q32020ex992

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 Third Quarter 2020 quarterly report. 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 our 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 our assets; changes in business conditions and the general economy; our ability to grow our commercial real estate business; our ability to grow our residential credit business; our ability to grow our middle market lending business; credit risks related to our 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 ("MSR"); our ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting our business; our ability to maintain our qualification as a REIT for U.S. federal income tax purposes; and our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended. 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. We do not undertake, and specifically disclaim 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. Non-GAAP Financial Measures This presentation includes certain non-GAAP financial measures, including core earnings excluding the premium amortization adjustment (“PAA”). We believe the non-GAAP financial measures are useful for management, investors, analysts, and other interested parties in evaluating our performance but should not be viewed in isolation and are not a substitute for financial measures computed in accordance with U.S. generally accepted accounting principles (“GAAP”). In addition, we may calculate our non-GAAP metrics, such as core earnings (excluding PAA), or the PAA, differently than our peers making comparative analysis difficult. Please see the section entitled “Non-GAAP Reconciliations” in the attached Appendix for a reconciliation to the most directly comparable GAAP financial measures. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 1

Financial Snapshot Unaudited, dollars in thousands except per share amounts For the quarters ended 09/30/2020 6/30/2020 GAAP net income (loss) per average common share (1) $0.70 $0.58 (1) Income Statement Core earnings (excluding PAA) per average common share * $0.32 $0.27 Annualized GAAP return (loss) on average equity 29.02% 25.84% Annualized core return on average equity (excluding PAA)* 13.79% 12.82% Book value per common share $8.70 $8.39 Leverage at period-end (2) 5.1x 5.5x Balance Sheet Economic leverage at period-end (3) 6.2x 6.4x Capital ratio at period-end (4) 13.6% 13.0% Securities $76,098,985 $77,805,743 Loans, net 2,788,341 3,972,671 Portfolio Mortgage servicing rights 207,985 227,400 Assets transferred or pledged to securitization vehicles 7,269,402 7,690,451 Real estate, net 790,597 746,067 Total residential and commercial investments $87,155,310 $90,442,332 Net interest margin (5) 2.15% 1.89% GAAP Average yield on interest earning assets (6) 2.70% 2.77% Key Statistics Average GAAP cost of interest bearing liabilities (7) 0.60% 0.96% Net interest spread 2.10% 1.81% Net interest margin (excluding PAA) *(5) 2.05% 1.88% Non-GAAP Average yield on interest earning assets (excluding PAA) *(6) 2.86% 3.01% Key Statistics Average economic cost of interest bearing liabilities *(7) 0.93% 1.29% Net interest spread (excluding PAA) * 1.93% 1.72% Operating expenses to core earnings (excluding PAA) *(8) 9.54% 15.68% Efficiency Annualized operating expenses as a % of average total assets (8) 0.20% 0.28% Annualized operating expenses as a % of average total equity (8) 1.32% 2.01% ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 2

Portfolio Data Unaudited, dollars in thousands For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Agency mortgage-backed securities $74,915,167 $76,761,800 $78,456,846 $112,893,367 $114,462,524 Credit risk transfer securities 411,538 362,901 222,871 531,322 474,765 Non-agency mortgage-backed securities 717,602 619,840 585,954 1,135,868 1,015,921 Commercial mortgage-backed securities 54,678 61,202 91,925 273,023 140,851 Total securities $76,098,985 $77,805,743 $79,357,596 $114,833,580 $116,094,061 Residential mortgage loans $152,959 $1,168,521 $1,268,083 $1,647,787 $1,219,402 Commercial real estate debt and preferred equity 573,504 618,886 649,843 669,713 611,429 Corporate debt 2,061,878 2,185,264 2,150,263 2,144,850 2,115,783 Total loans, net $2,788,341 $3,972,671 $4,068,189 $4,462,350 $3,946,614 Portfolio- Mortgage servicing rights $207,985 $227,400 $280,558 $378,078 $386,051 Related Agency mortgage-backed securities transferred or pledged to securitization Data vehicles $623,650 $1,832,708 $1,803,608 $1,122,588 $— Residential mortgage loans transferred or pledged to securitization vehicles 3,588,679 2,832,502 3,027,188 2,598,374 2,376,731 Commercial real estate debt investments transferred or pledged to securitization vehicles 2,174,118 2,150,623 1,927,575 2,345,120 2,311,413 Commercial real estate debt and preferred equity transferred or pledged to securitization vehicles 882,955 874,618 913,291 936,378 — Assets transferred or pledged to securitization vehicles $7,269,402 $7,690,451 $7,671,662 $7,002,460 $4,688,144 Real estate, net $790,597 $746,067 $751,738 $725,638 $725,508 Total residential and commercial investments $87,155,310 $90,442,332 $92,129,743 $127,402,106 $125,840,378 Total assets $89,192,411 $93,458,653 $96,917,274 $130,295,081 $128,956,120 Average TBA contract and CMBX balances $20,429,935 $18,628,343 $9,965,142 $6,878,502 $9,248,502 Residential % Fixed-rate 98% 98% 99% 97% 97% Securities % Adjustable-rate 2% 2% 1% 3% 3% Summary Weighted average experienced CPR for the period 22.9% 19.5% 13.6% 17.8% 14.6% Weighted average projected long-term CPR at period-end 17.1% 18.0% 17.7% 13.9% 16.3% Portfolio Net premium and discount balance in Residential Securities $3,702,466 $3,679,639 $3,815,149 $5,185,797 $5,262,316 Statistics Net premium and discount balance as % of stockholders' equity 26.11% 26.68% 30.03% 32.84% 34.58% © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 3

Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Repurchase agreements $64,633,447 $67,163,598 $72,580,183 $101,740,728 $102,682,104 Other secured financing 861,373 1,538,996 1,805,428 4,455,700 4,466,030 Debt issued by securitization vehicles 6,027,576 6,458,130 6,364,949 5,622,801 3,856,082 Mortgages payable 507,934 508,565 484,762 485,005 485,657 Total debt $72,030,330 $75,669,289 $81,235,322 $112,304,234 $111,489,873 Financing Data Total liabilities $74,997,739 $79,661,050 $84,209,744 $114,498,737 $113,732,416 Cumulative redeemable preferred stock $1,982,026 $1,982,026 $1,982,026 $1,982,026 $1,982,026 Common equity(1) 12,200,180 11,811,440 10,721,399 13,809,991 13,237,270 Total Annaly stockholders' equity 14,182,206 13,793,466 12,703,425 15,792,017 15,219,296 Non-controlling interests 12,466 4,137 4,105 4,327 4,408 Total equity $14,194,672 $13,797,603 $12,707,530 $15,796,344 $15,223,704 Weighted average days to maturity of repurchase agreements 72 74 48 65 45 Weighted average rate on repurchase agreements, for the quarter(2)(3) 0.44% 0.79% 1.78% 2.09% 2.53% Weighted average rate on repurchase agreements, at period-end(3) 0.42% 0.49% 1.23% 2.03% 2.48% Leverage at period-end 5.1x 5.5x 6.4x 7.1x 7.3x Key Economic leverage at period-end 6.2x 6.4x 6.8x 7.2x 7.7.x Capital and Capital ratio at period-end 13.6% 13.0% 12.3% 12.0% 11.2% Hedging Book value per common share $8.70 $8.39 $7.50 $9.66 $9.21 Metrics Total common shares outstanding 1,402,928 1,407,662 1,430,424 1,430,106 1,437,964 Hedge ratio(4) 48% 40% 19% 75% 73% Weighted average pay rate on interest rate swaps, at period-end 0.91% 1.01% 1.63% 1.84% 1.88% Weighted average receive rate on interest rate swaps, at period-end 0.48% 0.75% 1.16% 1.89% 2.16% Weighted average net rate on interest rate swaps, at period-end 0.43% 0.26% 0.47% (0.05%) (0.28%) ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 4

Income Statement Data Unaudited, dollars in thousands except per share amounts For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Total interest income $562,443 $584,812 $555,026 $1,074,214 $919,299 Total interest expense 115,126 186,032 503,473 620,058 766,905 Net interest income $447,317 $398,780 $51,553 $454,156 $152,394 Total economic interest expense *(1) $177,655 $250,593 $517,453 $574,837 $678,439 Economic net interest income * $384,788 $334,219 $37,573 $499,377 $240,860 Total interest income (excluding PAA) * $596,322 $636,554 $845,748 $990,322 $1,036,451 Summary Income Economic net interest income (excluding PAA) * $418,667 $385,961 $328,295 $415,485 $358,012 Statement GAAP net income (loss) $1,015,548 $856,234 ($3,640,189) $1,209,742 ($747,169) GAAP net income (loss) available (related) to common stockholders (2) $980,165 $820,693 ($3,675,764) $1,174,165 ($783,210) GAAP net income (loss) per average common share (2) $0.70 $0.58 ($2.57) $0.82 ($0.54) Core earnings (excluding PAA) * $482,323 $424,580 $330,218 $409,157 $341,931 Core earnings (excluding PAA) available to common stockholders *(2) $446,814 $389,071 $294,709 $373,648 $305,780 Core earnings (excluding PAA) per average common share *(2) $0.32 $0.27 $0.21 $0.26 $0.21 PAA cost (benefit) $33,879 $51,742 $290,722 ($83,892) $117,152 ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 5

Key Earnings Metrics Unaudited, dollars in thousands except per share amounts For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Dividends declared per common share $0.22 $0.22 $0.25 $0.25 $0.25 Total common and preferred dividends declared (1) $344,684 $345,481 $393,328 $393,203 $396,187 Annualized GAAP return (loss) on average equity 29.02% 25.84% (102.17%) 31.20% (19.32%) Annualized GAAP return (loss) on average equity per unit of economic Key GAAP leverage 4.68% 4.04% (15.03%) 4.33% (2.51%) Earnings Metrics Net interest margin 2.15% 1.89% 0.18% 1.49% 0.48% Average yield on interest earning assets 2.70% 2.77% 1.91% 3.53% 2.89% Average GAAP cost of interest bearing liabilities 0.60% 0.96% 1.86% 2.17% 2.58% Net interest spread 2.10% 1.81% 0.05% 1.36% 0.31% Annualized core return on average equity (excluding PAA) * 13.79% 12.82% 9.27% 10.56% 8.85% Annualized core return on average equity per unit of economic leverage (excluding PAA) * 2.22% 2.00% 1.36% 1.47% 1.15% Key Non-GAAP Net interest margin (excluding PAA) * 2.05% 1.88% 1.18% 1.41% 1.10% Earnings Metrics Average yield on interest earning assets (excluding PAA) * 2.86% 3.01% 2.91% 3.25% 3.26% Average economic cost of interest bearing liabilities * 0.93% 1.29% 1.91% 2.01% 2.28% Net interest spread (excluding PAA) * 1.93% 1.72% 1.00% 1.24% 0.98% ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 6

