February 15, 2017  Fourth Quarter 2016 Financial Summary 

 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; 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.Non-GAAP Financial MeasuresThis presentation includes certain non-GAAP financial measures. Based upon recent regulatory guidance and interpretations on the use of non-GAAP financial measures, beginning with the fourth quarter 2016, the Company will report core earnings metrics (revised) that include the PAA. In addition, this is the final quarter that the Company will report core earnings metrics (unrevised) that exclude the PAA. In future periods, the Company will not make an adjustment to GAAP net income (loss) to exclude the PAA. However, given its usefulness in evaluating the Company’s financial performance, the Company will continue to separately disclose the PAA. Additionally, comparative prior period results reported in future periods will conform to the revised presentation.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. Please see the section entitled “Non-GAAP Reconciliations” in the attached Appendix for a reconciliation to the most directly comparable GAAP financial measures. A reconciliation of GAAP net income (loss) to non-GAAP core earnings is provided on page 7 of this financial summary.    Safe Harbor Notice 

 Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. Core earnings, core earnings per average common share, annualized core return on average equity, core net interest margin (excluding PAA), core average yield on interest earning assets (excluding PAA) and core net interest spread (excluding PAA) represent non-GAAP measures.  This presentation also includes additional non-GAAP measures, including core interest income (excluding PAA), economic interest expense, economic net interest income and economic core net interest income (excluding PAA).  See the section entitled “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 is provided on page 7 of this financial summary.   4Q 2016 Financial Snapshot  Unaudited, dollars in thousands except per share amounts        For the quarters ended          December 31,  September 30,        2016  2016  Income Statement        GAAP net income per average common share    $1.79   $0.70   Core earnings per average common share (unrevised - excluding PAA) (1)     $0.30   $0.29   Less: PAA per average common share    (0.23)   -   Core earnings per average common share (revised - including PAA) (1)     $0.53   $0.29   Annualized return on average equity    57.23%   23.55%   Annualized core return on average equity (unrevised - excluding PAA)    10.13%   10.09%   Annualized core return on average equity (revised - including PAA)    17.53%   10.09%   Balance Sheet        Book value, per common share    $11.16   $11.83   Leverage at period-end (2)    5.8x   5.3x   Economic leverage at period-end (3)    6.4x   6.1x   Capital ratio (4)    13.1%  13.3%  Portfolio        Agency mortgage-backed securities and debentures    $75,589,873   $73,476,105   Mortgage servicing rights    652,216   492,169   Residential credit portfolio (5)    2,468,318   2,439,704   Commercial real estate investments (6)    5,881,236   6,033,576   Corporate debt    773,274   716,831   Total residential and commercial investments    $85,364,917   $83,158,385   Net interest margin (7)    2.49%   1.40%   Average yield on interest earning assets (8)    3.81%   2.70%   Net interest spread    2.28%   1.13%               Core net interest margin (excluding PAA) (9)    1.53%   1.42%   Core average yield on interest earning assets (excluding PAA) (10)    2.68%   2.72%   Core net interest spread (excluding PAA)    1.15%   1.15%   Other Information          Annualized operating expenses as a % of average assets (11)    0.25%  0.25%  Annualized operating expenses as a % of average equity (11)    1.72%  1.64%  Core expense ratio (including PAA) (11)(12)    8.9%  14.2%  Core expense ratio (excluding PAA) (11)(13)    14.5%  14.0% 

 Unaudited, dollars in thousands  Last Five Quarters Summary Data    Includes consolidated variable interest entities (“VIEs”) and loans held for sale.The change in constant prepayment rate (“CPR”) between the September 2016 and June 2016 quarters largely reflects the change in portfolio mix due to the Company’s acquisition of Hatteras Financial Corp. (the “Hatteras Acquisition”).        For the quarters ended                December 31,  September 30,  June 30,  March 31,  December 31,        2016  2016  2016  2016  2015  Portfolio-Related Data:              Agency mortgage-backed securities and debentures    $75,589,873   $73,476,105   $64,862,992   $65,596,859   $65,870,262   Mortgage servicing rights    $652,216   $492,169   -  -  -  Residential credit portfolio    $2,468,318   $2,439,704   $1,717,870   $1,658,674   $1,363,232   Commercial real estate investments (1)    $5,881,236   $6,033,576   $6,168,723   $6,385,579   $5,075,191   Corporate debt    $773,274   $716,831   $669,612   $639,481   $488,508   Total residential and commercial investments    $85,364,917   $83,158,385   $73,419,197   $74,280,593   $72,797,193   Total assets    $87,905,046   $86,909,306   $77,716,470   $77,443,965   $75,190,893   Average TBA position    $14,613,149   $17,280,237   $14,592,236   $15,110,947   $14,366,749   Residential Investment Securities:                      % Fixed-rate  83%   81%   92%   93%   93%      % Adjustable-rate  17%   19%   8%   7%   7%      Weighted average experienced CPR, for the period (2)  15.6%   15.9%   12.7%   8.8%   9.7%      Weighted average projected long-term CPR, as of period end (2)  10.1%   14.4%   13.0%   11.8%   8.8%      Net premium and discount balance in Residential Investment Securities  $5,318,376   $4,920,750   $4,626,548   $4,741,900   $4,951,252      Net premium and discount balance as % of stockholders' equity  42.32%   37.13%   40.05%   40.71%   41.62%  

 Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  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 and to be announced (“TBA”) notional outstanding.Excludes forward starting swaps; weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015; 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 December 31, 2016, September 30, 2016 or March 31, 2016.        For the quarters ended                December 31,  September 30,  June 30,  March 31,  December 31,        2016  2016  2016  2016  2015  Liabilities, Capital and Hedging Data:              Repurchase agreements    $65,215,810   $61,784,121   $53,868,385   $54,448,141   $56,230,860   Other secured financing    $3,884,708   $3,804,742   $3,588,326   $3,588,326   $1,845,048   Securitized debt of consolidated VIEs    $3,655,802   $3,712,821   $3,748,289   $3,802,682   $2,540,711   Participation sold    $12,869   $12,976   $13,079   $13,182   $13,286   Mortgages payable    $311,636   $327,632   $327,643   $334,765   $334,707   Total debt    $73,080,825   $69,642,292   $61,545,722   $62,187,096   $60,964,612   Total liabilities    $75,329,074   $73,647,503   $66,154,597   $65,785,958   $63,284,971   Cumulative redeemable preferred stock    $1,200,559   $1,200,559   $913,059   $913,059   $913,059   Common equity(1)    $11,367,621   $12,053,103   $10,640,156   $10,735,393   $10,982,915   Total Annaly stockholders' equity    $12,568,180   $13,253,662   $11,553,215   $11,648,452   $11,895,974   Non-controlling interests    $7,792   $8,141   $8,658   $9,555   $9,948   Total equity    $12,575,972   $13,261,803   $11,561,873   $11,658,007   $11,905,922   Weighted average days to maturity of repurchase agreements    96   128   129   136   151   Weighted average rate on repurchase agreements, at period-end    1.07%   1.07%   1.02%   0.99%   0.90%   Weighted average rate on repurchase agreements, average during period    1.01%   0.97%   1.00%   0.95%   0.78%   Leverage, at period-end    5.8x   5.3x   5.3x   5.3x   5.1x   Economic leverage, at period-end    6.4x   6.1x   6.1x   6.2x   6.0x   Capital ratio    13.1%   13.3%   13.2%   13.2%   13.7%   Book value, per common share    $11.16   $11.83   $11.50   $11.61   $11.73   Total common shares outstanding    1,018,913   1,018,858   924,930   924,853   935,930   Interest rate swaps:                      Hedge ratio(2)  56%   52%   49%   51%   55%      Weighted average pay rate on interest rate swaps(3)  2.22%   2.25%   2.28%   2.26%   2.26%      Weighted average receive rate on interest rate swaps(3)  1.02%   0.88%   0.74%   0.69%   0.53%      Weighted average net rate on interest rate swaps  1.20%   1.37%   1.54%   1.57%   1.73%  

 Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  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 rolls.        For the quarters ended                December 31,  September 30,  June 30,  March 31,  December 31,        2016  2016  2016  2016  2015  Performance-Related Data:              Total interest income    $807,022   $558,668   $457,118   $388,143   $576,580   Total interest expense    $183,396   $174,154   $152,755   $147,447   $118,807   Net interest income    $623,626   $384,514   $304,363   $240,696   $457,773   Total economic interest expense (1)    $276,237   $277,254   $261,056   $270,571   $254,074   Economic net interest income (1)    $530,785   $281,414   $196,062   $117,572   $322,506   Total core interest income (excluding PAA)    $568,081   $562,559   $542,701   $556,551   $558,508   Economic core net interest income (excluding PAA) (1)    $291,844   $285,305   $281,645   $285,980   $304,434   GAAP net income (loss)    $1,848,483   $730,880   ($278,497)  ($868,080)  $669,666   GAAP net income (loss) available (related) to common shareholders    $1,825,097   $708,413   ($296,104)  ($885,910)  $652,047   GAAP net income (loss) per average common share    $1.79   $0.70   ($0.32)  ($0.96)  $0.69   Core earnings (unrevised - excluding PAA)    $326,999   $312,893   $282,176   $291,757   $311,133   Core earnings available to common shareholders (unrevised - excluding PAA)    $303,526   $290,090   $264,184   $273,765   $293,141   Core earnings per average common share (unrevised - excluding PAA)    $0.30   $0.29   $0.29   $0.30   $0.31   Core earnings (revised - including PAA)    $565,940   $309,002   $196,593   $123,349   $329,205   Core earnings available to common shareholders (revised - including PAA)    $542,467   $286,199   $178,601   $105,357   $311,213   Core earnings per average common share (revised - including PAA)    $0.53   $0.29   $0.19   $0.11   $0.33   Dividends declared per common share    $0.30   $0.30   $0.30   $0.30   $0.30   Total common and preferred dividends declared    $329,147   $325,091   $295,471   $295,448   $298,771   Annualized return (loss) on average equity    57.23%   23.55%   (9.60%)  (29.47%)  22.15%   Annualized return (loss) on average equity per unit of economic leverage    8.94%   3.86%   (1.57%)  (4.75%)  3.69%   Annualized core return on average equity (unrevised - excluding PAA)    10.13%   10.09%   9.73%   9.91%   10.30%   Annualized core return on average equity per unit of economic leverage (unrevised - excluding PAA)    1.58%   1.65%   1.60%   1.60%   1.72%   Annualized core return on average equity (revised - including PAA)    17.53%   10.09%   6.78%   4.19%   10.89%   Annualized core return on average equity per unit of economic leverage (revised - including PAA)    2.74%   1.65%   1.11%   0.68%   1.82%   Net interest margin    2.49%   1.40%   1.15%   0.79%   1.80%   Core net interest margin (excluding PAA)    1.53%   1.42%   1.54%   1.54%   1.71%   Average yield on interest earning assets    3.81%   2.70%   2.48%   2.09%   3.15%   Core average yield on interest earning assets (excluding PAA)    2.68%   2.72%   2.95%   3.00%   3.05%   Average cost of interest bearing liabilities    1.53%   1.57%   1.68%   1.73%   1.68%   Net interest spread    2.28%   1.13%   0.80%   0.36%   1.47%   Core net interest spread (excluding PAA)    1.15%   1.15%   1.27%   1.27%   1.37%                

 Unaudited, dollars in thousands  Components of Economic Net Interest Income  Included within realized losses on interest rate swaps. Excludes interest expense on interest rate swaps used to hedge TBA dollar rolls.        For the quarters ended                December 31,   September 30,  June 30,  March 31,  December 31,        2016  2016  2016  2016  2015  Interest income:                 Residential Investment Securities  $740,664   $493,226   $394,850   $315,717   $515,195      Residential mortgage loans  2,539   1,608   -  -  -     Commercial investment portfolio  61,431   61,240   59,578   70,187   60,835      Reverse repurchase agreements  2,388   2,594   2,690   2,239   550      Total interest income  $807,022   $558,668   $457,118   $388,143   $576,580   Economic interest expense:                      Repurchase agreements  $162,676   $154,083   $136,176   $132,891   $112,529      Interest expense on swaps used to hedge cost of funds(1)  92,841   103,100   108,301   123,124   135,267      Securitized debt of consolidated VIEs  12,087   12,046   11,226   9,033   5,597      Participation sold  155   157   157   158   160      Other  8,478   7,868   5,196   5,365   521      Total economic interest expense  $276,237   $277,254   $261,056   $270,571   $254,074   Economic net interest income    $530,785   $281,414   $196,062   $117,572   $322,506      Premium amortization adjustment cost (benefit)  (238,941)  3,891   85,583   168,408   (18,072)  Economic core net interest income (excluding PAA)    $291,844   $285,305   $281,645   $285,980   $304,434                

