EX-99.2 3 finsummf.htm EXHIBIT 99.2 finsummf
First Quarter 2020 Financial Summary April 29, 2020

 
Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly"), a publicly traded company that has elected to be taxed as a real estate investment trust for federal income tax purposes, and is being furnished in connection with Annaly’s First Quarter 2020 quarterly report. This presentation is provided for investors in Annaly for informational purposes only and is not an offer to sell, or a solicitation of an offer to buy, any security or instrument. Annaly is not a registered investment adviser. Annaly is managed by Annaly Management Company LLC ("AMCO"), a registered investment adviser. This presentation is not a communication by AMCO and is not designed to maintain any existing AMCO client or investor or solicit new AMCO clients or investors. Forward-Looking Statements This presentation, other written or oral communications, and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” or similar terms or variations on those terms or the negative of those terms. Such statements include those relating to our future performance, macro outlook, the interest rate and credit environments, tax reform, future opportunities and the anticipated Internalization. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, risks and uncertainties related to the COVID-19 pandemic, including as related to adverse economic conditions on real estate-related assets and financing conditions; changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities (“MBS”) and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our commercial real estate business; our ability to grow our residential credit business; our ability to grow our middle market lending business; credit risks related to our investments in credit risk transfer securities, residential mortgage-backed securities and related residential mortgage credit assets, commercial real estate assets and corporate debt; risks related to investments in mortgage servicing rights ("MSR"); our ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting our business; our ability to maintain our qualification as a REIT for U.S. federal income tax purposes; and our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended; and risks and uncertainties associated with the Internalization, including but not limited to the occurrence of any event, change or other circumstances that could give rise to the termination of the Internalization Agreement; the outcome of any legal proceedings that may be instituted against the parties to the Internalization Agreement; the inability to complete the Internalization due to the failure to satisfy closing conditions or otherwise; risks that the Internalization disrupts our current plans and operations; the impact, if any, of the announcement or pendency of the Internalization on our relationships with third parties; and the amount of the costs, fees, expenses charges related to the Internalization; and the risk that the expected benefits, including long-term cost savings, of the Internalization are not achieved. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law. We routinely post important information for investors on our website, www.annaly.com. We intend to use this webpage as a means of disclosing material information, for complying with our disclosure obligations under Regulation FD and to post and update investor presentations and similar materials on a regular basis. Annaly encourages investors, analysts, the media and others interested in Annaly to monitor the Investors section of our website, in addition to following our press releases, SEC filings, public conference calls, presentations, webcasts and other information we post from time to time on our website. To sign-up for email- notifications, please visit the “Email Alerts” section of our website, www.annaly.com, under the “Investors” section and enter the required information to enable notifications. The information contained on, or that may be accessed through, our webpage is not incorporated by reference into, and is not a part of, this document. Past performance is no guarantee of future results. There is no guarantee that any investment strategy referenced herein will work under all market conditions. Prior to making any investment decision, you should evaluate your ability to invest for the long-term, especially during periods of downturns in the market. You alone assume the responsibility of evaluating the merits and risks associated with any potential investment or investment strategy referenced herein. To the extent that this material contains reference to any past specific investment recommendations or strategies which were or would have been profitable to any person, it should not be assumed that recommendations made in the future will be profitable or will equal the performance of such past investment recommendations or strategies. The information contained herein is not intended to provide, and should not be relied upon for accounting, legal or tax advice or investment recommendations for Annaly or any of its affiliates. Regardless of source, information is believed to be reliable for purposes used herein, but Annaly makes no representation or warranty as to the accuracy or completeness thereof and does not take any responsibility for information obtained from sources outside of Annaly. Certain information contained in the presentation discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research or investment advice. Non-GAAP Financial Measures This presentation includes certain non-GAAP financial measures, including core earnings excluding the premium amortization adjustment (“PAA”). We believe the non-GAAP financial measures are useful for management, investors, analysts, and other interested parties in evaluating our performance but should not be viewed in isolation and are not a substitute for financial measures computed in accordance with U.S. generally accepted accounting principles (“GAAP”). In addition, we may calculate its non-GAAP metrics, such as core earnings (excluding PAA), or the PAA, differently than our peers making comparative analysis difficult. Please see the section entitled “Non-GAAP Reconciliations” in the attached Appendix for a reconciliation to the most directly comparable GAAP financial measures. 1

