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Fourth Quarter 2018 Financial Summary February 13, 2019

Safe Harbor Notice 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 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, as amended. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law. We routinely post important information for investors on our website, www.annaly.com. We intend to use this webpage as a means of disclosing material, non-public 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. 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

Q4 2018 Financial Snapshot Unaudited, dollars in thousands except per share amounts For the quarters ended 12/31/2018 9/30/2018 GAAP net income per average common share (1) ($1.74) $0.29 Core earnings (excluding PAA) per average common share *(1) $0.29 $0.30 Core earnings per average common share *(1) $0.26 $0.29 Income Statement PAA cost (benefit) per average common share (2) $0.03 $0.01 Annualized GAAP return (loss) on average equity (62.05%) 10.73% Annualized core return on average equity (excluding PAA)* 11.48% 10.85% Book value per common share (3) $9.39 $10.03 Leverage at period-end (4) 6.3x 5.9x Balance Sheet Economic leverage at period-end (5) 7.0x 6.7x Capital ratio at period-end (6) 12.1% 12.6% Securities $92,623,788 $91,338,611 Loans 4,585,975 4,224,203 Mortgage servicing rights 557,813 588,833 Portfolio Assets transferred or pledged to securitization vehicles 3,833,200 4,287,821 Real estate, net 739,473 753,014 Total residential and commercial investments $102,340,249 $101,192,482 Net interest margin (7) 1.34% 1.49% Net interest margin (excluding PAA) *(7) 1.49% 1.50% Average yield on interest earning assets (8) 3.21% 3.21% Key Statistics Average yield on interest earning assets (excluding PAA) *(8) 3.38% 3.22% Average cost of interest bearing liabilities (9) 2.22% 2.08% Net interest spread 0.99% 1.13% Net interest spread (excluding PAA) * 1.16% 1.14% Operating expenses to core earnings (excluding PAA) *(10) 17.56% 17.05% Efficiency Annualized operating expenses as a % of average assets (10) 0.28% 0.26% Annualized operating expenses as a % of average equity (10) 2.02% 1.85% * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 2

Portfolio Data Unaudited, dollars in thousands For the quarters ended 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Agency mortgage-backed securities $90,752,995 $89,290,128 $86,593,058 $88,579,097 $90,551,763 Credit risk transfer securities 552,097 688,521 563,796 628,942 651,764 Non-agency mortgage-backed securities 1,161,938 1,173,467 1,006,785 1,066,343 1,097,294 Commercial mortgage-backed securities 156,758 186,495 315,050 264,810 262,751 Total securities $92,623,788 $91,338,611 $88,478,689 $90,539,192 $92,563,572 Residential mortgage loans $1,359,806 $1,217,139 $1,142,300 $974,577 $958,546 Commercial real estate debt and preferred equity 1,296,803 1,435,865 1,251,138 1,081,295 1,029,327 Loans held for sale 42,184 42,325 42,458 — — Corporate debt 1,887,182 1,528,874 1,256,276 1,152,745 1,011,275 Portfolio-Related Total loans $4,585,975 $4,224,203 $3,692,172 $3,208,617 $2,999,148 Data Mortgage servicing rights $557,813 $588,833 $599,014 $596,378 $580,860 Residential mortgage loans transferred or pledged to securitization vehicles $1,094,831 $765,876 $523,857 $561,108 $479,776 Commercial real estate debt transferred or pledged to securitization vehicles 2,738,369 3,521,945 2,542,413 2,695,513 2,826,357 Assets transferred or pledged to securitization vehicles $3,833,200 $4,287,821 $3,066,270 $3,256,621 $3,306,133 Real estate, net $739,473 $753,014 $477,887 $480,063 $485,953 Total residential and commercial investments $102,340,249 $101,192,482 $96,314,032 $98,080,871 $99,935,666 Total assets $105,787,527 $105,961,803 $98,832,997 $100,382,233 $101,760,050 Average TBA position $14,393,740 $11,842,426 $9,407,819 $12,050,341 $17,509,691 Residential Securities: % Fixed-rate 93% 92% 91% 91% 90% % Adjustable-rate 7% 8% 9% 9% 10% Summary Portfolio Weighted average experienced CPR for the period 7.9% 10.3% 10.1% 8.9% 9.8% Statistics Weighted average projected long-term CPR at period-end 10.1% 9.1% 9.1% 9.2% 10.4% Net premium and discount balance in Residential Securities $5,118,478 $5,769,426 $5,896,755 $6,063,609 $6,024,347 Net premium and discount balance as % of stockholders' equity 36.27% 38.59% 42.83% 43.51% 40.53% 3

Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Repurchase agreements $81,115,874 $79,073,026 $75,760,655 $78,015,431 $77,696,343 Other secured financing 4,183,311 4,108,547 3,760,487 3,830,075 3,837,528 Debt issued by securitization vehicles 3,347,062 3,799,542 2,728,692 2,904,873 2,971,771 Mortgages payable 511,056 511,588 309,878 309,794 309,686 Total debt $89,157,303 $87,492,703 $82,559,712 $85,060,173 $84,815,328 Financing Data Total liabilities $91,669,726 $91,005,947 $85,059,141 $86,439,298 $86,888,477 Cumulative redeemable preferred stock $1,778,168 $1,778,168 $1,723,168 $1,723,168 $1,720,381 Common equity(1) 12,333,944 13,171,826 12,045,422 12,214,096 13,145,092 Total Annaly stockholders' equity 14,112,112 14,949,994 13,768,590 13,937,264 14,865,473 Non-controlling interests 5,689 5,862 5,266 5,671 6,100 Total equity $14,117,801 $14,955,856 $13,773,856 $13,942,935 $14,871,573 Weighted average days to maturity of repurchase agreements 77 55 71 72 58 Weighted average rate on repurchase agreements, for the quarter(2)(3) 2.43% 2.25% 1.99% 1.64% 1.41% Weighted average rate on repurchase agreements, at period-end(3) 2.96% 2.32% 2.17% 1.83% 1.61% Leverage at period-end 6.3x 5.9x 6.0x 6.1x 5.7x Economic leverage at period-end 7.0x 6.7x 6.4x 6.5x 6.6x Key Capital and Capital ratio at period-end 12.1% 12.6% 13.2% 13.1% 12.9% Hedging Metrics Book value per common share $9.39 $10.03 $10.35 $10.53 $11.34 Total common shares outstanding 1,313,763 1,303,080 1,164,334 1,159,657 1,159,585 Hedge ratio(4) 94% 96% 95% 94% 70% Weighted average pay rate on interest rate swaps, at period-end(5) 2.17% 2.10% 2.08% 2.00% 2.22% Weighted average receive rate on interest rate swaps, at period-end(5) 2.68% 2.33% 2.31% 2.13% 1.58% Weighted average net rate on interest rate swaps, at period-end(5) (0.51%) (0.23%) (0.23%) (0.13%) 0.64% Detailed endnotes are included within the Appendix at the end of this presentation. 4

Income Statement Data Unaudited, dollars in thousands except per share amounts For the quarters ended 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Total interest income $859,674 $816,596 $776,806 $879,487 $745,423 Total interest expense 586,774 500,973 442,692 367,421 318,711 Net interest income $272,900 $315,623 $334,114 $512,066 $426,712 Total economic interest expense *(1) $520,885 $449,624 $411,217 $415,581 $392,668 Economic net interest income *(1) $338,789 $366,972 $365,589 $463,906 $352,755 Total interest income (excluding PAA) * $905,146 $819,982 $784,322 $761,092 $756,790 Economic net interest income (excluding PAA) *(1) $384,261 $370,358 $373,105 $345,511 $364,122 GAAP net income (loss) ($2,254,872) $385,429 $595,887 $1,327,704 $746,771 (2) Summary Income GAAP net income (loss) available (related) to common stockholders ($2,287,383) $353,903 $564,542 $1,294,034 $714,588 Statement GAAP net income (loss) per average common share (2) ($1.74) $0.29 $0.49 $1.12 $0.62 Core earnings (excluding PAA) * $417,169 $389,666 $382,813 $385,272 $386,951 Core earnings (excluding PAA) available to common stockholders *(2) $384,675 $357,991 $351,436 $351,506 $354,617 Core earnings (excluding PAA) per average common share *(2) $0.29 $0.30 $0.30 $0.30 $0.31 Core earnings * $371,697 $386,280 $375,297 $503,667 $375,584 Core earnings available to common stockholders *(2) $339,203 $354,605 $343,920 $469,901 $343,250 Core earnings per average common share *(2) $0.26 $0.29 $0.30 $0.41 $0.30 PAA cost (benefit) $45,472 $3,386 $7,516 ($118,395) $11,367 PAA cost (benefit) per average common share (3) $0.03 $0.01 $— ($0.11) $0.01 * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 5

Key Earnings Metrics Unaudited, dollars in thousands except per share amounts For the quarters ended 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Dividends declared per common share $0.30 $0.30 $0.30 $0.30 $0.30 Total common and preferred dividends declared (1) $426,816 $397,163 $380,677 $381,663 $388,511 Annualized GAAP return (loss) on average equity (62.05%) 10.73% 17.20% 36.86% 20.58% Annualized GAAP return (loss) on average equity per unit of economic leverage (8.86%) 1.60% 2.69% 5.67% 3.12% Annualized core return on average equity (excluding PAA) * 11.48% 10.85% 11.05% 10.70% 10.67% Annualized core return on average equity per unit of economic leverage (excluding PAA) * 1.64% 1.62% 1.73% 1.65% 1.62% Key Earnings Metrics Net interest margin 1.34% 1.49% 1.53% 1.94% 1.47% Net interest margin (excluding PAA) * 1.49% 1.50% 1.56% 1.52% 1.51% Average yield on interest earning assets 3.21% 3.21% 3.04% 3.45% 2.97% Average yield on interest earning assets (excluding PAA) * 3.38% 3.22% 3.07% 2.99% 3.02% Average cost of interest bearing liabilities 2.22% 2.08% 1.89% 1.90% 1.83% Net interest spread 0.99% 1.13% 1.15% 1.55% 1.14% Net interest spread (excluding PAA) * 1.16% 1.14% 1.18% 1.09% 1.19% * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 6

Components of Economic Net Interest Income Unaudited, dollars in thousands For the quarters ended 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Interest income: Residential Securities $708,146 $680,037 $662,750 $779,588 $654,387 Residential mortgage loans 27,703 21,184 18,868 15,505 10,750 Commercial investment portfolio 107,650 97,531 79,343 72,457 73,596 U.S. Treasury securities — 160 — — — Reverse repurchase agreements 16,175 17,684 15,845 11,937 6,690 Total interest income $859,674 $816,596 $776,806 $879,487 $745,423 Net Interest Economic interest expense: Income Repurchase agreements $521,546 $445,535 $400,475 $331,374 $283,909 Net interest component of interest rate swaps (1) (65,889) (51,349) (31,475) 48,160 73,957 Debt issued by securitization vehicles 34,769 29,391 18,201 15,652 17,405 Other 30,459 26,047 24,016 20,395 17,397 Total economic interest expense * $520,885 $449,624 $411,217 $415,581 $392,668 Economic net interest income * $338,789 $366,972 $365,589 $463,906 $352,755 PAA cost (benefit) 45,472 3,386 7,516 (118,395) 11,367 Economic net interest income (excluding PAA) * $384,261 $370,358 $373,105 $345,511 $364,122 * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 7