 Unaudited, dollars in thousands  Reconciliations and Changes in Key Metrics  Represents transaction costs incurred in connection with the Hatteras Acquisition.Represents a component of Net gains (losses) on trading assets.Represents a component of Net unrealized gains (losses) on investments measured at fair value through earnings.        For the quarters ended                December 31,  September 30,  June 30,  March 31,  December 31,        2016  2016  2016  2016  2015  Core earnings reconciliation                   GAAP net income (loss)    $1,848,483   $730,880   ($278,497)  ($868,080)  $669,666   Less:                      Realized (gains) losses on termination of interest rate swaps  55,214   (1,337)  60,064   -  -     Unrealized (gains) losses on interest rate swaps  (1,430,668)  (256,462)  373,220   1,031,720   (463,126)     Net (gains) losses on disposal of investments  (7,782)  (14,447)  (12,535)  1,675   7,259      Net (gains) losses on trading assets  139,470   (162,981)  (81,880)  (125,189)  (42,584)     Net unrealized (gains) losses on investments measured at fair value through earnings  (110,742)  (29,675)  54,154   (128)  62,703      Bargain purchase gain  -  (72,576)  -  -  -     Corporate acquisition related expenses(1)  -  46,724   2,163   -  -     Net (income) loss attributable to noncontrolling interest  87   336   385   162   373      Premium amortization adjustment cost (benefit)  (238,941)  3,891   85,583   168,408   (18,072)  Plus:                      TBA dollar roll income(2)  98,896   90,174   79,519   83,189   94,914      MSR amortization(3)  (27,018)  (21,634)  -  -  -  Core earnings (unrevised - excluding PAA)    $326,999   $312,893   $282,176   $291,757   $311,133   Add back:                      Premium amortization adjustment benefit (cost)  238,941   (3,891)  (85,583)  (168,408)  18,072   Core earnings (revised - including PAA)    $565,940   $309,002   $196,593   $123,349   $329,205                        Book value, per common share rollforward:                   Book value, per common share, beginning of period    $11.83   $11.50   $11.61   $11.73   $11.99      Net income (loss) attributable to common stockholders  1.79   0.70   (0.32)  (0.96)  0.69      Other comprehensive income (loss) attributable to common stockholders  (2.16)  0.00   0.51   1.11   (0.68)     Common dividends declared  (0.30)  (0.30)  (0.30)  (0.30)  (0.30)     Issuance of common stock  0.00   (0.07)  0.00   0.00   0.00      Buyback of common stock  0.00   0.00   0.00   0.03   0.03   Book value, per common share, end of period    $11.16   $11.83   $11.50   $11.61   $11.73                       

 Unaudited  Changes in Key Metrics  Includes interest expense on interest rate swaps used to hedge cost of funds.        For the quarters ended                December 31,  September 30,  June 30,  March 31,  December 31,        2016  2016  2016  2016  2015  Changes in net interest margin                   Prior quarter net interest margin    1.40%  1.15%  0.79%  1.80%  1.27%  Quarter-over-quarter changes in contribution:                      Net amortization of premiums  0.93%  0.34%  0.39%  (0.86%)  0.44%     Interest expense and realized gain (loss) on interest rate swaps  0.04%  0.09%  0.03%  (0.05%)  (0.01%)     TBA dollar roll income  0.04%  0.00%  (0.01%)  (0.06%)  (0.02%)     Coupon on average interest-earning assets  0.08%  (0.18%)  (0.05%)  (0.04%)  0.12%  Current quarter net interest margin    2.49%   1.40%   1.15%   0.79%   1.80%                                      Changes in core net interest margin (excluding PAA)                   Prior quarter core net interest margin (excluding PAA)    1.42%  1.54%  1.54%  1.71%  1.65%  Quarter-over-quarter changes in contribution:                      Interest expense and related realized gain (loss) on interest rate swaps  0.04%  0.09%  0.04%  (0.05%)  (0.02%)     TBA dollar roll income  0.04%  0.00%  (0.01%)  (0.06%)  (0.02%)     Net amortization of premiums, exclusive of PAA  (0.05%)  (0.03%)  0.03%  (0.02%)  (0.02%)     Coupon on average interest-earning assets  0.08%  (0.18%)  (0.06%)  (0.04%)  0.12%  Current quarter core net interest margin (excluding PAA)    1.53%   1.42%   1.54%   1.54%   1.71%                                             Changes in net interest spread                   Prior quarter net interest spread    1.13%  0.80%  0.36%  1.47%  0.83%  Quarter-over-quarter changes in contribution:                      Net amortization of premiums  1.12%  0.41%  0.48%  (1.04%)  0.53%     Average cost of interest bearing liabilities(1)  0.04%  0.11%  0.05%  (0.05%)  (0.03%)     Coupon on average interest earning assets  (0.01%)  (0.19%)  (0.09%)  (0.02%)  0.14%  Current quarter net interest spread    2.28%   1.13%   0.80%   0.36%   1.47%                               Changes in core net interest spread (excluding PAA)                   Prior quarter core net interest spread (excluding PAA)    1.15%  1.27%  1.27%  1.37%  1.29%  Quarter-over-quarter changes in contribution:                      Average cost of interest bearing liabilities(1)  0.04%  0.11%  0.05%  (0.05%)  (0.03%)     Net amortization of premiums, exclusive of PAA  (0.03%)  (0.04%)  0.04%  (0.03%)  (0.03%)     Coupon on average interest earning assets  (0.01%)  (0.19%)  (0.09%)  (0.02%)  0.14%  Current quarter core net interest spread (excluding PAA)    1.15%   1.15%   1.27%   1.27%   1.37%                