 
Financial Snapshot Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2020 12/31/2019 GAAP net income (loss) per average common share (1) ($2.57) $0.82 Core earnings (excluding PAA) per average common share *(1) $0.21 $0.26 Income Statement Annualized GAAP return (loss) on average equity (102.17%) 31.20% Annualized core return on average equity (excluding PAA)* 9.27% 10.56% Book value per common share $7.50 $9.66 Leverage at period-end (2) 6.4x 7.1x Balance Sheet Economic leverage at period-end *(3) 6.8x 7.2x Capital ratio at period-end (4) 12.3% 12.0% Securities $79,357,596 $114,833,580 Loans, net 4,068,189 4,462,350 Mortgage servicing rights 280,558 378,078 Portfolio Assets transferred or pledged to securitization vehicles 7,671,662 7,002,460 Real estate, net 751,738 725,638 Total residential and commercial investments $92,129,743 $127,402,106 Net interest margin (5) 0.18% 1.49% GAAP Average yield on interest earning assets (6) 1.91% 3.53% Key Statistics Average GAAP cost of interest bearing liabilities (7) 1.86% 2.17% Net interest spread 0.05% 1.36% Net interest margin (excluding PAA) *(5) 1.18% 1.41% Non-GAAP Average yield on interest earning assets (excluding PAA) *(6) 2.91% 3.25% Key Statistics Average economic cost of interest bearing liabilities *(7) 1.91% 2.01% Net interest spread (excluding PAA) * 1.00% 1.24% Operating expenses to core earnings (excluding PAA) *(8) 21.31% 17.04% Efficiency Annualized operating expenses as a % of average total assets (8) 0.25% 0.22% Annualized operating expenses as a % of average total equity (8) 1.98% 1.80% * 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 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Agency mortgage-backed securities $78,456,846 $112,893,367 $114,462,524 $118,202,040 $103,093,526 Credit risk transfer securities 222,871 531,322 474,765 491,969 607,945 Non-agency mortgage-backed securities 585,954 1,135,868 1,015,921 1,097,752 1,116,569 Commercial mortgage-backed securities 91,925 273,023 140,851 135,108 175,231 Total securities $79,357,596 $114,833,580 $116,094,061 $119,926,869 $104,993,271 Residential mortgage loans $1,268,083 $1,647,787 $1,219,402 $1,061,124 $1,311,720 Commercial real estate debt and preferred equity 649,843 669,713 611,429 623,705 722,962 Corporate debt 2,150,263 2,144,850 2,115,783 1,792,837 1,758,082 Loans held for sale — — — 68,802 86,560 Portfolio- Total loans, net $4,068,189 $4,462,350 $3,946,614 $3,546,468 $3,879,324 Related Mortgage servicing rights $280,558 $378,078 $386,051 $425,328 $500,745 Data Agency mortgage-backed securities transferred or pledged to securitization vehicles $1,803,608 $1,122,588 $— $— $— Residential mortgage loans transferred or pledged to securitization vehicles 3,027,188 2,598,374 2,376,731 2,106,981 1,425,668 Commercial real estate debt investments transferred or pledged to securitization vehicles 1,927,575 2,345,120 2,311,413 2,104,601 2,939,632 Commercial real estate debt and preferred equity transferred or pledged to securitization vehicles 913,291 936,378 — — — Assets transferred or pledged to securitization vehicles $7,671,662 $7,002,460 $4,688,144 $4,211,582 $4,365,300 Real estate, net $751,738 $725,638 $725,508 $733,196 $734,239 Total residential and commercial investments $92,129,743 $127,402,106 $125,840,378 $128,843,443 $114,472,879 Total assets $96,917,274 $130,295,081 $128,956,120 $131,800,776 $119,172,549 Average TBA contract and CMBX balances $9,965,142 $6,878,502 $9,248,502 $12,757,975 $14,927,490 % Fixed-rate 99% 97% 97% 96% 94% Residential % Adjustable-rate 1% 3% 3% 4% 6% Securities Weighted average experienced CPR for the period 13.6% 17.8% 14.6% 11.2% 7.3% Summary Portfolio Weighted average projected long-term CPR at period-end 17.7% 13.9% 16.3% 14.5% 11.6% Statistics Net premium and discount balance in Residential Securities $3,815,149 $5,185,797 $5,262,316 $5,625,788 $5,217,013 Net premium and discount balance as % of stockholders' equity 30.03% 32.84% 34.58% 35.83% 33.07% 3