Components of Economic Net Interest Income * Unaudited, dollars in thousands For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Interest income: Residential Securities $439,502 $457,684 $410,380 $923,653 $784,228 Residential mortgage loans 42,508 42,871 47,557 47,377 37,673 Commercial investment portfolio 80,324 84,208 95,676 97,366 87,946 Reverse repurchase agreements 109 49 1,413 5,818 9,452 Total interest income $562,443 $584,812 $555,026 $1,074,214 $919,299 Economic interest expense: Economic Net Interest Income * Repurchase agreements $75,386 $136,962 $434,021 $550,283 $699,838 Net interest component of interest rate swaps 62,529 64,561 13,980 (45,221) (88,466) Debt issued by securitization vehicles 32,491 38,757 42,119 39,099 34,524 Other 7,249 10,313 27,333 30,676 32,543 Total economic interest expense * $177,655 $250,593 $517,453 $574,837 $678,439 Economic net interest income * $384,788 $334,219 $37,573 $499,377 $240,860 PAA cost (benefit) 33,879 51,742 290,722 (83,892) 117,152 Economic net interest income (excluding PAA) * $418,667 $385,961 $328,295 $415,485 $358,012 ______________ * Represents a non-GAAP financial measure. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 7

GAAP Net Income to Core Earnings (excluding PAA)* Reconciliation Unaudited, dollars in thousands For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 GAAP net income (loss) $1,015,548 $856,234 ($3,640,189) $1,209,742 ($747,169) Net income (loss) attributable to noncontrolling interests (126) 32 66 68 (110) Net income (loss) attributable to Annaly 1,015,674 856,202 (3,640,255) 1,209,674 (747,059) Adjustments to exclude reported realized and unrealized (gains) losses: Realized (gains) losses on termination or maturity of interest rate swaps 427 1,521,732 397,561 4,615 682,602 Unrealized (gains) losses on interest rate swaps (170,327) (1,494,628) 2,827,723 (782,608) 326,309 Net (gains) losses on disposal of investments and other (198,888) (246,679) (206,583) (17,783) (66,522) Net (gains) losses on other derivatives (169,316) (170,916) (206,426) 42,312 16,888 Net unrealized (gains) losses on instruments measured at fair value through earnings (121,255) (254,772) 730,160 5,636 1,091 Core Earnings Loan loss provision (1) (21,818) 72,544 99,993 7,362 3,504 (excluding Other adjustments: Depreciation expense related to commercial real estate and PAA)* (2) 11,363 8,714 7,934 9,823 9,974 Reconciliation amortization of intangibles Non-core (income) loss allocated to equity method investments (3) (1,151) 4,218 19,398 (3,979) 4,541 Transaction expenses and non-recurring items (4) 2,801 1,075 7,245 3,634 2,622 Income tax effect of non-core income (loss) items 13,890 3,353 (23,862) (418) (2,762) TBA dollar roll income and CMBX coupon income (5) 114,092 97,524 44,904 36,901 15,554 MSR amortization (6) (27,048) (25,529) (18,296) (22,120) (21,963) Plus: Premium amortization adjustment cost (benefit) 33,879 51,742 290,722 (83,892) 117,152 Core earnings (excluding PAA) * 482,323 424,580 330,218 409,157 341,931 Dividends on preferred stock (7) 35,509 35,509 35,509 35,509 36,151 Core earnings (excluding PAA) attributable to common stockholders * $446,814 $389,071 $294,709 $373,648 $305,780 ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 8

Quarter-Over-Quarter Changes in Key Metrics Unaudited For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Book value per common share, beginning of period $8.39 $7.50 $9.66 $9.21 $9.33 Net income (loss) available (related) to common stockholders 0.70 0.58 (2.57) 0.82 (0.54) Other comprehensive income (loss) attributable to common stockholders (0.18) 0.51 0.69 (0.12) 0.66 Book Value Rollforward Common dividends declared (0.22) (0.22) (0.25) (0.25) (0.25) Issuance / buyback of common stock / redemption of preferred stock 0.01 0.02 — — 0.01 Other adjustment (1) — — (0.03) — — Book value per common share, end of period $8.70 $8.39 $7.50 $9.66 $9.21 Prior quarter net interest margin 1.89% 0.18% 1.49% 0.48% 0.58% Quarter-over-quarter changes in contribution: Net Interest Coupon on average interest earning assets (0.17%) 0.03% (0.04%) 0.02% (0.02%) Margin Net amortization of premiums 0.10% 0.83% (1.58%) 0.62% (0.12%) GAAP interest expense 0.33% 0.85% 0.31% 0.37% 0.04% Current quarter net interest margin 2.15% 1.89% 0.18% 1.49% 0.48% Prior quarter net interest spread 1.81% 0.05% 1.36% 0.31% 0.32% Quarter-over-quarter changes in contribution: Net Interest Coupon on average interest earning assets (0.17%) 0.03% (0.04%) 0.02% (0.02%) Spread Net amortization of premiums 0.10% 0.83% (1.58%) 0.62% (0.12%) Average GAAP cost of interest bearing liabilities 0.36% 0.90% 0.31% 0.41% 0.13% Current quarter net interest spread 2.10% 1.81% 0.05% 1.36% 0.31% ______________ Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 9

Quarter-Over-Quarter Changes in Key Metrics (continued) Unaudited For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Prior quarter net interest margin (excluding PAA) * 1.88% 1.18% 1.41% 1.10% 1.28% Quarter-over-quarter changes in contribution: Net Interest Coupon on average interest earning assets (including average TBA (0.20%) (0.39%) (0.14%) 0.08% 0.09% Margin dollar roll and CMBX balances) (excluding Net amortization of premiums (excluding PAA) 0.03% 0.18% (0.26%) (0.04%) (0.20%) PAA)* TBA dollar roll income and CMBX coupon income 0.06% 0.24% 0.03% 0.07% (0.05%) Interest expense and net interest component of interest rate swaps 0.28% 0.67% 0.14% 0.20% (0.02%) Current quarter net interest margin (excluding PAA) * 2.05% 1.88% 1.18% 1.41% 1.10% Prior quarter net interest spread (excluding PAA) * 1.72% 1.00% 1.24% 0.98% 1.07% Quarter-over-quarter changes in contribution: Net Interest Coupon on average interest earning assets (0.17%) 0.03% (0.04%) 0.02% (0.02%) Spread Net amortization of premiums (excluding PAA) 0.02% 0.07% (0.30%) (0.03%) (0.20%) (excluding PAA)* Average economic cost of interest bearing liabilities 0.36% 0.62% 0.10% 0.27% 0.13% Current quarter net interest spread (excluding PAA) * 1.93% 1.72% 1.00% 1.24% 0.98% ______________ * Represents a non-GAAP financial measure. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 10