GAAP Net Income to Core Earnings Reconciliation Unaudited, dollars in thousands For the quarters ended 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 GAAP net income (loss) $(2,254,872) $385,429 $595,887 $1,327,704 $746,771 Net income (loss) attributable to noncontrolling interests 17 (149) (32) (96) (151) Net income (loss) attributable to Annaly $(2,254,889) $385,578 $595,919 $1,327,800 $746,922 Adjustments to exclude reported realized and unrealized (gains) losses: Realized (gains) losses on termination or maturity of interest rate swaps — (575) — (834) 160,075 Unrealized (gains) losses on interest rate swaps 1,313,882 (417,203) (343,475) (977,285) (484,447) Net (gains) losses on disposal of investments 747,505 324,294 66,117 (13,468) (7,895) Net (gains) losses on other derivatives 484,872 (94,827) (34,189) 47,145 (121,334) Net unrealized (gains) losses on instruments measured at fair value through earnings 18,169 39,944 48,376 51,593 12,115 Loan loss provision 3,496 — — — — Adjustments to exclude components of other (income) loss: Depreciation and amortization expense related to commercial real estate (1) 11,000 9,278 — — — Non-core (income) loss allocated to equity method investments (2) (10,307) (2,358) — — — Core Earnings Non-core other (income) loss (3) — 44,525 — — — Reconciliation Adjustments to exclude components of general and administrative expenses and income taxes: Transaction expenses and non-recurring items (4) 3,816 60,081 — 1,519 — Income tax effect of non-core income (loss) items 3,334 886 — — — Adjustments to add back components of realized and unrealized (gains) losses: TBA dollar roll income and CMBX coupon income (5) 69,572 56,570 62,491 88,353 89,479 MSR amortization (6) (18,753) (19,913) (19,942) (21,156) (19,331) Core earnings * 371,697 386,280 375,297 503,667 375,584 Less: Premium amortization adjustment cost (benefit) 45,472 3,386 7,516 (118,395) 11,367 Core earnings (excluding PAA) * $417,169 $389,666 $382,813 $385,272 $386,951 Dividends on preferred stock 32,494 31,675 31,377 33,766 32,334 Core earnings attributable to common stockholders * $339,203 $354,605 $343,920 $469,901 $343,250 Core earnings attributable to common stockholders (excluding PAA) * $384,675 $357,991 $351,436 $351,506 $354,617 * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 8

Quarter-Over-Quarter Changes in Key Metrics Unaudited For the quarters ended 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Book value per common share, beginning of period $10.03 $10.35 $10.53 $11.34 $11.42 Net income (loss) available (related) to common stockholders (1) (1.74) 0.29 0.49 1.12 0.62 Book Value Other comprehensive income (loss) attributable to common stockholders 1.40 (0.32) (0.37) (1.63) (0.42) Rollforward Common dividends declared (0.30) (0.30) (0.30) (0.30) (0.30) Issuance of common stock / redemption of preferred stock 0.00 0.01 0.00 0.00 0.02 Book value per common share, end of period $9.39 $10.03 $10.35 $10.53 $11.34 Prior quarter net interest margin 1.49% 1.53% 1.94% 1.47% 1.33% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll and 0.02% 0.03% 0.08% 0.19% 0.13% CMBX balances) Net Interest Margin Net amortization of premiums (0.07%) 0.06% (0.38%) 0.37% 0.10% TBA dollar roll income and CMBX coupon income 0.03% (0.03%) (0.09%) 0.01% (0.04%) Interest expense and net interest component of interest rate swaps (0.13%) (0.10%) (0.02%) (0.10%) (0.05%) Current quarter net interest margin 1.34% 1.49% 1.53% 1.94% 1.47% Prior quarter net interest margin (excluding PAA) * 1.50% 1.56% 1.52% 1.51% 1.47% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll and CMBX balances) 0.02% 0.03% 0.08% 0.19% 0.13% Net Interest Margin (excluding PAA)* Net amortization of premiums, excluding PAA 0.07% 0.04% 0.07% (0.09%) 0.00% TBA dollar roll income and CMBX coupon income 0.03% (0.03%) (0.09%) 0.01% (0.04%) Interest expense and net interest component of interest rate swaps (0.13%) (0.10%) (0.02%) (0.10%) (0.05%) Current quarter net interest margin (excluding PAA) * 1.49% 1.50% 1.56% 1.52% 1.51% * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 9

Quarter-Over-Quarter Changes in Key Metrics (cont’d) Unaudited For the quarters ended 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Prior quarter net interest spread 1.13% 1.15% 1.55% 1.14% 0.97% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.08% 0.13% 0.00% 0.03% 0.02% Net Interest Spread Net amortization of premiums (0.08%) 0.04% (0.41%) 0.45% 0.16% Average cost of interest bearing liabilities (0.14%) (0.19%) 0.01% (0.07%) (0.01%) Current quarter net interest spread 0.99% 1.13% 1.15% 1.55% 1.14% Prior quarter net interest spread (excluding PAA) * 1.14% 1.18% 1.09% 1.19% 1.15% Quarter-over-quarter changes in contribution: Net Interest Spread Coupon on average interest earning assets 0.08% 0.12% 0.00% 0.03% 0.02% * (excluding PAA) Net amortization of premiums, excluding PAA 0.08% 0.03% 0.08% (0.06%) 0.03% Average cost of interest bearing liabilities (0.14%) (0.19%) 0.01% (0.07%) (0.01%) Current quarter net interest spread (excluding PAA) * 1.16% 1.14% 1.18% 1.09% 1.19% * Represents a non-GAAP financial measure. 10