 
Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Repurchase agreements $72,580,183 $101,740,728 $102,682,104 $105,181,241 $88,554,170 Other secured financing 1,805,428 4,455,700 4,466,030 4,127,989 4,144,623 Debt issued by securitization vehicles 6,364,949 5,622,801 3,856,082 3,470,168 3,693,766 Mortgages payable 484,762 485,005 485,657 498,772 510,386 Total debt $81,235,322 $112,304,234 $111,489,873 $113,278,170 $96,902,945 Financing Data Total liabilities $84,209,744 $114,498,737 $113,732,416 $116,093,369 $103,391,105 Cumulative redeemable preferred stock $1,982,026 $1,982,026 $1,982,026 $2,110,346 $1,778,168 Common equity(1) 10,721,399 13,809,991 13,237,270 13,592,335 13,998,049 Total Annaly stockholders' equity 12,703,425 15,792,017 15,219,296 15,702,681 15,776,217 Non-controlling interests 4,105 4,327 4,408 4,726 5,227 Total equity $12,707,530 $15,796,344 $15,223,704 $15,707,407 $15,781,444 Weighted average days to maturity of repurchase agreements 48 65 45 70 72 Weighted average rate on repurchase agreements, for the quarter(2)(3) 1.78% 2.09% 2.53% 2.66% 2.64% Weighted average rate on repurchase agreements, at period-end(3) 1.23% 2.03% 2.48% 2.69% 2.85% Leverage at period-end 6.4x 7.1x 7.3x 7.2x 6.1x Economic leverage at period-end * 6.8x 7.2x 7.7x 7.6x 7.0x Key Capital and Capital ratio at period-end 12.3% 12.0% 11.2% 11.4% 12.0% Hedging Metrics Book value per common share $7.50 $9.66 $9.21 $9.33 $9.67 Total common shares outstanding 1,430,424 1,430,106 1,437,964 1,456,263 1,448,103 Hedge ratio(4) 19% 75% 73% 74% 85% Weighted average pay rate on interest rate swaps, at period-end 1.63% 1.84% 1.88% 2.12% 2.20% Weighted average receive rate on interest rate swaps, at period-end 1.16% 1.89% 2.16% 2.46% 2.66% Weighted average net rate on interest rate swaps, at period-end 0.47% (0.05%) (0.28%) (0.34%) (0.46%) * Represents a non-GAAP financial measure. 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 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Total interest income $555,026 $1,074,214 $919,299 $927,598 $866,186 Total interest expense 503,473 620,058 766,905 750,217 647,695 Net interest income $51,553 $454,156 $152,394 $177,381 $218,491 Total economic interest expense *(1) $517,453 $574,837 $678,439 $666,564 $513,660 Economic net interest income * $37,573 $499,377 $240,860 $261,034 $352,526 Total interest income (excluding PAA) * $845,748 $990,322 $1,036,451 $1,067,361 $948,057 Summary Income Economic net interest income (excluding PAA) * $328,295 $415,485 $358,012 $400,797 $434,397 Statement GAAP net income (loss) ($3,640,189) $1,209,742 ($747,169) ($1,776,413) ($849,251) GAAP net income (loss) available (related) to common stockholders (2) ($3,675,764) $1,174,165 ($783,210) ($1,808,752) ($881,644) GAAP net income (loss) per average common share (2) ($2.57) $0.82 ($0.54) ($1.24) ($0.63) Core earnings (excluding PAA) * $330,218 $409,157 $341,931 $391,153 $433,155 Core earnings (excluding PAA) available to common stockholders *(2) $294,709 $373,648 $305,780 $358,731 $400,661 Core earnings (excluding PAA) per average common share *(2) $0.21 $0.26 $0.21 $0.25 $0.29 PAA cost (benefit) $290,722 ($83,892) $117,152 $139,763 $81,871 * 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 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Dividends declared per common share $0.25 $0.25 $0.25 $0.25 $0.30 Total common and preferred dividends declared (1) $393,328 $393,203 $396,187 $396,388 $467,121 Annualized GAAP return (loss) on average equity (102.17%) 31.20% (19.32%) (45.13%) (22.72%) Annualized GAAP return (loss) on average equity per unit of economic leverage (15.03%) 4.33% (2.51%) (5.94%) (3.25%) Key GAAP Earnings Metrics Net interest margin 0.18% 1.49% 0.48% 0.58% 0.79% Average yield on interest earning assets 1.91% 3.53% 2.89% 3.03% 3.15% Average GAAP cost of interest bearing liabilities 1.86% 2.17% 2.58% 2.71% 2.71% Net interest spread 0.05% 1.36% 0.31% 0.32% 0.44% Annualized core return on average equity (excluding PAA) * 9.27% 10.56% 8.85% 9.94% 11.59% Annualized core return on average equity per unit of economic leverage (excluding PAA) * 1.36% 1.47% 1.15% 1.31% 1.66% Net interest margin (excluding PAA) * 1.18% 1.41% 1.10% 1.28% 1.51% Key Non-GAAP Earnings Metrics Average yield on interest earning assets (excluding PAA) * 2.91% 3.25% 3.26% 3.48% 3.45% Average economic cost of interest bearing liabilities * 1.91% 2.01% 2.28% 2.41% 2.15% Net interest spread (excluding PAA) * 1.00% 1.24% 0.98% 1.07% 1.30% * 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 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Interest income: Residential Securities $410,380 $923,653 $784,228 $777,891 $709,774 Residential mortgage loans 47,557 47,377 37,673 35,025 29,991 Commercial investment portfolio 95,676 97,366 87,946 92,131 100,952 Reverse repurchase agreements 1,413 5,818 9,452 22,551 25,469 Total interest income $555,026 $1,074,214 $919,299 $927,598 $866,186 Economic interest expense: Economic Net Interest Income * Repurchase agreements $434,021 $550,283 $699,838 $683,647 $579,514 Net interest component of interest rate swaps 13,980 (45,221) (88,466) (83,653) (134,035) Debt issued by securitization vehicles 42,119 39,099 34,524 34,151 34,207 Other 27,333 30,676 32,543 32,419 33,974 Total economic interest expense * $517,453 $574,837 $678,439 $666,564 $513,660 Economic net interest income * $37,573 $499,377 $240,860 $261,034 $352,526 PAA cost (benefit) 290,722 (83,892) 117,152 139,763 81,871 Economic net interest income (excluding PAA) * $328,295 $415,485 $358,012 $400,797 $434,397 * Represents a non-GAAP financial measure. 7

