Second Quarter 2017Financial Summary  August 2, 2017 

 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 and other securities for purchase; the availability of financing and, if available, the terms of any financings; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our commercial business; our ability to grow our residential mortgage credit 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 and ownership of a servicer; our ability to consummate any contemplated investment opportunities; changes in government regulations affecting our business; our ability to maintain our qualification as a REIT for U.S. federal income tax purposes; and our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.Past performance is no guarantee of future results. There is no guarantee that any investment strategy referenced herein will work under all market conditions. Prior to making any investment decision, you should evaluate your ability to invest for the long-term, especially during periods of downturns in the market. You alone assume the responsibility of evaluating the merits and risks associated with any potential investment or investment strategy referenced herein. To the extent that this material contains reference to any past specific investment recommendations or strategies which were or would have been profitable to any person, it should not be assumed that recommendations made in the future will be profitable or will equal the performance of such past investment recommendations or strategies. Non-GAAP Financial MeasuresThis presentation includes certain non-GAAP financial measures, including core earnings metrics, which are presented both inclusive and exclusive of the premium amortization adjustment (PAA). The Company believes its non-GAAP financial measures are useful for management, investors, analysts, and other interested parties in evaluating the Company’s performance but should not be viewed in isolation and are not a substitute for financial measures computed in accordance with GAAP. In addition, the Company may calculate its non-GAAP metrics, which include core earnings and the PAA, differently than its 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.    Safe Harbor Notice  1 

 Unaudited, dollars in thousands except per share amounts  Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. Core earnings (excluding PAA) per average share, core earnings per average common share, annualized core return on average equity (excluding PAA), net interest margin (excluding PAA), average yield on interest earning assets (excluding PAA) and net interest spread (excluding PAA) represent non-GAAP measures.  This presentation also includes additional non-GAAP measures, including interest income (excluding PAA), economic interest expense and economic net interest income (excluding PAA).  See the section titled “Non-GAAP Reconciliations” in the Appendix for a reconciliation of non-GAAP financial measures to the most directly comparable GAAP financial measures. A reconciliation of GAAP net income (loss) to non-GAAP core earnings and non-GAAP core earnings (excluding PAA) is provided on page 8 of this financial summary.   Q2 2017 Financial Snapshot  2        For the quarters ended          June 30,  March 31,        2017  2017  Income Statement        GAAP net income per average common share (1)    ($0.01)  $0.41   Core earnings (excluding PAA) per average common share (1)(2)    $0.30   $0.31   Core earnings per average common share (1)(2)    $0.23   $0.29   PAA cost (benefit) per average common share    0.07    0.02   Annualized return on average equity    0.46%   13.97%   Annualized core return on average equity (excluding PAA)    10.54%   10.66%   Balance Sheet        Book value per common share    $11.19   $11.23   Leverage at period-end (3)    5.6x   5.6x   Economic leverage at period-end (4)    6.4x   6.1x   Capital ratio at period-end (5)    13.2%  13.8%  Portfolio        Agency mortgage-backed securities    $73,963,998   $72,708,490   Mortgage servicing rights    605,653   632,166   Residential credit portfolio (6)    2,619,564   2,778,452   Commercial real estate investments (7)    5,375,251   5,550,464   Corporate debt    773,957   841,265   Total residential and commercial investments    $83,338,423   $82,510,837   Net interest margin (8)     1.23%   1.47%   Net interest margin (excluding PAA) (8)    1.53%   1.55%   Average yield on interest earning assets (9)    2.58%   2.74%   Average yield on interest earning assets (excluding PAA) (9)    2.93%   2.83%   Net interest spread    0.84%   1.15%   Net interest spread (excluding PAA)    1.19%   1.24%   Other Information          Annualized operating expenses as a % of average assets    0.25%  0.25%  Annualized operating expenses as a % of average equity    1.71%  1.71% 

   Unaudited, dollars in thousands  Last Five Quarters Summary Data  Includes consolidated variable interest entities (“VIEs”) and loans held for sale.  3        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Portfolio-Related Data:              Agency mortgage-backed securities    $73,963,998   $72,708,490   $75,589,873   $73,476,105   $64,862,992   Mortgage servicing rights    605,653   632,166   652,216    492,169    -   Residential credit portfolio    2,619,564   2,778,452   2,468,318   2,439,704   1,717,870   Commercial real estate investments (1)    5,375,251   5,550,464   5,881,236   6,033,576   6,168,723   Corporate debt    773,957   841,265   773,274   716,831   669,612   Total residential and commercial investments    $83,338,423   $82,510,837   $85,364,917   $83,158,385   $73,419,197   Total assets    $84,976,578   $84,658,957   $87,905,046   $86,909,306   $77,716,470   Average TBA position    $14,206,869   $10,655,785   $14,613,149   $17,280,237   $14,592,236   Residential Investment Securities:                      % Fixed-rate  86%   85%   83%   81%   92%      % Adjustable-rate  14%   15%   17%   19%   8%      Weighted average experienced CPR for the period  10.9%   11.5%   15.6%   15.9%   12.7%      Weighted average projected long-term CPR at period end  10.6%   10.0%   10.1%   14.4%   13.0%      Net premium and discount balance in Residential Investment Securities  $5,164,105   $5,149,099   $5,318,376   $4,920,750   $4,626,548      Net premium and discount balance as % of stockholders' equity  40.98%   40.74%   42.32%   37.13%   40.05%  

