nly-20210210

ANNALY CAPITAL MANAGEMENT, INC. REPORTS 4th QUARTER 2020 RESULTS

NEW YORK—February 10, 2021—Annaly Capital Management, Inc. (NYSE: NLY) ("Annaly" or the "Company") today announced its financial results for the quarter and year ended December 31, 2020.


Financial Highlights

•GAAP net income of $0.60 per average common share for the quarter; ($0.73) per average common share for the full year 2020

•Core earnings (excluding PAA) of $0.30 per average common share for the quarter; $1.10 for the full year 2020

•Economic return of 5.1% for the fourth quarter; 1.8% for the full year 2020

•GAAP return on average equity of 24.9% and core return on average equity (excluding PAA) of 13.0% for the quarter

•Book value per common share of $8.92, up 2.5% from the prior quarter

•Economic leverage of 6.2x, unchanged from the prior quarter

•Declared quarterly common stock cash dividend of $0.22 per share


Business Highlights

Fourth Quarter 2020 Highlights

•Total assets of $101.6 billion including $94.6 billion in highly liquid Agency portfolio(1)

•Agency portfolio activity was focused on reinvestment of runoff into low-coupon TBAs and specified pools; opportunistically increased hedge ratio to 61% from 48% to protect against higher long end yields

•Capital allocation to credit businesses increased modestly to 22% from 20% during the quarter, driven by approximately $1 billion of credit originations as market conditions improved(2)

–Investment activity primarily focused in our Residential Credit Group, followed closely by Middle Market Lending Group

•$8.7 billion of unencumbered assets, including cash and unencumbered Agency MBS of $6.3 billion

•Authorized new $1.5 billion common stock repurchase program

•Redeemed all outstanding shares of the $460 million 7.50% Series D preferred stock, reducing preferred equity as percent of capital structure to 11%, which is in line with historical average over last ten years

Full-Year 2020 Highlights

Investment and Strategy

•Increased capital allocation to Agency by 400 basis points to 78% of dedicated equity capital throughout 2020 driven by our favorable investment outlook for Agency MBS(1)

•Increased TBA exposure and rotated down in coupon throughout the year given strong technical dynamics in the market

•Full-year credit originations of $2.4 billion were down nearly 50% year-over-year given conservative approach to underwriting

•Credit businesses performed well despite challenging economic environment due to conservative positioning, significant liquidity and rigorous asset management

Financing and Capital

•Prudently managed leverage profile throughout the year, decreasing economic leverage to 6.2x from 7.2x at the end of 2019

•Record-low financing costs with average GAAP cost of interest bearing liabilities declining 166 basis points to 0.51% and average economic cost of interest bearing liabilities declining 114 basis points to 0.87% over the course of the year

•Annaly Residential Credit Group completed four residential whole loan securitizations totaling $1.8 billion and was the third largest non-bank issuer of new origination RMBS in 2020(3)

•Annaly Residential Credit Group added $1.125 billion of capacity across two new credit facilities

•Repurchased $209 million of common stock in 2020; declared $1.4 billion in common and preferred stock dividends in 2020(4)

Corporate Responsibility & Governance

•Completed management internalization, improving corporate governance, increasing alignment with shareholders and generating cost savings that led to a FY 2020 operating expense ratio of 1.62%(5)

•Appointed David Finkelstein as Chief Executive Officer and as a member of the Board

•Appointed Michael Haylon as Independent Chair of the Board

•Appointed Steve Campbell as Chief Operating Officer

•Published inaugural Corporate Responsibility Report, outlining Annaly's key ESG achievements as well as our future ESG goals and commitments for the first time

•Named first Head of Inclusion and established an Inclusion Support Committee of Executive Sponsors

“Annaly delivered strong results in the fourth quarter of 2020, marking the end of a challenging year where we successfully navigated unprecedented volatility to deliver $1.4 billion in dividends and a positive economic return to our shareholders,” remarked David Finkelstein, Annaly’s Chief Executive Officer and Chief Investment Officer. “Looking forward, our portfolio is well-positioned with low leverage and ample liquidity to capitalize on the improving outlook for residential mortgage finance. Agency MBS remains attractive given continued low funding costs, accommodative Federal Reserve policy, and a recent steepening of the yield curve. Further, our Residential Credit Group continues to build momentum, finishing 2020 as the third largest non-bank issuer of new origination RMBS, and we believe this business will be a key growth opportunity in the coming year.

“Capital management remains a priority and we were pleased to significantly lower our cost of capital with our most recent preferred redemption and renew our common stock repurchase program following $209 million in repurchases in 2020. We will continue to look to create value for our shareholders wherever possible and believe our stable and attractive yield and current valuation discount provide a compelling investment opportunity,” continued Mr. Finkelstein.

“Lastly, during a year of great challenges, we have made an effort to lead with purpose and impact. We are proud of our accomplishments in 2020, including publishing our inaugural corporate responsibility report, completing our management internalization and increasing our corporate philanthropy efforts to support those affected by COVID-19. We are steadfast in our commitment to furthering our corporate governance enhancements, responsible investments, corporate philanthropy initiatives and culture of inclusion.”

(1) Assets represent Annaly’s investments that are on balance sheet, net of debt issued by securitization vehicles, as well as investments that are off-balance sheet in which the Company has economic exposure. Assets include TBA purchase contracts (market value) of $20.4bn and CMBX derivatives (market value) of $496.6mm and are shown net of debt issued by securitization vehicles of $5.7bn.

(2) Credit assets represent whole loan, CMBS and equity assets originated or purchased across ARC, ACREG, and AMML and include unfunded commitments of $36.4mm comprised of ACREG and AMML loans. There can be no assurance whether these deals will close or when they will close.

(3) Intex data as of December 31, 2020. Does not include deals backed by non-performing, re-performing or seasoned collateral.

(4) Amount excludes fees and commissions. Annaly’s current authorized share repurchase program expires in December 2021.

(5) Represents operating expenses as a percentage of average equity and excludes transaction expenses and non-recurring items for the year ended December 31, 2020.


Financial Performance

The following table summarizes certain key performance indicators as of and for the quarters ended December 31, 2020, September 30, 2020 and December 31, 2019:


	December 31, 2020			September 30, 2020			December 31, 2019
Book value per common share	$	8.92		$	8.70		$	9.66
Economic leverage at period-end (1)	6.2:1			6.2:1			7.2:1
GAAP net income (loss) per average common share (2)	$	0.60		$	0.70		$	0.82
Annualized GAAP return (loss) on average equity	24.91		%	29.02		%	31.20		%
Net interest margin (3)	2.14		%	2.15		%	1.49		%
Average yield on interest earning assets (4)	2.61		%	2.70		%	3.53		%
Average GAAP cost of interest bearing liabilities (5)	0.51		%	0.60		%	2.17		%
Net interest spread	2.10		%	2.10		%	1.36		%
Non-GAAP metrics *
Core earnings (excluding PAA) per average common share (2)	$	0.30		$	0.32		$	0.26


Annualized core return on average equity (excluding PAA)	13.03		%	13.79		%	10.56		%
Net interest margin (excluding PAA) (3)	1.98		%	2.05		%	1.41		%
Average yield on interest earning assets (excluding PAA) (4)	2.80		%	2.86		%	3.25		%
Average economic cost of interest bearing liabilities (5)	0.87		%	0.93		%	2.01		%
Net interest spread (excluding PAA)	1.93		%	1.93		%	1.24		%
* Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information. (1) Computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are non-recourse to the Company and are excluded from this measure. (2) Net of dividends on preferred stock. (3) Net interest margin represents interest income less interest expense divided by average Interest Earning Assets. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average Interest Earning Assets plus average outstanding TBA contract and CMBX balances. PAA represents 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. (4) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). (5) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps.


Other Information

This news release 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. 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 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; 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. 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.

Annaly is a leading diversified capital manager that invests in and finances residential and commercial assets. Annaly’s principal business objective is to generate net income for distribution to its stockholders and to optimize its returns through prudent management of its diversified investment strategies. Annaly is internally managed and has elected to be taxed as a real estate investment trust, or REIT, for federal income tax purposes. Additional information on the company can be found at www.annaly.com.

Annaly routinely posts important information for investors on the Company’s website, www.annaly.com. Annaly intends to use this webpage as a means of disclosing material, non-public information, for complying with the Company’s 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 Company’s website, in addition to following Annaly’s press releases, SEC filings, public conference calls, presentations, webcasts and other information it posts from time to time on its website. To sign-up for email-notifications, please visit the "Investors" section of our website, www.annaly.com, then click on "Investor Resources" and select "Email Alerts" to complete the email notification form. The information contained on, or that may be accessed through, the Company’s webpage is not incorporated by reference into, and is not a part of, this document.

The Company prepares a supplemental investor presentation and a financial summary for the benefit of its shareholders. Both the Fourth Quarter 2020 Investor Presentation and the Fourth Quarter 2020 Financial Summary can be found at the Company’s website (www.annaly.com) in the Investors section under Investor Presentations.


Conference Call

The Company will hold the fourth quarter 2020 earnings conference call on February 11, 2021 at 9:00 a.m. Eastern Time. Participants are encouraged to pre-register for the conference call to receive a unique PIN to gain immediate access to the call and bypass the live operator. Pre-registration may be completed by accessing the pre-registration link found on the homepage or "Investors" section of the Company's website at www.annaly.com, or by using the following link: https://dpregister.com/sreg/10151497/e0f4bfb408. Pre-registration may be completed at any time, including up to and after the call start time.

For participants who would like to join the call but have not pre-registered, access is available by dialing 844-735-3317 within the U.S., or 412-317-5703 internationally, and requesting the "Annaly Earnings Call."

There will also be an audio webcast of the call on www.annaly.com. A replay of the call will be available for one week following the conference call. The replay number is 877-344-7529 for domestic calls and 412-317-0088 for international calls and the conference passcode is 10151497. If you would like to be added to the e-mail distribution list, please visit www.annaly.com, click on Investors, then select Email Alerts and complete the email notification form.