Quarter-Over-Quarter Changes in Annualized Return on Average Equity Unaudited For the quarters ended 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Prior quarter annualized GAAP return (loss) on average equity 10.73% 17.20% 36.86% 20.58% 10.98% Quarter-over-quarter changes in contribution: Coupon income 1.78% (0.21%) 1.10% 0.83% 1.04% Net amortization of premiums and accretion of discounts (0.86%) 0.53% (3.10%) 3.05% 0.90% Interest expense and net interest component of interest rate swaps (1.81%) (0.65%) (0.33%) (0.49%) (0.38%) Annualized GAAP Return (Loss) on Realized (gains) losses on termination or maturity of interest rate swaps (0.02%) 0.02% (0.02%) 4.43% (4.41%) Average Equity Unrealized (gains) losses on interest rate swaps (47.77%) 1.70% (17.22%) 13.78% 11.65% Realized and unrealized (gains) losses on investments and other derivatives (27.00%) (5.18%) 0.05% (5.59%) 0.98% Loan loss provision (0.10%) 0.00% 0.00% 0.00% 0.00% Other(1) 3.00% (2.68%) (0.14%) 0.27% (0.18%) Current quarter annualized GAAP return (loss) on average equity (62.05%) 10.73% 17.20% 36.86% 20.58% Prior quarter annualized core return on average equity (excluding PAA) * 10.85% 11.05% 10.70% 10.67% 10.57% Quarter-over-quarter changes in contribution: Coupon income 1.78% (0.21%) 1.10% 0.83% 1.04% Annualized Core Return on Average Net amortization of premiums (excluding PAA) 0.29% 0.41% 0.41% (0.56%) 0.02% Equity (excluding Interest expense and net interest component of interest rate swaps (1.81%) (0.65%) (0.33%) (0.49%) (0.38%) PAA)* TBA dollar roll income and CMBX coupon income 0.34% (0.23%) (0.65%) (0.01%) (0.35%) Other(2) 0.03% 0.48% (0.18%) 0.26% (0.23%) Current quarter core return on annualized average equity (excluding PAA) * 11.48% 10.85% 11.05% 10.70% 10.67% * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 11

Residential Investments and TBA Derivative Overview as of December 31, 2018 Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % (3) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value <=15 years (1) $5,116,945 6.2% 3.36% 102.1% 101.0% 6.8% $5,168,154 20 years 3,145,064 3.8% 3.52% 104.2% 101.4% 8.7% 3,188,488 >=30 years (2) 74,696,046 90.0% 3.98% 104.7% 102.5% 6.8% 76,545,696 Total/Weighted Avg. $82,958,055 100.0% 3.92% 104.5% 102.4% 6.9% $84,902,338 TBA Purchase Contracts Weighted Avg. Implied Cost Implied Market Type Notional Value % (4) Coupon Basis Value 15-year $1,798,000 13.0% 3.00% $1,780,275 $1,794,910 30-year 12,005,000 87.0% 3.89% 12,042,834 12,169,887 Total/Weighted Avg. $13,803,000 100.0% 3.77% $13,823,109 $13,964,797 Agency Adjustable-Rate Securities Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Months to Reset Face Value % (3) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value 0 - 24 months $3,983,265 81.7% 3.26% 105.5% 102.6% 27.4% $4,088,785 25 - 40 months 77,331 1.6% 3.28% 104.7% 101.1% 12.2% 78,143 41 - 60 months 188,524 3.9% 2.75% 102.4% 99.8% 9.1% 188,204 61 - 90 months 621,513 12.8% 3.01% 103.5% 100.0% 11.7% 621,636 Total/Weighted Avg. $4,870,633 100.0% 3.21% 105.1% 102.1% 24.4% $4,976,768 Detailed endnotes are included within the Appendix at the end of this presentation. 12

Residential Investments & TBA Derivative Overview as of December 31, 2018 (cont’d) Unaudited, dollars in thousands Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Type Value % (1) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value Interest-only $2,351,055 39.1% 3.32% 13.9% 11.5% 9.5% $270,899 Inverse Interest-only 3,655,953 60.9% 3.63% 23.3% 16.5% 10.1% 602,990 Total/Weighted Avg. $6,007,008 100.0% 3.51% 19.6% 14.5% 9.9% $873,889 Mortgage Servicing Rights Unpaid Excess Weighted Avg. Principal Weighted Avg. Servicing Loan Age Estimated Type Balance Coupon Spread (months) Fair Value Total/Weighted Avg. $43,272,959 3.82% 0.24% 33.2 $557,813 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 $542,374 13.2% 5.87% 102.4% 101.8% $552,097 Alt-A 202,889 4.4% 4.74% 84.8% 89.9% 182,361 Prime 353,108 8.3% 4.71% 94.0% 97.4% 343,986 Subprime 423,166 9.5% 3.24% 85.1% 93.3% 394,621 Non-Performing Loan Securitizations 3,431 0.1% 5.00% 99.1% 100.2% 3,438 Prime Jumbo 225,567 5.3% 3.98% 98.4% 97.8% 220,658 Prime Jumbo Interest-only 860,085 0.4% 0.44% 1.5% 2.0% 16,874 Residential Mortgage Loans 2,425,657 58.8% 4.93% 101.3% 101.2% 2,454,637 Total/Weighted Avg. $5,036,277 100.0% 4.80% $4,168,672 Detailed endnotes are included within the Appendix at the end of this presentation. 13

