First Quarter 2017Financial Summary  May 3, 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.Non-GAAP Financial MeasuresBased upon recent regulatory guidance and interpretations on the use of non-GAAP financial measures, in its fourth quarter 2016 filings, news releases and presentations, the Company furnished both unrevised non-GAAP financial measures that excluded the premium amortization adjustment (“PAA”) as well as revised non-GAAP financial measures that included the PAA. In addition, the Company indicated that the fourth quarter 2016 would be the final quarter that the Company would report core earnings metrics that exclude the PAA. Beginning with the first quarter 2017, the Company is no longer disclosing non-GAAP financial measures that exclude the PAA. However, given its usefulness in evaluating the Company’s financial performance, the Company is continuing to separately disclose the PAA. Additionally, comparative prior period results reported in the current and 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  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, core earnings per average common share and annualized core return on average equity represent non-GAAP measures.  This presentation also includes additional non-GAAP measures, including economic interest expense and economic net interest income.  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 is provided on page 7 of this financial summary.   Q1 2017 Financial Snapshot  2        For the quarters ended          March 31,  December 31,        2017  2016  Income Statement        GAAP net income per average common share    $0.41   $1.79   Core earnings per average common share (1)     $0.29   $0.53   PAA cost (benefit) per average common share    0.02    (0.23)  Annualized return on average equity    13.97%   57.23%   Annualized core return on average equity    10.09%   17.53%   Balance Sheet        Book value per common share    $11.23   $11.16   Leverage at period-end (2)    5.6x   5.8x   Economic leverage at period-end (3)    6.1x   6.4x   Capital ratio at period-end (4)    13.8%  13.1%  Portfolio        Agency mortgage-backed securities and debentures    $72,708,490   $75,589,873   Mortgage servicing rights    632,166   652,216   Residential credit portfolio (5)    2,778,452   2,468,318   Commercial real estate investments (6)    5,550,464   5,881,236   Corporate debt    841,265   773,274   Total residential and commercial investments    $82,510,837   $85,364,917   Net interest margin (7)    1.47%   2.49%   Average yield on interest earning assets (8)    2.74%   3.81%   Net interest spread    1.15%   2.28%   Other Information          Annualized operating expenses as a % of average assets    0.25%  0.25%  Annualized operating expenses as a % of average equity    1.71%  1.72% 

   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                March 31,  December 31,  September 30,  June 30,  March 31,        2017  2016  2016  2016  2016  Portfolio-Related Data:              Agency mortgage-backed securities and debentures    $72,708,490   $75,589,873   $73,476,105   $64,862,992   $65,596,859   Mortgage servicing rights    632,166   652,216   492,169    -    -   Residential credit portfolio    2,778,452   2,468,318   2,439,704   1,717,870   1,658,674   Commercial real estate investments (1)    5,550,464   5,881,236   6,033,576   6,168,723   6,385,579   Corporate debt    841,265   773,274   716,831   669,612   639,481   Total residential and commercial investments    $82,510,837   $85,364,917   $83,158,385   $73,419,197   $74,280,593   Total assets    $84,658,957   $87,905,046   $86,909,306   $77,716,470   $77,443,965   Average TBA position    $10,655,785   $14,613,149   $17,280,237   $14,592,236   $15,110,947   Residential Investment Securities:                      % Fixed-rate  85%   83%   81%   92%   93%      % Adjustable-rate  15%   17%   19%   8%   7%      Weighted average experienced CPR for the period (2)  11.5%   15.6%   15.9%   12.7%   8.8%      Weighted average projected long-term CPR at period end (2)  10.0%   10.1%   14.4%   13.0%   11.8%      Net premium and discount balance in Residential Investment Securities  $5,149,099   $5,318,376   $4,920,750   $4,626,548   $4,741,900      Net premium and discount balance as % of stockholders' equity  40.74%   42.32%   37.13%   40.05%   40.71%   3 