Financial Statements

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(dollars in thousands, except per share data)


	December 31, 2020		September 30, 2020		June 30, 2020		March 31, 2020		December 31, 2019 (1)
	(unaudited)		(unaudited)		(unaudited)		(unaudited)
Assets
Cash and cash equivalents	$	1,243,703	$	1,239,982	$	1,393,910	$	2,823,521	$	1,850,729
Securities	75,652,396		76,098,985		77,805,743		79,357,596		114,833,580
Loans, net	3,083,821		2,788,341		3,972,671		4,068,189		4,462,350
Mortgage servicing rights	100,895		207,985		227,400		280,558		378,078
Assets transferred or pledged to securitization vehicles	6,910,020		7,269,402		7,690,451		7,671,662		7,002,460
Real estate, net	656,314		790,597		746,067		751,738		725,638


Derivative assets	171,134		103,245		165,642		238,776		113,556


Receivable for unsettled trades	15,912		54,200		747,082		1,006,853		4,792
Principal and interest receivable	268,073		281,009		300,089		335,170		449,906


Goodwill and intangible assets, net	127,341		136,900		137,680		98,293		92,772
Other assets	225,494		221,765		271,918		284,918		381,220



Total assets	$	88,455,103	$	89,192,411	$	93,458,653	$	96,917,274	$	130,295,081
Liabilities and stockholders’ equity
Liabilities
Repurchase agreements	$	64,825,239	$	64,633,447	$	67,163,598	$	72,580,183	$	101,740,728
Other secured financing	917,876		861,373		1,538,996		1,805,428		4,455,700

Debt issued by securitization vehicles	5,652,982		6,027,576		6,458,130		6,364,949		5,622,801
Participations issued	39,198		—		—		—		—
Mortgages payable	426,256		507,934		508,565		484,762		485,005


Derivative liabilities	1,033,345		1,182,681		1,257,038		1,331,188		803,866
Payable for unsettled trades	884,069		1,176,001		2,122,735		923,552		463,387
Interest payable	191,116		155,338		180,943		261,304		476,335

Dividends payable	307,613		308,644		309,686		357,606		357,527
Other liabilities	155,613		144,745		121,359		100,772		93,388
Total liabilities	74,433,307		74,997,739		79,661,050		84,209,744		114,498,737
Stockholders’ equity







Preferred stock, par value $0.01 per share (2)	1,536,569		1,982,026		1,982,026		1,982,026		1,982,026
Common stock, par value $0.01 per share (3)	13,982		14,029		14,077		14,304		14,301
Additional paid-in capital	19,750,818		19,798,032		19,827,216		19,968,372		19,966,923
Accumulated other comprehensive income (loss)	3,374,335		3,589,056		3,842,074		3,121,371		2,138,191
Accumulated deficit	(10,667,388)		(11,200,937)		(11,871,927)		(12,382,648)		(8,309,424)
Total stockholders’ equity	14,008,316		14,182,206		13,793,466		12,703,425		15,792,017
Noncontrolling interests	13,480		12,466		4,137		4,105		4,327
Total equity	14,021,796		14,194,672		13,797,603		12,707,530		15,796,344
Total liabilities and equity	$	88,455,103	$	89,192,411	$	93,458,653	$	96,917,274	$	130,295,081

(1) Derived from the audited consolidated financial statements at December 31, 2019.

(2) 7.50% Series D Cumulative Redeemable Preferred Stock - Includes 18,400,000 shares authorized and 0 shares issued and outstanding at December 31, 2020. Includes 18,400,000 shares authorized, issued and outstanding at September 30, 2020, June 30, 2020, March 31, 2020 and December 31, 2019, respectively.

6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 28,800,000 shares authorized, issued and outstanding.

6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 19,550,000 shares authorized and 17,000,000 shares issued and outstanding.

6.75% Series I Preferred Stock - Includes 18,400,000 shares authorized and 17,700,000 issued and outstanding.

(3) Includes 2,914,850,000 shares authorized at December 31, 2020, September 30, 2020, June 30, 2020, March 31, 2020 and December 31, 2019. Includes 1,398,240,618 shares issued and outstanding at December 31, 2020; 1,402,928,317 shares issued and outstanding at September 30, 2020; 1,407,662,483 shares issued and outstanding at June 30, 2020; 1,430,424,398 shares issued and outstanding at March 31, 2020; and 1,430,106,199 shares issued and outstanding at December 31, 2019.


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) (Unaudited)
	For the quarters ended
	December 31, 2020		September 30, 2020		June 30, 2020		March 31, 2020		December 31, 2019
Net interest income
Interest income	$	527,344	$	562,443	$	584,812	$	555,026	$	1,074,214
Interest expense	94,481		115,126		186,032		503,473		620,058
Net interest income	432,863		447,317		398,780		51,553		454,156

Realized and unrealized gains (losses)
Net interest component of interest rate swaps	(66,807)		(62,529)		(64,561)		(13,980)		45,221
Realized gains (losses) on termination or maturity of interest rate swaps	2,092		(427)		(1,521,732)		(397,561)		(4,615)
Unrealized gains (losses) on interest rate swaps	258,236		170,327		1,494,628		(2,827,723)		782,608
Subtotal	193,521		107,371		(91,665)		(3,239,264)		823,214
Net gains (losses) on disposal of investments and other	9,363		198,888		246,679		206,583		17,783
Net gains (losses) on other derivatives	209,647		169,316		170,916		206,426		(42,312)
Net unrealized gains (losses) on instruments measured at fair value through earnings	51,109		121,255		254,772		(730,160)		(5,636)
Loan loss provision	(1,497)		21,993		(68,751)		(99,326)		(7,362)

Subtotal	268,622		511,452		603,616		(416,477)		(37,527)
Total realized and unrealized gains (losses)	462,143		618,823		511,951		(3,655,741)		785,687

Other income (loss)	15,205		7,959		15,224		14,926		42,656

General and administrative expenses
Compensation and management fee	24,628		29,196		37,036		40,825		40,403
Other general and administrative expenses	20,443		19,636		30,630		36,804		32,948
Total general and administrative expenses	45,071		48,832		67,666		77,629		73,351
Income (loss) before income taxes	865,140		1,025,267		858,289		(3,666,891)		1,209,148
Income taxes	(13,495)		9,719		2,055		(26,702)		(594)
Net income (loss)	878,635		1,015,548		856,234		(3,640,189)		1,209,742
Net income (loss) attributable to noncontrolling interests	1,419		(126)		32		66		68
Net income (loss) attributable to Annaly	877,216		1,015,674		856,202		(3,640,255)		1,209,674
Dividends on preferred stock	35,509		35,509		35,509		35,509		35,509
Net income (loss) available (related) to common stockholders	$	841,707	$	980,165	$	820,693	$	(3,675,764)	$	1,174,165
Net income (loss) per share available (related) to common stockholders
Basic	$	0.60	$	0.70	$	0.58	$	(2.57)	$	0.82
Diluted	$	0.60	$	0.70	$	0.58	$	(2.57)	$	0.82
Weighted average number of common shares outstanding
Basic	1,399,809,722		1,404,202,695		1,423,909,112		1,430,994,319		1,431,079,108
Diluted	1,400,228,777		1,404,368,300		1,423,909,112		1,430,994,319		1,431,079,108
Other comprehensive income (loss)
Net income (loss)	$	878,635	$	1,015,548	$	856,234	$	(3,640,189)	$	1,209,742
Unrealized gains (losses) on available-for-sale securities	(207,393)		(140,671)		986,146		1,374,796		(153,192)
Reclassification adjustment for net (gains) losses included in net income (loss)	(7,328)		(112,347)		(265,443)		(391,616)		(22,432)
Other comprehensive income (loss)	(214,721)		(253,018)		720,703		983,180		(175,624)
Comprehensive income (loss)	663,914		762,530		1,576,937		(2,657,009)		1,034,118
Comprehensive income (loss) attributable to noncontrolling interests	1,419		(126)		32		66		68
Comprehensive income (loss) attributable to Annaly	662,495		762,656		1,576,905		(2,657,075)		1,034,050
Dividends on preferred stock	35,509		35,509		35,509		35,509		35,509
Comprehensive income (loss) attributable to common stockholders	$	626,986	$	727,147	$	1,541,396	$	(2,692,584)	$	998,541


ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data)
	For the years ended
	December 31, 2020		December 31, 2019
Net interest income
Interest income	$	2,229,625	$	3,787,297
Interest expense	899,112		2,784,875
Net interest income	1,330,513		1,002,422

Realized and unrealized gains (losses)
Net interest component of interest rate swaps	(207,877)		351,375
Realized gains (losses) on termination or maturity of interest rate swaps	(1,917,628)		(1,442,964)
Unrealized gains (losses) on interest rate swaps	(904,532)		(1,210,276)
Subtotal	(3,030,037)		(2,301,865)
Net gains (losses) on disposal of investments	661,513		(47,944)
Net gains (losses) on other derivatives	756,305		(680,770)
Net unrealized gains (losses) on instruments measured at fair value through earnings	(303,024)		36,021
Loan loss provision	(147,581)		(16,569)

Subtotal	967,213		(709,262)
Total realized and unrealized gains (losses)	(2,062,824)		(3,011,127)
Other income (loss)	53,314		136,413
General and administrative expenses
Compensation and management fee	131,685		170,628
Other general and administrative expenses	107,513		131,006
Total general and administrative expenses	239,198		301,634
Income (loss) before income taxes	(918,195)		(2,173,926)
Income taxes	(28,423)		(10,835)
Net income (loss)	(889,772)		(2,163,091)
Net income (loss) attributable to noncontrolling interests	1,391		(226)
Net income (loss) attributable to Annaly	(891,163)		(2,162,865)
Dividends on preferred stock	142,036		136,576
Net income (loss) available (related) to common stockholders	$	(1,033,199)	$	(2,299,441)
Net income (loss) per share available (related) to common stockholders
Basic	$	(0.73)	$	(1.60)
Diluted	$	(0.73)	$	(1.60)
Weighted average number of common shares outstanding
Basic	1,414,659,439		1,434,912,682
Diluted	1,414,659,439		1,434,912,682
Other comprehensive income (loss)
Net income (loss)	$	(889,772)	$	(2,163,091)
Unrealized gains (losses) on available-for-sale securities	2,012,878		4,135,862
Reclassification adjustment for net (gains) losses included in net income (loss)	(776,734)		(17,806)
Other comprehensive income (loss)	1,236,144		4,118,056
Comprehensive income (loss)	346,372		1,954,965
Comprehensive income (loss) attributable to noncontrolling interests	1,391		(226)
Comprehensive income (loss) attributable to Annaly	344,981		1,955,191
Dividends on preferred stock	142,036		136,576
Comprehensive income (loss) attributable to common stockholders	$	202,945	$	1,818,615