(1) Residential Credit Investments Detail as of December 31, 2018 Unaudited, dollars in thousands Payment Structure Investment Characteristics Estimated Credit 60+ Product Fair Value Senior Subordinate Coupon Enhancement Delinquencies 3M VPR Agency Credit Risk Transfer $524,414 $— $524,414 5.78% 1.18% 0.29% 7.41% Private Label Credit Risk Transfer 27,683 — 27,683 7.70% 0.26% 0.29% 8.65% Alt-A 182,361 107,293 75,068 4.74% 11.06% 9.59% 10.08% Prime 343,986 158,351 185,635 4.71% 10.34% 7.54% 13.32% Subprime 394,621 145,384 249,237 2.84% 8.89% 18.98% 5.53% Non-Performing Loan Securitizations 3,438 — 3,438 5.00% 59.46% 47.86% 6.86% Prime Jumbo 220,658 186,014 34,644 3.98% 14.68% 0.10% 5.71% Prime Jumbo Interest-only 16,874 16,874 — 0.44% 0.00% 0.28% 7.24% Total $1,714,035 $613,916 $1,100,119 4.68% 7.91% 7.93% 11.84% Bond Coupon Estimated Fair Product Value ARM Fixed Floater Interest Only Agency Credit Risk Transfer $524,414 $— $— $524,414 $— Private Label Credit Risk Transfer 27,683 — — 27,683 — Alt-A 182,361 44,896 112,952 24,513 — Prime 343,986 160,736 168,137 15,113 — Subprime 394,621 — 48,583 345,653 385 Non-Performing Loan Securitizations 3,438 — 3,438 — — Prime Jumbo 220,658 — 220,658 — — Prime Jumbo Interest-only 16,874 — — — 16,874 Total $1,714,035 $205,632 $553,768 $937,376 $17,259 Detailed endnotes are included within the Appendix at the end of this presentation. 14

Commercial Real Estate Overview as of December 31, 2018 Unaudited, dollars in thousands GAAP Non-GAAP Number of Weighted Avg Weighted Avg Economic Levered Mortgage Debt & Preferred Equity Investments Investments Carrying Value % of Portfolio LTV(1) Life (years)(2) Interest(3) Return Senior Mortgages 24 $981,202 19.8% 67.6% 3.8 $253,577 12.0% Mezzanine Loans 15 315,601 6.3% 73.9% 3.1 292,226 9.7% Commercial Real Estate Debt and Preferred Equity, Held for 39 $1,296,803 26.1% 69.2% 3.6 $545,803 10.8% Investment Loans Held for Sale, Net 1 $42,184 0.8% 23.8% 4.4 $21,112 9.3% Securitized Whole Loans 74 $2,738,369 55.0% 56.8% 3.2 $63,245 26.0% AAA CMBS 3 87,860 1.8% 21.6% 0.9 11,708 7.6% Credit CMBS 8 68,898 1.4% 50.9% 6.9 30,502 13.5% Total Commercial Real Estate Debt Investments, at fair value 85 $2,895,127 58.2% 55.6% 3.2 $105,455 20.3% Total Debt Portfolio 125 $4,234,114 85.1% 60.0% 3.4 $672,370 12.2% Number of Economic Levered Equity Investments Properties Book Value % of Portfolio Interest(3) Return(5) Real Estate Held for Investment 48 $654,638 13.2% $195,094 10.6% Investment in Unconsolidated Joint Ventures(4) 31 84,835 1.7% 123,835 8.2% Total Equity Investments 79 $739,473 14.9% $318,929 9.7% Total 204 $4,973,587 100.0% $991,299 11.4% Range of Implied Market Weighted Derivatives Net Notional Ratings Value Average Coupon CMBX (6) $421,000 AAA to BBB- $416,625 1.2% Detailed endnotes are included within the Appendix at the end of this presentation. 15

Middle Market Lending Overview as of December 31, 2018 Unaudited, dollars in thousands Industry Dispersion Size Dispersion Floating Industry Fixed Rate Rate Total Position Size Amount Percentage Aircraft and Parts $— $41,342 $41,342 $0 - $20 million $345,134 18.3% Arrangement of Transportation of Freight & Cargo — 21,632 21,632 $20 - $40 million 300,240 15.9% Coating, Engraving and Allied Services — 57,223 57,223 $40 - $60 million 445,084 23.6% Computer Programming, Data Processing & Other Computer Related Services — 242,185 242,185 Greater than $60 million 796,724 42.2% Drugs — 35,882 35,882 Total $1,887,182 100.0% Electric Work — 41,760 41,760 Electronic Components & Accessories — 24,059 24,059 Engineering, Architectural, and Surveying — 80,748 80,748 Tenor Dispersion Grocery Stores — 23,431 23,431 Remaining Term Amount Percentage Insurance Agents, Brokers and Services — 48,942 48,942 One year or less $— —% Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,843 14,843 One to three years 108,709 5.8% Management and Public Relations Services — 487,046 487,046 Three to five years 396,980 21.0% Medical and Dental Laboratories — 26,858 26,858 Greater than five years 1,381,493 73.2% Metal Cans & Shipping Containers — 118,248 118,248 Total $1,887,182 100.0% Miscellaneous Business Services — 19,622 19,622 Miscellaneous Equipment Rental and Leasing — 49,552 49,552 Lien Position Amount Percentage Miscellaneous Health and Allied Services, not elsewhere classified — 56,003 56,003 First lien loans $1,346,356 71.3% Miscellaneous Plastic Products — 9,953 9,953 Second lien loans 540,826 28.7% Motor Vehicles and Motor Vehicle Equipment — 16,563 16,563 Total $1,887,182 100.0% Motor Vehicles and Motor Vehicle Parts and Supplies — 29,046 29,046 Nonferrous Foundries (Castings) — 12,948 12,948 Offices and Clinics of Doctors of Medicine — 97,877 97,877 Offices and Clinics of Other Health Practitioners — 21,100 21,100 Public Warehousing and Storage — 84,278 84,278 Research, Development and Testing Services — 33,381 33,381 Schools and Educational Services, not elsewhere classified — 19,805 19,805 Services Allied with the Exchange of Securities — 14,877 14,877 Surgical, Medical, and Dental Instruments and Supplies — 96,607 96,607 Telephone Communications — 61,371 61,371 Total $— $1,887,182 $1,887,182 16