 
GAAP Net Income to Core Earnings (excluding PAA)* Reconciliation Unaudited, dollars in thousands For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 GAAP net income (loss) ($3,640,189) $1,209,742 ($747,169) ($1,776,413) ($849,251) Net income (loss) attributable to noncontrolling interests 66 68 (110) (83) (101) Net income (loss) attributable to Annaly (3,640,255) 1,209,674 (747,059) (1,776,330) (849,150) Adjustments to exclude reported realized and unrealized (gains) losses: Realized (gains) losses on termination or maturity of interest rate swaps 397,561 4,615 682,602 167,491 588,256 Unrealized (gains) losses on interest rate swaps 2,827,723 (782,608) 326,309 1,276,019 390,556 Net (gains) losses on disposal of investments and other (206,583) (17,783) (66,522) 38,333 93,916 Net (gains) losses on other derivatives (206,426) 42,312 16,888 506,411 115,159 Net unrealized (gains) losses on instruments measured at fair value through earnings 730,160 5,636 1,091 4,881 (47,629) Loan loss provision (1) 99,993 7,362 3,504 — 5,703 Adjustments to exclude components of other (income) loss: Core Earnings Depreciation and amortization expense related to commercial real estate (2) 7,934 9,823 9,974 10,147 10,114 Reconciliation Non-core (income) loss allocated to equity method investments (3) 19,398 (3,979) 4,541 11,327 9,496 Adjustments to exclude components of general and administrative expenses and income taxes: Transaction expenses and non-recurring items (4) 7,245 3,634 2,622 3,046 9,982 Income tax effect of non-core income (loss) items (23,862) (418) (2,762) (3,507) 726 Adjustments to add back components of realized and unrealized (gains) losses: TBA dollar roll income and CMBX coupon income (5) 44,904 36,901 15,554 33,229 38,134 MSR amortization (6) (18,296) (22,120) (21,963) (19,657) (13,979) Plus: Premium amortization adjustment cost (benefit) 290,722 (83,892) 117,152 139,763 81,871 Core earnings (excluding PAA) * 330,218 409,157 341,931 391,153 433,155 Dividends on preferred stock (7) 35,509 35,509 36,151 32,422 32,494 Core earnings (excluding PAA) attributable to common stockholders * $294,709 $373,648 $305,780 $358,731 $400,661 * 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 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Book value per common share, beginning of period $9.66 $9.21 $9.33 $9.67 $9.39 Net income (loss) available (related) to common stockholders (2.57) 0.82 (0.54) (1.24) (0.63) Other comprehensive income (loss) attributable to common stockholders 0.69 (0.12) 0.66 1.15 1.19 Book Value Common dividends declared (0.25) (0.25) (0.25) (0.25) (0.30) Rollforward Issuance / buyback of common stock / redemption of preferred stock — — 0.01 — 0.02 Other adjustment (1) (0.03) — — — — Book value per common share, end of period $7.50 $9.66 $9.21 $9.33 $9.67 Prior quarter net interest margin 1.49% 0.48% 0.58% 0.79% 1.02% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (0.04%) 0.02% (0.02%) 0.03% 0.03% Net Interest Margin Net amortization of premiums (1.58%) 0.62% (0.12%) (0.15%) (0.09%) GAAP interest expense 0.31% 0.37% 0.04% (0.09%) (0.17%) Current quarter net interest margin 0.18% 1.49% 0.48% 0.58% 0.79% Prior quarter net interest spread 1.36% 0.31% 0.32% 0.44% 0.71% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (0.04%) 0.02% (0.02%) 0.03% 0.03% Net Interest Spread Net amortization of premiums (1.58%) 0.62% (0.12%) (0.15%) (0.09%) Average GAAP cost of interest bearing liabilities 0.31% 0.41% 0.13% 0.00% (0.21%) Current quarter net interest spread 0.05% 1.36% 0.31% 0.32% 0.44% Detailed endnotes are included within the Appendix at the end of this presentation. 9

 
Quarter-Over-Quarter Changes in Key Metrics (continued) Unaudited For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Prior quarter net interest margin (excluding PAA) * 1.41% 1.10% 1.28% 1.51% 1.49% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (including average TBA dollar roll and CMBX balances) (0.14%) 0.08% 0.09% 0.12% 0.04% Net Interest Margin (excluding PAA)* Net amortization of premiums (excluding PAA) (0.26%) (0.04%) (0.20%) (0.01%) 0.03% TBA dollar roll income and CMBX coupon income 0.03% 0.07% (0.05%) (0.02%) (0.11%) Interest expense and net interest component of interest rate swaps 0.14% 0.20% (0.02%) (0.32%) 0.06% Current quarter net interest margin (excluding PAA) * 1.18% 1.41% 1.10% 1.28% 1.51% Prior quarter net interest spread (excluding PAA) * 1.24% 0.98% 1.07% 1.30% 1.16% Quarter-over-quarter changes in contribution: Net Interest Spread Coupon on average interest earning assets (0.04%) 0.02% (0.02%) 0.03% 0.03% * (excluding PAA) Net amortization of premiums, excluding PAA (0.30%) (0.03%) (0.20%) 0.00% 0.04% Average economic cost of interest bearing liabilities 0.10% 0.27% 0.13% (0.26%) 0.07% Current quarter net interest spread (excluding PAA) * 1.00% 1.24% 0.98% 1.07% 1.30% * Represents a non-GAAP financial measure. 10

 
Quarter-Over-Quarter Changes in Annualized Return on Average Equity Unaudited For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Prior quarter annualized GAAP return (loss) on average equity 31.20% (19.32%) (45.13%) (22.72%) (62.05%) Quarter-over-quarter changes in contribution: Coupon income 0.88% (1.36%) 1.67% 2.00% 0.16% Net amortization of premiums and accretion of discounts (13.00%) 5.29% (1.46%) (1.61%) (0.64%) Interest expense and net interest component of interest rate swaps 0.30% 2.72% (0.61%) (3.19%) 0.59% Annualized GAAP Return (Loss) on Realized gains (losses) on termination or maturity of interest rate swaps (11.04%) 17.54% (13.40%) 11.48% (15.74%) Average Equity Unrealized gains (losses) on interest rate swaps (99.56%) 28.62% 23.98% (21.97%) 25.70% Realized and unrealized gains (losses) on investments and other derivatives (8.12%) (2.04%) 15.22% (9.64%) 30.10% Loan loss provision (2.60%) (0.10%) (0.09%) 0.15% (0.06%) Other(1) (0.23%) (0.15%) 0.50% 0.37% (0.78%) Current quarter annualized GAAP return (loss) on average equity (102.17%) 31.20% (19.32%) (45.13%) (22.72%) Prior quarter annualized core return on average equity (excluding PAA) * 10.56% 8.85% 9.94% 11.59% 11.48% Quarter-over-quarter changes in contribution: Coupon income 0.88% (1.36%) 1.67% 2.00% 0.16% Annualized Core Return on Average Net amortization of premiums (excluding PAA) (2.68%) 0.09% (1.98%) (0.25%) 0.30% Equity (excluding Interest expense and net interest component of interest rate swaps 0.30% 2.72% (0.61%) (3.19%) 0.59% PAA)* TBA dollar roll income and CMBX coupon income 0.31% 0.56% (0.44%) (0.18%) (0.89%) Other(2) (0.10%) (0.30%) 0.27% (0.03%) (0.05%) Current quarter core return on annualized average equity (excluding PAA) * 9.27% 10.56% 8.85% 9.94% 11.59% * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 11