Key Financial Data

The following table presents key metrics of the Company’s portfolio, liabilities and hedging positions, and performance as of and for the quarters ended December 31, 2020, September 30, 2020, and December 31, 2019:


	December 31, 2020			September 30, 2020			December 31, 2019
Portfolio related metrics
Fixed-rate Residential Securities as a percentage of total Residential Securities	98		%	98		%	97		%
Adjustable-rate and floating-rate Residential Securities as a percentage of total Residential Securities	2		%	2		%	3		%
Weighted average experienced CPR for the period	24.7		%	22.9		%	17.8		%
Weighted average projected long-term CPR at period-end	16.4		%	17.1		%	13.9		%
Liabilities and hedging metrics
Weighted average days to maturity on repurchase agreements outstanding at period-end	64			72			65
Hedge ratio (1)	61		%	48		%	75		%
Weighted average pay rate on interest rate swaps at period-end (2)	0.92		%	0.91		%	1.84		%
Weighted average receive rate on interest rate swaps at period-end (2)	0.37		%	0.48		%	1.89		%
Weighted average net rate on interest rate swaps at period-end (2)	0.55		%	0.43		%	(0.05		%)
Leverage at period-end (3)	5.1:1			5.1:1			7.1:1
Economic leverage at period-end (4)	6.2:1			6.2:1			7.2:1
Capital ratio at period-end	13.6		%	13.6		%	12.0		%
Performance related metrics
Book value per common share	$	8.92		$	8.70		$	9.66
GAAP net income (loss) per average common share (5)	$	0.60		$	0.70		$	0.82
Annualized GAAP return (loss) on average equity	24.91		%	29.02		%	31.20		%
Net interest margin (6)	2.14		%	2.15		%	1.49		%
Average yield on interest earning assets (7)	2.61		%	2.70		%	3.53		%
Average GAAP cost of interest bearing liabilities (8)	0.51		%	0.60		%	2.17		%
Net interest spread	2.10		%	2.10		%	1.36		%
Dividend declared per common share	$	0.22		$	0.22		$	0.25
Annualized dividend yield (9)	10.41		%	12.36		%	10.62		%
Non-GAAP metrics *
Core earnings (excluding PAA) per average common share (5)	$	0.30		$	0.32		$	0.26


Annualized core return on average equity (excluding PAA)	13.03		%	13.79		%	10.56		%
Net interest margin (excluding PAA) (6)	1.98		%	2.05		%	1.41		%
Average yield on interest earning assets (excluding PAA) (7)	2.80		%	2.86		%	3.25		%
Average economic cost of interest bearing liabilities (8)	0.87		%	0.93		%	2.01		%
Net interest spread (excluding PAA)	1.93		%	1.93		%	1.24		%

* Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information.

(1) Measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver swaptions) and futures relative to repurchase agreements, other secured financing and cost basis of TBA derivatives outstanding; excludes MSRs and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities.

(2) Excludes forward starting swaps.

(3) Debt consists of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable. Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued and mortgages payable are non-recourse to the Company.

(4) Computed as the sum of recourse debt, cost basis of TBA and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity.

(5) Net of dividends on preferred stock.

(6) Net interest margin represents interest income less interest expense divided by average interest earning assets. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average TBA contract and CMBX balances.

(7) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).

(8) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps.

(9) Based on the closing price of the Company’s common stock of $8.45, $7.12 and $9.42 at December 31, 2020, September 30, 2020 and December 31, 2019, respectively.

The following table contains additional information on our residential and commercial investments as of the dates presented:


	For the quarters ended
	December 31, 2020		September 30, 2020		December 31, 2019
Agency mortgage-backed securities	$	74,067,059	$	74,915,167	$	112,893,367
Residential credit risk transfer securities	532,403		411,538		531,322
Non-agency mortgage-backed securities	972,192		717,602		1,135,868
Commercial mortgage-backed securities	80,742		54,678		273,023
Total securities	$	75,652,396	$	76,098,985	$	114,833,580
Residential mortgage loans	$	345,810	$	152,959	$	1,647,787
Commercial real estate debt and preferred equity	498,081		573,504		669,713
Corporate debt	2,239,930		2,061,878		2,144,850

Total loans, net	$	3,083,821	$	2,788,341	$	4,462,350
Mortgage servicing rights	$	100,895	$	207,985	$	378,078
Agency mortgage-backed securities transferred or pledged to securitization vehicles	$	620,347	$	623,650	$	1,122,588
Residential mortgage loans transferred or pledged to securitization vehicles	3,249,251		3,588,679		2,598,374
Commercial real estate debt investments transferred or pledged to securitization vehicles	2,166,073		2,174,118		2,345,120
Commercial real estate debt and preferred equity transferred or pledged to securitization vehicles	874,349		882,955		936,378
Assets transferred or pledged to securitization vehicles	$	6,910,020	$	7,269,402	$	7,002,460
Real estate, net	$	656,314	$	790,597	$	725,638
Total residential and commercial investments	$	86,403,446	$	87,155,310	$	127,402,106


Non-GAAP Financial Measures

To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles ("GAAP"), the Company provides the following non-GAAP measures:

•core earnings (excluding PAA);

•core earnings (excluding PAA) attributable to common stockholders;

•core earnings (excluding PAA) per average common share;

•annualized core return on average equity (excluding PAA);

•interest income (excluding PAA);

•economic interest expense;

•economic net interest income (excluding PAA);

•average yield on interest earning assets (excluding PAA);

•average economic cost of interest bearing liabilities;

•net interest margin (excluding PAA); and

•net interest spread (excluding PAA).

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 the Company’s use of these non-GAAP financial measures, including discussion of how each such measure may be useful to investors, and reconciliations to their most directly comparable GAAP results are provided below.

Core earnings (excluding PAA), core earnings (excluding PAA) attributable to common stockholders, core earnings (excluding PAA) per average common share and annualized core return on average equity (excluding PAA)

The Company's principal business objective is to generate net income for distribution to its stockholders and to preserve capital through prudent selection of investments and continuous management of its portfolio. The Company generates net income by earning a net interest spread on its investment portfolio, which is a function of interest income from its investment portfolio less financing, hedging and operating costs. Core earnings (excluding PAA), which 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 ("PAA") 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 is used by the Company's management and, the Company believes, used by analysts and investors to measure its progress in achieving its principal business objective.

The Company seeks to fulfill this objective through a variety of factors including portfolio construction, the degree of market risk exposure and related hedge profile, and the use and forms of leverage, all while operating within the parameters of the Company's capital allocation policy and risk governance framework.

The Company believes these non-GAAP measures provide management and investors with additional details regarding the Company’s underlying operating results and investment portfolio trends by (i) making adjustments to account for the disparate reporting of changes in fair value where certain instruments are reflected in GAAP net income (loss) while others are reflected in other comprehensive income (loss) and (ii) by excluding certain unrealized, non-cash or episodic components of GAAP net income (loss) in order to provide additional transparency into the operating performance of the Company’s portfolio. Annualized core return on average equity (excluding PAA), which is calculated by dividing core earnings (excluding PAA) over average stockholders’ equity, provides investors with additional detail on the core earnings (excluding PAA) generated by the Company’s invested equity capital.

The following table presents a reconciliation of GAAP financial results to non-GAAP core earnings (excluding PAA) for the periods presented:


	For the quarters ended
	December 31, 2020			September 30, 2020			December 31, 2019
	(dollars in thousands, except per share data)
GAAP net income (loss)	$	878,635		$	1,015,548		$	1,209,742
Net income (loss) attributable to noncontrolling interests	1,419			(126)			68
Net income (loss) attributable to Annaly	877,216			1,015,674			1,209,674
Adjustments to exclude reported realized and unrealized (gains) losses
Realized (gains) losses on termination or maturity of interest rate swaps	(2,092)			427			4,615
Unrealized (gains) losses on interest rate swaps	(258,236)			(170,327)			(782,608)
Net (gains) losses on disposal of investments and other	(9,363)			(198,888)			(17,783)
Net (gains) losses on other derivatives	(209,647)			(169,316)			42,312
Net unrealized (gains) losses on instruments measured at fair value through earnings	(51,109)			(121,255)			5,636
Loan loss provision (1)	469			(21,818)			7,362
Other adjustments
Depreciation expense related to commercial real estate and amortization of intangibles	11,097			11,363			9,823
Non-core (income) loss allocated to equity method investments (2)	28			(1,151)			(3,979)


Transaction expenses and non-recurring items (3)	172			2,801			3,634
Income tax effect of non-core income (loss) items	(10,984)			13,890			(418)

TBA dollar roll income and CMBX coupon income (4)	99,027			114,092			36,901
MSR amortization (5)	(26,633)			(27,048)			(22,120)

Plus:
Premium amortization adjustment cost (benefit)	39,101			33,879			(83,892)
Core earnings (excluding PAA) *	459,046			482,323			409,157

Dividends on preferred stock	35,509			35,509			35,509

Core earnings (excluding PAA) attributable to common stockholders *	$	423,537		$	446,814		$	373,648
GAAP net income (loss) per average common share	$	0.60		$	0.70		$	0.82

Core earnings (excluding PAA) per average common share *	$	0.30		$	0.32		$	0.26
Annualized GAAP return (loss) on average equity	24.91		%	29.02		%	31.20		%
Annualized core return on average equity (excluding PAA) *	13.03		%	13.79		%	10.56		%


	For the years ended
	December 31, 2020			December 31, 2019
	(dollars in thousands, except per share data)
GAAP net income (loss)	$	(889,772)		$	(2,163,091)
Net income (loss) attributable to noncontrolling interests	1,391			(226)
Net income (loss) attributable to Annaly	(891,163)			(2,162,865)
Adjustments to exclude reported realized and unrealized (gains) losses
Realized (gains) losses on termination or maturity of interest rate swaps	1,917,628			1,442,964
Unrealized (gains) losses on interest rate swaps	904,532			1,210,276
Net (gains) losses on disposal of investments and other	(661,513)			47,944
Net (gains) losses on other derivatives	(756,305)			680,770
Net unrealized (gains) losses on instruments measured at fair value through earnings	303,024			(36,021)
Loan loss provision (1)	151,188			16,569
Other adjustments
Depreciation and amortization expense related to commercial real estate	39,108			40,058
Non-core (income) loss allocated to equity method investments (2)	22,493			21,385


Transaction expenses and non-recurring items (3)	11,293			19,284
Income tax effect of non-core income (loss) items	(17,603)			(5,961)

TBA dollar roll income and CMBX coupon income (4)	355,547			123,818
MSR amortization (5)	(97,506)			(77,719)

Plus:
Premium amortization adjustment cost (benefit)	415,444			254,894
Core earnings (excluding PAA) *	1,696,167			1,575,396

Dividends on preferred stock	142,036			136,576
Core earnings (excluding PAA) attributable to common stockholders *	$	1,554,131		$	1,438,820

GAAP net income (loss) per average common share	$	(0.73)		$	(1.60)

Core earnings (excluding PAA) per average common share *	$	1.10		$	1.00
Annualized GAAP return (loss) on average equity	(6.31)		%	(14.11)		%
Annualized core return on average equity (excluding PAA) *	12.03		%	10.28		%

* Represents a non-GAAP financial measure.