 Consists of common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit.Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements, other secured financing and to be announced (“TBA”) notional outstanding.Excludes forward starting swaps; weighted average fixed rate on forward starting receive fixed swaps was 1.38% as of June 30, 2016. There were no forward starting swaps as of June 30, 2017, March 31, 2017, December 31, 2016, or September 30, 2016.  Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  4        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Liabilities, Capital and Hedging Data:              Repurchase agreements    $62,497,400   $62,719,087   $65,215,810   $61,784,121   $53,868,385   Other secured financing    3,785,543   3,876,150   3,884,708   3,804,742   3,588,326   Securitized debt of consolidated VIEs    3,438,675   3,477,059   3,655,802   3,712,821   3,748,289   Participation sold    0   12,760   12,869   12,976   13,079   Mortgages payable    311,810   311,707   311,636   327,632   327,643   Total debt    $70,033,428   $70,396,763   $73,080,825   $69,642,292   $61,545,722   Total liabilities    $72,367,153   $72,011,608   $75,329,074   $73,647,503   $66,154,597   Cumulative redeemable preferred stock    $1,200,559   $1,200,559   $1,200,559   $1,200,559   $913,059   Common equity(1)    11,401,955   11,439,467   11,367,621   12,053,103   10,640,156   Total Annaly stockholders' equity    12,602,514   12,640,026   12,568,180   13,253,662   11,553,215   Non-controlling interests    6,911   7,323   7,792   8,141   8,658   Total equity    $12,609,425   $12,647,349   $12,575,972   $13,261,803   $11,561,873   Weighted average days to maturity of repurchase agreements    88   88   96   128   129   Weighted average rate on repurchase agreements, at period-end    1.38%   1.15%   1.07%   1.07%   1.02%   Weighted average rate on repurchase agreements, for the quarter    1.25%   1.07%   1.01%   0.97%   1.00%   Leverage at period-end    5.6x   5.6x   5.8x   5.3x   5.3x   Economic leverage at period-end    6.4x   6.1x   6.4x   6.1x   6.1x   Capital ratio at period-end    13.2%   13.8%   13.1%   13.3%   13.2%   Book value per common share    $11.19   $11.23   $11.16   $11.83   $11.50   Total common shares outstanding    1,019,028   1,018,971   1,018,913   1,018,858   924,930   Hedge ratio(2)    67%   63%   56%   52%   49%   Weighted average pay rate on interest rate swaps(3)    2.26%   2.25%   2.22%   2.25%   2.28%   Weighted average receive rate on interest rate swaps(3)    1.28%   1.15%   1.02%   0.88%   0.74%   Weighted average net rate on interest rate swaps    0.98%   1.10%   1.20%   1.37%   1.54%  

 Includes interest expense on interest rate swaps used to hedge cost of funds. Excludes interest expense on interest rate swaps used to hedge TBA dollar roll transactions.Net of dividends on preferred stock.  Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  5        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Performance-Related Data:              Total interest income    $537,426   $587,727   $807,022   $558,668   $457,118   Total interest expense    222,281   198,425   183,396   174,154   152,755   Net interest income    $315,145   $389,302   $623,626   $384,514   $304,363   Total economic interest expense (1)    $306,533   $287,391   $276,237   $277,254   $261,056   Economic net interest income (1)    $230,893   $300,336   $530,785   $281,414   $196,062   Total interest income (excluding PAA)    $610,126   $605,597   $568,081   $562,559   $542,701   Economic net interest income (excluding PAA) (1)    $303,593   $318,206   $291,844   $285,305   $281,645   GAAP net income (loss)    $14,522   $440,408   $1,848,483   $730,880   ($278,497)  GAAP net income (loss) available (related) to common shareholders (2)    ($8,849)  $417,038   $1,825,097   $708,413   ($296,104)  GAAP net income (loss) per average common share (2)    ($0.01)  $0.41   $1.79   $0.70   ($0.32)  Core earnings (excluding PAA)    $332,601   $335,898   $326,999   $312,893   $282,176   Core earnings (excluding PAA) available to common shareholders (2)    $309,128   $312,425   $303,526   $290,090   $264,184   Core earnings (excluding PAA) per average common share (2)    $0.30   $0.31   $0.30   $0.29   $0.29   Core earnings    $259,901   $318,028   $565,940   $309,002   $196,593   Core earnings available to common shareholders (2)    $236,428   $294,555   $542,467   $286,199   $178,601   Core earnings per average common share (2)    $0.23   $0.29   $0.53   $0.29   $0.19   PAA cost (benefit)    $72,700   $17,870   ($238,941)  $3,891   $85,583   PAA cost (benefit) per average common share    $0.07   $0.02   ($0.23)  $0.00   $0.10  

 Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  6        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Performance-Related Data (continued):                   Dividends declared per common share    $0.30   $0.30   $0.30   $0.30   $0.30   Total common and preferred dividends declared    $329,182   $329,164   $329,147   $325,091   $295,471   Annualized return (loss) on average equity    0.46%   13.97%   57.23%   23.55%   (9.60%)  Annualized return (loss) on average equity per unit of economic leverage    0.07%   2.29%   8.94%   3.86%   (1.57%)  Annualized core return on average equity (excluding PAA)    10.54%   10.66%   10.13%   10.09%   9.73%   Annualized core return on average equity per unit of economic leverage (excluding PAA)    1.65%   1.75%   1.58%   1.65%   1.60%   Net interest margin    1.23%   1.47%   2.49%   1.40%   1.15%   Net interest margin (excluding PAA)    1.53%   1.55%   1.53%   1.42%   1.54%   Average yield on interest earning assets    2.58%   2.74%   3.81%   2.70%   2.48%   Average yield on interest earning assets (excluding PAA)    2.93%   2.83%   2.68%   2.72%   2.95%   Average cost of interest bearing liabilities (1)    1.74%   1.59%   1.53%   1.57%   1.68%   Net interest spread    0.84%   1.15%   2.28%   1.13%   0.80%   Net interest spread (excluding PAA)    1.19%   1.24%   1.15%   1.15%   1.27%                 Includes interest expense on interest rate swaps used to hedge cost of funds. 

 Included within realized losses on interest rate swaps. Excludes interest expense on interest rate swaps used to hedge TBA dollar roll transactions.  Unaudited, dollars in thousands  Components of Economic Net Interest Income  7        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Interest income:                 Residential Investment Securities  $459,308   $515,910   $740,664   $493,226   $394,850      Residential mortgage loans  7,417   3,864   2,539    1,608    -      Commercial investment portfolio  68,153   64,345   61,431   61,240   59,578      Reverse repurchase agreements  2,548   3,608   2,388   2,594   2,690      Total interest income  $537,426   $587,727   $807,022   $558,668   $457,118   Economic interest expense:                      Repurchase agreements  $197,151   $173,090   $162,676   $154,083   $136,176      Interest expense on swaps used to hedge cost of funds(1)  84,252   88,966   92,841   103,100   108,301      Securitized debt of consolidated VIEs  11,977   14,850   12,087   12,046   11,226      Participation sold  42   153   155   157   157      Other  13,111   10,332   8,478   7,868   5,196      Total economic interest expense  $306,533   $287,391   $276,237   $277,254   $261,056   Economic net interest income    $230,893   $300,336   $530,785   $281,414   $196,062      PAA cost (benefit)  72,700   17,870   (238,941)  3,891   85,583   Economic net interest income (excluding PAA)    $303,593   $318,206   $291,844   $285,305   $281,645                

 Represents transaction costs incurred in connection with the Hatteras Acquisition.Represents a component of Net gains (losses) on trading assets.Represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net unrealized gains (losses) on investments measured at fair value.  Unaudited, dollars in thousands  GAAP Net Income to Core Earnings Reconciliation  8        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Core earnings reconciliation                   GAAP net income (loss)    $14,522   $440,408   $1,848,483   $730,880   ($278,497)  Less:                      Realized (gains) losses on termination of interest rate swaps   58    -   55,214   (1,337)   60,064      Unrealized (gains) losses on interest rate swaps  177,567   (149,184)  (1,430,668)  (256,462)  373,220      Net (gains) losses on disposal of investments  5,516   (5,235)  (7,782)  (14,447)  (12,535)     Net (gains) losses on trading assets  14,423   (319)  139,470   (162,981)  (81,880)     Net unrealized (gains) losses on investments measured at fair value through earnings  (16,240)  (23,683)  (110,742)  (29,675)  54,154      Bargain purchase gain   -    -    -    (72,576)   -      Corporate acquisition related expenses(1)   -    -    -   46,724    2,163      Net (income) loss attributable to noncontrolling interest  102   103   87   336   385   Plus:                      TBA dollar roll income(2)  81,051   69,968   98,896   90,174   79,519      MSR amortization(3)  (17,098)  (14,030)  (27,018)   (21,634)   -   Core earnings    259,901   318,028   565,940   309,002   196,593   Less:                   PAA cost (benefit)    72,700   17,870   (238,941)  3,891   85,583   Core earnings (excluding PAA)    $332,601   $335,898   $326,999   $312,893   $282,176                       