 
Residential Investments & TBA Derivative Overview as of March 31, 2020 Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % (3) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value <=15 years (1) $3,493,793 4.8% 3.46% 101.8% 111.2% 12.5% $3,886,709 20 years 2,237,713 3.1% 3.58% 103.7% 107.5% 12.2% 2,406,080 >=30 years (2) 67,021,576 92.1% 3.98% 104.5% 108.6% 13.6% 72,748,540 Total/Weighted Avg. $72,753,082 100.0% 3.94% 104.4% 108.7% 13.5% $79,041,329 TBA Contracts Weighted Avg. Implied Cost Implied Market Type Notional Value % (4) Coupon Basis Value 15-year $1,000,000 7.9% 2.25% $1,035,156 $1,031,250 30-year 11,581,000 92.1% 2.73% 11,916,041 12,084,507 Total/Weighted Avg. $12,581,000 100.0% 2.69% $12,951,197 $13,115,757 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 $506,896 76.4% 3.84% 102.1% 103.8% 27.2% $526,059 25 - 40 months 25,616 3.9% 2.46% 99.1% 102.7% 29.0% 26,299 41 - 60 months 26,655 4.0% 2.62% 99.2% 103.0% 16.1% 27,467 61 - 90 months 104,309 15.7% 2.97% 101.3% 105.1% 18.7% 109,664 Total/Weighted Avg. $663,476 100.0% 3.60% 101.7% 103.9% 25.5% $689,489 Detailed endnotes are included within the Appendix at the end of this presentation. 12

 
Residential Investments & TBA Derivative Overview as of March 31, 2020 (continued) Unaudited, dollars in thousands Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated  Type Value % (1)  Coupon Amortized Cost Fair Value 3-Month CPR Fair Value Interest-only $1,388,375 38.6% 3.39% 14.4% 8.8% 12.5% $121,755 Inverse interest-only 2,204,658 61.4% 5.25% 22.0% 18.5% 13.7% 407,881 Total/Weighted Avg. $3,593,033 100.0% 4.53% 19.0% 14.7% 13.2% $529,636 Mortgage Servicing Rights Unpaid Excess Weighted Avg. Principal Weighted Avg. Servicing Loan Age Estimated Type Balance Coupon Spread (months) Fair Value Total/Weighted Avg. $34,569,873 3.82% 0.24% 48 $280,558 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 $470,229 4.4% 5.28% 98.8% 47.4% $222,871 Alt-A 108,312 1.5% 4.14% 80.8% 70.4% 76,260 Prime 230,056 4.1% 4.46% 95.1% 90.7% 208,636 Prime Interest-only 332,185 0.1% 0.46% 1.0% 0.7% 2,273 Subprime 160,887 2.5% 2.14% 84.4% 80.2% 129,043 NPL/RPL 132,603 2.0% 4.18% 100.0% 80.0% 106,083 Prime Jumbo 65,787 1.1% 4.08% 93.6% 89.2% 58,665 Prime Jumbo Interest-only 512,838 0.1% 0.38% 1.7% 1.0% 4,994 Residential Mortgage Loans 4,372,834 84.2% 4.89% 101.6% 98.2% 4,295,271 Total/Weighted Avg. $6,385,731 100.0% 4.78% $5,104,096 Detailed endnotes are included within the Appendix at the end of this presentation. 13

 
(1) Residential Credit Investments Detail as of March 31, 2020 Unaudited, dollars in thousands Payment Structure Investment Characteristics Estimated Credit Product Fair Value Senior Subordinate Coupon Enhancement 60+ Delinquencies 3M VPR Agency Credit Risk Transfer $207,849 $— $207,849 5.22% 0.58% 0.47% 19.72% Private Label Credit Risk Transfer 15,022 — 15,022 6.64% —% 0.25% 13.84% Alt-A 76,260 22,183 54,077 4.14% 8.17% 9.66% 16.92% Prime 208,636 71,312 137,324 4.46% 8.79% 3.63% 18.36% Prime Interest-only 2,273 2,273 — 0.46% —% 0.29% 41.23% Subprime 129,043 58,726 70,317 2.14% 9.79% 15.55% 6.06% Re-Performing Loan Securitizations 106,083 — 106,083 4.18% 23.25% 12.09% 6.48% Prime Jumbo 58,665 25,529 33,136 4.08% 5.84% 0.21% 32.71% Prime Jumbo Interest-only 4,994 4,994 — 0.38% —% 0.38% 22.04% Total (2) $808,825 $185,017 $623,808 4.39% 7.03% 5.32% 16.06% Bond Coupon Estimated Fair Product Value ARM Fixed Floater Interest Only Agency Credit Risk Transfer $207,849 $— $— $207,849 $— Private Label Credit Risk Transfer 15,022 — — 15,022 — Alt-A 76,260 24,791 36,343 15,126 — Prime 208,636 27,869 156,754 24,013 — Prime Interest-only 2,273 — — — 2,273 Subprime 129,043 — 4,272 124,512 259 Re-Performing Loan Securitizations 106,083 — 106,083 — — Prime Jumbo 58,665 — 58,665 — — Prime Jumbo Interest-only 4,994 — — — 4,994 Total $808,825 $52,660 $362,117 $386,522 $7,526 Detailed endnotes are included within the Appendix at the end of this presentation. 14