(1) Includes ($1.0) million and $0.2 million of loss (reversal) provision on the Company’s unfunded loan commitments for the quarters ended December 31, 2020 and September 30, 2020, respectively, which is reported in Other income (loss) in the Company’s Consolidated Statements of Comprehensive Income (Loss). Includes $3.6 million of loss provision on the Company’s unfunded loan commitments for the year ended December 31, 2020.

(2) The Company excludes non-core (income) loss allocated to equity method investments, which represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other income (loss).

(3) Includes costs incurred in connection with securitizations of residential whole loans for all periods presented. The year ended December 31, 2020 also includes costs incurred in connection with the Internalization, the CEO search process and a securitization of Agency mortgage-backed securities. The year ended December 31, 2019 also includes costs incurred in connection with securitizations of commercial loans and Agency mortgage-backed securities.

(4) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on other derivatives. CMBX coupon income totaled $1.5 million, $1.5 million and $1.3 million for the quarters ended December 31, 2020, September 30, 2020 and December 31, 2019, respectively. CMBX coupon income totaled $5.8 million and $4.6 million for the years ended December 31, 2020 and December 31, 2019, respectively.

(5) MSR amortization represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net unrealized gains (losses) on instruments measured at fair value.

From time to time, the Company enters into TBA forward contracts as an alternate means of investing in and financing Agency mortgage-backed securities. A TBA contract is an agreement to purchase or sell, for future delivery, an Agency mortgage-backed security with a specified issuer, term and coupon. A TBA dollar roll represents a transaction where TBA contracts with the same terms but different settlement dates are simultaneously bought and sold. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the "drop". The drop is a reflection of the expected net interest income from an investment in similar Agency mortgage-backed securities, net of an implied financing cost, that would be foregone as a result of settling the contract in the later month rather than in the earlier month. The drop between the current settlement month price and the forward settlement month price occurs because in the TBA dollar roll market, the party providing the financing is the party that would retain all principal and interest payments accrued during the financing period. Accordingly, TBA dollar roll income generally represents the economic equivalent of the net interest income earned on the underlying Agency mortgage-backed security less an implied financing cost.

TBA dollar roll transactions are accounted for under GAAP as a series of derivatives transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. The Company records TBA derivatives at fair value on its Consolidated Statements of Financial Condition and recognizes periodic changes in fair value in Net gains (losses) on other

derivatives in the Consolidated Statements of Comprehensive Income (Loss), which includes both unrealized and realized gains and losses on derivatives (excluding interest rate swaps).

TBA dollar roll income is calculated as the difference in price between two TBA contracts with the same terms but different settlement dates multiplied by the notional amount of the TBA contract. Although accounted for as derivatives, TBA dollar rolls capture the economic equivalent of net interest income, or carry, on the underlying Agency mortgage-backed security (interest income less an implied cost of financing). TBA dollar roll income is reported as a component of Net gains (losses) on other derivatives in the Consolidated Statements of Comprehensive Income (Loss).

The CMBX index is a synthetic tradable index referencing a basket of 25 commercial mortgage-backed securities ("CMBS") of a particular rating and vintage. The CMBX index allows investors to take a long exposure (referred to as selling protection) or short exposure (referred to as buying protection) on the respective basket of CMBS securities and is structured as a "pay-as-you-go" contract whereby the protection buyer pays to the protection seller a standardized running coupon on the contracted notional amount. The Company reports income (expense) on CMBX positions in Net gains (losses) on other derivatives in the Consolidated Statements of Comprehensive Income (Loss). The coupon payments received or paid on CMBX positions are equivalent to interest income (expense) and therefore included in core earnings (excluding PAA).

Premium Amortization Expense

In accordance with GAAP, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities, excluding interest-only securities, multifamily and reverse mortgages, taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.

The Company’s GAAP metrics include the unadjusted impact of amortization and accretion associated with this method. Certain of the Company’s non-GAAP metrics exclude the effect of the PAA, which quantifies the component of premium amortization representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term CPR.

The following table illustrates the impact of the PAA on premium amortization expense for the Company’s Residential Securities portfolio and residential securities transferred or pledged to securitization vehicles, for the quarters ended December 31, 2020, September 30, 2020, and December 31, 2019:


	For the quarters ended
	December 31, 2020		September 30, 2020		December 31, 2019
	(dollars in thousands)
Premium amortization expense (accretion)	$	239,118	$	248,718	$	171,447
Less: PAA cost (benefit)	39,101		33,879		(83,892)
Premium amortization expense (excluding PAA)	$	200,017	$	214,839	$	255,339

Interest income (excluding PAA), economic interest expense and economic net interest income (excluding PAA)

Interest income (excluding PAA) represents interest income excluding the effect of the PAA, and serves as the basis for deriving average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA) and net interest margin (excluding PAA), which are discussed below. The Company believes this measure provides management and investors with additional detail to enhance their understanding of the Company’s operating results and trends by excluding the component of premium amortization expense 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 (other than interest-only securities, multifamily and reverse mortgages), which can obscure underlying trends in the performance of the portfolio.

Economic interest expense includes GAAP interest expense and the net interest component of interest rate swaps. The Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Accordingly, adding the net interest component of interest rate swaps to interest expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with additional information about the cost of the Company's financing strategy. The Company may use market agreed coupon (“MAC”) interest rate swaps in which the Company may receive or make a payment at the time of entering into such interest rate swap to compensate for the off-market nature of such interest rate swap. In accordance with GAAP, upfront payments associated with MAC interest rate swaps are not reflected in the

net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss). The Company did not enter into any MAC interest rate swaps during the quarter ended December 31, 2020.

Similarly, economic net interest income (excluding PAA), as computed below, provides investors with additional information to enhance their understanding of the net economics of our primary business operations.


	For the quarters ended
	December 31, 2020		September 30, 2020		December 31, 2019
Interest income (excluding PAA) reconciliation	(dollars in thousands)
GAAP interest income	$	527,344	$	562,443	$	1,074,214
Premium amortization adjustment	39,101		33,879		(83,892)
Interest income (excluding PAA) *	$	566,445	$	596,322	$	990,322
Economic interest expense reconciliation
GAAP interest expense	$	94,481	$	115,126	$	620,058
Add:
Net interest component of interest rate swaps	66,807		62,529		(45,221)
Economic interest expense *	$	161,288	$	177,655	$	574,837
Economic net interest income (excluding PAA) reconciliation
Interest income (excluding PAA) *	$	566,445	$	596,322	$	990,322
Less:
Economic interest expense *	161,288		177,655		574,837
Economic net interest income (excluding PAA) *	$	405,157	$	418,667	$	415,485

* Represents a non-GAAP financial measure.

Average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA), net interest margin (excluding PAA) and average economic cost of interest bearing liabilities

Net interest spread (excluding PAA), which is the difference between the average yield on interest earning assets (excluding PAA) and the average economic cost of interest bearing liabilities, which represents annualized economic interest expense divided by average interest bearing liabilities, and net interest margin (excluding PAA), which is calculated as the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average TBA contract and CMBX balances, provide management with additional measures of the Company’s profitability that management relies upon in monitoring the performance of the business.

Disclosure of these measures, which are presented below, provides investors with additional detail regarding how management evaluates the Company’s performance.


	For the quarters ended
	December 31, 2020			September 30, 2020			December 31, 2019
Economic metrics (excluding PAA)	(dollars in thousands)
Average interest earning assets	$	80,973,433		$	83,286,119		$	121,801,951
Interest income (excluding PAA) *	$	566,445		$	596,322		$	990,322
Average yield on interest earning assets (excluding PAA) *	2.80		%	2.86		%	3.25		%
Average interest bearing liabilities	$	72,233,239		$	74,901,128		$	111,873,379
Economic interest expense *	$	161,288		$	177,655		$	574,837
Average economic cost of interest bearing liabilities *	0.87		%	0.93		%	2.01		%
Economic net interest income (excluding PAA) *	$	405,157		$	418,667		$	415,485
Net interest spread (excluding PAA) *	1.93		%	1.93		%	1.24		%
Interest income (excluding PAA) *	$	566,445		$	596,322		$	990,322
TBA dollar roll income and CMBX coupon income	99,027			114,092			36,901
Interest expense	(94,481)			(115,126)			(620,058)
Net interest component of interest rate swaps	(66,807)			(62,529)			45,221
Subtotal	$	504,184		$	532,759		$	452,386
Average interest earnings assets	$	80,973,433		$	83,286,119		$	121,801,951
Average TBA contract and CMBX balances	20,744,672			20,429,935			6,878,502
Subtotal	$	101,718,105		$	103,716,054		$	128,680,453
Net interest margin (excluding PAA) *	1.98		%	2.05		%	1.41		%
* Represents a non-GAAP financial measure.