 Unaudited  Changes in Key Metrics  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.        For the quarters ended                December 31,  September 30,  June 30,  March 31,  December 31,        2016  2016  2016  2016  2015  Changes in GAAP return on average equity                   Prior quarter GAAP return on average equity    23.55%  (9.60%)  (29.47%)  22.15%  (20.18%)  Quarter-over-quarter changes in contribution:                      Unrealized (gains) / losses on interest rate swaps  36.03%  21.12%  22.17%  (50.34%)  41.77%     Realized and unrealized (gains) / losses on investments and trading assets  (7.32%)  5.29%  (2.81%)  5.10%  (3.33%)     Bargain purchase gain  (2.34%)  2.34%  0.00%  0.00%  0.00%     Net amortization of premiums and accretion of discounts  7.44%  2.24%  2.94%  (6.76%)  2.91%     Realized (gains) losses on termination of interest rate swaps  (1.75%)  2.11%  (2.07%)  0.00%  0.00%     Interest expense and realized gain (loss) on interest rate swaps  0.73%  0.14%  0.24%  (0.81%)  (0.44%)     Coupon income  (0.46%)  0.02%  (0.37%)  0.87%  1.66%     Other(1)  1.35%  (0.11%)  (0.23%)  0.32%  (0.24%)  Current quarter GAAP return on average equity    57.23%   23.55%   (9.60%)  (29.47%)  22.15%                 Changes in core return on average equity (unrevised - excluding PAA)                   Prior quarter core return on average equity (unrevised - excluding PAA)    10.09%  9.73%  9.91%  10.30%  9.67%  Quarter-over-quarter changes in contribution:                      Other(2)  (0.31%)  0.62%  (0.15%)  0.31%  (0.23%)     TBA dollar roll income  0.16%  0.17%  (0.08%)  (0.32%)  (0.01%)     Economic interest expense and other swaps expense  0.73%  0.14%  0.24%  (0.81%)  (0.44%)     Coupon income  (0.46%)  0.02%  (0.37%)  0.88%  1.67%     Net amortization of premiums (exclusive of PAA)  (0.08%)  (0.59%)  0.18%  (0.45%)  (0.36%)  Current quarter core return on average equity (unrevised - excluding PAA)    10.13%  10.09%  9.73%  9.91%  10.30%                              Changes in core return on average equity (revised - including PAA)                   Prior quarter core return on average equity (revised - including PAA)    10.09%  6.78%  4.19%  10.89%  7.00%  Quarter-over-quarter changes in contribution:                      Other(2)  (0.31%)  0.62%  (0.15%)  0.31%  (0.23%)     TBA dollar roll income  0.16%  0.17%  (0.08%)  (0.32%)  (0.01%)     Economic interest expense and other swaps expense  0.73%  0.14%  0.24%  (0.81%)  (0.44%)     Coupon income  (0.46%)  0.02%  (0.37%)  0.88%  1.67%     Net amortization of premiums (inclusive of PAA)  7.32%  2.36%  2.95%  (6.76%)  2.90%  Current quarter core return on average equity (revised - including PAA)    17.53%  10.09%  6.78%  4.19%  10.89%               

 Unaudited, dollars in thousands  Residential Investments and TBA Derivative Overview as of December 31, 2016  Weighted by face value.Weighted by notional value.  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  $7,269,580   12.0%  3.12%  103.7%  103.2%  11.1%  $7,503,147   20 years  5,269,476   8.7%  3.49%  104.8%  104.2%  19.4%  5,493,234   >=30 years  48,220,261   79.3%  3.77%  106.4%  104.3%  14.1%  50,314,992   Total/Weighted Avg.  $60,759,317   100.0%  3.67%  106.0%  104.2%  14.2%  $63,311,373                                            TBA Purchase Contracts                         Weighted Avg.  Implied Cost        Implied Market  Type  Notional Value  % (2)  Coupon  Basis        Value  15-year  $4,883,000   43.5%  2.88%  $4,992,442         $4,983,494   30-year  6,340,000   56.5%  3.42%  6,503,072         6,453,822   Total/Weighted Avg.  $11,223,000   100.0%  3.19%  $11,495,514         $11,437,316                                                   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  $4,700,500   44.1%  2.88%  104.0%  104.9%  27.0%  $4,929,734   25 - 40 months  3,737,216   35.1%  2.52%  103.3%  102.9%  23.6%  3,845,903   41 - 60 months  877,490   8.2%  2.74%  103.5%  102.0%  23.1%  895,373   61 - 90 months  473,399   4.5%  2.80%  103.7%  102.1%  24.2%  483,181   >90 months  864,504   8.1%  3.02%  103.1%  101.7%  19.3%  879,560   Total/Weighted Avg.  $10,653,109   100.0%  2.75%  103.6%  103.6%  24.7%  $11,033,751                          

