financialsummaryq118

First Quarter 2018 Financial Summary May 2, 2018

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. Actual results could differ materially from those set forth in forward looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities (“MBS”) and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our commercial real estate business; our ability to grow our residential mortgage 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 and policy affecting our business; our ability to maintain our qualification as a REIT for U.S. federal income tax purposes; and our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law. 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. Non-GAAP Financial Measures This presentation includes certain non-GAAP financial measures, including core earnings metrics, which are presented both inclusive and exclusive of 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 non-GAAP metrics, which include core earnings, and 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. 1 Safe Harbor Notice

Unaudited, dollars in thousands except per share amounts Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. 2 Q1 2018 Financial Snapshot Income Statement Balance Sheet Portfolio Efficiency Key Statistics For the quarters ended 3/31/2018 12/31/2017 GAAP net income per average common share (1) $1.12 $0.62 Core earnings (excluding PAA) per average common share *(1)(2) $0.30 $0.31 Core earnings per average common share *(1)(2) $0.41 $0.30 PAA cost (benefit) per average common share ($0.11) $0.01 Annualized GAAP return (loss) on average equity 36.86% 20.58% Annualized core return on average equity (excluding PAA) * 10.70% 10.67% Book value per common share $10.53 $11.34 Leverage at period-end (3) 6.1x 5.7x Economic leverage at period-end (4) 6.5x 6.6x Capital ratio at period-end (5) 13.1% 12.9% Agency mortgage-backed securities $88,579,097 $90,551,763 Mortgage servicing rights 596,378 580,860 Residential credit portfolio (6) 3,230,970 3,187,380 Commercial real estate investments (7) 4,521,681 4,604,388 Corporate debt 1,152,745 1,011,275 Total residential and commercial investments $98,080,871 $99,935,666 Net interest margin (8) 1.94% 1.47% Net interest margin (excluding PAA) *(8) 1.52% 1.51% Average yield on interest earning assets (9) 3.45% 2.97% Average yield on interest earning assets (excluding PAA) *(9) 2.99% 3.02% Net interest spread 1.55% 1.14% Net interest spread (excluding PAA) * 1.09% 1.19% Operating expense to core earnings (excluding PAA) *(10) 15.83% 15.31% Annualized operating expenses as a % of average assets (10) 0.24% 0.24% Annualized operating expenses as a % of average equity (10) 1.69% 1.63%

Unaudited, dollars in thousands 3 Portfolio Data Portfolio-Related Data Summary Portfolio Statistics For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Agency mortgage-backed securities $88,579,097 $90,551,763 $85,889,131 $73,963,998 $72,708,490 Mortgage servicing rights 596,378 580,860 570,218 605,653 632,166 Residential credit portfolio (1) 3,230,970 3,187,380 2,706,092 2,619,564 2,778,452 Commercial real estate investments (2) 4,521,681 4,604,388 5,321,786 5,375,251 5,550,464 Corporate debt 1,152,745 1,011,275 856,110 773,957 841,265 Total residential and commercial investments $98,080,871 $99,935,666 $95,343,337 $83,338,423 $82,510,837 Total assets $100,382,233 $101,760,050 $97,574,181 $84,976,578 $84,658,957 Average TBA position $12,050,341 $17,509,691 $19,291,834 $14,206,869 $10,655,785 Residential Investment Securities: % Fixed-rate 91% 90% 89% 86% 85% % Adjustable-rate 9% 10% 11% 14% 15% Weighted average experienced CPR for the period 8.9% 9.8% 10.3% 10.9% 11.5% Weighted average projected long-term CPR at period-end 9.2% 10.4% 10.4% 10.6% 10.0% Net premium and discount balance in Residential Investment Securities $6,063,609 $6,024,347 $5,745,022 $5,164,105 $5,149,099 Net premium and discount balance as % of stockholders' equity 43.51% 40.53% 40.60% 40.98% 40.74% (1) Includes consolidated VIEs. (2) Includes consolidated VIEs and loans held for sale.