 Unaudited  Changes in Key Metrics  9        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Book value, per common share rollforward:                   Book value, per common share, beginning of period    $11.23   $11.16   $11.83   $11.50   $11.61      Net income (loss) attributable to common stockholders  (0.01)  0.41   1.79   0.70   (0.32)     Other comprehensive income (loss) attributable to common stockholders  0.27   (0.04)  (2.16)  0.00   0.51      Common dividends declared  (0.30)  (0.30)  (0.30)  (0.30)  (0.30)     Issuance of common stock  0.00   0.00   0.00   (0.07)  0.00   Book value, per common share, end of period    $11.19   $11.23   $11.16   $11.83   $11.50                        Changes in net interest margin                   Prior quarter net interest margin    1.47%  2.49%  1.40%  1.15%  0.79%  Quarter-over-quarter changes in contribution:                      Coupon on average interest-earning assets (including average TBA dollar roll balances)  (0.05%)  0.11%  0.08%  (0.18%)  (0.05%)     Net amortization of premiums  (0.18%)  (0.92%)  0.93%  0.34%  0.39%     Interest expense and realized gain (loss) on interest rate swaps  (0.05%)  (0.10%)  0.04%  0.09%  0.03%     TBA dollar roll income  0.04%  (0.11%)  0.04%  0.00%  (0.01%)  Current quarter net interest margin    1.23%   1.47%   2.49%   1.40%   1.15%                 Changes in net interest margin (excluding PAA)                   Prior quarter net interest margin (excluding PAA)    1.55%  1.53%  1.42%  1.54%  1.54%  Quarter-over-quarter changes in contribution:                      Coupon on average interest-earning assets (including average TBA dollar roll balances)  (0.05%)  0.11%  0.08%  (0.18%)  (0.06%)     Net amortization of premiums, excluding PAA  0.04%  0.12%  (0.05%)  (0.03%)  0.03%     Interest expense and related realized gain (loss) on interest rate swaps  (0.05%)  (0.10%)  0.04%  0.09%  0.04%     TBA dollar roll income  0.04%  (0.11%)  0.04%  0.00%  (0.01%)  Current quarter net interest margin (excluding PAA)    1.53%   1.55%   1.53%   1.42%   1.54%                                            

 Includes interest expense on interest rate swaps used to hedge cost of funds.  Unaudited  Changes in Key Metrics (cont’d)  10        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Changes in net interest spread                   Prior quarter net interest spread    1.15%  2.28%  1.13%  0.80%  0.36%  Quarter-over-quarter changes in contribution:                      Coupon on average interest earning assets  0.09%  (0.03%)  (0.01%)  (0.19%)  (0.09%)     Net amortization of premiums  (0.25%)  (1.04%)  1.12%  0.41%  0.48%     Average cost of interest bearing liabilities(1)  (0.15%)  (0.06%)  0.04%  0.11%  0.05%  Current quarter net interest spread    0.84%   1.15%   2.28%   1.13%   0.80%                               Changes in net interest spread (excluding PAA)                   Prior quarter net interest spread (excluding PAA)    1.24%  1.15%  1.15%  1.27%  1.27%  Quarter-over-quarter changes in contribution:                      Coupon on average interest earning assets  0.09%  (0.03%)  (0.01%)  (0.19%)  (0.09%)     Net amortization of premiums, excluding PAA  0.01%  0.18%  (0.03%)  (0.04%)  0.04%     Average cost of interest bearing liabilities(1)  (0.15%)  (0.06%)  0.04%  0.11%  0.05%  Current quarter net interest spread (excluding PAA)    1.19%   1.24%   1.15%   1.15%   1.27%                

 Includes other income (loss), general and administrative expenses and income taxes.Includes other income (loss), mortgage servicing rights (“MSR”) amortization (a component of Net unrealized gains (losses) on financial instruments measured at fair value through earnings), general and administrative expenses (excluding corporate acquisition related expenses) and income taxes.  Unaudited  Changes in Key Metrics (cont’d)  11        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Changes in GAAP return on average equity                   Prior quarter GAAP return on average equity    13.97%  57.23%  23.55%  (9.60%)  (29.47%)  Quarter-over-quarter changes in contribution:                      Coupon income  (0.14%)  0.68%  (0.46%)  0.02%  (0.37%)     Net amortization of premiums and accretion of discounts  (1.48%)  (7.02%)  7.44%  2.24%  2.94%     Interest expense and realized gain (loss) on interest rate swaps  (0.50%)  (0.70%)  0.73%  0.14%  0.24%     Realized (gains) losses on termination of interest rate swaps  0.00%  1.71%  (1.75%)  2.11%  (2.07%)     Unrealized (gains) / losses on interest rate swaps  (10.36%)  (39.57%)  36.03%  21.12%  22.17%     Realized and unrealized (gains) / losses on investments and trading assets  (1.04%)  1.58%  (7.32%)  5.29%  (2.81%)     Bargain purchase gain  0.00%  0.00%  (2.34%)  2.34%  0.00%     Other(1)  0.01%  0.06%  1.35%  (0.11%)  (0.23%)  Current quarter GAAP return on average equity    0.46%   13.97%   57.23%   23.55%   (9.60%)                Changes in core return on average equity (excluding PAA)                   Prior quarter core return on average equity (excluding PAA)    10.66%  10.13%  10.09%  9.73%  9.91%  Quarter-over-quarter changes in contribution:                      Coupon income  (0.14%)  0.68%  (0.46%)  0.02%  (0.37%)     Net amortization of premiums (excluding PAA)  0.26%  0.93%  (0.08%)  (0.59%)  0.18%     Economic interest expense and other swaps expense  (0.50%)  (0.70%)  0.73%  0.14%  0.24%     TBA dollar roll income  0.35%  (0.84%)  0.16%  0.17%  (0.08%)     Other(2)  (0.09%)  0.46%  (0.31%)  0.62%  (0.15%)  Current quarter core return on average equity (excluding PAA)    10.54%  10.66%  10.13%  10.09%  9.73%               