 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 March 31, 2017, December 31, 2016, September 30, 2016 or March 31, 2016.  Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  4        For the quarters ended                March 31,  December 31,  September 30,  June 30,  March 31,        2017  2016  2016  2016  2016  Liabilities, Capital and Hedging Data:              Repurchase agreements    $62,719,087   $65,215,810   $61,784,121   $53,868,385   $54,448,141   Other secured financing    $3,876,150   $3,884,708   $3,804,742   $3,588,326   $3,588,326   Securitized debt of consolidated VIEs    $3,477,059   $3,655,802   $3,712,821   $3,748,289   $3,802,682   Participation sold    $12,760   $12,869   $12,976   $13,079   $13,182   Mortgages payable    $311,707   $311,636   $327,632   $327,643   $334,765   Total debt    $70,396,763   $73,080,825   $69,642,292   $61,545,722   $62,187,096   Total liabilities    $72,011,608   $75,329,074   $73,647,503   $66,154,597   $65,785,958   Cumulative redeemable preferred stock    $1,200,559   $1,200,559   $1,200,559   $913,059   $913,059   Common equity(1)    $11,439,467   $11,367,621   $12,053,103   $10,640,156   $10,735,393   Total Annaly stockholders' equity    $12,640,026   $12,568,180   $13,253,662   $11,553,215   $11,648,452   Non-controlling interests    $7,323   $7,792   $8,141   $8,658   $9,555   Total equity    $12,647,349   $12,575,972   $13,261,803   $11,561,873   $11,658,007   Weighted average days to maturity of repurchase agreements    88   96   128   129   136   Weighted average rate on repurchase agreements, at period-end    1.15%   1.07%   1.07%   1.02%   0.99%   Weighted average rate on repurchase agreements, for the quarter    1.07%   1.01%   0.97%   1.00%   0.95%   Leverage at period-end    5.6x   5.8x   5.3x   5.3x   5.3x   Economic leverage at period-end    6.1x   6.4x   6.1x   6.1x   6.2x   Capital ratio at period-end    13.8%   13.1%   13.3%   13.2%   13.2%   Book value per common share    $11.23   $11.16   $11.83   $11.50   $11.61   Total common shares outstanding    1,018,971   1,018,913   1,018,858   924,930   924,853   Hedge ratio(2)    63%   56%   52%   49%   51%   Weighted average pay rate on interest rate swaps(3)    2.25%   2.22%   2.25%   2.28%   2.26%   Weighted average receive rate on interest rate swaps(3)    1.15%   1.02%   0.88%   0.74%   0.69%   Weighted average net rate on interest rate swaps    1.10%   1.20%   1.37%   1.54%   1.57%  

 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.  Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  5        For the quarters ended                March 31,  December 31,  September 30,  June 30,  March 31,        2017  2016  2016  2016  2016  Performance-Related Data:              Total interest income    $587,727   $807,022   $558,668   $457,118   $388,143   Total interest expense    $198,425   $183,396   $174,154   $152,755   $147,447   Net interest income    $389,302   $623,626   $384,514   $304,363   $240,696   Total economic interest expense (1)    $287,391   $276,237   $277,254   $261,056   $270,571   Economic net interest income (1)    $300,336   $530,785   $281,414   $196,062   $117,572   GAAP net income (loss)    $440,408   $1,848,483   $730,880   ($278,497)  ($868,080)  GAAP net income (loss) available (related) to common shareholders    $417,038   $1,825,097   $708,413   ($296,104)  ($885,910)  GAAP net income (loss) per average common share    $0.41   $1.79   $0.70   ($0.32)  ($0.96)  Core earnings    $318,028   $565,940   $309,002   $196,593   $123,349   Core earnings available to common shareholders    $294,555   $542,467   $286,199   $178,601   $105,357   Core earnings per average common share    $0.29   $0.53   $0.29   $0.19   $0.11   PAA cost (benefit)    $17,870   ($238,941)  $3,891   $85,583   $168,408   PAA cost (benefit) per average common share    $0.02   ($0.23)  $0.00   $0.10   $0.19   Dividends declared per common share    $0.30   $0.30   $0.30   $0.30   $0.30   Total common and preferred dividends declared    $329,164   $329,147   $325,091   $295,471   $295,448   Annualized return (loss) on average equity    13.97%   57.23%   23.55%   (9.60%)  (29.47%)  Annualized return (loss) on average equity per unit of economic leverage    2.29%   8.94%   3.86%   (1.57%)  (4.75%)  Annualized core return on average equity    10.09%   17.53%   10.09%   6.78%   4.19%   Annualized core return on average equity per unit of economic leverage    1.65%   2.74%   1.65%   1.11%   0.68%   Net interest margin    1.47%   2.49%   1.40%   1.15%   0.79%   Average yield on interest earning assets    2.74%   3.81%   2.70%   2.48%   2.09%   Average cost of interest bearing liabilities    1.59%   1.53%   1.57%   1.68%   1.73%   Net interest spread    1.15%   2.28%   1.13%   0.80%   0.36%  