Quarter-Over-Quarter Changes in Annualized Return on Average Equity Unaudited For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Prior quarter annualized GAAP return (loss) on average equity 25.84% (102.17%) 31.20% (19.32%) (45.13%) Quarter-over-quarter changes in contribution: Coupon income (2.71%) (7.00%) 0.88% (1.36%) 1.67% Net amortization of premiums and accretion of discounts 1.14% 9.08% (13.00%) 5.29% (1.46%) Annualized Interest expense and net interest component of interest rate swaps 2.49% 6.96% 0.30% 2.72% (0.61%) GAAP Return Realized gains (losses) on termination or maturity of interest rate swaps 45.92% (34.77%) (11.04%) 17.54% (13.40%) (Loss) on Average Equity Unrealized gains (losses) on interest rate swaps (40.24%) 124.48% (99.56%) 28.62% 23.98% Realized and unrealized gains (losses) on investments and other derivatives (6.31%) 29.20% (8.12%) (2.04%) 15.22% Loan loss provision 2.70% 0.71% (2.60%) (0.10%) (0.09%) Other(1) 0.19% (0.65%) (0.23%) (0.15%) 0.50% Current quarter annualized GAAP return (loss) on average equity 29.02% 25.84% (102.17%) 31.20% (19.32%) Prior quarter annualized core return on average equity (excluding PAA) * 12.82% 9.27% 10.56% 8.85% 9.94% Quarter-over-quarter changes in contribution: Coupon income (2.71%) (7.00%) 0.88% (1.36%) 1.67% Annualized Core Return on Net amortization of premiums (excluding PAA) 0.54% 2.48% (2.68%) 0.09% (1.98%) Average Equity Interest expense and net interest component of interest rate swaps 2.49% 6.96% 0.30% 2.72% (0.61%) * (excluding PAA) TBA dollar roll income and CMBX coupon income 0.32% 1.68% 0.31% 0.56% (0.44%) Other(2) 0.33% (0.57%) (0.10%) (0.30%) 0.27% Current quarter core return on annualized average equity (excluding PAA) * 13.79% 12.82% 9.27% 10.56% 8.85% ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 11

Residential Investments & TBA Derivative Overview as of September 30, 2020 Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % (3) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value <=15 years (1) $3,388,717 5.0% 2.78% 101.6% 107.6% 16.4% $3,645,805 20 years 2,829,626 4.2% 3.15% 103.3% 106.9% 18.6% 3,026,079 >=30 years (2) 61,564,347 90.8% 3.72% 104.9% 110.2% 23.0% 67,818,262 Total/Weighted Avg. $67,782,690 100.0% 3.65% 104.6% 109.9% 22.7% $74,490,146 TBA Contracts Weighted Avg. Implied Cost Implied Market Type Notional Value % (4) Coupon Basis Value 15-year $2,003,000 9.9% 2.06% $2,077,929 $2,083,118 30-year 18,291,000 90.1% 2.34% 18,994,110 19,006,437 Total/Weighted Avg. $20,294,000 100.0% 2.31% $21,072,039 $21,089,555 Agency Adjustable-Rate Securities Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Months to Reset Face Value % (3) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value 0 - 24 months $429,712 77.6% 3.13% 100.9% 105.4% 27.5% $452,953 25 - 40 months 42,976 7.8% 2.53% 99.0% 103.9% 42.3% 44,650 41 - 60 months 39,341 7.1% 2.94% 101.0% 105.8% 49.0% 41,616 61 - 90 months 41,542 7.5% 3.00% 101.2% 106.1% 48.6% 44,076 Total/Weighted Avg. $553,571 100.0% 3.06% 100.8% 105.4% 32.5% $583,295 ______________ Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 12

Residential Investments & TBA Derivative Overview as of September 30, 2020 (continued) Unaudited, dollars in thousands Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Type Value % (1) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value Interest-only $1,154,252 37.5% 3.37% 14.7% 8.4% 25.0% $96,523 Inverse interest-only 1,927,272 62.5% 5.95% 22.4% 19.1% 23.7% 368,853 Total/Weighted Avg. $3,081,524 100.0% 4.98% 19.5% 15.1% 24.2% $465,376 Mortgage Servicing Rights Unpaid Excess Weighted Avg. Principal Weighted Avg. Servicing Loan Age Estimated Type Balance Coupon Spread (months) Fair Value Total/Weighted Avg. $27,316,186 3.82% 0.24% 53 $207,985 Residential Credit Portfolio Current Face / Weighted Avg. Weighted Avg. Weighted Avg. Estimated Sector Notional Value % (2) Coupon Amortized Cost Fair Value Fair Value Credit Risk Transfer $463,482 8.4% 4.41% 99.1% 88.8% $411,538 Alt-A 104,381 1.9% 3.70% 80.6% 87.1% 90,954 Prime 184,166 3.8% 4.17% 94.8% 101.1% 186,178 Prime Interest-only 237,377 0.1% 0.46% 1.0% 0.5% 1,191 Subprime 131,194 2.5% 1.05% 84.9% 91.1% 119,547 NPL/RPL 284,699 5.8% 4.18% 99.3% 99.0% 281,869 Prime Jumbo 39,666 0.7% 3.82% 87.1% 91.3% 36,204 Prime Jumbo Interest-only 366,870 —% 0.36% 2.0% 0.5% 1,659 Residential Mortgage Loans 3,666,420 76.8% 4.88% 100.9% 102.1% 3,741,638 Total/Weighted Avg. $5,478,255 100.0% 4.65% $4,870,778 ______________ Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 13