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 1 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 Fourth Quarter 2020 earnings release. 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, middle market lending and residential credit businesses; 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. 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 2021 Annaly Capital Management, Inc. All rights reserved. Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 12/31/2020 9/30/2020 GAAP net income (loss) per average common share (1) $0.60 $0.70 Core earnings (excluding PAA) per average common share *(1) $0.30 $0.32 Annualized GAAP return (loss) on average equity 24.91% 29.02% Annualized core return on average equity (excluding PAA)* 13.03% 13.79% Book value per common share $8.92 $8.70 Leverage at period-end (2) 5.1x 5.1x Economic leverage at period-end (3) 6.2x 6.2x Capital ratio at period-end (4) 13.6% 13.6% Securities $75,652,396 $76,098,985 Loans, net 3,083,821 2,788,341 Mortgage servicing rights 100,895 207,985 Assets transferred or pledged to securitization vehicles 6,910,020 7,269,402 Real estate, net 656,314 790,597 Total residential and commercial investments $86,403,446 $87,155,310 Net interest margin (5) 2.14% 2.15% Average yield on interest earning assets (6) 2.61% 2.70% Average GAAP cost of interest bearing liabilities (7) 0.51% 0.60% Net interest spread 2.10% 2.10% Net interest margin (excluding PAA) *(5) 1.98% 2.05% Average yield on interest earning assets (excluding PAA) *(6) 2.80% 2.86% Average economic cost of interest bearing liabilities *(7) 0.87% 0.93% Net interest spread (excluding PAA) * 1.93% 1.93% Operating expenses to core earnings (excluding PAA) *(8) 9.78% 9.54% Annualized operating expenses as a % of average total assets (8) 0.20% 0.20% Annualized operating expenses as a % of average total equity (8) 1.27% 1.32% Unaudited, dollars in thousands except per share amounts 2 Financial Snapshot Non-GAAP Key Statistics ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation.

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Portfolio- Related Data Residential Securities Summary Portfolio Statistics Unaudited, dollars in thousands 3 Portfolio Data For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Agency mortgage-backed securities $74,067,059 $74,915,167 $76,761,800 $78,456,846 $112,893,367 Residential credit risk transfer securities 532,403 411,538 362,901 222,871 531,322 Non-agency mortgage-backed securities 972,192 717,602 619,840 585,954 1,135,868 Commercial mortgage-backed securities 80,742 54,678 61,202 91,925 273,023 Total securities $75,652,396 $76,098,985 $77,805,743 $79,357,596 $114,833,580 Residential mortgage loans $345,810 $152,959 $1,168,521 $1,268,083 $1,647,787 Commercial real estate debt and preferred equity 498,081 573,504 618,886 649,843 669,713 Corporate debt 2,239,930 2,061,878 2,185,264 2,150,263 2,144,850 Total loans, net $3,083,821 $2,788,341 $3,972,671 $4,068,189 $4,462,350 Mortgage servicing rights $100,895 $207,985 $227,400 $280,558 $378,078 Agency mortgage-backed securities transferred or pledged to securitization vehicles $620,347 $623,650 $1,832,708 $1,803,608 $1,122,588 Residential mortgage loans transferred or pledged to securitization vehicles 3,249,251 3,588,679 2,832,502 3,027,188 2,598,374 Commercial real estate debt investments transferred or pledged to securitization vehicles 2,166,073 2,174,118 2,150,623 1,927,575 2,345,120 Commercial real estate debt and preferred equity transferred or pledged to securitization vehicles 874,349 882,955 874,618 913,291 936,378 Assets transferred or pledged to securitization vehicles $6,910,020 $7,269,402 $7,690,451 $7,671,662 $7,002,460 Real estate, net $656,314 $790,597 $746,067 $751,738 $725,638 Total residential and commercial investments $86,403,446 $87,155,310 $90,442,332 $92,129,743 $127,402,106 Total assets $88,455,103 $89,192,411 $93,458,653 $96,917,274 $130,295,081 Average TBA contract and CMBX balances $20,744,672 $20,429,935 $18,628,343 $9,965,142 $6,878,502 % Fixed-rate 98% 98% 98% 99% 97% % Adjustable-rate 2% 2% 2% 1% 3% Weighted average experienced CPR for the period 24.7% 22.9% 19.5% 13.6% 17.8% Weighted average projected long-term CPR at period-end 16.4% 17.1% 18.0% 17.7% 13.9% Net premium and discount balance in Residential Securities $3,883,229 $3,702,466 $3,679,639 $3,815,149 $5,185,797 Net premium and discount balance as % of stockholders' equity 27.72% 26.11% 26.68% 30.03% 32.84%

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Financing Data Key Capital and Hedging Metrics ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except per share amounts 4 Financing and Capital Data For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Repurchase agreements $64,825,239 $64,633,447 $67,163,598 $72,580,183 $101,740,728 Other secured financing 917,876 861,373 1,538,996 1,805,428 4,455,700 Debt issued by securitization vehicles 5,652,982 6,027,576 6,458,130 6,364,949 5,622,801 Participations issued 39,198 — — — — Mortgages payable 426,256 507,934 508,565 484,762 485,005 Total debt $71,861,551 $72,030,330 $75,669,289 $81,235,322 $112,304,234 Total liabilities $74,433,307 $74,997,739 $79,661,050 $84,209,744 $114,498,737 Cumulative redeemable preferred stock $1,536,569 $1,982,026 $1,982,026 $1,982,026 $1,982,026 Common equity(1) 12,471,747 12,200,180 11,811,440 10,721,399 13,809,991 Total Annaly stockholders' equity 14,008,316 14,182,206 13,793,466 12,703,425 15,792,017 Non-controlling interests 13,480 12,466 4,137 4,105 4,327 Total equity $14,021,796 $14,194,672 $13,797,603 $12,707,530 $15,796,344 Weighted average days to maturity of repurchase agreements 64 72 74 48 65 Weighted average rate on repurchase agreements, for the quarter(2)(3) 0.35% 0.44% 0.79% 1.78% 2.09% Weighted average rate on repurchase agreements, at period-end(3) 0.32% 0.42% 0.49% 1.23% 2.03% Leverage at period-end 5.1x 5.1x 5.5x 6.4x 7.1x Economic leverage at period-end 6.2x 6.2x 6.4x 6.8x 7.2.x Capital ratio at period-end 13.6% 13.6% 13.0% 12.3% 12.0% Book value per common share $8.92 $8.70 $8.39 $7.50 $9.66 Total common shares outstanding 1,398,241 1,402,928 1,407,662 1,430,424 1,430,106 Hedge ratio(4) 61% 48% 40% 19% 75% Weighted average pay rate on interest rate swaps, at period-end 0.92% 0.91% 1.01% 1.63% 1.84% Weighted average receive rate on interest rate swaps, at period-end 0.37% 0.48% 0.75% 1.16% 1.89% Weighted average net rate on interest rate swaps, at period-end 0.55% 0.43% 0.26% 0.47% (0.05%)

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except per share amounts 5 Income Statement Data For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Total interest income $527,344 $562,443 $584,812 $555,026 $1,074,214 Total interest expense 94,481 115,126 186,032 503,473 620,058 Net interest income $432,863 $447,317 $398,780 $51,553 $454,156 Total economic interest expense *(1) $161,288 $177,655 $250,593 $517,453 $574,837 Economic net interest income * $366,056 $384,788 $334,219 $37,573 $499,377 Total interest income (excluding PAA) * $566,445 $596,322 $636,554 $845,748 $990,322 Economic net interest income (excluding PAA) * $405,157 $418,667 $385,961 $328,295 $415,485 GAAP net income (loss) $878,635 $1,015,548 $856,234 ($3,640,189) $1,209,742 GAAP net income (loss) available (related) to common stockholders (2) $841,707 $980,165 $820,693 ($3,675,764) $1,174,165 GAAP net income (loss) per average common share (2) $0.60 $0.70 $0.58 ($2.57) $0.82 Core earnings (excluding PAA) * $459,046 $482,323 $424,580 $330,218 $409,157 Core earnings (excluding PAA) available to common stockholders *(2) $423,537 $446,814 $389,071 $294,709 $373,648 Core earnings (excluding PAA) per average common share *(2) $0.30 $0.32 $0.27 $0.21 $0.26 PAA cost (benefit) $39,101 $33,879 $51,742 $290,722 ($83,892) Summary Income Statement

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Dividends declared per common share $0.22 $0.22 $0.22 $0.25 $0.25 Total common and preferred dividends declared (1) $343,666 $344,684 $345,481 $393,328 $393,203 Annualized GAAP return (loss) on average equity 24.91% 29.02% 25.84% (102.17%) 31.20% Annualized GAAP return (loss) on average equity per unit of economic leverage 4.02% 4.68% 4.04% (15.03%) 4.33% Net interest margin 2.14% 2.15% 1.89% 0.18% 1.49% Average yield on interest earning assets 2.61% 2.70% 2.77% 1.91% 3.53% Average GAAP cost of interest bearing liabilities 0.51% 0.60% 0.96% 1.86% 2.17% Net interest spread 2.10% 2.10% 1.81% 0.05% 1.36% Annualized core return on average equity (excluding PAA) * 13.03% 13.79% 12.82% 9.27% 10.56% Annualized core return on average equity per unit of economic leverage (excluding PAA) * 2.10% 2.22% 2.00% 1.36% 1.47% Net interest margin (excluding PAA) * 1.98% 2.05% 1.88% 1.18% 1.41% Average yield on interest earning assets (excluding PAA) * 2.80% 2.86% 3.01% 2.91% 3.25% Average economic cost of interest bearing liabilities * 0.87% 0.93% 1.29% 1.91% 2.01% Net interest spread (excluding PAA) * 1.93% 1.93% 1.72% 1.00% 1.24% Key GAAP Earnings Metrics ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except per share amounts 6 Key Earnings Metrics Key Non-GAAP Earnings Metrics

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Economic Net Interest Income * ______________ * Represents a non-GAAP financial measure. Unaudited, dollars in thousands 7 Components of Economic Net Interest Income * For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Interest income: Residential Securities $411,394 $439,502 $457,684 $410,380 $923,653 Residential mortgage loans 37,323 42,508 42,871 47,557 47,377 Commercial investment portfolio 78,555 80,324 84,208 95,676 97,366 Reverse repurchase agreements 72 109 49 1,413 5,818 Total interest income $527,344 $562,443 $584,812 $555,026 $1,074,214 Economic interest expense: Repurchase agreements $58,849 $75,386 $136,962 $434,021 $550,283 Net interest component of interest rate swaps 66,807 62,529 64,561 13,980 (45,221) Debt issued by securitization vehicles 29,235 32,491 38,757 42,119 39,099 Participations issued 78 — — — — Other 6,319 7,249 10,313 27,333 30,676 Total economic interest expense * $161,288 $177,655 $250,593 $517,453 $574,837 Economic net interest income * $366,056 $384,788 $334,219 $37,573 $499,377 PAA cost (benefit) 39,101 33,879 51,742 290,722 (83,892) Economic net interest income (excluding PAA) * $405,157 $418,667 $385,961 $328,295 $415,485