(1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit. (2) Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements, other secured financing and to be announced (“TBA”) notional 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. (3) Excludes forward starting swaps. Forward starting swaps represented $8.1 billion of the notional balance as of December 31, 2017; there were no forward starting swaps for any of the other period-end dates. Unaudited, dollars in thousands except per share amounts 4 Financing and Capital Data Financing Data Key Capital and Hedging Metrics For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Repurchase agreements $78,015,431 $77,696,343 $69,430,268 $62,497,400 $62,719,087 Other secured financing 3,830,075 3,837,528 3,713,256 3,785,543 3,876,150 Securitized debt of consolidated VIEs 2,904,873 2,971,771 3,357,929 3,438,675 3,477,059 Participation sold - - - - 12,760 Mortgages payable 309,794 309,686 311,886 311,810 311,707 Total debt $85,060,173 $84,815,328 $76,813,339 $70,033,428 $70,396,763 Total liabilities $86,439,298 $86,888,477 $83,418,963 $72,367,153 $72,011,608 Cumulative redeemable preferred stock $1,723,168 $1,720,381 $1,720,381 $1,200,559 $1,200,559 Common equity(1) 12,214,096 13,145,092 12,428,377 11,401,955 11,439,467 Total Annaly stockholders' equity 13,937,264 14,865,473 14,148,758 12,602,514 12,640,026 Non-controlling interests 5,671 6,100 6,460 6,911 7,323 Total equity $13,942,935 $14,871,573 $14,155,218 $12,609,425 $12,647,349 Weighted average days to maturity of repurchase agreements 72 58 65 88 88 Weighted average rate on repurchase agreements, at period-end 1.83% 1.61% 1.38% 1.38% 1.15% Weighted average rate on repurchase agreements, for the quarter 1.64% 1.41% 1.34% 1.25% 1.07% Leverage at period-end 6.1x 5.7x 5.4x 5.6x 5.6x Economic leverage at period-end 6.5x 6.6x 6.9x 6.4x 6.1x Capital ratio at period-end 13.1% 12.9% 12.3% 13.2% 13.8% Book value per common share $10.53 $11.34 $11.42 $11.19 $11.23 Total common shares outstanding 1,159,657 1,159,585 1,088,084 1,019,028 1,018,971 Hedge ratio(2) 94% 70% 67% 67% 63% Weighted average pay rate on interest rate swaps, at period-end(3) 2.00% 2.22% 2.27% 2.26% 2.25% Weighted average receive rate on interest rate swaps, at period-end(3) 2.13% 1.58% 1.35% 1.28% 1.15% Weighted average net rate on interest rate swaps, at period-end(3) (0.13%) 0.64% 0.92% 0.98% 1.10%

* Represents a non-GAAP financial measure. (1) Includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). (2) Net of dividends on preferred stock. The quarter ended December 31, 2017 excludes, and the quarter ended September 30, 2017 includes, cumulative and undeclared dividends of $8.3 million on the Company's Series F Preferred as of September 30, 2017. Unaudited, dollars in thousands except per share amounts 5 Income Statement Data Summary Income Statement For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Total interest income $879,487 $745,423 $622,550 $537,426 $587,727 Total interest expense 367,421 318,711 268,937 222,281 198,425 Net interest income $512,066 $426,712 $353,613 $315,145 $389,302 Total economic interest expense *(1) $415,581 $392,668 $347,501 $306,533 $287,391 Economic net interest income *(1) $463,906 $352,755 $275,049 $230,893 $300,336 Total interest income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 Economic net interest income (excluding PAA) *(1) $345,511 $364,122 $314,948 $303,593 $318,206 GAAP net income (loss) $1,327,704 $746,771 $367,315 $14,522 $440,408 GAAP net income (loss) available (related) to common shareholders (2) $1,294,034 $714,588 $337,192 ($8,849) $417,038 GAAP net income (loss) per average common share (2) $1.12 $0.62 $0.31 ($0.01) $0.41 Core earnings (excluding PAA) * $385,272 $386,951 $353,546 $332,601 $335,898 Core earnings (excluding PAA) available to common shareholders *(2) $351,506 $354,617 $323,191 $309,128 $312,425 Core earnings (excluding PAA) per average common share *(2) $0.30 $0.31 $0.30 $0.30 $0.31 Core earnings * $503,667 $375,584 $313,647 $259,901 $318,028 Core earnings available to common shareholders *(2) $469,901 $343,250 $283,292 $236,428 $294,555 Core earnings per average common share *(2) $0.41 $0.30 $0.26 $0.23 $0.29 PAA cost (benefit) ($118,395) $11,367 $39,899 $72,700 $17,870 PAA cost (benefit) per average common share ($0.11) $0.01 $0.04 $0.07 $0.02

* Represents a non-GAAP financial measure. (1) The quarter ended December 31, 2017 includes, and the quarter ended September 30, 2017 excludes, $8.3 million of dividends on the Company’s Series F Preferred stock, which were cumulative and undeclared as of September 30, 2017. (2) Includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). Unaudited, dollars in thousands except per share amounts 6 Key Earnings Metrics Key Earnings Metrics For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Dividends declared per common share $0.30 $0.30 $0.30 $0.30 $0.30 Total common and preferred dividends declared (1) $381,663 $388,511 $348,479 $329,182 $329,164 Annualized GAAP return (loss) on average equity 36.86% 20.58% 10.98% 0.46% 13.97% Annualized GAAP return (loss) on average equity per unit of economic leverage 5.67% 3.12% 1.59% 0.07% 2.29% Annualized core return on average equity (excluding PAA) * 10.70% 10.67% 10.57% 10.54% 10.66% Annualized core return on average equity per unit of economic leverage (excluding PAA) * 1.65% 1.62% 1.53% 1.65% 1.75% Net interest margin 1.94% 1.47% 1.33% 1.23% 1.47% Net interest margin (excluding PAA) * 1.52% 1.51% 1.47% 1.53% 1.55% Average yield on interest earning assets 3.45% 2.97% 2.79% 2.58% 2.74% Average yield on interest earning assets (excluding PAA) * 2.99% 3.02% 2.97% 2.93% 2.83% Average cost of interest bearing liabilities (2) 1.90% 1.83% 1.82% 1.74% 1.59% Net interest spread 1.55% 1.14% 0.97% 0.84% 1.15% Net interest spread (excluding PAA) * 1.09% 1.19% 1.15% 1.19% 1.24%