 
Commercial Real Estate Overview as of March 31, 2020 Unaudited, dollars in thousands GAAP Non-GAAP Number of Weighted Avg Weighted Avg Economic Levered Investment Portfolio Investments Book Values % of Portfolio LTV (1) Life (years) (2) Interest (3) Return (4) Loans Senior Mortgages 17 $519,387 12.1% 73.1% 3.6 $202,206 8.1% Mezzanine Loans 12 130,456 3.0% 72.9% 2.8 76,842 8.9% Total Loans 29 649,843 15.1% 73.0% 3.5 279,048 8.3% Securities CMBS (AAA) 2 50,121 1.1% 25.2% 0.3 5,997 16.2% CMBS (Credit) 4 34,152 0.8% 57.9% 5.6 10,826 14.2% CMBS (Conduit) 1 7,652 0.2% 51.6% 9.0 1,146 14.0% Total Securities 7 91,925 2.1% 39.5% 3.0 17,969 15.0% Assets transferred or pledged to securitization vehicles NLY 2019-FL2 25 830,810 19.1% 74.3% 3.3 143,429 13.9% NLY 2019 - OAKS 1 82,481 1.9% 77.9% 4.8 15,307 20.2% Commercial Trusts 64 1,927,575 44.5% 44.1% 1.6 75,386 16.3% Total Assets transferred or pledged to securitization vehicles 90 $2,840,866 65.5% 54.0% 2.2 $234,122 15.1% Total Debt Investments 126 $3,582,634 82.7% 57.0% 2.4 $531,139 11.5% Equity Investments Real Estate Held for Investment 47 647,919 14.9% 278,574 11.4% Investment in Unconsolidated Joint Ventures (5) 32 103,819 2.4% 155,931 9.4% Total Equity Investments 79 751,738 17.3% 434,505 10.7% Total Investment Portfolio 205 $4,334,372 100.0% $965,644 11.2% Range of Implied Net Weighted Derivatives Net Notional Ratings Market Value Average Coupon CMBX (6) $525,000 AAA to BBB- $463,534 1.2% Detailed endnotes are included within the Appendix at the end of this presentation. 15

 
Middle Market Lending Overview as of March 31, 2020 Industry Dispersion Unaudited, dollars in thousands Industry Fixed Rate Floating Rate Total Size Dispersion Computer Programming, Data Processing & Other Computer Related Services — 391,559 391,559 Management and Public Relations Services — 288,586 288,586 Position Size Amount Percentage Chemicals & Chemical Preparations — 145,446 145,446 $0 - $20 million $230,687 10.7% Miscellaneous Business Services — 122,275 122,275 $20 - $40 million 477,522 22.2% Public Warehousing and Storage — 119,577 119,577 $40 - $60 million 381,139 17.7% Engineering, Architectural, and Surveying — 113,496 113,496 Greater than $60 million 1,060,915 49.3% Metal Cans & Shipping Containers — 108,266 108,266 Total $2,150,263 100.0% Offices and Clinics of Doctors of Medicine — 104,919 104,919 Surgical, Medical, and Dental Instruments and Supplies — 100,791 100,791 Tenor Dispersion Insurance Agents, Brokers and Services — 74,013 74,013 Telephone Communications — 57,508 57,508 Remaining Term Amount Percentage Miscellaneous Health and Allied Services, not elsewhere classified — 50,327 50,327 One year or less $539 —% Miscellaneous Equipment Rental and Leasing — 49,423 49,423 One to three years 180,305 8.4% Electric Work — 44,442 44,442 Three to five years 840,591 39.1% Medical and Dental Laboratories — 35,465 35,465 Greater than five years 1,128,828 52.5% Nonferrous Foundries (Castings) — 31,903 31,903 Total $2,150,263 100.0% Research, Development and Testing Services — 29,796 29,796 Coating, Engraving and Allied Services — 29,323 29,323 Lien Position Amount  Percentage Home Health Care Services — 28,537 28,537 First lien loans $1,496,887 69.6% Motor Vehicles and Motor Vehicle Parts and Supplies — 28,464 28,464 Second lien loans 653,376 30.4% Legal Services — 28,079 28,079 Total $2,150,263 100.0% Petroleum and Petroleum Products — 24,834 24,834 Electronic Components & Accessories — 23,266 23,266 Grocery Stores — 22,987 22,987 Schools and Educational Services, not elsewhere classified — 19,376 19,376 Drugs — 15,881 15,881 Chemicals & Allied Products — 14,868 14,868 Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,528 14,528 Transportation Equipment & Supplies (Except Motor Vehicles) — 12,468 12,468 Offices and Clinics of Other Health Practitioners — 10,110 10,110 Miscellaneous Plastic Products — 9,750 9,750 Total $— $2,150,263 $2,150,263 16