 Weighted by face value.Weighted by notional value.  Unaudited, dollars in thousands  Residential Investments and TBA Derivative Overview as of June 30, 2017  12  Agency Fixed-Rate Securities (Pools)                Weighted Avg.  Current     Weighted Avg.  Weighted Avg.  Weighted Avg.  Weighted Avg.  Estimated  Years to Maturity  Face Value  % (1)  Coupon  Amortized Cost  Fair Value  3-Month CPR  Fair Value  <=15 years  $6,359,327   10.3%  3.14%  103.7%  103.2%  9.6%  $6,563,119   20 years  4,909,672   8.0%  3.49%  104.6%  104.3%  10.5%  5,119,458   >=30 years  50,358,013   81.7%  3.80%  106.4%  104.8%  9.0%  52,789,210   Total/Weighted Avg.  $61,627,012   100.0%  3.70%  106.0%  104.6%  9.2%  $64,471,787                                            TBA Purchase Contracts                         Weighted Avg.  Implied Cost        Implied Market  Type  Notional Value  % (2)  Coupon  Basis        Value  15-year  $2,287,000   17.3%  2.87%  $2,345,593         $2,333,869   30-year  10,964,000   82.7%  3.90%  11,506,343         11,470,105   Total/Weighted Avg.  $13,251,000   100.0%  3.72%  $13,851,936         $13,803,974                                                   Agency Adjustable-Rate Securities                Weighted Avg.  Current     Weighted Avg.  Weighted Avg.  Weighted Avg.  Weighted Avg.  Estimated  Months to Reset  Face Value  % (1)  Coupon  Amortized Cost  Fair Value  3-Month CPR  Fair Value  0 - 24 months  $4,816,378   59.5%  2.97%  104.1%  104.1%  27.1%  $5,011,543   25 - 40 months  1,964,789   24.3%  2.43%  103.2%  102.5%  20.5%  2,013,229   41 - 60 months  290,440   3.6%  3.03%  103.9%  102.8%  19.6%  298,621   61 - 90 months  550,030   6.8%  3.03%  103.5%  102.6%  13.5%  564,394   >90 months  471,265   5.8%  2.97%  102.6%  102.1%  9.4%  481,091   Total/Weighted Avg.  $8,092,902   100.0%  2.85%  103.8%  103.4%  23.3%  $8,368,878                          

 Weighted by notional value.Weighted by fair value.  Unaudited, dollars in thousands  Residential Investments and TBA Derivative Overview as of June 30, 2017 (cont’d)  13  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  $3,583,442   50.8%  3.31%  13.6%  11.9%  9.7%  $425,525   Inverse Interest-Only  3,468,434   49.2%  4.91%  23.6%  20.1%  11.8%  697,808   Total/Weighted Avg.  $7,051,876   100.0%  4.10%  18.5%  15.9%  10.7%  $1,123,333                                                   Mortgage Servicing Rights                   Unpaid      Excess  Weighted Avg.        Principal    Weighted Avg.  Servicing  Loan Age    Estimated  Type  Balance     Coupon  Spread  (months)     Fair Value  Total/Weighted Avg.  $52,708,840      3.83%  0.24%  15.5      $605,653                                                   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  $550,302   23.1%  5.40%  101.7%  110.1%     $605,826   Alt-A  215,364   7.4%  4.40%  84.6%  89.8%     193,481   Prime  198,358   7.2%  4.59%  86.9%  95.2%     188,852   Subprime  630,337   22.7%  2.49%  87.4%  94.3%     594,627   NPL/RPL  128,766   4.9%  4.07%  100.1%  100.7%     129,620   Prime Jumbo  110,465   4.3%  3.50%  100.6%  101.8%     112,496   Prime Jumbo Interest-Only  793,031   0.6%  0.38%  1.6%  1.9%     14,977   Residential Mortgage Loans  763,850   29.8%  4.35%  101.9%  102.1%     779,685   Total/Weighted Avg.  $3,390,473   100.0%  3.24%           $2,619,564                          