* Represents a non-GAAP financial measure. (1) Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). Unaudited, dollars in thousands 7 Components of Economic Net Interest Income Net Interest Income For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Interest income: Residential Investment Securities $779,588 $654,387 $540,436 $459,308 $515,910 Residential mortgage loans 15,505 10,750 8,509 7,417 3,864 Commercial investment portfolio 72,457 73,596 67,790 68,153 64,345 Reverse repurchase agreements 11,937 6,690 5,815 2,548 3,608 Total interest income $879,487 $745,423 $622,550 $537,426 $587,727 Economic interest expense: Repurchase agreements $331,374 $283,909 $237,669 $197,151 $173,090 Interest expense on swaps (1) 48,160 73,957 78,564 84,252 88,966 Securitized debt of consolidated VIEs 15,652 17,405 16,072 11,977 14,850 Participation sold - - - 42 153 Other 20,395 17,397 15,196 13,111 10,332 Total economic interest expense * $415,581 $392,668 $347,501 $306,533 $287,391 Economic net interest income * $463,906 $352,755 $275,049 $230,893 $300,336 PAA cost (benefit) (118,395) 11,367 39,899 72,700 17,870 Economic net interest income (excluding PAA) * $345,511 $364,122 $314,948 $303,593 $318,206

* Represents a non-GAAP financial measure. (1) Represents costs incurred in connection with a securitization of residential whole loans. (2) Represents a component of Net gains (losses) on trading assets. (3) Represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on the Company’s mortgage servicing rights (“MSR”) portfolio and is reported as a component of Net unrealized gains (losses) on investments measured at fair value. Unaudited, dollars in thousands 8 GAAP Net Income to Core Earnings Reconciliation Core Earnings Reconciliation For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 GAAP net income (loss) $1,327,704 $746,771 $367,315 $14,522 $440,408 Less: Realized (gains) losses on termination or maturity of interest rate swaps (834) 160,075 - 58 - Unrealized (gains) losses on interest rate swaps (977,285) (484,447) (56,854) 177,567 (149,184) Net (gains) losses on disposal of investments (13,468) (7,895) 11,552 5,516 (5,235) Net (gains) losses on trading assets 47,145 (121,334) (154,208) 14,423 (319) Net unrealized (gains) losses on investments measured at fair value through earnings 51,593 12,115 67,492 (16,240) (23,683) Transaction expenses(1) 1,519 - - - - Net (income) loss attributable to noncontrolling interest 96 151 232 102 103 Plus: TBA dollar roll income(2) 88,353 89,479 94,326 81,051 69,968 MSR amortization(3) (21,156) (19,331) (16,208) (17,098) (14,030) Core earnings * 503,667 375,584 313,647 259,901 318,028 Less: PAA cost (benefit) (118,395) 11,367 39,899 72,700 17,870 Core earnings (excluding PAA) * $385,272 $386,951 $353,546 $332,601 $335,898

Unaudited 9 Quarter-Over-Quarter Changes in Key Metrics * Represents a non-GAAP financial measure. (1) For book value purposes, the quarter ended December 31, 2017 includes, and the quarter ended September 30, 2017 excludes, $8.3 million of dividends on the Company’s Series F Preferred stock, which were cumulative and undeclared as of September 30, 2017. Book Value Rollforward Net Interest Margin Net Interest Margin (excluding PAA)* 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Book value per common share, beginning of period $11.34 $11.42 $11.19 $11.23 $11.16 Net income (loss) available (related) to common stockholders (1) 1.12 0.62 0.32 (0.01) 0.41 Other comprehensive income (loss) attributable to common stockholders (1.63) (0.42) 0.19 0.27 (0.04) Common dividends declared (0.30) (0.30) (0.30) (0.30) (0.30) Issuance of common stock / redemption of preferred stock 0.00 0.02 0.02 0.00 0.00 Book value per common share, end of period $10.53 $11.34 $11.42 $11.19 $11.23 Prior quarter net interest margin 1.47% 1.33% 1.23% 1.47% 2.49% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll balances) 0.19% 0.13% (0.12%) (0.05%) 0.11% Net amortization of premiums 0.37% 0.10% 0.22% (0.18%) (0.92%) TBA dollar roll income 0.01% (0.04%) 0.01% 0.04% (0.11%) Interest expense and realized gain (loss) on interest rate swaps (0.10%) (0.05%) (0.01%) (0.05%) (0.10%) Current quarter net interest margin 1.94% 1.47% 1.33% 1.23% 1.47% Prior quarter net interest margin (excluding PAA) * 1.51% 1.47% 1.53% 1.55% 1.53% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll balances) 0.19% 0.13% (0.12%) (0.05%) 0.11% Net amortization of premiums, excluding PAA (0.09%) 0.00% 0.06% 0.04% 0.12% TBA dollar roll income 0.01% (0.04%) 0.01% 0.04% (0.11%) Interest expense and related realized gain (loss) on interest rate swaps (0.10%) (0.05%) (0.01%) (0.05%) (0.10%) Current quarter net interest margin (excluding PAA) * 1.52% 1.51% 1.47% 1.53% 1.55% For the quarters ended