 Unaudited, dollars in thousands  Residential Investments and TBA Derivative Overview as of December 31, 2016 (cont’d)  Weighted by notional value.Weighted by fair value.  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  $4,635,960   57.0%  3.28%  13.3%  11.7%  15.0%  $544,631   Inverse Interest-Only  3,497,845   43.0%  5.38%  23.5%  20.0%  13.9%  700,118   Total/Weighted Avg.  $8,133,805   100.0%  4.18%  17.7%  15.3%  14.5%  $1,244,749                                                   Mortgage Servicing Rights                   Unpaid      Excess  Weighted Avg.        Principal    Weighted Avg.  Servicing  Loan Age    Estimated  Type  Balance     Coupon  Spread  (months)     Fair Value  Total/Weighted Avg.  $55,298,944      3.84%  0.24%  9.7      $652,216                                                   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  $690,491   29.4%  5.00%  100.0%  105.0%     $724,722   Alt-A  173,108   6.2%  4.49%  87.3%  89.1%     154,173   Prime  248,176   8.9%  4.46%  86.0%  88.7%     220,192   Subprime  697,983   24.9%  2.39%  86.3%  87.9%     613,549   NPL/RPL  269,802   10.9%  4.20%  100.2%  100.4%     270,838   Prime Jumbo  129,453   5.3%  3.50%  100.4%  100.4%     129,919   Prime Jumbo Interest-Only  863,370   0.5%  0.39%  1.8%  1.5%     12,636   Residential Mortgage Loans  338,323   13.9%  3.72%  102.5%  101.2%     342,289   Total/Weighted Avg.  $3,410,706   100.0%  3.00%           $2,468,318                          

 Residential Credit Investments Detail as of December 31, 2016  (1) Excludes Residential Mortgage Loans.  Unaudited, dollars in thousands  (1)  By Sector Product             Product   Market Value  Coupon  Credit Enhancement  60+ Delinquencies  3M VPR   Alt-A  $154,173   4.49%  8.87%  14.17%  13.52%   Prime   220,192   4.46%  1.14%  11.13%  14.08%   Subprime    613,549   2.39%  24.47%  21.34%  5.27%   Prime Jumbo (>=2010 Vintage)    129,919   3.50%  15.95%  0.12%  20.22%   Prime Jumbo (>=2010 Vintage) Interest Only    12,636   0.39%  0.00%  0.07%  27.03%   Re-Performing Loan Securitizations    77,887   4.21%  40.36%  20.95%  4.65%   Agency Credit Risk Transfer    671,794   4.89%  1.13%  0.19%  23.26%   Private Label Credit Risk Transfer    52,928   6.29%  8.41%  2.36%  19.44%   Non-Performing Loan Securitizations    192,951   4.20%  52.04%  64.15%  3.00%   Total   $2,126,029   2.91%  11.48%  11.19%  17.01%              Market Value By Sector and Payment Structure             Product   Senior     Subordinate     Total   Alt-A  $58,647      $95,526      $154,173    Prime   33,216      186,976      220,192    Subprime    195,059       418,490       613,549    Prime Jumbo (>=2010 Vintage)    119,759      10,160      129,919    Prime Jumbo (>=2010 Vintage) Interest Only    12,636       -       12,636    Re-Performing Loan Securitizations    65,209      12,678      77,887    Agency Credit Risk Transfer    -       671,794       671,794    Private Label Credit Risk Transfer    -       52,928       52,928    Non-Performing Loan Securitizations    189,453       3,498       192,951    Total   $673,979      $1,452,050      $2,126,029               Market Value By Sector and Bond Coupon             Product   ARM  Fixed  Floater   Interest Only   Total   Alt-A  $44,822   $91,187   $18,164    $ -   $154,173    Prime   107,296    112,896    -    -    220,192    Subprime    -    66,383    547,166    -    613,549    Prime Jumbo (>=2010 Vintage)    4,704    125,215    -    -    129,919    Prime Jumbo (>=2010 Vintage) Interest Only    -    -    -    12,636    12,636    Re-Performing Loan Securitizations    -    77,887    -    -    77,887    Agency Credit Risk Transfer    -    -    671,794    -    671,794    Private Label Credit Risk Transfer    -    -    52,928    -    52,928    Non-Performing Loan Securitizations    -    192,951    -    -    192,951    Total   $156,822   $666,519   $1,290,052   $12,636   $2,126,029              

 Commercial Real Estate Overview as of December 31, 2016    Book values include 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.Represents the current coupon plus fees amortized over initial loan term, less any related financing costs.  Unaudited, dollars in thousands 