 Excludes Residential Mortgage Loans.  Unaudited, dollars in thousands  Residential Credit Investments Detail as of June 30, 2017  (1)  14  By Sector Product             Product   Market Value  Coupon  Credit Enhancement  60+ Delinquencies  3M VPR   Alt-A   $193,481   4.40%  11.11%  11.47%  14.30%   Prime    188,852   4.59%  0.99%  10.65%  17.64%   Subprime    594,627   2.49%  22.19%  19.05%  7.23%   Prime Jumbo (>=2010 Vintage)    112,496   3.50%  17.53%  0.21%  8.33%   Prime Jumbo (>=2010 Vintage) Interest Only    14,977   0.38%  0.00%  0.07%  10.97%   Re-Performing Loan Securitizations    53,851   3.98%  46.82%  26.19%  6.06%   Agency Credit Risk Transfer    559,841   5.27%  1.25%  0.22%  10.50%   Private Label Credit Risk Transfer    45,985   6.95%  7.76%  2.57%  12.80%   Non-Performing Loan Securitizations    75,769   4.14%  55.34%  70.61%  6.02%   Total   $1,839,879   2.90%  9.36%  8.99%  10.44%              Market Value By Sector and Payment Structure             Product   Senior     Subordinate     Total   Alt-A   $112,398      $81,083      $193,481    Prime    27,723      161,129      188,852    Subprime    288,697       305,930       594,627    Prime Jumbo (>=2010 Vintage)    112,496      -      112,496    Prime Jumbo (>=2010 Vintage) Interest Only    14,977       -       14,977    Re-Performing Loan Securitizations    53,851      -      53,851    Agency Credit Risk Transfer    -       559,841       559,841    Private Label Credit Risk Transfer    -       45,985       45,985    Non-Performing Loan Securitizations    75,769       -       75,769    Total   $685,911      $1,153,968      $1,839,879               Market Value By Sector and Bond Coupon             Product   ARM  Fixed  Floater   Interest Only   Total   Alt-A   $52,767   $112,842   $27,872    $ -   $193,481    Prime    84,864    103,988    -    -    188,852    Subprime    -    82,523    512,104    -    594,627    Prime Jumbo (>=2010 Vintage)    -    112,496    -    -    112,496    Prime Jumbo (>=2010 Vintage) Interest Only    -    -    -    14,977    14,977    Re-Performing Loan Securitizations    -    53,851    -    -    53,851    Agency Credit Risk Transfer    -    -    559,841    -    559,841    Private Label Credit Risk Transfer    -    -    45,985    -    45,985    Non-Performing Loan Securitizations    -    75,769    -    -    75,769    Total   $137,631   $541,469   $1,145,802   $14,977   $1,839,879              

 Unaudited, dollars in thousands  Book values net of unamortized net origination fees.Total weighted based on book value.Based on an internal valuation or the most recent third party appraisal, which may be prior to loan origination/purchase date, and on an "as is" basis at the time of underwriting.Maturity dates assume all of the borrowers' extension options are exercised.Levered Return – Debt Investments, Securitized Whole Loans and commercial mortgage-backed securities (“CMBS”) at Fair Value: represents the current coupon plus fees amortized over initial loan term, less any related financing costs.Equity levered returns are calculated based on trailing twelve months cash-on-cash returns, updated quarterly.Includes investment in unconsolidated debt fund of $17.8 million.  Commercial Real Estate Overview as of June 30, 2017    15        GAAP            Non-GAAP                            Debt Held for Invesment     Number of Loans  Book Values (1)  % of Respective Portfolio  Weighted Avg LTV (2) (3)  Weighted Avg Maturity (years) (4)    Economic Interest     Levered Return(5)  First Mortgages     12   $ 526,535   56.7%  69.6%  3.43      $ 177,633      9.8%  Mezzanine Loan Investments     22   392,670   42.3%  70.2%  3.66      350,227      9.7%  Preferred Equity Investments     1   8,976   1.0%  95.6%  1.67      9,000      11.2%  Total Debt Investments      35   $ 928,181   100.0%  70.1%  3.51      $ 536,860      9.8%                                   Securitized Whole Loans at Fair Value and CMBS    Number of Loans  Fair Value  % of Respective Portfolio  Weighted Avg LTV   Weighted Avg Maturity (years)     Economic Interest     Levered Return(5)  Securitized Whole Loans at Fair Value     79   $ 3,664,092   92.3%  77.5%  5.60      $ 265,144      9.5%  AAA CMBS     11   $ 267,552   6.7%  29.5%  1.82      44,021      9.8%  Credit CMBS     2   $ 40,916   1.0%  69.5%  9.84      12,969      13.0%  Total Securitized Whole Loans at Fair Value and CMBS    92   $ 3,972,560   100.0%  74.2%  5.38      $ 322,134      9.7%                                   Total Debt & Securitized Whole Loans at Fair Value and CMBS    127   $ 4,900,741      73.4%  5.03      $ 858,994      9.8%                                   Equity Investments     Number of Investments  Book Value  % of Respective Portfolio        Economic Interest     Levered Return(6)  Real Estate Held for Investment     26   $ 400,787   84.5%            $ 147,454      10.6%  Investment in Unconsolidated Joint Ventures(7)    14   73,723   15.5%            84,376      9.1%  Total Equity Investments     40   $ 474,510   100.0%            $ 231,830      10.0%                                   Total          $ 5,375,251                $ 1,090,824      9.8% 