* Represents a non-GAAP financial measure. (1) Includes other income (loss), general and administrative expenses and income taxes. (2) Includes other income (loss), MSR amortization (a component of Net unrealized gains (losses) on financial instruments measured at fair value through earnings), general and administrative expenses (excluding transaction related expenses) and income taxes. Unaudited 11 Quarter-Over-Quarter Changes in Return on Average Equity GAAP Return (Loss) on Average Equity Core Return on Average Equity (excluding PAA)* For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Prior quarter GAAP return (loss) on average equity 20.58% 10.98% 0.46% 13.97% 57.23% Quarter-over-quarter changes in contribution: Coupon income 0.83% 1.04% 0.24% (0.14%) 0.68% Net amortization of premiums and accretion of discounts 3.05% 0.90% 1.35% (1.48%) (7.02%) Interest expense and realized gain (loss) on interest rate swaps (0.49%) (0.38%) (0.58%) (0.50%) (0.70%) Realized (gains) losses on termination or maturity of interest rate swaps 4.43% (4.41%) 0.00% 0.00% 1.71% Unrealized (gains) / losses on interest rate swaps 13.78% 11.65% 7.32% (10.36%) (39.57%) Realized and unrealized (gains) / losses on investments and trading assets (5.59%) 0.98% 2.36% (1.04%) 1.58% Other(1) 0.27% (0.18%) (0.17%) 0.01% 0.06% Current quarter GAAP return (loss) on average equity 36.86% 20.58% 10.98% 0.46% 13.97% Prior quarter core return on average equity (excluding PAA) * 10.67% 10.57% 10.54% 10.66% 10.13% Quarter-over-quarter changes in contribution: Coupon income 0.83% 1.04% 0.24% (0.14%) 0.68% Net amortization of premiums (excluding PAA) (0.56%) 0.02% 0.24% 0.26% 0.93% Economic interest expense and other swaps expense (0.49%) (0.38%) (0.58%) (0.50%) (0.70%) TBA dollar roll income (0.01%) (0.35%) 0.25% 0.35% (0.84%) Other(2) 0.26% (0.23%) (0.12%) (0.09%) 0.46% Current quarter core return on average equity (excluding PAA) * 10.70% 10.67% 10.57% 10.54% 10.66%

(1) Includes Agency-backed multifamily securities with an estimated fair value of $499.1 million. (2) Weighted by current face value. (3) Weighted by notional value. Unaudited, dollars in thousands 12 Residential Investments and TBA Derivative Overview as of March 31, 2018 Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % (2) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value <=15 years (1) $5,226,101 6.6% 3.11% 103.3% 100.4% 9.1% $5,247,937 20 years 4,345,141 5.5% 3.48% 104.7% 101.7% 9.6% 4,420,844 >=30 years 69,769,183 87.9% 3.82% 106.0% 102.3% 7.7% 71,377,987 Total/Weighted Avg. $79,340,425 100.0% 3.75% 105.8% 102.1% 7.9% $81,046,768 TBA Purchase Contracts Weighted Avg. Implied Cost Implied Market Type Notional Value % (3) Coupon Basis Value 15-year $2,585,000 28.9% 3.00% $2,582,608 $2,583,552 30-year 6,369,000 71.1% 4.04% 6,524,815 6,549,080 Total/Weighted Avg. $8,954,000 100.0% 3.74% $9,107,423 $9,132,632 Agency Adjustable-Rate Securities Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Months to Reset Face Value % (2) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value 0 - 24 months $5,009,313 78.8% 2.95% 104.9% 103.0% 21.6% $5,158,169 25 - 40 months 414,212 6.5% 2.78% 103.9% 100.8% 13.7% 417,606 41 - 60 months 175,023 2.8% 2.97% 104.1% 101.0% 14.2% 176,856 61 - 90 months 593,218 9.3% 3.02% 103.4% 100.2% 12.6% 594,322 >90 months 165,412 2.6% 3.00% 102.7% 100.0% 10.9% 165,385 Total/Weighted Avg. $6,357,178 100.0% 2.95% 104.6% 102.5% 19.8% $6,512,338