 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        For the quarters ended                March 31,  December 31,  September 30,  June 30,  March 31,        2017  2016  2016  2016  2016  Interest income:                 Residential Investment Securities  $515,910   $740,664   $493,226   $394,850   $315,717      Residential mortgage loans  3,864   2,539   1,608    -    -      Commercial investment portfolio  64,345   61,431   61,240   59,578   70,187      Reverse repurchase agreements  3,608   2,388   2,594   2,690   2,239      Total interest income  $587,727   $807,022   $558,668   $457,118   $388,143   Economic interest expense:                      Repurchase agreements  $173,090   $162,676   $154,083   $136,176   $132,891      Interest expense on swaps used to hedge cost of funds(1)  88,966   92,841   103,100   108,301   123,124      Securitized debt of consolidated VIEs  14,850   12,087   12,046   11,226   9,033      Participation sold  153   155   157   157   158      Other  10,332   8,478   7,868   5,196   5,365      Total economic interest expense  $287,391   $276,237   $277,254   $261,056   $270,571   Economic net interest income    $300,336   $530,785   $281,414   $196,062   $117,572                 6 

 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.  Unaudited, dollars in thousands  GAAP to Core Reconciliation  7        For the quarters ended                March 31,  December 31,  September 30,  June 30,  March 31,        2017  2016  2016  2016  2016  Core earnings reconciliation                   GAAP net income (loss)    $440,408   $1,848,483   $730,880   ($278,497)  ($868,080)  Less:                      Realized (gains) losses on termination of interest rate swaps   -   55,214   (1,337)  60,064    -      Unrealized (gains) losses on interest rate swaps  (149,184)  (1,430,668)  (256,462)  373,220   1,031,720      Net (gains) losses on disposal of investments  (5,235)  (7,782)  (14,447)  (12,535)  1,675      Net (gains) losses on trading assets  (319)  139,470   (162,981)  (81,880)  (125,189)     Net unrealized (gains) losses on investments measured at fair value through earnings  (23,683)  (110,742)  (29,675)  54,154   (128)     Bargain purchase gain   -    -   (72,576)   -    -      Corporate acquisition related expenses(1)   -    -   46,724   2,163    -      Net (income) loss attributable to noncontrolling interest  103   87   336   385   162   Plus:                      TBA dollar roll income(2)  69,968   98,896   90,174   79,519   83,189      MSR amortization(3)  (14,030)  (27,018)  (21,634)   -    -   Core earnings    $318,028   $565,940   $309,002   $196,593   $123,349   PAA cost (benefit)    $17,870   ($238,941)  $3,891   $85,583   $168,408  