 
Hedging and Liabilities as of March 31, 2020 Unaudited, dollars in thousands Interest Rate Swaps Weighted Current Weighted Avg. Weighted Avg. Avg. Maturity Notional (1) Pay Rate Receive Rate Years to Maturity(2) 0 to 3 years $1,459,400 1.41% 1.03% 2.98 >3 to 6 years 1,310,400 1.47% 0.93% 2.97 > 6 to 10 years 7,949,500 1.91% 1.56% 8.73 Greater than 10 years 2,249,000 3.42% 1.21% 17.54 Total / Weighted Avg. $12,968,300 1.63% 1.16% 9.03 Interest Rate Swaptions Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Underlying Underlying Underlying Underlying Months to Type Notional Fixed Rate Floating Rate Years to Maturity Expiration Long Pay $3,675,000 2.54% 3M LIBOR 9.40 2.41 Long Receive $750,000 1.50% 3M LIBOR 10.42 4.88 Repurchase Agreements & Other Secured Financing Principal Weighted Avg. Rate Maturity Balance At Period End Within 30 days $40,494,245 0.90% 30 to 59 days 12,055,306 1.58% 60 to 89 days 11,062,283 1.61% 90 to 119 days 2,291,460 1.80% Over 120 days(3) 8,482,317 1.91% Total / Weighted Avg. $74,385,611 1.26% Weighted Average Rate Principal Balance At Period End For the Quarter Days to Maturity(4) Repurchase agreements $72,580,183 1.23% 1.77% 48 Other secured financing 1,805,428 2.56% 2.46% 970 Debt issued by securitization vehicles 6,675,989 2.65% 2.83% 7,527 Mortgages payable 489,820 4.05% 4.10% 4,502 Total indebtedness $81,551,420 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 March 31, 2020 and December 31, 2019 ▪ 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, 2020 As of December 31, 2019 Estimated Percentage Change in Estimated Change as a % of Estimated Percentage Change in Estimated Change as a % of Interest Rate Change (bps) Portfolio Value(2) NAV(2)(3) Portfolio Value(2) NAV(2)(3) (75) 0.1% 0.9% 0.1% 1.0% (50) 0.3% 1.9% 0.1% 1.0% (25) 0.3% 1.8% 0.1% 0.8% 25 (0.2%) (1.7%) (0.2%) (1.7%) 50 (0.5%) (4.0%) (0.5%) (4.5%) 75 (1.0%) (6.9%) (1.0%) (8.1%) MBS Spread Sensitivity (1) As of March 31, 2020 As of December 31, 2019 Estimated Change in Portfolio Estimated Change as a % of Estimated Change in Portfolio Estimated Change as a % of MBS Spread Shock (bps) Market Value (2) NAV(2)(3) Market Value (2) NAV(2)(3) (25) 1.3% 9.1% 1.2% 10.5% (15) 0.8% 5.5% 0.7% 6.2% (5) 0.2% 1.8% 0.2% 2.1% 5 (0.2%) (1.8%) (0.2%) (2.1%) 15 (0.7%) (5.4%) (0.7%) (6.2%) 25 (1.2%) (9.0%) (1.2%) (10.2%) Detailed endnotes are included within the Appendix at the end of this presentation. 18

 
Appendix

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

 
Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Premium Amortization Reconciliation Premium amortization expense $616,937 $171,447 $376,306 $318,587 $247,446 Less: PAA cost (benefit) 290,722 (83,892) 117,152 139,763 81,871 Premium amortization expense (excluding PAA) $326,215 $255,339 $259,154 $178,824 $165,575 Interest Income (excluding PAA) Reconciliation GAAP interest income $555,026 $1,074,214 $919,299 $927,598 $866,186 PAA cost (benefit) 290,722 (83,892) 117,152 139,763 81,871 Interest income (excluding PAA) * $845,748 $990,322 $1,036,451 $1,067,361 $948,057 Economic Interest Expense Reconciliation GAAP interest expense $503,473 $620,058 $766,905 $750,217 $647,695 Add: Net interest component of interest rate swaps 13,980 (45,221) (88,466) (83,653) (134,035) Economic interest expense * $517,453 $574,837 $678,439 $666,564 $513,660 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $845,748 $990,322 $1,036,451 $1,067,361 $948,057 Less: Economic interest expense * 517,453 574,837 678,439 666,564 513,660 Economic net interest income (excluding PAA) * $328,295 $415,485 $358,012 $400,797 $434,397 * Represents a non-GAAP financial measure. 21

 
Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Economic Metrics (excluding PAA) Average interest earning assets $116,063,895 $121,801,951 $127,207,668 $122,601,881 $109,946,527 Interest income (excluding PAA) * $845,748 $990,322 $1,036,451 $1,067,361 $948,057 Average yield on interest earning assets (excluding PAA) * 2.91% 3.25% 3.26% 3.48% 3.45% Average interest bearing liabilities $107,029,466 $111,873,379 $116,391,094 $109,628,007 $95,529,819 Economic interest expense * 517,453 574,837 678,439 666,564 513,660 Average economic cost of interest bearing liabilities * 1.91% 2.01% 2.28% 2.41% 2.15% Economic net interest income (excluding PAA)* $328,295 $415,485 $358,012 $400,797 $434,397 Net interest spread (excluding PAA) * 1.00% 1.24% 0.98% 1.07% 1.30% Interest income (excluding PAA) * $845,748 $990,322 $1,036,451 $1,067,361 $948,057 TBA dollar roll income and CMBX coupon income 44,904 36,901 15,554 33,229 38,134 Interest expense (503,473) (620,058) (766,905) (750,217) (647,695) Net interest component of interest rate swaps (13,980) 45,221 88,466 83,653 134,035 Subtotal $373,199 $452,386 $373,566 $434,026 $472,531 Average interest earning assets $116,063,895 $121,801,951 $127,207,668 $122,601,881 $109,946,527 Average TBA contract and CMBX balances 9,965,142 6,878,502 9,248,502 12,757,975 14,927,490 Subtotal $126,029,037 $128,680,453 $136,456,170 $135,359,856 $124,874,017 Net interest margin (excluding PAA) * 1.18% 1.41% 1.10% 1.28% 1.51% * Represents a non-GAAP financial measure. 22