(1) Weighted by current notional value. (2) Weighted by estimated fair value. Unaudited, dollars in thousands 13 Residential Investments & TBA Derivative Overview as of March 31, 2018 (cont’d) Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Type Value % (1) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value Interest-only $2,746,107 41.3% 3.34% 14.0% 12.2% 7.8% $336,150 Inverse Interest-only 3,910,023 58.7% 4.29% 23.3% 17.5% 10.1% 683,841 Total/Weighted Avg. $6,656,130 100.0% 3.90% 19.5% 15.3% 9.2% $1,019,991 Mortgage Servicing Rights Unpaid Excess Weighted Avg. Principal Weighted Avg. Servicing Loan Age Estimated Type Balance Coupon Spread (months) Fair Value Total/Weighted Avg. $47,610,887 3.82% 0.24% 24.3 $596,378 Residential Credit Portfolio Current Face / Weighted Avg. Weighted Avg. Weighted Avg. Estimated Sector Notional Value % (2) Coupon Amortized Cost Fair Value Fair Value Credit Risk Transfer $579,077 19.5% 5.45% 104.5% 108.6% $628,942 Alt-A 200,819 5.6% 4.49% 83.5% 89.7% 180,039 Prime 222,366 6.6% 4.53% 89.0% 96.6% 214,828 Subprime 516,223 15.2% 2.97% 85.8% 95.4% 492,506 NPL/RPL 39,286 1.2% 4.21% 99.8% 100.7% 39,572 Prime Jumbo 125,902 3.8% 3.59% 97.4% 96.3% 121,200 Prime Jumbo Interest-only 939,627 0.6% 0.46% 1.5% 1.9% 18,198 Residential Mortgage Loans 1,527,171 47.5% 4.37% 101.4% 100.6% 1,535,685 Total/Weighted Avg. $4,150,471 100.0% 3.45% $3,230,970

(1) Excludes residential mortgage loans. Unaudited, dollars in thousands 14 Residential Credit Investments Detail as of March 31, 2018 (1) Payment Structure Investment Characteristics Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancement 60+ Delinquencies 3M VPR Agency Credit Risk Transfer $597,336 $- $597,336 5.33% 1.17% 0.42% 7.70% Private Label Credit Risk Transfer 31,606 - 31,606 7.68% 4.96% 2.55% 11.68% Alt-A 180,039 112,359 67,680 4.49% 10.43% 12.33% 9.66% Prime 214,828 50,039 164,789 4.53% 3.76% 10.11% 12.03% Subprime 492,506 206,799 285,707 2.97% 11.87% 20.14% 5.33% Re-Performing Loan Securitizations 31,288 31,288 - 4.09% 43.11% 33.70% 6.57% Non-Performing Loan Securitizations 8,284 4,833 3,451 4.68% 64.00% 69.71% 6.41% Prime Jumbo (>=2010 Vintage) 121,200 95,150 26,050 3.59% 14.44% 0.01% 11.26% Prime Jumbo (>=2010 Vintage) Interest-only 18,198 18,198 - 0.46% 0.00% 0.05% 15.64% Total $1,695,285 $518,666 $1,176,619 4.54% 8.04% 10.15% 16.81% Estimated Bond Coupon Product Fair Value ARM Fixed Floater Interest Only Agency Credit Risk Transfer $597,336 $- $- $597,336 $- Private Label Credit Risk Transfer 31,606 - - 31,606 - Alt-A 180,039 49,829 103,557 26,653 - Prime 214,828 116,989 97,839 - - Subprime 492,506 - 93,112 399,394 - Re-Performing Loan Securitizations 31,288 - 31,288 - - Non-Performing Loan Securitizations 8,284 - 8,284 - - Prime Jumbo (>=2010 Vintage) 121,200 - 121,200 - - Prime Jumbo (>=2010 Vintage) Interest-only 18,198 - - - 18,198 Total $1,695,285 $166,818 $455,280 $1,054,989 $18,198