 Includes interest expense on interest rate swaps used to hedge cost of funds.  Unaudited  Changes in Key Metrics  8        For the quarters ended                March 31,  December 31,  September 30,  June 30,  March 31,        2017  2016  2016  2016  2016  Book value, per common share rollforward:                   Book value, per common share, beginning of period    $11.16   $11.83   $11.50   $11.61   $11.73      Net income (loss) attributable to common stockholders  0.41   1.79   0.70   (0.32)  (0.96)     Other comprehensive income (loss) attributable to common stockholders  (0.04)  (2.16)  0.00   0.51   1.11      Common dividends declared  (0.30)  (0.30)  (0.30)  (0.30)  (0.30)     Issuance of common stock  0.00   0.00   (0.07)  0.00   0.00      Buyback of common stock  0.00   0.00   0.00   0.00   0.03   Book value, per common share, end of period    $11.23   $11.16   $11.83   $11.50   $11.61                        Changes in net interest margin                   Prior quarter net interest margin    2.49%  1.40%  1.15%  0.79%  1.80%  Quarter-over-quarter changes in contribution:                      Coupon on average interest-earning assets (including average TBA dollar roll balances)  0.11%  0.08%  (0.18%)  (0.05%)  (0.04%)     Net amortization of premiums  (0.92%)  0.93%  0.34%  0.39%  (0.86%)     Interest expense and realized gain (loss) on interest rate swaps  (0.10%)  0.04%  0.09%  0.03%  (0.05%)     TBA dollar roll income  (0.11%)  0.04%  0.00%  (0.01%)  (0.06%)  Current quarter net interest margin    1.47%   2.49%   1.40%   1.15%   0.79%                        Changes in net interest spread                   Prior quarter net interest spread    2.28%  1.13%  0.80%  0.36%  1.47%  Quarter-over-quarter changes in contribution:                      Coupon on average interest earning assets  (0.03%)  (0.01%)  (0.19%)  (0.09%)  (0.02%)     Net amortization of premiums  (1.04%)  1.12%  0.41%  0.48%  (1.04%)     Average cost of interest bearing liabilities(1)  (0.06%)  0.04%  0.11%  0.05%  (0.05%)  Current quarter net interest spread    1.15%   2.28%   1.13%   0.80%   0.36%                

 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  9        For the quarters ended                March 31,  December 31,  September 30,  June 30,  March 31,        2017  2016  2016  2016  2016                              Changes in GAAP return on average equity                   Prior quarter GAAP return on average equity    57.23%  23.55%  (9.60%)  (29.47%)  22.15%  Quarter-over-quarter changes in contribution:                      Coupon income  0.68%  (0.46%)  0.02%  (0.37%)  0.87%     Net amortization of premiums and accretion of discounts  (7.02%)  7.44%  2.24%  2.94%  (6.76%)     Interest expense and realized gain (loss) on interest rate swaps  (0.70%)  0.73%  0.14%  0.24%  (0.81%)     Realized (gains) losses on termination of interest rate swaps  1.71%  (1.75%)  2.11%  (2.07%)  0.00%     Unrealized (gains) / losses on interest rate swaps  (39.57%)  36.03%  21.12%  22.17%  (50.34%)     Realized and unrealized (gains) / losses on investments and trading assets  1.58%  (7.32%)  5.29%  (2.81%)  5.10%     Bargain purchase gain  0.00%  (2.34%)  2.34%  0.00%  0.00%     Other(1)  0.06%  1.35%  (0.11%)  (0.23%)  0.32%  Current quarter GAAP return on average equity    13.97%   57.23%   23.55%   (9.60%)  (29.47%)                Changes in core return on average equity                   Prior quarter core return on average equity    17.53%  10.09%  6.78%  4.19%  10.89%  Quarter-over-quarter changes in contribution:                      Coupon income  0.68%  (0.46%)  0.02%  (0.37%)  0.88%     Net amortization of premiums  (7.04%)  7.32%  2.36%  2.95%  (6.76%)     Economic interest expense and other swaps expense  (0.70%)  0.73%  0.14%  0.24%  (0.81%)     TBA dollar roll income  (0.84%)  0.16%  0.17%  (0.08%)  (0.32%)     Other(2)  0.46%  (0.31%)  0.62%  (0.15%)  0.31%  Current quarter core return on average equity    10.09%  17.53%  10.09%  6.78%  4.19%               