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Core Earnings (excluding PAA)* Reconciliation 8 GAAP Net Income to Core Earnings (excluding PAA)* Reconciliation For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 GAAP net income (loss) $878,635 $1,015,548 $856,234 ($3,640,189) $1,209,742 Net income (loss) attributable to noncontrolling interests 1,419 (126) 32 66 68 Net income (loss) attributable to Annaly 877,216 1,015,674 856,202 (3,640,255) 1,209,674 Adjustments to exclude reported realized and unrealized (gains) losses: Realized (gains) losses on termination or maturity of interest rate swaps (2,092) 427 1,521,732 397,561 4,615 Unrealized (gains) losses on interest rate swaps (258,236) (170,327) (1,494,628) 2,827,723 (782,608) Net (gains) losses on disposal of investments and other (9,363) (198,888) (246,679) (206,583) (17,783) Net (gains) losses on other derivatives (209,647) (169,316) (170,916) (206,426) 42,312 Net unrealized (gains) losses on instruments measured at fair value through earnings (51,109) (121,255) (254,772) 730,160 5,636 Loan loss provision (1) 469 (21,818) 72,544 99,993 7,362 Other adjustments: Depreciation expense related to commercial real estate and amortization of intangibles (2) 11,097 11,363 8,714 7,934 9,823 Non-core (income) loss allocated to equity method investments (3) 28 (1,151) 4,218 19,398 (3,979) Transaction expenses and non-recurring items (4) 172 2,801 1,075 7,245 3,634 Income tax effect of non-core income (loss) items (10,984) 13,890 3,353 (23,862) (418) TBA dollar roll income and CMBX coupon income (5) 99,027 114,092 97,524 44,904 36,901 MSR amortization (6) (26,633) (27,048) (25,529) (18,296) (22,120) Plus: Premium amortization adjustment cost (benefit) 39,101 33,879 51,742 290,722 (83,892) Core earnings (excluding PAA) * 459,046 482,323 424,580 330,218 409,157 Dividends on preferred stock 35,509 35,509 35,509 35,509 35,509 Core earnings (excluding PAA) attributable to common stockholders * $423,537 $446,814 $389,071 $294,709 $373,648 ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Book Value Rollforward Net Interest Margin Unaudited 9 Quarter-Over-Quarter Changes in Key Metrics ______________ Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Book value per common share, beginning of period $8.70 $8.39 $7.50 $9.66 $9.21 Net income (loss) available (related) to common stockholders 0.60 0.70 0.58 (2.57) 0.82 Other comprehensive income (loss) attributable to common stockholders (0.16) (0.18) 0.51 0.69 (0.12) Common dividends declared (0.22) (0.22) (0.22) (0.25) (0.25) Issuance / buyback of common stock / redemption of preferred stock — 0.01 0.02 — — Other adjustment (1) — — — (0.03) — Book value per common share, end of period $8.92 $8.70 $8.39 $7.50 $9.66 Prior quarter net interest margin 2.15% 1.89% 0.18% 1.49% 0.48% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (0.10%) (0.17%) 0.03% (0.04%) 0.02% Net amortization of premiums 0.01% 0.10% 0.83% (1.58%) 0.62% GAAP interest expense 0.08% 0.33% 0.85% 0.31% 0.37% Current quarter net interest margin 2.14% 2.15% 1.89% 0.18% 1.49% Prior quarter net interest spread 2.10% 1.81% 0.05% 1.36% 0.31% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (0.10%) (0.17%) 0.03% (0.04%) 0.02% Net amortization of premiums 0.01% 0.10% 0.83% (1.58%) 0.62% Average GAAP cost of interest bearing liabilities 0.09% 0.36% 0.90% 0.31% 0.41% Current quarter net interest spread 2.10% 2.10% 1.81% 0.05% 1.36% Net Interest Spread

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Net Interest Margin (excluding PAA)* Unaudited 10 Quarter-Over-Quarter Changes in Key Metrics (continued) ______________ * Represents a non-GAAP financial measure. For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Prior quarter net interest margin (excluding PAA) * 2.05% 1.88% 1.18% 1.41% 1.10% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (including average TBA dollar roll and CMBX balances) (0.11%) (0.20%) (0.39%) (0.14%) 0.08% Net amortization of premiums (excluding PAA) 0.04% 0.03% 0.18% (0.26%) (0.04%) TBA dollar roll income and CMBX coupon income (0.05%) 0.06% 0.24% 0.03% 0.07% Interest expense and net interest component of interest rate swaps 0.05% 0.28% 0.67% 0.14% 0.20% Current quarter net interest margin (excluding PAA) * 1.98% 2.05% 1.88% 1.18% 1.41% Prior quarter net interest spread (excluding PAA) * 1.93% 1.72% 1.00% 1.24% 0.98% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (0.10%) (0.17%) 0.03% (0.04%) 0.02% Net amortization of premiums (excluding PAA) 0.04% 0.02% 0.07% (0.30%) (0.03%) Average economic cost of interest bearing liabilities 0.06% 0.36% 0.62% 0.10% 0.27% Current quarter net interest spread (excluding PAA) * 1.93% 1.93% 1.72% 1.00% 1.24% Net Interest Spread (excluding PAA)*

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Annualized GAAP Return (Loss) on Average Equity Annualized Core Return on Average Equity (excluding PAA)* ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited 11 Quarter-Over-Quarter Changes in Annualized Return on Average Equity For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Prior quarter annualized GAAP return (loss) on average equity 29.02% 25.84% (102.17%) 31.20% (19.32%) Quarter-over-quarter changes in contribution: Coupon income (1.42%) (2.71%) (7.00%) 0.88% (1.36%) Net amortization of premiums and accretion of discounts 0.30% 1.14% 9.08% (13.00%) 5.29% Interest expense and net interest component of interest rate swaps 0.50% 2.49% 6.96% 0.30% 2.72% Realized gains (losses) on termination or maturity of interest rate swaps 0.07% 45.92% (34.77%) (11.04%) 17.54% Unrealized gains (losses) on interest rate swaps 2.46% (40.24%) 124.48% (99.56%) 28.62% Realized and unrealized gains (losses) on investments and other derivatives (6.33%) (6.31%) 29.20% (8.12%) (2.04%) Loan loss provision (0.67%) 2.70% 0.71% (2.60%) (0.10%) Other(1) 0.98% 0.19% (0.65%) (0.23%) (0.15%) Current quarter annualized GAAP return (loss) on average equity 24.91% 29.02% 25.84% (102.17%) 31.20% Prior quarter annualized core return on average equity (excluding PAA) * 13.79% 12.82% 9.27% 10.56% 8.85% Quarter-over-quarter changes in contribution: Coupon income (1.42%) (2.71%) (7.00%) 0.88% (1.36%) Net amortization of premiums (excluding PAA) 0.45% 0.54% 2.48% (2.68%) 0.09% Interest expense and net interest component of interest rate swaps 0.50% 2.49% 6.96% 0.30% 2.72% TBA dollar roll income and CMBX coupon income (0.45%) 0.32% 1.68% 0.31% 0.56% Other(2) 0.16% 0.33% (0.57%) (0.10%) (0.30%) Current quarter core return on annualized average equity (excluding PAA) * 13.03% 13.79% 12.82% 9.27% 10.56%

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 12 Residential Investments & TBA Derivative Overview as of December 31, 2020 Agency Fixed-Rate Securities (Pools) Original Weighted Avg. Years to Maturity Current Face Value % (3) Weighted Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Weighted Avg. 3-Month CPR Estimated Fair Value <=15 years (1) $3,401,749 5.1% 2.73% 101.6% 107.5% 18.5% $3,656,509 20 years 2,489,098 3.7% 3.14% 103.3% 107.3% 25.1% 2,669,742 >=30 years (2) 61,132,987 91.2% 3.64% 105.2% 110.2% 24.7% 67,379,552 Total/Weighted Avg. $67,023,834 100.0% 3.58% 105.0% 110.0% 24.6% $73,705,803 TBA Contracts Type Notional Value % (4) Weighted Avg. Coupon Implied Cost Basis Implied Market Value 15-year $2,503,000 12.7% 1.85% $2,588,464 $2,603,995 30-year 17,132,000 87.3% 2.07% 17,688,624 17,769,202 Total/Weighted Avg. $19,635,000 100.0% 2.04% $20,277,088 $20,373,197 Agency Adjustable-Rate Securities Weighted Avg. Months to Reset Current Face Value % (3) Weighted Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Weighted Avg. 3-Month CPR Estimated Fair Value 0 - 24 months $395,996 78.8% 2.76% 100.8% 105.2% 24.2% $416,757 25 - 40 months 37,393 7.4% 2.52% 98.9% 103.6% 40.9% 38,740 41 - 60 months 52,513 10.4% 2.97% 101.0% 105.6% 40.8% 55,442 61 - 90 months 17,358 3.4% 2.99% 101.2% 105.8% 58.2% 18,359 Total/Weighted Avg. $503,260 100.0% 2.77% 100.7% 105.2% 28.2% $529,298