 
Endnotes Page 2 Page 4 (continued) (1) Net of dividends on preferred stock. (4) Measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver (2) Debt consists of repurchase agreements, other secured financing, securitized debt and mortgages swaptions) and futures relative to repurchase agreements, other secured financing and cost basis payable. Certain credit facilities (included within other secured financing), securitized debt and of TBA derivatives outstanding; excludes MSRs and the effects of term financing, both of which mortgages payable are non-recourse to the Company. serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration (3) Computed as the sum of recourse debt, cost basis of to be announced ("TBA") derivatives and credit differences in duration between assets and liabilities. derivatives referencing the commercial mortgage-backed securities index ("CMBX") outstanding and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of Page 5 repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). (1) Includes GAAP interest expense and the net interest component of interest rate swaps. Securitized debt, certain credit facilities (included within other secured financing) and mortgages (2) Net of dividends on preferred stock. The quarter ended September 30, 2019 excludes, and the payable are non-recourse to the Company and are excluded from this measure. quarter ended June 30, 2019 includes, cumulative and undeclared dividends of $0.3 million on (4) Computed as the ratio of total equity to total assets (inclusive of total market value of TBA derivatives the Company's Series I Preferred Stock as of June 30, 2019. and CMBX positions and exclusive of securitized debt of consolidated variable interest entities ("VIEs")). Page 6 (5) Net interest margin represents interest income less interest expense divided by average interest earning (1) Includes dividend equivalents on share-based awards. assets. Net interest margin (excluding PAA) represents the sum of the Company's interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and Page 8 the net interest component of interest rate swaps divided by the sum of average interest earning assets (1) Includes $0.7 million loss provision on the Company’s unfunded loan commitments as of March plus average TBA contract and CMBX balances. 31, 2020 which is reported in Other income (loss) in the Company’s Consolidated Statement of (6) Average yield on interest earning assets represents annualized interest income divided by average Comprehensive Income (Loss). interest earning assets. Average interest earning assets reflects the average amortized cost of our (2) Amount includes depreciation and amortization expense related to equity method investments. investments during the period. Average yield on interest earning assets (excluding PAA) is calculated (3) The Company excludes non-core (income) loss allocated to equity method investments, which using annualized interest income (excluding PAA). represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which (7) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by is a component of Other income (loss). average interest bearing liabilities. Average interest bearing liabilities reflects the average balances (4) The quarter ended March 31, 2020 includes costs incurred in connection with securitizations of during the period. Average economic cost of interest bearing liabilities represents annualized Agency mortgage-backed securities and residential whole loans as well as costs incurred in economic interest expense divided by average interest bearing liabilities. Economic interest expense connection with the expected Internalization and costs incurred in connection with the CEO is comprised of  GAAP interest expense and the net interest component of interest rate swaps. transition. The quarter ended December 31, 2019 includes costs incurred in connection with (8) Excludes costs incurred in connection with securitizations of Agency mortgage-backed securities securitizations of Agency mortgage-backed securities and residential whole loans. The quarters and residential whole loans as well as costs incurred in connection with the expected Internalization ended September 30, 2019 and June 30, 2019 include costs incurred in connection with and costs incurred in connection with the CEO transition for the quarter ended March 31, 2020 and securitizations of residential whole loans. The quarter ended March 31, 2019 includes costs incurred excludes costs incurred in connection with securitizations of Agency mortgage-backed securities and in connection with a securitization of commercial loans and a securitization of residential whole residential whole loans for the quarter ended December 31, 2019. loans. (5) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) Page 4 on other derivatives. CMBX coupon income totaled $1.2 million, $1.3 million, $1.5 million, $0.8 (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income million and $1.1 million for the quarters ended March 31, 2020, December 31, 2019, September (loss) and accumulated deficit. 30, 2019, June 30, 2019 and March 31, 2019. (2) Utilizes an actual/360 factor. (6) MSR amortization represents the portion of changes in fair value that is attributable to the realization (3) The average and period-end rates are net of reverse repurchase agreements. Without netting reverse of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net repurchase agreements, the average rate was 1.77%, 2.10%, 2.53%, 2.65% and 2.64% and the period- unrealized gains (losses) on instruments measured at fair value. end rate was 1.23%, 2.03%, 2.48%, 2.69% and 2.86% for the quarters ended March 31, 2020, (7) The quarter ended September 30, 2019 excludes, and the quarter ended June 30, 2019 includes, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019, respectively. cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019. 23

 
Endnotes (continued) Page 9 Page 15 (1) Represents the opening adjustment to retained earnings upon adoption of Accounting Standards (1) Based on an internal valuation or the most recent third party appraisal, which may be prior to loan Update 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses origination/purchase date or at the time of underwriting. on financial instruments, commonly referred to as CECL. (2) Maturity dates assume all of the borrowers' extension options are exercised for the loan portfolio. (3) Economic interest is a non-GAAP measure to include gross asset values less related financings. Equity Page 11 investments are adjusted to exclude depreciation and amortization and grosses up real estate investments (1) Includes other income (loss), general and administrative expenses and income taxes. accounted for under equity method accounting. (4) Levered returns for equity investments comprise a trailing twelve-month (“TTM”) distribution yield (2) Includes other income (loss) (excluding non-core items), MSR amortization (a component of Net for joint venture investments and core return for wholly owned properties. unrealized gains (losses) on instruments measured at fair value through earnings), general and (5) Includes investment in unconsolidated debt fund of $43.7 million, investments in Community administrative expenses (excluding transaction related expenses) and income taxes (excluding Investment Impact Funds of $26.6 million and a portfolio of real estate properties of $33.5 million. non-core income tax). (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 Page 12 the underlying CMBS. CMBX positions are accounted for as derivatives with changes in fair value (1) Includes Agency-backed multifamily securities with an estimated fair value of $2.3 billion ($1.8 presented in Net gains (losses) on other derivatives. billion of which have been transferred or pledged to securitization vehicles). (2) Includes fixed-rate collateralized mortgage obligations with an estimated fair value of $160.6 Page 17 million and Agency-backed multifamily securities with an estimated fair value of $876.9 million. (1) Current notional is presented net of receiver swaps. (3) Weighted by current face value. (2) The weighted average years to maturity of payer interest rate swaps is offset by the weighted average (4) Weighted by current notional value. years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. Page 13 (3) Approximately 1% of the total repurchase agreements and other secured financing have a remaining (1) Weighted by current notional value. maturity over one year. (2) Weighted by estimated fair value. (4) Determined based on estimated weighted average lives of the underlying debt instruments. Page 14 Page 18 (1) Excludes residential mortgage loans. (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction (2) Total investment characteristics exclude interest-only securities. 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. 24