   Unaudited  Impact of PAA on Key Metrics  10        For the quarters ended                March 31,  December 31,  September 30,  June 30,  March 31,        2017  2016  2016  2016  2016  As reported:                   Annualized core return on average equity    10.09%  17.53%  10.09%  6.78%  4.19%  Net interest margin    1.47%  2.49%  1.40%  1.15%  0.79%  Net interest spread    1.15%  2.28%  1.13%  0.80%  0.36%  Average yield on interest earning assets    2.74%  3.81%  2.70%  2.48%  2.09%                Impact of PAA on Reported Result: Cost / (Benefit)                   Annualized core return on average equity    0.57%  (7.40%)  0.00%  2.95%  5.72%  Net interest margin    0.08%  (0.96%)  0.02%  0.39%  0.75%  Net interest spread    0.09%  (1.13%)  0.02%  0.47%  0.91%  Average yield on interest earning assets    0.09%  (1.13%)  0.02%  0.47%  0.91% 

 Weighted by face value.Weighted by notional value.  Unaudited, dollars in thousands  Residential Investments and TBA Derivative Overview as of March 31, 2017  11  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  $7,235,033   12.1%  3.15%  103.8%  103.3%  9.1%  $7,471,121   20 years  5,106,987   8.5%  3.49%  104.7%  104.1%  12.7%  5,314,919   >=30 years  47,676,928   79.4%  3.77%  106.4%  104.2%  9.9%  49,661,983   Total/Weighted Avg.  $60,018,948   100.0%  3.67%  105.9%  104.0%  10.1%  $62,448,023                                            TBA Purchase Contracts                         Weighted Avg.  Implied Cost        Implied Market  Type  Notional Value  % (2)  Coupon  Basis        Value  15-year  $4,080,000   40.3%  2.90%  $4,151,160         $4,162,481   30-year  6,041,000   59.7%  3.80%  6,254,565         6,268,126   Total/Weighted Avg.  $10,121,000   100.0%  3.43%  $10,405,725         $10,430,607                                                   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  $4,473,754   51.2%  2.96%  104.1%  104.9%  25.2%  $4,690,738   25 - 40 months  2,560,458   29.3%  2.44%  103.3%  103.0%  19.2%  2,636,946   41 - 60 months  639,247   7.3%  2.82%  103.6%  102.6%  16.4%  655,617   61 - 90 months  450,372   5.2%  3.02%  103.7%  102.6%  12.8%  461,954   >90 months  607,730   7.0%  2.99%  102.9%  102.0%  9.1%  620,180   Total/Weighted Avg.  $8,731,561   100.0%  2.80%  103.7%  103.8%  21.1%  $9,065,435                          

 Weighted by notional value.Weighted by fair value.  Unaudited, dollars in thousands  Residential Investments and TBA Derivative Overview as of March 31, 2017 (cont’d)  12  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  $4,391,529   56.5%  3.27%  13.3%  11.7%  10.0%  $513,700   Inverse Interest-Only  3,375,555   43.5%  5.16%  23.6%  20.2%  11.0%  681,332   Total/Weighted Avg.  $7,767,084   100.0%  4.09%  17.8%  15.4%  10.4%  $1,195,032                                                   Mortgage Servicing Rights                   Unpaid      Excess  Weighted Avg.        Principal    Weighted Avg.  Servicing  Loan Age    Estimated  Type  Balance     Coupon  Spread  (months)     Fair Value  Total/Weighted Avg.  $54,252,500      3.83%  0.24%  12.6      $632,166                                                   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  $639,847   24.7%  5.23%  100.9%  107.4%     $686,943   Alt-A  216,336   6.9%  4.19%  84.0%  88.0%     190,453   Prime  204,218   6.8%  4.66%  86.9%  92.7%     189,229   Subprime  734,883   24.5%  2.59%  89.1%  92.8%     681,679   NPL/RPL  206,690   7.5%  4.07%  100.1%  100.4%     207,459   Prime Jumbo  124,090   4.5%  3.50%  100.4%  100.8%     125,111   Prime Jumbo Interest-Only  823,708   0.5%  0.38%  1.7%  1.8%     15,162   Residential Mortgage Loans  671,855   24.6%  4.33%  102.1%  101.6%     682,416   Total/Weighted Avg.  $3,621,627   100.0%  3.21%           $2,778,452                          

