AGENCY The Annaly Agency Group invests in Agency MBS collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae Assets ASSETS(1) DEDICATED CAPITAL(2) $65.7bn $7.0bn Strategic Approach Annaly’s Agency Portfolio is made up of high quality and liquid securities, predominantly specified pools, TBAs and derivatives Portfolio benefits from in-house proprietary analytics that identify emerging prepayment trends and a focus on durable cash flows Diverse set of investment options within the Agency market, including Agency CMBS, which provides complementary duration and return profiles to Agency MBS Access to deep and varied financing sources, including traditional bilateral repo and proprietary broker-dealer repo Seasoned team manages interest rate exposure inherent in Agency MBS through disciplined asset selection and an array of hedging products Note: Please refer to Glossary for defined terms and “Our Investment Strategies | Agency” in Endnotes section for footnoted information. Agency Portfolio Detail NLY Specified Pools and TBA Holdings, % Agency Hedging Composition, % Hedges(3) 0% 25% 50% 75% 100% 2020 2021 2022 2023 Pools TBA 0% 25% 50% 75% 100% 2020 2021 2022 2023 Swaps Swaptions Treasuries 14 ANNALY CAPITAL MANAGEMENT, INC.
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