 Unaudited, dollars in thousands    Middle Market Lending Overview as of June 30, 2017    16  Industry Dispersion        Industry  Fixed Rate  Floating Rate  Total  Aircraft and Parts   $ -    $ 34,892    $ 34,892   Commercial Fishing   -    38,828    38,828   Computer Programming, Data Processing & Other Computer Related Services   -    132,323    132,323   Drugs   -    33,642    33,642   Groceries and Related Products   -    14,838    14,838   Grocery Stores   -    23,618    23,618   Home Health Care Services   -    24,033    24,033   Insurance Agents, Brokers and services   4,414    72,973    77,387   Management and Public Relations Services   -    94,481    94,481   Medical and Dental Laboratories   -    26,039    26,039   Miscellaneous Business Services   -    19,797    19,797   Miscellaneous Equipment Rental and Leasing   -    19,630    19,630   Miscellaneous Health and Allied Services, not elsewhere classified   -    25,241    25,241   Miscellaneous Nonmetallic Minerals, except Fuels   -    24,674    24,674   Miscellaneous Plastic Products   -    9,914    9,914   Motor Vehicles and Motor Vehicle Parts and Supplies   -    12,259    12,259   Offices and Clinics of Doctors of Medicine   -    48,274    48,274   Offices and Clinics of Health Practitioners, not elsewhere classified   -    7,444    7,444   Public Warehousing and Storage   -    37,121    37,121   Research, Development and Testing Services   -    17,717    17,717   Schools and Educational Services, not elsewhere classified   -    20,890    20,890   Surgical, Medical, and Dental Instruments and Supplies   -    13,041    13,041   Telephone Communications   -    17,874    17,874   Total   $ 4,414    $ 769,543    $ 773,957               Size Dispersion        Position Size     Amount  Percentage   $0 - $20 million       $ 164,543   21.3%   $20 - $40 million       394,280   50.9%   $40 - $60 million       141,644   18.3%   Greater than $60 million       73,490   9.5%   Total       $ 773,957   100.0%              Tenor Dispersion        Remaining Term     Amount  Percentage   One year or less       $ -   0.0%   One to three years       -   0.0%   Three to five years       330,471   42.7%   Greater than five years       443,486   57.3%   Total       $ 773,957   100.0%              Lien Position     Amount     First lien loans      $ 496,953   64.2%  Second lien loans      272,590   35.2%  Subordinated notes      4,414   0.6%  Total      $ 773,957   100.0%             

 Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 10% of the total repurchase agreements and other secured financing have a remaining maturity over one year. Determined based on estimated weighted-average lives of the underlying debt instruments.  Unaudited, dollars in thousands  Hedging and Liabilities as of June 30, 2017  17     Principal  Weighted Average Rate          Balance  At Period End  For the Quarter  Days to Maturity (3)  Repurchase agreements  $62,497,400   1.38%  1.25%  88   Other secured financing  3,785,543   1.43%  1.36%  1,286   Securitized debt of consolidated VIEs  3,365,834   1.78%  1.39%  2,262   Mortgages payable  314,829   4.24%  4.33%  2,752   Total indebtedness  $69,963,606            Interest Rate Swaps                Current  Weighted Avg.  Weighted Avg.  Weighted Avg.  Maturity     Notional  Pay Rate  Receive Rate  Years to Maturity  0 to <3 years    $4,642,000   1.43%  1.34%  2.51   >=3 to <6 years    11,476,000   2.16%  1.22%  4.05   >= 6 to <10 years    8,558,650   2.43%  1.32%  7.56   Greater than 10 years    3,926,400   3.62%  1.20%  18.75   Total / Weighted Avg.     $28,603,050   2.26%  1.28%  6.58               Futures Positions                  Notional  Notional  Weighted Avg.        Long  Short  Years to  Type        Positions  Positions  Maturity(1)  2-year Swap Equivalent Eurodollar Contracts      -  (16,363,250)  2.00   U.S. Treasury Futures - 5 year       -  (3,437,200)  4.42   U.S. Treasury Futures - 10 year & Greater      -  (3,275,000)  7.08   Total       -  ($23,075,450)  3.08               Interest Rate Swaptions              Current  Weighted-Avg.  Weighted-Avg.  Weighted Avg.  Weighted Avg.    Underlying  Underlying  Underlying  Underlying  Months to  Type  Notional  Pay Rate  Receive Rate  Years to Maturity  Expiration  Long  $2,000,000  2.56%  3M LIBOR  9.42   8.00               Repurchase Agreements & Other Secured Financing                      Weighted Avg.        Principal    Rate  Maturity       Balance     At Period End  Within 30 days       $26,631,848      1.40%  30 to 59 days      8,123,046     1.33%  60 to 89 days       9,276,299      1.33%  90 to 119 days      3,100,967     1.20%  Over 120 days(2)       19,150,783      1.44%  Total / Weighted Avg.       $66,282,943      1.39%             

 Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates.Scenarios include Residential Investment Securities, residential mortgage loans, MSRs and derivative instruments.Net asset value (“NAV”) represents book value of common equity.  Unaudited  Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity   Assumptions:The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of June 30, 2017 and March 31, 2017.The interest rate sensitivity reflects instantaneous parallel shifts in rates.The MBS spread sensitivity shifts mortgage-backed securities spreads instantaneously and reflects exposure to mortgage-backed securities basis risk.All tables assume no active management of the portfolio in response to rate or spread changes.  18  Interest Rate Sensitivity (1)                    As of June 30, 2017       As of March 31, 2017    Interest Rate Change (bps)     Estimated Percentage Change in Portfolio Value(2)  Estimated Change as a % of NAV(2)(3)     Estimated Percentage Change in Portfolio Value(2)  Estimated Change as a % of NAV(2)(3)  (75)    0.3%  2.0%    0.6%  3.9%  (50)     0.4%  2.4%     0.5%  3.6%  (25)    0.3%  1.7%    0.3%  2.3%  25     (0.4%)  (2.6%)     (0.5%)  (3.0%)  50    (0.9%)  (6.0%)    (1.0%)  (6.7%)  75     (1.5%)  (9.9%)     (1.6%)  (10.8%)                MBS Spread Sensitivity (1)                    As of June 30, 2017       As of March 31, 2017    MBS Spread Shock (bps)     Estimated Change in Portfolio Market Value (2)  Estimated Change as a % of NAV(2)(3)     Estimated Change in Portfolio Market Value (2)  Estimated Change as a % of NAV(2)(3)  (25)    1.6%  10.4%    1.5%  10.0%  (15)     0.9%  6.2%     0.9%  6.0%  (5)    0.3%  2.1%    0.3%  2.0%  5     (0.3%)  (2.1%)     (0.3%)  (2.0%)  15    (0.9%)  (6.1%)    (0.9%)  (5.9%)  25     (1.5%)  (10.2%)     (1.5%)  (9.8%) 