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 13 Residential Investments & TBA Derivative Overview as of December 31, 2020 (continued) Agency Interest-Only Collateralized Mortgage-Backed Obligations Type Current Notional Value % (1) Weighted Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Weighted Avg. 3-Month CPR Estimated Fair Value Interest-only $1,026,298 32.6% 3.37% 15.2% 8.5% 28.2% $87,419 Inverse interest-only 1,764,239 56.1% 5.95% 23.1% 19.0% 27.2% 334,490 Multifamily Interest-Only $354,562 11.3% 1.04% 8.4% 8.6% —% $30,396 Total/Weighted Avg. $3,145,099 100.0% 4.55% 18.9% 14.4% 27.5% $452,305 Mortgage Servicing Rights Type Unpaid Principal Balance Weighted Avg. Coupon Excess Servicing Spread Weighted Avg. Loan Age (months) Estimated Fair Value Total/Weighted Avg. $15,198,193 3.86% 0.24% 56 $100,895 Residential Credit Portfolio Sector Current Face / Notional Value % (2) Weighted Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Estimated Fair Value Residential Credit Risk Transfer $544,780 10.4% 4.07% 98.9% 97.7% $532,403 Alt-A 93,001 1.6% 3.73% 81.4% 86.4% 80,328 Prime 177,852 3.6% 4.44% 93.9% 102.1% 181,509 Prime Interest-only 194,687 0.1% 0.47% 1.0% 0.6% 1,240 Subprime 197,779 3.7% 1.85% 91.1% 95.3% 188,433 NPL/RPL 475,108 9.3% 4.32% 99.7% 100.2% 475,847 Prime Jumbo 44,696 0.8% 3.87% 88.6% 96.8% 43,283 Prime Jumbo Interest-only 291,624 —% 0.35% 2.3% 0.5% 1,552 Residential Mortgage Loans 3,482,865 70.5% 4.89% 100.8% 103.2% 3,595,061 Total/Weighted Avg. $5,502,392 100.0% 4.59% $5,099,656

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 14 Residential Credit Investments Detail as of December 31, 2020 (1) Product Estimated Fair Value Payment Structure Investment Characteristics Senior Subordinate Coupon Credit Enhancement 60+ Delinquencies 3M VPR Agency Credit Risk Transfer $508,685 $— $508,685 4.03% 1.28% 4.66% 44.40% Private Label Credit Risk Transfer 23,718 — 23,718 4.81% 0.97% 0.86% 43.63% Alt-A 80,328 25,286 55,042 3.73% 9.70% 17.40% 18.86% Prime 181,509 12,128 169,381 4.44% 7.02% 8.94% 30.73% Prime Interest-only 1,240 1,240 — 0.47% —% 5.21% 45.03% Subprime 188,433 96,468 91,965 1.85% 17.95% 14.08% 8.80% Re-Performing Loan Securitizations 467,702 227,558 240,144 4.34% 30.93% 28.12% 9.95% Non-Performing Loan Securitizations 8,145 8,145 — 3.67% 32.18% 82.18% 3.70% Prime Jumbo 43,283 — 43,283 3.87% 3.35% 4.23% 51.33% Prime Jumbo Interest-only 1,552 1,552 — 0.35% —% 4.59% 53.22% Total (2) $1,504,595 $372,377 $1,132,218 3.88% 13.86% 14.62% 28.20% Product Estimated Fair Value Bond Coupon ARM Fixed Floater Interest Only Agency Credit Risk Transfer $508,685 $— $— $508,594 $91 Private Label Credit Risk Transfer 23,718 — — 23,718 — Alt-A 80,328 18,133 48,629 13,566 — Prime 181,509 40,859 135,887 4,763 — Prime Interest-only 1,240 — — — 1,240 Subprime 188,433 7,486 71,776 108,939 232 Re-Performing Loan Securitizations 467,702 — 467,702 — — Non-Performing Loan Securitizations 8,145 — 8,145 — — Prime Jumbo 43,283 — 43,283 — — Prime Jumbo Interest-only 1,552 — — — 1,552 Total $1,504,595 $66,478 $775,422 $659,580 $3,115

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands ______________ Detailed endnotes are included within the Appendix at the end of this presentation. 15 Commercial Real Estate Overview as of December 31, 2020 Investment Portfolio Number of Investments GAAP Weighted Avg LTV (1) Weighted Avg Life (years) (2) Non-GAAP Book Values % of Portfolio Economic Interest (3) Levered Return (4) Loans Senior Mortgages 13 $373,925 8.7% 75.1% 3.1 $190,455 9.4% Mezzanine Loans 11 124,156 2.9% 73.9% 2.1 48,790 9.2% Total Loans 24 498,081 11.6% 74.8% 2.9 239,245 9.4% Securities CMBS (Credit) 2 31,603 0.7% 61.4% 5.4 14,907 23.8% SASB 16 45,254 1.1% 61.3% 3.6 4,720 11.8% CRT (MF) 1 3,885 0.1% 63.1% 8.2 3,885 4.3% Total Securities 19 $80,742 1.9% 61.4% 4.5 $23,512 18.3% Assets transferred or pledged to securitization vehicles NLY 2019 - FL2 25 797,495 18.7% 84.0% 2.8 170,845 17.2% NLY 2019 - OAKS 1 76,854 1.8% 74.0% 4.1 14,973 24.0% Commercial Trusts 64 2,166,073 50.6% 46.7% 4.1 125,007 10.9% Total Assets transferred or pledged to securitization vehicles 90 $3,040,422 71.1% 57.2% 3.8 $310,825 15.0% Total Debt Investments 133 $3,619,245 84.6% 59.7% 3.7 $573,582 12.8% Equity Investments Real Estate Held for Investment 37 563,765 13.2% 256,607 8.7% Investment in Unconsolidated Joint Ventures (5) 32 92,549 2.2% 167,705 8.1% Total Equity Investments 69 656,314 15.4% 424,312 8.5% Total Investment Portfolio 202 $4,275,559 100.0% $997,894 11.0% Derivatives Net Notional Range of Ratings Implied Market Value Net Weighted Average Coupon CMBX (6) $504,000 AAA to A $496,560 1.2%

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 16 Middle Market Lending Overview as of December 31, 2020 Industry Dispersion Industry Total (1) Computer Programming, Data Processing & Other Computer Related Services 483,142 Management and Public Relations Services 300,869 Industrial Inorganic Chemicals 156,391 Public Warehousing and Storage 132,397 Metal Cans & Shipping Containers 115,670 Offices and Clinics of Doctors of Medicine 104,781 Surgical, Medical, and Dental Instruments and Supplies 83,161 Electronic Components & Accessories 78,129 Engineering, Architectural, and Surveying 77,308 Miscellaneous Health and Allied Services, not elsewhere classified 77,163 Insurance Agents, Brokers and Services 67,193 Research, Development and Testing Services 62,008 Miscellaneous Food Preparations 58,857 Telephone Communications 58,450 Miscellaneous Equipment Rental and Leasing 49,587 Electric Work 41,128 Petroleum and Petroleum Products 33,890 Medical and Dental Laboratories 30,711 Schools and Educational Services, not elsewhere classified 29,040 Home Health Care Services 28,587 Metal Forgings and Stampings 27,523 Legal Services 26,399 Grocery Stores 22,895 Coating, Engraving and Allied Services 19,484 Chemicals & Allied Products 14,686 Miscellaneous Business Services 12,980 Drugs 12,942 Mailing, Reproduction, Commercial Art and Photography, and Stenographic 12,733 Machinery, Equipment, and Supplies 12,096 Offices and Clinics of Other Health Practitioners 9,730 Total $2,239,930 Size Dispersion Position Size Amount Percentage $0 - $20 million $166,536 7.4% $20 - $40 million 417,141 18.6% $40 - $60 million 391,676 17.5% Greater than $60 million 1,264,577 56.5% Total $2,239,930 100.0% Tenor Dispersion Remaining Term Amount Percentage One year or less $30,585 1.4% One to three years 401,878 17.9% Three to five years 680,217 30.4% Greater than five years 1,127,250 50.3% Total $2,239,930 100.0% Lien Position Amount Percentage First lien loans $1,489,125 66.5% Second lien loans 750,805 33.5% Total $2,239,930 100.0% ______________ Detailed endnotes are included within the Appendix at the end of this presentation.

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. 17 Unaudited, dollars in thousands Hedging and Liabilities as of December 31, 2020 Principal Balance Weighted Average Rate Days to Maturity(5)At Period End For the Quarter Repurchase agreements $ 64,825,239 0.32 % 0.35 % 64 Other secured financing 917,876 2.22 % 2.96 % 1,353 Debt issued by securitization vehicles 5,649,190 2.13 % 1.95 % 9,013 Participations issued 37,365 4.47 % 4.70 % 11,664 Mortgages payable 513,180 4.25 % 4.07 % 4,046 Total indebtedness $ 71,942,850 Maturity Current Notional (1)(2) Weighted Avg. Pay Rate Weighted Avg. Receive Rate Weighted Avg. Years to Maturity(3) 0 to 3 years $ 23,680,150 0.27 % 0.11 % 1.96 > 3 to 6 years 3,600,000 0.18 % 0.09 % 4.21 > 6 to 10 years 5,565,500 1.40 % 0.62 % 7.76 Greater than 10 years 1,484,000 3.06 % 0.36 % 20.52 Total / Weighted Avg. $ 34,329,650 0.92 % 0.37 % 3.94 Type Current Underlying Notional Weighted Avg. Underlying Fixed Rate Weighted Avg. Underlying Floating Rate Weighted Avg. Underlying Years to Maturity Weighted Avg. Months to Expiration Long Pay $ 8,050,000 1.27 % 3M LIBOR 10.40 5.42 Long Receive $ 250,000 1.66 % 3M LIBOR 10.02 0.13 Type Long Contracts Short Contracts Net Positions Weighted Avg. Years to Maturity U.S. Treasury Futures - 5 year $ — $ (1,240,000) $ (1,240,000) 4.40 U.S. Treasury Futures - 10 year & Greater $ — $ (9,183,800) $ (9,183,800) 6.90 Total / Weighted Avg. $ — $ (10,423,800) $ (10,423,800) 6.60 Maturity Principal Balance Weighted Avg. Rate At Period End Within 30 days $ 30,841,837 0.29 % 30 to 59 days 10,567,655 0.42 % 60 to 89 days 8,568,836 0.30 % 90 to 119 days 2,154,733 0.23 % Over 120 days(4) 13,610,054 0.49 % Total / Weighted Avg. $ 65,743,115 0.35 % Interest Rate Swaps Interest Rate Swaptions Futures Positions Repurchase Agreements and Other Secured Financing Total Indebtedness

