is able to efficiently		Annaly's deep and diverse		Our diversified, lower leveraged
support two fundamental pillars of		diversify investments across its		financing sources include		strategy results in greater liquidity
the American economy: housing		businesses through a rigorous		traditional repo, warehouse lines		- $8.9bn of total unencumbered
and business		shared capital model and capital		and financing through our own		assets and $6.2bn of cash and
		allocation process		broker dealer		unencumbered Agency MBS

Market Cap ($mm) | Annaly vs. mREIT Peers

$14,000

$12,000 $10,000 $8,000 $6,000

$4,000

Annaly Market Cap: $12.3bn

$2,000Peer Median Market Cap: $899mm

-

Peer 35

Peer 34

Peer 33

Peer 32

Peer 31

Peer 30

Peer 29

Peer 28

Peer 27

Peer 26

Peer 25

Peer 24

Peer 23

Peer 22

Peer 21

Peer 20

Peer 19

Peer 18

Peer 17

Peer 16

Peer 15

Peer 14

Peer 13

Peer 12

Peer 11

Peer 10

Peer 9

Peer 8

Peer 7

Peer 6

Peer 5

Peer 4

Peer 3

Peer 2

Peer 1

Source: Company filings and Bloomberg. Financial data as of March 31, 2021. Market data as of April 15, 2021.	4
Detailed endnotes are included at the end of this presentation.

Proven Results |Delivering Outsized Returns Over 20+ Years

Since inception, Annaly has delivered ~$21bn in dividends to shareholders(1)

$22,500

$18,000

$13,500

$9,000

$4,500

-

1997	1998	1999	2000	2001	2002	2003	2004	2007	2009	2011		2014	2015	2016	2017	2018	2019	2020
		Prior Cumulative2005	Dividends2006	Declared2008		Dividends2010	Declared2012	During2013	Year	2021YTD

Since our IPO in October 1997, Annaly has delivered total returns of ~970%, outperforming the broader market by ~1.75x

1,200%
1,000%							970%
800%
600%							566%
400%
200%
-
(200%)
Oct-97Apr-98Oct-98Apr-99Oct-99Apr-00Oct-00Apr-01Oct-01Apr-02Oct-02Apr-03Oct-03Apr-04Oct-04Apr-05Oct-05Apr-06Oct-06Apr-07Oct-07Apr-08Oct-08Apr-09	Oct-09Apr-10Oct-10Apr-11Oct-11Apr-12Oct-12Apr-13Oct-13Apr-14Oct-14Apr-15Oct-15Apr-16Oct-16Apr-17Oct-17Apr-18Oct-18Apr-19Oct-19Apr-20Oct-20Apr-21
			Annaly			S&P 500

Source: Company filings and Bloomberg. Financial data as of March 31, 2021. Market data as of April 15, 2021.	5
Detailed endnotes are included at the end of this presentation.