Hedging and Liabilities as of December 31, 2018 Unaudited, dollars in thousands Interest Rate Swaps (1) Interest Rate Swaptions Current Weighted Avg. Weighted Avg. Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Maturity Notional Pay Rate Receive Rate Years to Maturity Underlying Underlying Underlying Underlying Months to 0 to 3 years $31,900,200 1.84% 2.73% 1.21 Type Notional Pay Rate Receive Rate Years to Maturity Expiration >3 to 6 years 16,603,200 2.29% 2.70% 4.30 Long $4,075,000 3.30% 3M LIBOR 10.08 3.06 > 6 to 10 years 18,060,900 2.57% 2.56% 8.62 Greater than 10 years 3,901,400 3.63% 2.59% 17.33 Total / Weighted Avg. $70,465,700 2.17% 2.68% 4.26 Repurchase Agreements & Other Secured Financing Weighted Avg. Principal Rate Futures Positions Maturity Balance At Period End Notional Notional Weighted Avg. Within 30 days $32,012,640 3.50% Long Short Years to 30 to 59 days 8,164,165 2.33% Type Positions Positions Maturity(2) U.S. Treasury Futures - 2 year — (1,166,000) 1.97 60 to 89 days 18,689,773 2.62% U.S. Treasury Futures - 5 year — (6,359,400) 4.39 90 to 119 days 10,132,675 2.52% (3) U.S. Treasury Futures - 10 year & Greater — (11,152,600) 7.10 Over 120 days 16,299,932 2.96% Total $— $(18,678,000) 5.86 Total / Weighted Avg. $85,299,185 2.97% Weighted Average Rate Principal Balance At Period End(4) For the Quarter(4) Days to Maturity(5) Repurchase agreements $81,115,874 2.97% 2.43% 77 Other secured financing 4,183,311 3.04% 2.93% 812 Debt issued by securitization vehicles 3,336,881 3.62% 3.76% 3,833 Mortgages payable 516,834 4.11% 4.11% 4,734 Total indebtedness $89,152,900 Detailed endnotes are included within the Appendix at the end of this presentation. 17

Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Unaudited Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of December 31, 2018 and September 30, 2018 ▪ 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 December 31, 2018 As of September 30, 2018 Estimated Percentage Change in Estimated Change as a % Estimated Percentage Change in Estimated Change as a % Interest Rate Change (bps) Portfolio Value(2) of NAV(2)(3) Portfolio Value(2) of NAV(2)(3) (75) —% (0.1%) 0.5% 3.3% (50) 0.1% 0.9% 0.4% 3.0% (25) 0.1% 0.9% 0.3% 1.8% 25 (0.2%) (1.8%) (0.3%) (2.4%) 50 (0.6%) (4.3%) (0.7%) (5.3%) 75 (1.0%) (7.3%) (1.2%) (8.6%) MBS Spread Sensitivity (1) As of December 31, 2018 As of September 30, 2018 Estimated Change in Portfolio Estimated Change as a % Estimated Change in Portfolio Estimated Change as a % MBS Spread Shock (bps) Market Value (2) of NAV(2)(3) Market Value (2) of NAV(2)(3) (25) 1.5% 11.5% 1.6% 11.5% (15) 0.9% 6.9% 1.0% 6.9% (5) 0.3% 2.3% 0.3% 2.3% 5 (0.3%) (2.3%) (0.3%) (2.3%) 15 (0.9%) (6.8%) (0.9%) (6.8%) 25 (1.5%) (11.2%) (1.6%) (11.3%) Detailed endnotes are included within the Appendix at the end of this presentation. 18

Appendix

Non-GAAP Reconciliations Unaudited, dollars in thousands * 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 December 31, 2018, September 30, 2018, June 30, 2018, March 31, 2018 and December 31, 2017, is provided on page 8 of this financial summary. For the quarters ended, 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Premium Amortization Reconciliation Premium amortization expense $220,131 $187,537 $202,426 $95,832 $203,951 Less: PAA cost (benefit) 45,472 3,386 7,516 (118,395) 11,367 Premium amortization expense (excluding PAA) $174,659 $184,151 $194,910 $214,227 $192,584 Interest Income (excluding PAA) Reconciliation GAAP interest income $859,674 $816,596 $776,806 $879,487 $745,423 PAA cost (benefit) 45,472 3,386 7,516 (118,395) 11,367 Interest Income (excluding PAA) * $905,146 $819,982 $784,322 $761,092 $756,790 Economic Interest Expense Reconciliation GAAP interest expense $586,774 $500,973 $442,692 $367,421 $318,711 Add: Net interest component of interest rate swaps (65,889) (51,349) (31,475) 48,160 73,957 Economic interest expense * $520,885 $449,624 $411,217 $415,581 $392,668 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $905,146 $819,982 $784,322 $761,092 $756,790 Less: Economic interest expense * 520,885 449,624 411,217 415,581 392,668 Economic net interest income (excluding PAA) * $384,261 $370,358 $373,105 $345,511 $364,122 * Represents a non-GAAP financial measure. 20