 Appendix 

   Endnotes for Page 2  Net of dividends on preferred stock.Core earnings is defined as net income (loss) excluding gains or losses on disposals of investments and termination of interest rate swaps, unrealized gains or losses on interest rate swaps and investments measured at fair value through earnings, net gains and losses on trading assets, impairment losses, net income (loss) attributable to noncontrolling interest, corporate acquisition related expenses and certain other non-recurring gains or losses, and inclusive of TBA dollar roll income (a component of Net gains (losses) on trading assets) and realized amortization of MSRs (a component of net unrealized gains (losses) on investments measured at fair value through earnings). Core earnings (excluding PAA) excludes the premium amortization adjustment (“PAA”) representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities. Debt consists of repurchase agreements, other secured financing, securitized debt, participation sold and mortgages payable. Securitized debt, participation sold and mortgages payable are non-recourse to the Company. Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing. Securitized debt, participation sold and mortgages payable are non-recourse to the Company and are excluded from this measure.The ratio of total equity to total assets (inclusive of total market value of TBA derivatives and exclusive of consolidated VIEs associated with B Piece commercial mortgage-backed securities).Comprised of non-Agency mortgage-backed securities, credit risk transfer securities and residential mortgage loans.Includes consolidated VIEs and loans held for sale.Represents the sum of the Company’s annualized economic net interest income (inclusive of interest expense on interest rate swaps used to hedge cost of funds) plus TBA dollar roll income (less interest expense on swaps used to hedge TBA dollar roll transactions) divided by the sum of its average interest-earning assets plus average outstanding TBA derivative balances.Represents annualized interest income divided by average interest earning assets. Interest earning assets reflects the average amortized cost of our investments during the period. Annualized yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).  20 

 To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles (“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 the Company’s use of these non-GAAP financial measures, including discussion of how each such measure is useful to investors, and reconciliations to their most directly comparable GAAP results are provided below. A reconciliation of GAAP net income (loss) to non-GAAP core earnings for the quarters ended June 30, 2017, March 31, 2017, December 31, 2016, September 30, 2016 and June 30, 2016 is provided on page 8 of this financial summary.   Unaudited, dollars in thousands  Non-GAAP Reconciliations  21        For the quarters ended                June 30,  March 31,  December 31,  September 30,  June 30,        2017  2017  2016  2016  2016  Premium Amortization Reconciliation              Premium amortization expense    $251,084   $203,634   ($19,812)  $213,241   $265,475   Less:                 PAA cost (benefit)  72,700   17,870   (238,941)  3,891   85,583   Premium amortization expense (excluding PAA)    $178,384   $185,764   $219,129   $209,350   $179,892   Interest Income (excluding PAA) Reconciliation              GAAP interest income    $537,426   $587,727   $807,022   $558,668   $457,118      PAA cost (benefit)  72,700   17,870   (238,941)  3,891   85,583   Interest Income (excluding PAA)    $610,126   $605,597   $568,081   $562,559   $542,701   Economic Interest Expense Reconciliation              GAAP interest expense    $222,281   $198,425   $183,396   $174,154   $152,755   Add:                 Interest expense on interest rate swaps used to hedge cost of funds  84,252   88,966   92,841   103,100   108,301   Economic interest expense    $306,533   $287,391   $276,237   $277,254   $261,056   Economic Net Interest Income (excluding PAA) Reconciliation              Interest income (excluding PAA)    $610,126   $605,597   $568,081   $562,559   $542,701   Less:                 Economic interest expense  306,533   287,391   276,237   277,254   261,056   Economic net interest income (excluding PAA)    $303,593   $318,206   $291,844   $285,305   $281,645   Economic Metrics (excluding PAA)              Interest income (excluding PAA)    $610,126   $605,597   $568,081   $562,559   $542,701   Average interest earning assets    $83,427,268   $85,664,151   $84,799,222   $82,695,270   $73,587,753   Average yield on interest earning assets (excluding PAA)    2.93%  2.83%  2.68%  2.72%  2.95%  Economic interest expense    $306,533   $287,391   $276,237   $277,254   $261,056   Average interest bearing liabilities    $70,486,779   $72,422,968   $72,032,600   $70,809,712   $62,049,474   Average cost of interest bearing liabilities    1.74%  1.59%  1.53%  1.57%  1.68%  Net interest spread (excluding PAA)    1.19%  1.24%  1.15%  1.15%  1.27%  Net interest margin (excluding PAA)    1.53%  1.55%  1.53%  1.42%  1.54%