Unaudited, dollars in thousands (1) Commercial real estate debt and preferred equity, held for investment book values are net of unamortized net origination fees. (2) Total weighted based on carry value. (3) 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. (4) Maturity dates assume all of the borrowers' extension options are exercised for the commercial real estate debt and preferred equity, held for investment portfolio. (5) Economic Interest is a non-GAAP measure to include gross asset values less related financings. Equity investments are adjusted to exclude depreciation and amortization. (6) Levered Return represents the current coupon plus accretion and amortization of origination fees and premium/discount and funding costs over investment economic interest. (7) Equity levered returns are calculated based on trailing twelve months cash-on-cash returns, updated on a one month lag. (8) Includes investment in unconsolidated debt fund of $17.7 million and investment in Community Investment Impact Fund of $20.3 million. (9) 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 trading assets. 15 Commercial Real Estate Overview as of March 31, 2018 GAAP Non-GAAP Mortgage Debt & Preferred Equity Investments Number of Investments Book Values (1) % of Portfolio Weighted Avg LTV (2) (3) Weighted Avg Life (years) (4) Economic Interest(5) Levered Return(6) Financeable First Mortgages 16 $681,819 15.1% 70.1% 3.6 $320,902 8.5% Mezzanine Loan Investments 22 390,487 8.6% 70.2% 3.0 360,275 9.5% Preferred Equity Investments 1 8,989 0.2% 95.6% 0.7 8,989 11.2% Commercial Real Estate Debt and Preferred Equity, Held for Investment 39 $1,081,295 23.9% 70.4% 3.3 $690,166 9.1% Securitized Whole Loans 51 $2,695,513 59.7% 68.3% 4.8 $198,103 10.3% AAA CMBS 8 182,904 4.0% 28.6% 1.2 24,253 10.0% Credit CMBS 9 81,906 1.8% 55.7% 4.8 57,686 8.5% Total Commercial Real Estate Debt Investments 68 $2,960,323 65.5% 65.3% 4.6 $280,042 9.9% Total Debt Portfolio 107 $4,041,618 89.4% 67.7% 4.3 $970,208 9.3% Equity Investments Number of Properties Book Value % of Portfolio Economic Interest(5) Levered Return(7) Real Estate Held for Investment 26 $389,679 8.6% $150,831 9.7% Investment in Unconsolidated Joint Ventures(8) 27 90,384 2.0% 118,820 9.4% Total Equity Investments 53 $480,063 10.6% $269,651 9.6% Total 160 $4,521,681 100.0% $1,239,859 9.4% Derivatives Net Notional Range of Ratings Implied Market Value Weighted Average Coupon CMBX (9) $285,000 AAA to BBB- $276,451 1.7%

Unaudited, dollars in thousands 16 Middle Market Lending Overview as of March 31, 2018 Size Dispersion Position Size Amount Percentage $0 - $20 million $252,682 21.9% $20 - $40 million 402,578 34.9% $40 - $60 million 219,879 19.1% Greater than $60 million 277,606 24.1% Total $1,152,745 100.0% Tenor Dispersion Remaining Term Amount Percentage One year or less $- 0.0% One to three years 49,801 4.3% Three to five years 304,885 26.5% Greater than five years 798,059 69.2% Total $1,152,745 100.0% Lien Position Amount First lien loans $664,276 57.6% Second lien loans 488,469 42.4% Total $1,152,745 100.0% Industry Dispersion Industry Fixed Rate Floating Rate Total Aircraft and Parts $- $34,797 $34,797 Coating, Engraving and Allied Services - 63,245 63,245 Computer Programming, Data Processing & Other Computer Related Services - 209,854 209,854 Drugs - 38,716 38,716 Electronic Components & Accessories - 23,961 23,961 Engineering, Architectural, and Surveying 10,647 10,647 Groceries and Related Products - 14,771 14,771 Grocery Stores - 23,512 23,512 Home Health Care Services - 23,660 23,660 Insurance Agents, Brokers and Services - 28,866 28,866 Management and Public Relations Services - 140,789 140,789 Medical and Dental Laboratories - 26,936 26,936 Miscellaneous Business Services - 19,703 19,703 Miscellaneous Equipment Rental and Leasing - 49,264 49,264 Miscellaneous Health and Allied Services, not elsewhere classified - 54,246 54,246 Miscellaneous Nonmetallic Minerals, except Fuels - 26,056 26,056 Miscellaneous Plastic Products - 9,920 9,920 Motor Vehicles and Motor Vehicle Equipment - 17,333 17,333 Motor Vehicles and Motor Vehicle Parts and Supplies - 23,582 23,582 Offices and Clinics of Doctors of Medicine - 97,794 97,794 Offices and Clinics of Other Health Practitioners - 19,872 19,872 Public Warehousing and Storage - 50,685 50,685 Research, Development and Testing Services - 33,304 33,304 Schools and Educational Services, not elsewhere classified - 20,359 20,359 Services Allied with the Exchange of Securities 14,943 14,943 Surgical, Medical, and Dental Instruments and Supplies - 16,677 16,677 Telephone Communications - 59,253 59,253 Total $- $1,152,745 $1,152,745