 Excludes Residential Mortgage Loans.  Unaudited, dollars in thousands  Residential Credit Investments Detail as of March 31, 2017  (1)  13  By Sector Product             Product   Market Value  Coupon  Credit Enhancement  60+ Delinquencies  3M VPR   Alt-A   $190,453   4.19%  10.06%  11.78%  8.08%   Prime    189,229   4.66%  0.91%  10.05%  13.16%   Subprime    681,679   2.59%  26.31%  20.21%  4.57%   Prime Jumbo (>=2010 Vintage)    125,111   3.50%  16.26%  0.21%  13.65%   Prime Jumbo (>=2010 Vintage) Interest Only    15,162   0.38%  0.00%  0.07%  12.30%   Re-Performing Loan Securitizations    62,925   3.97%  45.25%  26.16%  3.85%   Agency Credit Risk Transfer    635,582   5.11%  1.24%  0.20%  13.66%   Private Label Credit Risk Transfer    51,361   6.56%  8.49%  2.71%  4.84%   Non-Performing Loan Securitizations    144,534   4.12%  52.78%  67.08%  3.77%   Total   $2,096,036   2.95%  11.97%  10.54%  9.73%              Market Value By Sector and Payment Structure             Product   Senior     Subordinate     Total   Alt-A   $103,190      $87,263      $190,453    Prime    28,228      161,001      189,229    Subprime    297,179       384,500       681,679    Prime Jumbo (>=2010 Vintage)    115,000      10,111      125,111    Prime Jumbo (>=2010 Vintage) Interest Only    15,162       -       15,162    Re-Performing Loan Securitizations    62,925      -      62,925    Agency Credit Risk Transfer    -       635,582       635,582    Private Label Credit Risk Transfer    -       51,361       51,361    Non-Performing Loan Securitizations    143,588       946       144,534    Total   $765,272      $1,330,764      $2,096,036               Market Value By Sector and Bond Coupon             Product   ARM  Fixed  Floater   Interest Only   Total   Alt-A   $53,609   $104,737   $32,107    $ -   $190,453    Prime    82,027    107,202    -    -    189,229    Subprime    -    81,470    600,209    -    681,679    Prime Jumbo (>=2010 Vintage)    4,674    120,437    -    -    125,111    Prime Jumbo (>=2010 Vintage) Interest Only    -    -    -    15,162    15,162    Re-Performing Loan Securitizations    -    62,925    -    -    62,925    Agency Credit Risk Transfer    -    -    635,582    -    635,582    Private Label Credit Risk Transfer    -    -    51,361    -    51,361    Non-Performing Loan Securitizations    -    144,534    -    -    144,534    Total   $140,310   $621,305   $1,319,259   $15,162   $2,096,036              