Non-GAAP Reconciliations (cont'd) Unaudited, dollars in thousands For the quarters ended, 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 Economic Metrics (excluding PAA) Average interest earning assets $107,232,861 $101,704,957 $102,193,435 $101,979,042 $100,247,589 Interest income (excluding PAA) * $905,146 $819,982 $784,322 $761,092 $756,790 Average yield on interest earning assets (excluding PAA) * 3.38% 3.22% 3.07% 2.99% 3.02% Average interest bearing liabilities $91,746,160 $86,638,082 $87,103,807 $87,376,452 $85,992,215 Economic interest expense * 520,885 449,624 411,217 415,581 392,668 Average cost of interest bearing liabilities 2.22% 2.08% 1.89% 1.90% 1.83% Economic net interest income (excluding PAA)* $384,261 $370,358 $373,105 $345,511 $364,122 Net interest spread (excluding PAA) * 1.16% 1.14% 1.18% 1.09% 1.19% Interest income (excluding PAA) * $905,146 $819,982 $784,322 $761,092 $756,790 TBA dollar roll income and CMBX coupon income (1) 69,572 56,570 62,491 88,353 89,479 Interest expense (586,774) (500,973) (442,692) (367,421) (318,711) Net interest component of interest rate swaps 65,889 51,349 31,475 (48,160) (82,271) Subtotal $453,833 $426,928 $435,596 $433,864 $445,287 Average interest earning assets $107,232,861 $101,704,957 $102,193,435 $101,979,042 $100,247,589 Average TBA contract and CMBX balances (1) 14,788,453 12,216,863 9,407,819 12,050,341 17,509,691 Subtotal $122,021,314 $113,921,820 $111,601,254 $114,029,383 $117,757,280 Net interest margin (excluding PAA) * 1.49% 1.50% 1.56% 1.52% 1.51% * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 21

Endnotes Beginning with the quarter ended September 30, 2018, the Company updated its calculation of core Page 2 (continued) earnings and related metrics to reflect changes to its portfolio composition and operations, including the (7) Net interest margin represents the sum of the Company's interest income plus TBA dollar roll acquisition of MTGE in September 2018. Compared to prior periods, the revised definition of core income and CMBX coupon income less interest expense and the net interest component of interest earnings includes coupon income (expense) on CMBX positions (reported in Net gains (losses) on other rate swaps divided by the sum of average interest earning assets plus average TBA contract and derivatives) and excludes depreciation and amortization expense on real estate and related intangibles CMBX balances. Net interest margin (excluding PAA) excludes the premium amortization (reported in Other income (loss)), non-core income (loss) allocated to equity method investments adjustment (“PAA”) representing the cumulative impact on prior periods, but not the current period, (reported in Other income (loss)) and the income tax effect of non-core income (loss) (reported in Income of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s taxes). Prior period results have not been adjusted to conform to the revised calculation as the impact in Agency mortgage-backed securities. each of those periods is not material. (8) 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 The Company calculates “core earnings”, a non-GAAP measure, as the sum of (a) economic net interest on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding income, (b) TBA dollar roll income and CMBX coupon income, (c) realized amortization of MSRs, (d) PAA). other income (loss) (excluding depreciation and amortization expense on real estate and related (9) Average cost of interest bearing liabilities represents annualized economic interest expense divided intangibles, non-core income allocated to equity method investments and other non-core components of by average interest bearing liabilities. Average interest bearing liabilities reflects the average other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non- amortized cost during the period. Economic interest expense is comprised of GAAP interest expense recurring items) and (f) income taxes (excluding the income tax effect of non-core income (loss) items), and the net interest component of interest rate swaps. Prior to the quarter ended March 31, 2018, and core earnings (excluding PAA), which is defined as core earnings excluding the premium amortization this metric included the net interest component of interest rate swaps used to hedge cost of funds. adjustment representing the cumulative impact on prior periods, but not the current period, of quarter- Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency portfolio, this metric reflects the net interest component of all interest rate swaps. mortgage-backed securities. (10) Excludes costs incurred in connection with the MTGE transaction and costs incurred in connection with a securitization of residential whole loans for the quarters ended December 31, 2018 and Page 2 September 30, 2018. Excludes costs incurred in connection with a securitization of residential (1) Net of dividends on preferred stock. whole loans for the quarter ended March 31, 2018. (2) The Company separately calculates core earnings per average common share and core earnings (excluding PAA) per average common share, with the difference between these two per share Page 4 amounts attributed to the PAA cost (benefit) per average common share. As such, the reported value (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income of the PAA cost (benefit) per average common share may not reflect the result of dividing the PAA (loss) and accumulated deficit. cost (benefit) by the weighted average number of common shares outstanding due to rounding. (2) The current quarter rate utilizes an actual/360 factor, all other periods apply a 30/360 factor; applying (3) Book value per common share includes 10.6 million shares of the Company's common stock that an actual/360 factor results in an average repurchase agreement rate of 2.20% for the quarter ended were pending issuance to shareholders of MTGE at September 30, 2018 in connection with the September 30, 2018. Company's acquisition of MTGE and have since been issued. (3) The current quarter rate is net of reverse repurchase agreements. Without netting reverse repurchase (4) Debt consists of repurchase agreements, other secured financing, securitized debt and mortgages agreements, the average rate for the quarter was 2.43% and the period-end rate was 2.97%. payable. Certain credit facilities (included within other secured financing), securitized debt and (4) Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative mortgages payable are non-recourse to the Company. to repurchase agreements, other secured financing and to be announced (“TBA”) notional (5) Computed as the sum of recourse debt, TBA derivative and CMBX notional outstanding and net outstanding; excludes mortgage servicing rights ("MSRs") and the effects of term financing, both forward purchases (sales) of investments divided by total equity. Recourse debt consists of of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into repurchase agreements and other secured financing (excluding certain non-recourse credit consideration differences in duration between assets and liabilities. facilities). Securitized debt, certain credit facilities (included within other secured financing) and (5) Excludes forward starting swaps. Forward starting swaps represented $8.1 billion of the notional mortgages payable are non-recourse to the Company and are excluded from this measure. balance as of December 31, 2017; there were no forward starting swaps for any other period. (6) Computed as the ratio of total equity to total assets (inclusive of total market value of TBA derivatives and CMBX positions and exclusive of securitized debt of consolidated VIEs). 22