(1) Residential Credit Investments Detail as of September 30, 2020 Unaudited, dollars in thousands Payment Structure Investment Characteristics Estimated Credit 60+ Product Fair Value Senior Subordinate Coupon Enhancement Delinquencies 3M VPR Agency Credit Risk Transfer $397,665 $— $397,665 4.37% 0.99% 4.78% 41.13% Private Label Credit Risk Transfer 13,873 — 13,873 5.60% —% 4.69% 33.94% Alt-A 90,954 26,379 64,575 3.70% 8.32% 19.13% 16.44% Prime 186,178 28,640 157,538 4.17% 8.75% 12.83% 22.26% Prime Interest-only 1,191 1,191 — 0.46% —% 6.20% 40.34% Subprime 119,547 66,303 53,244 1.05% 8.97% 20.96% 5.93% Re-Performing Loan Securitizations 273,393 142,960 130,433 4.19% 33.47% 22.24% 5.40% Non-Performing Loan Securitizations 8,476 8,476 — 3.67% 31.00% 83.41% —% Prime Jumbo 36,204 — 36,204 3.82% 2.23% 4.99% 50.31% Prime Jumbo Interest-only 1,659 1,659 — 0.36% —% 3.91% 48.78% Total (2) $1,129,140 $275,608 $853,532 3.87% 11.34% 13.55% 23.43% Bond Coupon Estimated Fair Product Value ARM Fixed Floater Interest Only Agency Credit Risk Transfer $397,665 $— $— $397,665 $— Private Label Credit Risk Transfer 13,873 — — 13,873 — Alt-A 90,954 28,251 47,803 14,900 — Prime 186,178 29,866 130,153 26,159 — Prime Interest-only 1,191 — — — 1,191 Subprime 119,547 — 3,975 115,415 157 Re-Performing Loan Securitizations 273,393 — 273,393 — — Non-Performing Loan Securitizations 8,476 — 8,476 — — Prime Jumbo 36,204 — 36,204 — — Prime Jumbo Interest-only 1,659 — — — 1,659 Total $1,129,140 $58,117 $500,004 $568,012 $3,007 ______________ Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 14

Commercial Real Estate Overview as of September 30, 2020 Unaudited, dollars in thousands GAAP Non-GAAP Number of Weighted Avg Weighted Avg Economic Levered Investment Portfolio Investments Book Values % of Portfolio LTV (1) Life (years) (2) Interest (3) Return (4) Loans Senior Mortgages 18 $450,177 10.1% 75.9% 3.5 $209,263 9.0% Mezzanine Loans 11 123,327 2.8% 74.2% 2.1 48,790 7.6% Total Loans 29 573,504 12.9% 75.5% 3.2 258,053 8.7% Securities CMBS (Credit) 2 31,139 0.7% 62.3% 5.6 11,335 19.1% SASB 14 23,539 0.5% 64.7% 4.1 4,714 12.2% Total Securities 16 $54,678 1.2% 63.3% 4.9 $16,049 17.2% Assets transferred or pledged to securitization vehicles NLY 2019 - FL2 25 802,855 17.9% 84.3% 2.8 173,438 16.3% NLY 2019 - OAKS 1 80,100 1.8% 74.0% 4.3 14,960 23.6% Commercial Trusts 64 2,174,118 48.6% 47.1% 4.4 128,865 9.0% Total Assets transferred or pledged to securitization 90 $3,057,073 68.3% 57.6% 4.0 $317,263 13.7% vehicles Total Debt Investments 135 $3,685,255 82.4% 60.4% 3.8 $591,365 11.6% Equity Investments Real Estate Held for Investment 46 681,512 15.2% 302,162 10.2% Investment in Unconsolidated Joint Ventures (5) 32 109,085 2.4% 167,197 10.9% Total Equity Investments 78 790,597 17.6% 469,359 10.4% Total Investment Portfolio 213 $4,475,852 100.0% $1,060,724 11.2% Net Weighted Range of Implied Average Derivatives Net Notional Ratings Market Value Coupon CMBX (6) $499,000 AAA to BBB- $471,918 1.2% ______________ Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 15

Middle Market Lending Overview as of September 30, 2020 Unaudited, dollars in thousands Industry Dispersion Size Dispersion Industry Total (1) Computer Programming, Data Processing & Other Computer Related Services 409,644 Position Size Amount Percentage Management and Public Relations Services 257,404 $0 - $20 million $233,085 11.3% Industrial Inorganic Chemicals 141,941 $20 - $40 million 419,031 20.3% Public Warehousing and Storage 124,836 $40 - $60 million 331,958 16.1% Engineering, Architectural, and Surveying 110,984 Greater than $60 million 1,077,804 52.3% Metal Cans & Shipping Containers 110,478 Total $2,061,878 100.0% Offices and Clinics of Doctors of Medicine 104,064 Surgical, Medical, and Dental Instruments and Supplies 99,444 Tenor Dispersion Electronic Components & Accessories 78,114 Remaining Term Amount Percentage Insurance Agents, Brokers and Services 68,577 One year or less $40,428 2.0% Telephone Communications 58,233 One to three years 346,414 16.8% Miscellaneous Health and Allied Services, not elsewhere classified 52,307 Three to five years 712,705 34.6% Miscellaneous Equipment Rental and Leasing 49,589 Greater than five years 962,331 46.6% Electric Work 41,170 Total $2,061,878 100.0% Medical and Dental Laboratories 40,477 Research, Development and Testing Services 29,648 Metal Forgings and Stampings 29,390 Lien Position Amount Percentage Home Health Care Services 28,914 First lien loans $1,320,115 64.0% Motor Vehicles and Motor Vehicle Parts and Supplies 28,545 Second lien loans 741,763 36.0% Legal Services 26,420 Total $2,061,878 100.0% Petroleum and Petroleum Products 24,709 Grocery Stores 22,937 Coating, Engraving and Allied Services 19,456 Schools and Educational Services, not elsewhere classified 19,325 Chemicals & Allied Products 14,595 Miscellaneous Business Services 12,953 Drugs 12,952 Mailing, Reproduction, Commercial Art and Photography, and Stenographic 12,879 Machinery, Equipment, and Supplies 12,080 Miscellaneous Plastic Products 9,940 Offices and Clinics of Other Health Practitioners 9,873 Total $2,061,878 ______________ Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 16