(1) There were no forward starting swaps as of March 31, 2018. (2) Weighted average years to maturity for futures positions are based on the U.S. Treasury contracts cheapest to deliver. (3) Approximately 5% of the total repurchase agreements and other secured financing have a remaining maturity over one year. (4) Determined based on estimated weighted-average lives of the underlying debt instruments. Unaudited, dollars in thousands 17 Hedging and Liabilities as of March 31, 2018 Principal Weighted Average Rate Balance At Period End For the Quarter Days to Maturity (4) Repurchase agreements $78,015,431 1.83% 1.64% 72 Other secured financing 3,830,075 2.18% 2.14% 1,022 Securitized debt of consolidated VIEs 2,873,059 2.39% 2.24% 3,348 Mortgages payable 312,500 4.24% 4.32% 2,498 Total indebtedness $85,031,065 Interest Rate Swaptions Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Underlying Underlying Underlying Underlying Months to Type Notional Pay Rate Receive Rate Years to Maturity Expiration Long $6,000,000 2.72% 3M LIBOR 10.33 3.88 Repurchase Agreements & Other Secured Financing Weighted Avg. Principal Rate Maturity Balance At Period End Within 30 days $39,527,178 1.76% 30 to 59 days 8,619,507 1.67% 60 to 89 days 10,243,046 1.83% 90 to 119 days 5,381,838 1.64% Over 120 days(3) 18,073,937 2.19% Total / Weighted Avg. $81,845,506 1.84% Interest Rate Swaps (1) Maturity Current Notional Weighted Avg. Pay Rate Weighted Avg. Receive Rate Weighted Avg. Years to Maturity 0 to 3 years $38,344,000 1.64% 2.19% 1.77 >3 to 6 years 13,254,550 2.17% 2.12% 4.67 > 6 to 10 years 10,547,000 2.32% 2.02% 8.11 Greater than 10 years 3,826,400 3.65% 1.94% 18.22 Total / Weighted Avg. $65,971,950 2.00% 2.13% 4.52 Futures Positions Notional Notional Weighted Avg. Long Short Years to Type Positions Positions Maturity(2) 2-year Swap Equivalent Eurodollar Contracts - - - U.S. Treasury Futures - 5 year - (4,597,400) 4.42 U.S. Treasury Futures - 10 year & Greater - (9,154,500) 6.99 Total - ($13,751,900) 6.13

(1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. 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. 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 March 31, 2018 and December 31, 2017  The interest rate sensitivity reflects instantaneous parallel shifts in rates  The MBS spread sensitivity shifts MBS spreads instantaneously and reflects exposure to MBS basis risk  All tables assume no active management of the portfolio in response to rate or spread changes Interest Rate Sensitivity (1) As of March 31, 2018 As of December 31, 2017 Interest Rate Change (bps) Estimated Percentage Change in Portfolio Value(2) Estimated Change as a % of NAV(2)(3) Estimated Percentage Change in Portfolio Value(2) Estimated Change as a % of NAV(2)(3) (75) 0.3% 2.5% 0.3% 2.1% (50) 0.3% 2.5% 0.4% 2.6% (25) 0.2% 1.5% 0.3% 1.9% 25 (0.3%) (2.0%) (0.4%) (2.6%) 50 (0.6%) (4.4%) (0.8%) (5.8%) 75 (0.9%) (7.2%) (1.4%) (9.7%) MBS Spread Sensitivity (1) As of March 31, 2018 As of December 31, 2017 MBS Spread Shock (bps) 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% 11.5% 1.6% 11.2% (15) 0.9% 6.9% 0.9% 6.7% (5) 0.3% 2.3% 0.3% 2.3% 5 (0.3%) (2.3%) (0.3%) (2.1%) 15 (0.9%) (6.8%) (0.9%) (6.5%) 25 (1.5%) (11.3%) (1.5%) (10.8%)