 Middle Market Lending Overview as of December 31, 2016    Unaudited, dollars in thousands  Industry Dispersion        Industry  Fixed Rate  Floating Rate  Total  Aircraft and Parts   $ -    $ 32,067    $ 32,067   Commercial Fishing   -    40,600    40,600   Computer Programming, Data Processing & Other Computer Related Services   -    146,547    146,547   Drugs   -    34,042    34,042   Groceries and Related Products   -    14,856    14,856   Grocery Stores   -    23,761    23,761   Home Health Care Services   -    39,205    39,205   Insurance Agents, Brokers and Service   4,391    73,267    77,658   Management and Public Relations Services   -    16,493    16,493   Medical and Dental Laboratories   -    17,292    17,292   Miscellaneous Business Services   84,486    -    84,486   Miscellaneous Health and Allied Services, not elsewhere classified   -    9,791    9,791   Miscellaneous Nonmetallic Minerals, except Fuels   -    24,688    24,688   Miscellaneous Plastic Products   -    27,036    27,036   Motor Vehicles and Motor Vehicle Parts and Supplies   -    12,319    12,319   Offices and Clinics of Doctors of Medicine   -    83,386    83,386   Personnel Supply Services   -    36,921    36,921   Research, Development and Testing Services   -    17,744    17,744   Schools and Educational Services, not elsewhere classified   -    20,979    20,979   Surgical, Medical, and Dental Instruments and Supplies   -    13,403    13,403   Total   $ 88,877    $ 684,397    $ 773,274               Size Dispersion        Position Size     Amount  Percentage   $0 - $20 million       $ 176,869   22.9%   $20 - $40 million       268,492   34.7%   $40 - $60 million       182,622   23.6%   greater than $60 million       145,291   18.8%   Total       $ 773,274   100.0%              Tenor Dispersion        Remaining Term     Amount  Percentage   One year or less       $ -   0.0%   One to three years       17,136   2.2%   Three to five years       456,835   59.1%   Greater than five years       299,303   38.7%   Total       $ 773,274   100.0%              Lien Position     Amount     First lien loans      $ 505,956   65.4%  Second lien loans      178,441   23.1%  Second lien notes      84,486   10.9%  Subordinated notes      4,391   0.6%  Total      $ 773,274   100.0% 

 Hedging and Liabilities as of December 31, 2016  Unaudited, dollars in thousands  Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 13% 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.  Interest Rate Swaps                Current  Weighted Avg.  Weighted Avg.  Weighted Avg.  Maturity     Notional  Pay Rate  Receive Rate  Years to Maturity  0 to <3 years    $3,444,365   1.37%  1.00%  2.71   >=3 to <6 years    10,590,000   1.92%  0.99%  3.94   >= 6 to <10 years    8,206,900   2.35%  1.10%  7.82   Greater than 10 years    3,634,400   3.70%  0.83%  18.36   Total / Weighted Avg.     $25,875,665   2.22%  1.02%  6.87               Futures Positions                  Notional  Notional  Weighted Avg.        Long  Short  Years to  Type        Positions  Positions  Maturity(1)  2-year Swap Equivalent Eurodollar Contracts      -  (14,968,250)  2.00   U.S. Treasury Futures - 5 year       -  (1,697,200)  4.42   U.S. Treasury Futures - 10 year & Greater      -  (2,250,000)  8.39   Total       -  ($18,915,450)  2.98               Repurchase Agreements & Other Secured Financing                  Principal    Weighted Avg.  Maturity       Balance     Rate  Within 30 days       $30,394,043      0.87%  30 to 59 days      11,694,799     1.10%  60 to 89 days       7,082,232      1.14%  90 to 119 days      2,063,561     0.89%  Over 120 days(2)       17,865,883      1.36%  Total / Weighted Avg.       $69,100,518      1.06%                 Principal  Weighted Average Rate          Balance  As of Period End  For the Quarter  Days to Maturity (3)  Repurchase agreements  $65,215,810   1.07%  1.01%  96   Other secured financing  3,884,708   0.96%  0.88%  1,472   Securitized debt of consolidated VIEs  3,621,760   1.15%  1.31%  2,435   Participation sold  12,827   5.28%  4.79%  121   Mortgages payable  314,865   4.22%  4.36%  2,931   Total indebtedness  $73,049,970                          