Hedging and Liabilities as of September 30, 2020 Unaudited, dollars in thousands Current Weighted Avg. Weighted Avg. Weighted Avg. Maturity Notional (1)(2) Pay Rate Receive Rate Years to Maturity(3) 0 to 3 years $ 17,816,700 0.14 % 0.41 % 2.27 Interest Rate > 3 to 6 years 7,255,000 0.69 % 0.09 % 3.87 Swaps > 6 to 10 years 5,806,500 1.43 % 0.65 % 8.09 Greater than 10 years 1,349,000 2.90 % 0.39 % 21.85 Total / Weighted Avg. $ 32,227,200 0.91 % 0.48 % 4.51 Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Underlying Underlying Underlying Underlying Months to Interest Rate Type Notional Fixed Rate Floating Rate Years to Maturity Expiration Swaptions Long Pay $ 6,550,000 1.29 % 3M LIBOR 10.60 7.97 Long Receive $ 250,000 1.66 % 3M LIBOR 10.27 3.20 Futures Weighted Avg. Years to Type Long Contracts Short Contracts Net Positions Maturity Positions U.S. Treasury Futures - 10 year & Greater $ — $ (2,822,800) $ (2,822,800) 6.90 Principal Weighted Avg. Rate Repurchase Maturity Balance At Period End Within 30 days $ 26,594,431 0.34 % Agreements 30 to 59 days 8,644,191 0.51 % and Other 60 to 89 days 9,702,860 0.33 % Secured 90 to 119 days 5,529,035 0.73 % Financing Over 120 days(4) 15,024,303 0.55 % Total / Weighted Avg. $ 65,494,820 0.44 % Weighted Average Rate Principal Balance At Period End For the Quarter Days to Maturity(5) Total Repurchase agreements $ 64,633,447 0.42 % 0.44 % 72 Indebtedness Other secured financing 861,373 2.23 % 2.56 % 1,432 Debt issued by securitization vehicles 6,027,847 2.15 % 2.03 % 9,336 Mortgages payable 513,182 3.99 % 3.95 % 4,174 Total indebtedness $ 72,035,849 ______________ Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 17

Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Unaudited Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of September 30, 2020 and June 30, 2020 ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪ The MBS spread sensitivity shifts MBS spreads instantaneously and reflects exposure to MBS basis risk ▪ All tables assume no active management of the portfolio in response to rate or spread changes Interest Rate Sensitivity (1) As of September 30, 2020 As of June 30, 2020 Estimated Percentage Change in Estimated Change as a % Estimated Percentage Change in Estimated Change as a % Interest Rate Change (bps) Portfolio Value(2) of NAV(2)(3) Portfolio Value(2) of NAV(2)(3) (75) —% (0.3%) —% (0.2%) (50) 0.1% 0.7% 0.1% 0.9% (25) 0.2% 1.5% 0.3% 1.7% 25 (0.1%) (0.9%) (0.1%) (0.9%) 50 (0.3%) (2.1%) (0.3%) (2.3%) 75 (0.6%) (3.9%) (0.6%) (4.2%) MBS Spread Sensitivity (1) As of September 30, 2020 As of June 30, 2020 Estimated Change in Portfolio Estimated Change as a % Estimated Change in Portfolio Estimated Change as a % MBS Spread Shock (bps) Market Value (2) of NAV(2)(3) Market Value (2) of NAV(2)(3) (25) 1.4% 8.9% 1.3% 8.8% (15) 0.9% 5.3% 0.8% 5.3% (5) 0.3% 1.8% 0.3% 1.8% 5 (0.3%) (1.7%) (0.3%) (1.7%) 15 (0.8%) (5.2%) (0.8%) (5.2%) 25 (1.4%) (8.7%) (1.3%) (8.7%) ______________ Detailed endnotes are included within the Appendix at the end of this presentation. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 18

Appendix

Non-GAAP Reconciliations To supplement its consolidated financial statements, which are prepared and presented in accordance with GAAP, the Company provides non-GAAP financial measures. These measures should not be considered a substitute for, or superior to, financial measures computed in accordance with GAAP. While intended to offer a fuller understanding of the Company’s results and operations, non-GAAP financial measures also have limitations. For example, the Company may calculate its non-GAAP metrics, such as core earnings (excluding PAA), or the PAA, differently than its peers making comparative analysis difficult. Additionally, in the case of non-GAAP measures that exclude the PAA, the amount of amortization expense excluding the PAA is not necessarily representative of the amount of future periodic amortization nor is it indicative of the term over which the Company will amortize the remaining unamortized premium. Changes to actual and estimated prepayments will impact the timing and amount of premium amortization and, as such, both GAAP and non-GAAP results. These non-GAAP measures provide additional detail to enhance investor understanding of the Company’s period-over-period operating performance and business trends, as well as for assessing the Company’s performance versus that of industry peers. Additional information pertaining to these non-GAAP financial measures and reconciliations to their most directly comparable GAAP results are provided on the following pages. A reconciliation of GAAP net income (loss) to non-GAAP core earnings (excluding PAA) for the quarters ended September 30, 2020, June 30, 2020, March 31, 2020, December 31, 2019 and September 30, 2019, is provided on page 8 of this financial summary. Core earnings (excluding PAA), a non-GAAP measure, is defined as the sum of (a) economic net interest income, (b) TBA dollar roll income and CMBX coupon income, (c) realized amortization of MSRs, (d) other income (loss) (excluding depreciation expense related to commercial real estate and amortization of intangibles, non-core income allocated to equity method investments and other non-core components of other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non-recurring items) and (f) income taxes (excluding the income tax effect of non-core income (loss) items) and excludes (g) the premium amortization adjustment representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities ("PAA"). © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 20

Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Premium Amortization Reconciliation Premium amortization expense $248,718 $270,688 $616,937 $171,447 $376,306 Less: PAA cost (benefit) 33,879 51,742 290,722 (83,892) 117,152 Premium amortization expense (excluding PAA) $214,839 $218,946 $326,215 $255,339 $259,154 Interest Income (excluding PAA) Reconciliation GAAP interest income $562,443 $584,812 $555,026 $1,074,214 $919,299 PAA cost (benefit) 33,879 51,742 290,722 (83,892) 117,152 Interest income (excluding PAA) * $596,322 $636,554 $845,748 $990,322 $1,036,451 Economic Interest Expense Reconciliation GAAP interest expense $115,126 $186,032 $503,473 $620,058 $766,905 Add: Net interest component of interest rate swaps 62,529 64,561 13,980 (45,221) (88,466) Economic interest expense * $177,655 $250,593 $517,453 $574,837 $678,439 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $596,322 $636,554 $845,748 $990,322 $1,036,451 Less: Economic interest expense * 177,655 250,593 517,453 574,837 678,439 Economic net interest income (excluding PAA) * $418,667 $385,961 $328,295 $415,485 $358,012 ______________ * Represents a non-GAAP financial measure. 21 © Copyright 2020 Annaly Capital Management, Inc. All rights reserved.

Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended 9/30/2020 6/30/2020 3/31/2020 12/31/2019 9/30/2019 Economic Metrics (excluding PAA) Average interest earning assets $83,286,119 $84,471,839 $116,063,895 $121,801,951 $127,207,668 Interest income (excluding PAA) * $596,322 $636,554 $845,748 $990,322 $1,036,451 Average yield on interest earning assets (excluding PAA) * 2.86% 3.01% 2.91% 3.25% 3.26% Average interest bearing liabilities $74,901,128 $76,712,894 $107,029,466 $111,873,379 $116,391,094 Economic interest expense * 177,655 250,593 517,453 574,837 678,439 Average economic cost of interest bearing liabilities * 0.93% 1.29% 1.91% 2.01% 2.28% Economic net interest income (excluding PAA)* $418,667 $385,961 $328,295 $415,485 $358,012 Net interest spread (excluding PAA) * 1.93% 1.72% 1.00% 1.24% 0.98% Interest income (excluding PAA) * $596,322 $636,554 $845,748 $990,322 $1,036,451 TBA dollar roll income and CMBX coupon income 114,092 97,524 44,904 36,901 15,554 Interest expense (115,126) (186,032) (503,473) (620,058) (766,905) Net interest component of interest rate swaps (62,529) (64,561) (13,980) 45,221 88,466 Subtotal $532,759 $483,485 $373,199 $452,386 $373,566 Average interest earning assets $83,286,119 $84,471,839 $116,063,895 $121,801,951 $127,207,668 Average TBA contract and CMBX balances 20,429,935 18,628,343 9,965,142 6,878,502 9,248,502 Subtotal $103,716,054 $103,100,182 $126,029,037 $128,680,453 $136,456,170 Net interest margin (excluding PAA) * 2.05% 1.88% 1.18% 1.41% 1.10% ______________ * Represents a non-GAAP financial measure. 22 © Copyright 2020 Annaly Capital Management, Inc. All rights reserved.