Appendix

20 Endnotes for Page 2 * Represents a non-GAAP financial measure. Core earnings (excluding PAA) per average share, core earnings per average common share, annualized core return on average equity (excluding PAA), net interest margin (excluding PAA), average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA) and operating expenses to core earnings (excluding PAA) represent non-GAAP measures. This presentation also includes additional non-GAAP measures, including interest income (excluding PAA), economic interest expense, economic net interest income (excluding PAA), core earnings (excluding PAA), core earnings (excluding PAA) available to common shareholders, core earnings, core earnings available to common shareholders and core earnings per average common share. See the section titled “Non-GAAP Reconciliations” in the Appendix for a reconciliation of non-GAAP financial measures to the most directly comparable GAAP financial measures. A reconciliation of GAAP net income (loss) to non-GAAP core earnings and non-GAAP core earnings (excluding PAA) is provided on page 8 of this financial summary. (1) Net of dividends on preferred stock. The quarter ended December 31, 2017 excludes cumulative and undeclared dividends of $8.3 million on the Company’s Series F Preferred stock as of September 30, 2017. (2) Core earnings is defined as net income (loss) excluding gains or losses on disposals of investments and termination or maturity of interest rate swaps, unrealized gains or losses on interest rate swaps and investments measured at fair value through earnings, net gains and losses on trading assets, impairment losses, net income (loss) attributable to noncontrolling interest, transaction expenses and certain other non-recurring gains or losses, and inclusive of TBA dollar roll income (a component of Net gains (losses) on trading assets) and realized amortization of MSRs (a component of net unrealized gains (losses) on investments measured at fair value through earnings). Core earnings (excluding PAA) excludes the 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. (3) Computed as the sum of repurchase agreements, other secured financing, securitized debt, participation sold and mortgages payable divided by total equity. Securitized debt, participation sold and mortgages payable are non-recourse to the Company. (4) Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing. Securitized debt, participation sold and mortgages payable are non-recourse to the Company and are excluded from this measure. (5) Computed as the ratio of total equity to total assets (inclusive of total market value of TBA derivatives and exclusive of Securitized debt of consolidated VIEs). (6) Comprised of non-Agency MBS, credit risk transfer securities and residential mortgage loans (includes securitized residential mortgage loans of consolidated VIEs). (7) Includes consolidated VIEs. (8) Net interest margin represents the sum of interest income plus TBA dollar roll income less interest expense and realized gains (losses) on interest rate swaps divided by the sum of average Interest Earning Assets plus average TBA contract balances. Net interest margin (excluding PAA) is calculated using the sum of interest income (excluding PAA) plus TBA dollar roll income less interest expense and realized gains (losses) on interest rate swaps divided by the sum of average Interest Earning Assets plus average TBA contract balances. (9) Represents annualized interest income divided by average interest earning assets. Interest earning assets reflects the average amortized cost of our investments during the period. Annualized yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). (10) Excludes costs incurred in connection with a securitization of residential whole loans.

 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, 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 below and on the next page. A reconciliation of GAAP net income (loss) to non-GAAP core earnings for the quarters ended March 31, 2018, December 31, 2017, September 30, 2017, June 30, 2017 and March 31, 2017, is provided on page 8 of this financial summary. Unaudited, dollars in thousands 21 Non-GAAP Reconciliations * Represents a non-GAAP financial measure. (1) Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Premium Amortization Reconciliation Premium amortization expense $95,832 $203,951 $220,636 $251,084 $203,634 Less: PAA cost (benefit) (118,395) 11,367 39,899 72,700 17,870 Premium amortization expense (excluding PAA) $214,227 $192,584 $180,737 $178,384 $185,764 Interest Income (excluding PAA) Reconciliation GAAP interest income $879,487 $745,423 $622,550 $537,426 $587,727 PAA cost (benefit) (118,395) 11,367 39,899 72,700 17,870 Interest Income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 Economic Interest Expense Reconciliation GAAP interest expense $367,421 $318,711 $268,937 $222,281 $198,425 Add: Interest expense on interest rate swaps (1) 48,160 73,957 78,564 84,252 88,966 Economic interest expense *(1) $415,581 $392,668 $347,501 $306,533 $287,391 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 Less: Economic interest expense *(1) 415,581 392,668 347,501 306,533 287,391 Economic net interest Income (excluding PAA) *(1) $345,511 $364,122 $314,948 $303,593 $318,206

Unaudited, dollars in thousands 22 Non-GAAP Reconciliations (cont’d) * Represents a non-GAAP financial measure. (1) Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). (2) Consists of interest expense on interest rate swaps. For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Economic Metrics (excluding PAA) Average interest earning assets $101,979,042 $100,247,589 $89,253,094 $83,427,268 $85,664,151 Interest income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 Average yield on interest earning assets (excluding PAA) * 2.99% 3.02% 2.97% 2.93% 2.83% Average interest bearing liabilities $87,376,452 $85,992,215 $76,382,315 $70,486,779 $72,422,968 Economic interest expense *(1) $415,581 $392,668 $347,501 $306,533 $287,391 Average cost of interest bearing liabilities (1) 1.90% 1.83% 1.82% 1.74% 1.59% Economic net interest income (excluding PAA)*(1) $345,511 $364,122 $314,948 $303,593 $318,206 Net interest spread (excluding PAA) * 1.09% 1.19% 1.15% 1.19% 1.24% Interest income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 TBA dollar roll income 88,353 89,479 94,326 81,051 69,968 Interest expense (367,421) (318,711) (268,937) (222,281) (198,425) Realized gains (losses) on interest rate swaps (2) (48,160) (82,271) (88,211) (96,470) (104,156) Subtotal $433,864 $445,287 $399,627 $372,426 $372,984 Average interest earning assets $101,979,042 $100,247,589 $89,253,094 $83,427,268 $85,664,151 Average TBA contract balances 12,050,341 17,509,691 19,291,834 14,206,869 10,655,785 Subtotal $114,029,383 $117,757,280 $108,544,928 $97,634,137 $96,319,936 Net interest margin (excluding PAA) * 1.52% 1.51% 1.47% 1.53% 1.55%