 Unaudited  Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity   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.  Assumptions:The interest rate sensitivity and spread sensitivity are based on the portfolios as of December 31, 2016 and September 30, 2016.The interest rate sensitivity reflects instantaneous parallel shifts in rates.The 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.  Interest Rate Sensitivity (1)                    As of December 31, 2016       As of September 30, 2016    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)    0.7%  5.0%    0.5%  3.1%  (50)     0.6%  4.4%     0.4%  2.3%  (25)    0.4%  2.6%    0.2%  1.3%  25     (0.5%)  (3.3%)     (0.3%)  (1.7%)  50    (1.1%)  (7.3%)    (0.6%)  (3.8%)  75     (1.7%)  (11.8%)     (1.1%)  (6.6%)                MBS Spread Sensitivity (1)                    As of December 31, 2016       As of September 30, 2016    MBS Spread Shock (bps)     Estimated Change in Portfolio Market Value (2)  Estimated Change as a % of NAV(2)(3)     Estimated Change in Portfolio Market Value (2)  Estimated Change as a % of NAV(2)(3)  (25)    1.5%  10.2%    1.3%  8.2%  (15)     0.9%  6.1%     0.8%  4.9%  (5)    0.3%  2.0%    0.3%  1.6%  5     (0.3%)  (2.0%)     (0.3%)  (1.6%)  15    (0.9%)  (6.0%)    (0.8%)  (4.8%)  25     (1.5%)  (10.0%)     (1.3%)  (8.0%) 

 Appendix 

 Endnotes for Page 2    The Company revised its definition of core earnings to include the PAA. Core earnings (unrevised) excluded the PAA. This is the final quarter that the Company will report core earnings metrics that exclude the PAA. Beginning with the fourth quarter 2016, core earnings (revised) 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 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).For purposes of calculating the Company’s leverage ratio, debt consists of repurchase agreements, other secured financing, Convertible Senior Notes, 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, other secured financing and Convertible Senior Notes. 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 core 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 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. Represents the sum of the Company’s annualized economic core net interest income (excluding PAA and 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 dollar roll transactions) divided by the sum of its average interest-earning assets plus average outstanding TBA derivative balances.Represents annualized core interest income (excluding PAA) divided by average interest earning assets. Interest earning assets reflects the average amortized cost of our investments during the period. Excludes transaction costs incurred in connection with the Hatteras Acquisition.Represents general and administrative expenses (excluding corporate acquisition expenses) divided by core earnings (revised – including PAA) before general and administrative expenses (excluding corporate acquisition expenses).Represents general and administrative expenses (excluding corporate acquisition expenses) divided by core earnings (unrevised – excluding PAA) before general and administrative expenses (excluding corporate acquisition expenses). 

 Non-GAAP Reconciliations  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. 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. Reconciliations of these non-GAAP financial measures 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 December 31, 2016, September 30, 2016, June 30, 2016, March 31, 3016 and December 31, 2015 is provided on page 7 of this financial summary.   Unaudited, dollars in thousands        For the quarters ended                   December 31,  September 30,  June 30,  March 31,  December 31,           2016  2016  2016  2016  2015     Premium Amortization Reconciliation                Premium Amortization Expense    ($19,812)  $213,241   $265,475   $355,671   $159,720      Less:                   PAA cost (benefit)  (238,941)  3,891   85,583   168,408   (18,072)     Premium amortization expense exclusive of PAA    $219,129   $209,350   $179,892   $187,263   $177,792      Core Interest Income (excluding PAA) Reconciliation                GAAP interest income    $807,022   $558,668   $457,118   $388,143   $576,580         PAA cost (benefit)  (238,941)  3,891   85,583   168,408   (18,072)     Core Interest Income (excluding PAA)    $568,081   $562,559   $542,701   $556,551   $558,508      Economic Interest Expense Reconciliation                GAAP interest expense    $183,396   $174,154   $152,755   $147,447   $118,807      Add:                   Interest expense on interest rate swaps used to hedge cost of funds  92,841   103,100   108,301   123,124   135,267      Economic interest expense    $276,237   $277,254   $261,056   $270,571   $254,074      Economic Core Net Interest Income (excluding PAA) Reconciliation                Core interest income (excluding PAA)    $568,081   $562,559   $542,701   $556,551   $558,508      Less:                   Economic interest expense  276,237   277,254   261,056   270,571   254,074      Economic core net interest income (excluding PAA)    $291,844   $285,305   $281,645   $285,980   $304,434      Economic Core Metrics                Core interest income (excluding PAA)    $568,081   $562,559   $542,701   $556,551   $558,508      Average interest earning assets    $84,799,222   $82,695,270   $73,587,753   $74,171,943   $73,178,965      Core average yield on interest earning assets (excluding PAA)    2.68%  2.72%  2.95%  3.00%  3.05%     Economic interest expense    $276,237   $277,254   $261,056   $270,571   $254,074      Average interest bearing liabilities    $72,032,600   $70,809,712   $62,049,474   $62,379,695   $60,516,996      Average cost of interest bearing liabilities    1.53%  1.57%  1.68%  1.73%  1.68%     Core net interest spread (excluding PAA)    1.15%  1.15%  1.27%  1.27%  1.37%     Core net interest margin (excluding PAA)    1.53%  1.42%  1.54%  1.54%  1.71%