 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.Current weighted average levered returns equal 7.0%. Adjusted weighted average return to reflect subsequent change in financing economics is 13.0%.  Commercial Real Estate Overview as of March 31, 2017    14        GAAP            Non-GAAP                            Debt Held for Investment     Number of Loans  Book Values (1)  % of Respective Portfolio  Weighted Avg LTV (2) (3)  Weighted Avg Maturity (years) (4)    Economic Interest     Levered Return(5)  Financeable First Mortgages    14   $ 567,344   57.6%  68.8%  3.35     168,982     11.0%  Senior Participation Sold     1   16,485   1.7%  65.9%  0.08     3,731      5.6%  Mezzanine Loan Investments    28   392,291   39.8%  69.7%  3.62     350,473     9.6%  Preferred Equity Investments     1   8,971   0.9%  95.6%  1.67     9,000      11.2%  Total Debt Investments     44   $ 985,091   100.0%  69.3%  3.39     532,186      10.0%                                  Securitized Whole Loans and CMBS at Fair Value     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   $ 3,700,635   90.2%  77.5%  5.63     269,439     9.1%  AAA CMBS     12   363,406   8.9%  30.9%  1.55     49,542      13.9%  Credit CMBS    2   38,572   0.9%  69.5%  9.84     31,784      7.0%(6)  Total Securitized Whole Loans and CMBS at Fair Value    93   $ 4,102,613   100.0%  73.3%  5.30      350,765      9.6%                        Total Debt, Securitized Whole Loans and CMBS at Fair Value    137   $ 5,087,704   100.0%  72.5%  4.93      882,951      9.9%                        Equity Investments     Number of Properties  Book Value  % of Respective Portfolio        Economic Interest      Real Estate Held for Investment     26   $ 403,965   87.3%         147,454       Investment in Unconsolidated Joint Ventures    7   58,795   12.7%         67,242       Total Equity Investments     33   $ 462,760   100.0%         214,696                             Total          $ 5,550,464             1,097,647      

 Unaudited, dollars in thousands    Middle Market Lending Overview as of March 31, 2017    15  Industry Dispersion        Industry  Fixed Rate  Floating Rate  Total  Aircraft and Parts   $ -    $ 31,999    $ 31,999   Commercial Fishing   -    38,816    38,816   Computer Programming, Data Processing, and Other Computer Related Services   -    132,614    132,614   Drugs   -    33,837    33,837   Groceries and Related Products   -    14,865    14,865   Grocery Stores   -    23,689    23,689   Home Health Care Services   -    24,176    24,176   Insurance Agents, Brokers and Service   4,402    73,234    77,636   Management and Public Relations Services   -    16,518    16,518   Medical and Dental Laboratories   -    17,215    17,215   Miscellaneous Business Services   84,524    -    84,524   Miscellaneous Equipment Rental & Leasing   -    19,623    19,623   Miscellaneous Health and Allied Services, not elsewhere classified   -    9,764    9,764   Miscellaneous Nonmetallic Minerals, except Fuels   -    24,694    24,694   Miscellaneous Plastic Products   -    26,996    26,996   Motor Vehicles and Motor Vehicle Parts and Supplies   -    12,291    12,291   Offices and Clinics of Doctors of Medicine   -    92,171    92,171   Personnel Supply Services   -    34,726    34,726   Public Warehousing & Storage   -    55,287    55,287   Research, Development, and Testing Services   -    17,744    17,744   Schools and Educational Services, not elsewhere classified   -    20,916    20,916   Surgical, Medical, and Dental Instruments and Supplies   -    13,240    13,240   Telephone Communications   -    17,924    17,924   Total   $ 88,926    $ 752,339    $ 841,265               Size Dispersion        Position Size     Amount  Percentage   $0 - $20 million       $ 199,294   23.7%   $20 - $40 million       354,715   42.1%   $40 - $60 million       141,985   16.9%   greater than $60 million       145,271   17.3%   Total       $ 841,265   100.0%              Tenor Dispersion        Remaining Term     Amount  Percentage   One year or less       $ -   0.0%   One to three years       65,553   7.8%   Three to five years       435,262   51.7%   Greater than five years       340,450   40.5%   Total       $ 841,265   100.0%              Lien Position     Amount     First lien loans      $ 554,218   65.9%  Second lien loans      198,121   23.6%  Second lien notes      84,524   10.0%  Subordinated notes      4,402   0.5%  Total      $ 841,265   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 March 31, 2017     Principal  Weighted Average Rate          Balance  At Period End  For the Quarter  Days to Maturity (3)  Repurchase agreements  $62,719,087   1.15%  1.07%  88   Other secured financing  3,876,150   1.14%  1.07%  1,380   Securitized debt of consolidated VIEs  3,420,555   1.41%  1.66%  2,365   Participation sold  12,743   5.58%  4.77%  31   Mortgages payable  314,847   4.23%  4.46%  2,843   Total indebtedness  $70,343,382                           16  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   1.40%  1.23%  2.70   >=3 to <6 years    10,190,000   2.11%  1.07%  4.05   >= 6 to <10 years    9,200,600   2.39%  1.21%  7.77   Greater than 10 years    3,826,400   3.65%  1.01%  18.70   Total / Weighted Avg.     $27,859,000   2.25%  1.15%  6.82               Futures Positions                  Notional  Notional  Weighted Avg.        Long  Short  Years to  Type        Positions  Positions  Maturity(1)  2-year Swap Equivalent Eurodollar Contracts      -  (16,689,000)  2.00   U.S. Treasury Futures - 5 year       -  (1,697,200)  4.42   U.S. Treasury Futures - 10 year & Greater      -  (2,370,000)  7.17   Total       -  ($20,756,200)  2.79               Repurchase Agreements & Other Secured Financing                      Weighted Avg.        Principal    Rate  Maturity       Balance     At Period End  Within 30 days       $28,677,802      1.02%  30 to 59 days      6,227,321     0.99%  60 to 89 days       11,004,867      1.29%  90 to 119 days      3,625,633     1.24%  Over 120 days(2)       17,059,614      1.31%  Total / Weighted Avg.       $66,595,237      1.15% 