Endnotes (continued) Page 5 Page 8 (continued) (1) Includes GAAP interest expense and the net interest component of interest rate swaps. Prior to (5) TBA dollar roll income and CMBX coupon income each represent a component of Net gains the quarter ended March 31, 2018, this metric included the net interest component of interest rate (losses) on other derivatives. CMBX coupon income totaled $1.2 million for each of the quarters swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result ended December 31, 2018 and September 30, 2018. There were no adjustments for CMBX coupon of changes to the Company’s hedging portfolio, this metric reflects the net interest component of income prior to September 30, 2018. all interest rate swaps. (6) MSR amortization represents the portion of changes in fair value that is attributable to the realization (2) Net of dividends on preferred stock. The quarter ended December 31, 2017 excludes cumulative of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net and undeclared dividends of $8.3 million on the Company's Series F Preferred Stock as of unrealized gains (losses) on instruments measured at fair value. September 30, 2017. (3) The Company separately calculates core earnings per average common share and core earnings Page 9 (excluding PAA) per average common share, with the difference between these two per share (1) For book value purposes, the quarter ended December 31, 2017 includes $8.3 million of dividends amounts attributed to the PAA cost (benefit) per average common share. As such, the reported on the Company’s Series F Preferred stock, which were cumulative and undeclared as of September value of the PAA cost (benefit) per average common share may not reflect the result of dividing 30, 2017. the PAA cost (benefit) by the weighted average number of common shares outstanding due to rounding. Page 11 (1) Includes other income (loss), general and administrative expenses and income taxes. Page 6 (2) Includes other income (loss) (excluding non-core items), MSR amortization (a component of Net (1) The quarter ended December 31, 2017 includes $8.3 million of dividends on the Company's Series unrealized gains (losses) on instruments measured at fair value through earnings), general and F Preferred Stock, which were cumulative and undeclared as of September 30, 2017. administrative expenses (excluding transaction related expenses) and income taxes (excluding non- core income tax). Page 7 (1) Prior to the quarter ended March 31, 2018, this metric included the net interest component of interest Page 12 rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a (1) Includes Agency-backed multifamily securities with an estimated fair value of $1.8 billion. result of changes to the Company’s hedging portfolio, this metric reflects the net interest component (2) Includes fixed-rate collateralized mortgage obligations with an estimated fair value of $11.2 million. of all interest rate swaps. (3) Weighted by current face value. (4) Weighted by notional value. Page 8 (1) Includes depreciation and amortization expense related to equity method investments. Page 13 (2) Beginning with the quarter ended September 30, 2018, the Company excludes non-core (income) (1) Weighted by current notional value. loss allocated to equity method investments, which represents the unrealized (gains) losses allocated (2) Weighted by estimated fair value. to equity interests in a portfolio of MSR, which is a component of Other income (loss). The quarter ended December 31, 2018 also includes a gain on sale within an unconsolidated joint venture which Page 14 is a component of Other income (loss). (3) The quarter ended September 30, 2018 reflects the amount of consideration paid for the acquisition (1) Excludes residential mortgage loans. of MTGE Investment Corp. in excess of the fair value of net assets acquired. This amount is primarily attributable to a decline in portfolio valuation between the pricing and closing dates of the transaction and is consistent with changes in market values observed for similar assets over the same period. (4) Represents costs incurred in connection with the MTGE transaction and costs incurred in connection with a securitization of residential whole loans for the quarters ended December 31, 2018 and September 30, 2018. Represents costs incurred in connection with a securitization of residential whole loans for the quarter ended March 31, 2018. 23

Endnotes (continued) 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 commercial real estate debt and preferred equity, held for investment portfolio. (3) Economic Interest is a non-GAAP measure to include gross asset values less related financings. Equity investments do not reflect depreciation and amortization. (4) Includes investment in unconsolidated debt fund of $20.4 million and investment in Community Investment Impact Fund of $25.2 million. (5) Equity levered returns are calculated based on trailing twelve months cash-on-cash returns, updated on a one month lag. (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 17 (1) There were no forward-starting interest rate swaps at December 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) The weighted average rates on repurchase agreements are presented in the table on a gross basis; when netting for reverse repurchase agreements the weighted average rate is 2.96% at period end and 2.43% for the quarter. (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. Page 21 (1) CMBX coupon income and average CMBX balances have only been applied to the quarters ended December 31, 2018 and September 30, 2018. The impact to net interest margin (excluding PAA) in prior periods was immaterial. 24