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited 18 Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of December 31, 2020 and September 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) Interest Rate Change (bps) As of December 31, 2020 As of September 30, 2020 Estimated Percentage Change in Portfolio Market Value(2) Estimated Change as a % of NAV(2)(3) Estimated Percentage Change in Portfolio Market Value(2) Estimated Change as a % of NAV(2)(3) (75) (0.2%) (1.3%) —% (0.3%) (50) —% (0.2%) 0.1% 0.7% (25) 0.1% 0.7% 0.2% 1.5% 25 (0.1%) (0.5%) (0.1%) (0.9%) 50 (0.2%) (1.3%) (0.3%) (2.1%) 75 (0.4%) (2.7%) (0.6%) (3.9%) MBS Spread Sensitivity (1) MBS Spread Shock (bps) As of December 31, 2020 As of September 30, 2020 Estimated Change in Portfolio Market Value (2) Estimated Change as a % of NAV(2)(3) Estimated Change in Portfolio Market Value (2) Estimated Change as a % of NAV(2)(3) (25) 1.5% 9.0% 1.4% 8.9% (15) 0.9% 5.4% 0.9% 5.3% (5) 0.3% 1.8% 0.3% 1.8% 5 (0.3%) (1.8%) (0.3%) (1.7%) 15 (0.9%) (5.3%) (0.8%) (5.2%) 25 (1.5%) (8.9%) (1.4%) (8.7%)

Appendix

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 20 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 December 31, 2020, September 30, 2020, June 30, 2020, March 31, 2020 and December 31, 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 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 21 Non-GAAP Reconciliations (continued) For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Premium Amortization Reconciliation Premium amortization expense $239,118 $248,718 $270,688 $616,937 $171,447 Less: PAA cost (benefit) 39,101 33,879 51,742 290,722 (83,892) Premium amortization expense (excluding PAA) $200,017 $214,839 $218,946 $326,215 $255,339 Interest Income (excluding PAA) Reconciliation GAAP interest income $527,344 $562,443 $584,812 $555,026 $1,074,214 PAA cost (benefit) 39,101 33,879 51,742 290,722 (83,892) Interest income (excluding PAA) * $566,445 $596,322 $636,554 $845,748 $990,322 Economic Interest Expense Reconciliation GAAP interest expense $94,481 $115,126 $186,032 $503,473 $620,058 Add: Net interest component of interest rate swaps 66,807 62,529 64,561 13,980 (45,221) Economic interest expense * $161,288 $177,655 $250,593 $517,453 $574,837 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $566,445 $596,322 $636,554 $845,748 $990,322 Less: Economic interest expense * 161,288 177,655 250,593 517,453 574,837 Economic net interest income (excluding PAA) * $405,157 $418,667 $385,961 $328,295 $415,485 ______________ * Represents a non-GAAP financial measure.

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 22 Non-GAAP Reconciliations (continued) For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Economic Metrics (excluding PAA) Average interest earning assets $80,973,433 $83,286,119 $84,471,839 $116,063,895 $121,801,951 Interest income (excluding PAA) * $566,445 $596,322 $636,554 $845,748 $990,322 Average yield on interest earning assets (excluding PAA) * 2.80% 2.86% 3.01% 2.91% 3.25% Average interest bearing liabilities $72,233,239 $74,901,128 $76,712,894 $107,029,466 $111,873,379 Economic interest expense * 161,288 177,655 250,593 517,453 574,837 Average economic cost of interest bearing liabilities * 0.87% 0.93% 1.29% 1.91% 2.01% Economic net interest income (excluding PAA)* $405,157 $418,667 $385,961 $328,295 $415,485 Net interest spread (excluding PAA) * 1.93% 1.93% 1.72% 1.00% 1.24% Interest income (excluding PAA) * $566,445 $596,322 $636,554 $845,748 $990,322 TBA dollar roll income and CMBX coupon income 99,027 114,092 97,524 44,904 36,901 Interest expense (94,481) (115,126) (186,032) (503,473) (620,058) Net interest component of interest rate swaps (66,807) (62,529) (64,561) (13,980) 45,221 Subtotal $504,184 $532,759 $483,485 $373,199 $452,386 Average interest earning assets $80,973,433 $83,286,119 $84,471,839 $116,063,895 $121,801,951 Average TBA contract and CMBX balances 20,744,672 20,429,935 18,628,343 9,965,142 6,878,502 Subtotal $101,718,105 $103,716,054 $103,100,182 $126,029,037 $128,680,453 Net interest margin (excluding PAA) * 1.98% 2.05% 1.88% 1.18% 1.41% ______________ * Represents a non-GAAP financial measure.

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 23 Endnotes Page 2 (1) Net of dividends on preferred stock. (2) Debt consists of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable. Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued and mortgages payable are non-recourse to the Company. (3) Computed as the sum of recourse debt, cost basis of to be announced ("TBA") derivatives and credit derivatives referencing the commercial mortgage-backed securities index ("CMBX") derivatives outstanding and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued and mortgages payable are non-recourse to the Company and are excluded from this measure. (4) Computed as the ratio of total equity to total assets (inclusive of total market value of TBA derivatives and CMBX positions and exclusive of debt issued by securitization vehicles). (5) Net interest margin represents interest income less interest expense divided by average 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 income less interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average TBA contract and CMBX balances. (6) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). (7) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. (8) The quarters ended December 31, 2020 and September 30, 2020 include costs incurred in connection with securitizations of residential whole loans. Page 4 (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit. (2) Utilizes an actual/360 factor. (3) The average and period-end rates are net of reverse repurchase agreements. Without netting reverse repurchase agreements, the average rate was 0.35%, 0.44%, 0.79%, 1.77% and 2.10% and the period-end rate was 0.32%, 0.42%, 0.49%, 1.23% and 2.03% for the quarters ended December 31, 2020, September 30, 2020, June 30, 2020, March 31, 2020 and December 31, 2019, respectively. Page 4 (continued) (4) Measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver swaptions) and futures relative to repurchase agreements, other secured financing and cost basis of TBA derivatives outstanding; excludes MSRs and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities. Page 5 (1) Includes GAAP interest expense and the net interest component of interest rate swaps. (2) Net of dividends on preferred stock. Page 6 (1) Includes dividend equivalents on share-based awards. Page 8 (1) Includes a $1.0 million reversal of loss provision on the Company’s unfunded loan commitments for the quarter ended December 31, 2020, and $0.2 million, $3.8 million and $0.7 million loss provision on the Company’s unfunded loan commitments for the quarters ended September 30, 2020, June 30, 2020 and March 31, 2020, respectively, which is reported in Other income (loss) in the Company’s Consolidated Statement of Comprehensive Income (Loss). (2) Amount includes depreciation and amortization expense related to equity method investments. (3) The Company excludes non-core (income) loss allocated to equity method investments, which represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other income (loss). (4) The quarters ended December 31, 2020 and September 30, 2020 include costs incurred in connection with securitizations of residential whole loans. The quarter ended June 30, 2020 includes costs incurred in connection with the Internalization and costs incurred in connection with the CEO search process. The quarter ended March 31, 2020 includes costs incurred in connection with securitizations of Agency mortgage-backed securities and residential whole loans as well as costs incurred in connection with the Internalization and costs incurred in connection with the CEO search process. The quarter ended December 31, 2019 includes costs incurred in connection with securitizations of Agency mortgage-backed securities and residential whole loans. (5) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on other derivatives. CMBX coupon income totaled $1.5 million, $1.5 million, $1.6 million, $1.2 million and $1.3 million for the quarters ended December 31, 2020, September 30, 2020, June 30, 2020, March 31, 2020 and December 31, 2019, respectively. (6) MSR amortization represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net unrealized gains (losses) on instruments measured at fair value.

© Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 24 Endnotes (continued) Page 9 (1) Represents the opening adjustment to retained earnings upon adoption of Accounting Standards Update 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments, commonly referred to as CECL. Page 11 (1) Includes other income (loss), general and administrative expenses and income taxes. (2) Includes other income (loss) (excluding non-core items), MSR amortization (a component of Net unrealized gains (losses) on instruments measured at fair value through earnings), general and administrative expenses (excluding transaction related expenses) and income taxes (excluding non-core income tax). Page 12 (1) Includes Agency-backed multifamily securities with an estimated fair value of $2.3 billion ($0.6 billion of which have been transferred or pledged to securitization vehicles). (2) Includes fixed-rate collateralized mortgage obligations with an estimated fair value of $149.8 million. (3) Weighted by current face value. (4) Weighted by current notional value. Page 13 (1) Weighted by current notional value. (2) Weighted by estimated fair value. Page 14 (1) Excludes residential mortgage loans. (2) Total investment characteristics exclude interest-only securities. Page 15 (1) Based on an internal valuation or the most recent third party appraisal, which may be prior to loan origination/purchase date or at the time of underwriting. (2) Maturity dates assume all of the borrowers' extension options are exercised for the loan portfolio. (3) Economic interest is a non-GAAP measure to include gross asset values less related financings. Equity investments are adjusted to exclude depreciation and amortization and grosses up real estate investments accounted for under equity method accounting. (4) Levered returns for equity investments comprise a trailing twelve-month (“TTM”) distribution yield for joint venture investments and core return for wholly owned properties. (5) Includes investment in unconsolidated debt fund of $38.6 million, investments in Community Investment Impact Funds of $20.9 million and a portfolio of real estate properties of $33.1 million. (6) The Company sells/buys protection on CMBX tranches referencing baskets of Conduit CMBS bonds with various ratings. Positive net notional indicates selling protection and being long the exposure to the underlying CMBS. CMBX positions are accounted for as derivatives with changes in fair value presented in Net gains (losses) on other derivatives. Page 16 (1) All Middle Market Lending positions are floating rate. Page 17 (1) Current notional is presented net of receiver swaps. (2) As of December 31, 2020, 17%, 72% and 11% of the Company's interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. (3) The weighted average years to maturity of payer interest rate swaps is offset by the 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) 2% 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.


Maryland		1-13447	22-3479661
(State or other jurisdiction of incorporation or organization)		(Commission File Number)	(IRS Employer Identification No.)

1211 Avenue of the Americas
New York,	New York		10036
(Address of principal executive offices)			(Zip Code)


Title of Each Class	Trading Symbol(s)	Name of Each Exchange on Which Registered

Common Stock, par value $0.01 per share	NLY	New York Stock Exchange




6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock	NLY.F	New York Stock Exchange
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock	NLY.G	New York Stock Exchange
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock	NLY.I	New York Stock Exchange