 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 March 31, 2017 and December 31, 2016.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.  17  Interest Rate Sensitivity (1)                    As of March 31, 2017       As of December 31, 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)    0.6%  3.9%    0.7%  5.0%  (50)     0.5%  3.6%     0.6%  4.4%  (25)    0.3%  2.3%    0.4%  2.6%  25     (0.5%)  (3.0%)     (0.5%)  (3.3%)  50    (1.0%)  (6.7%)    (1.1%)  (7.3%)  75     (1.6%)  (10.8%)     (1.7%)  (11.8%)                MBS Spread Sensitivity (1)                    As of March 31, 2017       As of December 31, 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%  10.0%    1.5%  10.2%  (15)     0.9%  6.0%     0.9%  6.1%  (5)    0.3%  2.0%    0.3%  2.0%  5     (0.3%)  (2.0%)     (0.3%)  (2.0%)  15    (0.9%)  (5.9%)    (0.9%)  (6.0%)  25     (1.5%)  (9.8%)     (1.5%)  (10.0%) 

 Appendix 

   Endnotes for Page 2  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).For purposes of calculating the Company’s leverage ratio, 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. 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.   19 

 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 March 31, 2017, December 31, 2016, September 30, 2016, June 30, 2016 and March 31, 2016 is provided on page 7 of this financial summary.   Unaudited, dollars in thousands  Non-GAAP Reconciliations        For the quarters ended                March 31,  December 31,  September 30,  June 30,  March 31,        2017  2016  2016  2016  2016  Economic Interest Expense Reconciliation              GAAP interest expense    $198,425   $183,396   $174,154   $152,755   $147,447   Add:                 Interest expense on interest rate swaps used to hedge cost of funds  88,966   92,841   103,100   108,301   123,124   Economic interest expense    $287,391   $276,237   $277,254   $261,056   $270,571   Economic Core Metrics              Interest Income    $587,727   $807,022   $558,668   $457,118   $388,143   Average interest earning assets    $85,664,151   $84,799,222   $82,695,270   $73,587,753   $74,171,943   Average yield on interest earning assets    2.74%  3.81%  2.70%  2.48%  2.09%  Economic interest expense    $287,391   $276,237   $277,254   $261,056   $270,571   Average interest bearing liabilities    $72,422,968   $72,032,600   $70,809,712   $62,049,474   $62,379,695   Average cost of interest bearing liabilities    1.59%  1.53%  1.57%  1.68%  1.73%  Net interest spread    1.15%  2.28%  1.13%  0.80%  0.36%  Net interest margin    1.47%  2.49%  1.40%  1.15%  0.79%  20