Endnotes Page 2 Page 4 (continued) (1) Net of dividends on preferred stock. (4) Measures total notional balances of interest rate swaps, interest rate swaptions (2) Debt consists of repurchase agreements, other secured financing, securitized debt and (excluding receiver swaptions) and futures relative to repurchase agreements, other mortgages payable. Certain credit facilities (included within other secured financing), secured financing and cost basis of TBA derivatives outstanding; excludes MSRs and the securitized debt and mortgages payable are non-recourse to the Company. effects of term financing, both of which serve to reduce interest rate risk. Additionally, (3) Computed as the sum of recourse debt, cost basis of to be announced ("TBA") derivatives the hedge ratio does not take into consideration differences in duration between assets and credit derivatives referencing the commercial mortgage-backed securities index and liabilities. ("CMBX") derivatives outstanding and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other Page 5 secured financing (excluding certain non-recourse credit facilities). Securitized debt, (1) Includes GAAP interest expense and the net interest component of interest rate swaps. certain credit facilities (included within other secured financing) and mortgages payable (2) Net of dividends on preferred stock. The quarter ended September 30, 2019 excludes are non-recourse to the Company and are excluded from this measure. cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred (4) Computed as the ratio of total equity to total assets (inclusive of total market value of TBA Stock as of June 30, 2019. derivatives and CMBX positions and exclusive of securitized debt of consolidated variable interest entities ("VIEs")). Page 6 (5) Net interest margin represents interest income less interest expense divided by average (1) Includes dividend equivalents on share-based awards. interest earning assets. Net interest margin (excluding PAA) represents the sum of the Company's interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon Page 8 income less interest expense and the net interest component of interest rate swaps (1) Includes $0.2 million, $3.8 million and $0.7 million loss provision on the Company’s divided by the sum of average interest earning assets plus average TBA contract and unfunded loan commitments as of September 30, 2020, June 30, 2020 and March 31, CMBX balances. 2020, respectively, which is reported in Other income (loss) in the Company’s (6) Average yield on interest earning assets represents annualized interest income divided by Consolidated Statement of Comprehensive Income (Loss). average interest earning assets. Average interest earning assets reflects the average (2) Amount includes depreciation and amortization expense related to equity method amortized cost of our investments during the period. Average yield on interest earning investments. assets (excluding PAA) is calculated using annualized interest income (excluding PAA). (3) The Company excludes non-core (income) loss allocated to equity method investments, (7) Average GAAP cost of interest bearing liabilities represents annualized interest expense which represents the unrealized (gains) losses allocated to equity interests in a portfolio divided by average interest bearing liabilities. Average interest bearing liabilities reflects the of MSR, which is a component of Other income (loss). average balances during the period. Average economic cost of interest bearing liabilities (4) The quarter ended September 30, 2020 includes costs incurred in connection with represents annualized economic interest expense divided by average interest bearing securitizations of residential whole loans. The quarter ended June 30, 2020 includes liabilities. Economic interest expense is comprised of GAAP interest expense and the net costs incurred in connection with the Internalization and costs incurred in connection interest component of interest rate swaps. with the CEO search process. The quarter ended March 31, 2020 includes costs incurred (8) Excludes costs incurred in connection with securitizations of residential whole loans for in connection with securitizations of Agency mortgage-backed securities and residential the quarter ended September 30, 2020 and excludes costs incurred in connection with the whole loans as well as costs incurred in connection with the Internalization and costs Internalization and costs incurred in connection with the CEO search process for the incurred in connection with the CEO search process. The quarter ended December 31, quarter ended June 30, 2020. 2019 includes costs incurred in connection with securitizations of Agency mortgage- backed securities and residential whole loans. The quarter ended September 30, 2019 Page 4 includes costs incurred in connection with a securitization of residential whole loans. (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive (5) TBA dollar roll income and CMBX coupon income each represent a component of Net income (loss) and accumulated deficit. gains (losses) on other derivatives. CMBX coupon income totaled $1.5 million, $1.6 (2) Utilizes an actual/360 factor. million, $1.2 million, $1.3 million and $1.5 million for the quarters ended September 30, (3) The average and period-end rates are net of reverse repurchase agreements. Without 2020, June 30, 2020, March 31, 2020, December 31, 2019 and September 30, 2019. netting reverse repurchase agreements, the average rate was 0.44%, 0.79%, 1.77%, 2.10% (6) MSR amortization represents the portion of changes in fair value that is attributable to and 2.53% and the period-end rate was 0.42%, 0.49%, 1.23%, 2.03% and 2.48% for the the realization of estimated cash flows on the Company’s MSR portfolio and is reported quarters ended September 30, 2020, June 30, 2020, March 31, 2020, December 31, 2019 as a component of Net unrealized gains (losses) on instruments measured at fair value. and September 30, 2019, respectively. (7) The quarter ended September 30, 2019 excludes cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 23

Endnotes (continued) Page 9 Page 15 (1) Represents the opening adjustment to retained earnings upon adoption of Accounting (1) Based on an internal valuation or the most recent third party appraisal, which may be prior to Standards Update 2016-13 Financial instruments - Credit losses (Topic 326): loan origination/purchase date or at the time of underwriting. Measurement of credit losses on financial instruments, commonly referred to as CECL. (2) Maturity dates assume all of the borrowers' extension options are exercised for the loan portfolio. Page 11 (3) Economic interest is a non-GAAP measure to include gross asset values less related (1) Includes other income (loss), general and administrative expenses and income taxes. financings. Equity investments are adjusted to exclude depreciation and amortization and grosses up real estate investments accounted for under equity method accounting. (2) Includes other income (loss) (excluding non-core items), MSR amortization (a (4) Levered returns for equity investments comprise a trailing twelve-month (“TTM”) distribution component of Net unrealized gains (losses) on instruments measured at fair value yield for joint venture investments and core return for wholly owned properties. through earnings), general and administrative expenses (excluding transaction related (5) Includes investment in unconsolidated debt fund of $48.5 million, investments in expenses) and income taxes (excluding non-core income tax). Community Investment Impact Funds of $26.6 million and a portfolio of real estate properties of $34.0 million. Page 12 (6) The Company sells/buys protection on CMBX tranches referencing baskets of Conduit (1) Includes Agency-backed multifamily securities with an estimated fair value of $2.1 CMBS bonds with various ratings. Positive net notional indicates selling protection and being billion ($0.6 billion of which have been transferred or pledged to securitization vehicles). long the exposure to the underlying CMBS. CMBX positions are accounted for as derivatives (2) Includes fixed-rate collateralized mortgage obligations with an estimated fair value of with changes in fair value presented in Net gains (losses) on other derivatives. $152.5 million. (3) Weighted by current face value. Page 16 (4) Weighted by current notional value. (1) All Middle Market Lending positions are floating rate. Page 13 Page 17 (1) Weighted by current notional value. (1) Current notional is presented net of receiver swaps. (2) Weighted by estimated fair value. (2) As of September 30, 2020, 12%, 77% and 11% of the Company's interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, Page 14 respectively. (1) Excludes residential mortgage loans. (3) The weighted average years to maturity of payer interest rate swaps is offset by the (2) Total investment characteristics exclude interest-only securities. weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. (4) Approximately 1% of the total repurchase agreements and other secured financing have a remaining maturity over one year. (5) Determined based on estimated weighted average lives of the underlying debt instruments. Page 18 (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with internally derived inputs. Actual results could differ materially from these estimates. (2) Scenarios include Residential Investment Securities, residential mortgage loans, MSRs and derivative instruments. (3) Net asset value (“NAV”) represents book value of common equity. © Copyright 2020 Annaly Capital Management, Inc. All rights reserved. 24