This presentation, other written or oral communications, and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities (“MBS”) and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our commercial business; our ability to grow our residential mortgage credit business; our ability to grow our middle market lending business; credit risks related to our investments in credit risk transfer securities, residential mortgage-backed securities and related residential mortgage credit assets, commercial real estate assets and corporate debt; risks related to investments in mortgage servicing rights; our ability to consummate any contemplated investment opportunities; changes in government regulations and policy affecting our business; our ability to maintain our qualification as a REIT for U.S. federal income tax purposes; and our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.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 U.S. generally accepted accounting principles (“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.    1  Safe Harbor Notice 

 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.   2  Q3 2017 Financial Snapshot        For the quarters ended          September 30,  June 30,        2017  2017  Income Statement        GAAP net income per average common share (1)    $0.31   ($0.01)  Core earnings (excluding PAA) per average common share (1)(2)    $0.30   $0.30   Core earnings per average common share (1)(2)    $0.26   $0.23   PAA cost (benefit) per average common share    0.04    0.07   Annualized GAAP return on average equity    10.98%   0.46%   Annualized core return on average equity (excluding PAA)    10.57%   10.54%   Balance Sheet        Book value per common share    $11.42   $11.19   Leverage at period-end (3)    5.4x   5.6x   Economic leverage at period-end (4)    6.9x   6.4x   Capital ratio at period-end (5)    12.3%  13.2%  Portfolio        Agency mortgage-backed securities    $85,889,131   $73,963,998   Mortgage servicing rights    570,218   605,653   Residential credit portfolio (6)    2,706,092   2,619,564   Commercial real estate investments (7)    5,321,786   5,375,251   Corporate debt    856,110   773,957   Total residential and commercial investments    $95,343,337   $83,338,423   Net interest margin (8)     1.33%   1.23%   Net interest margin (excluding PAA) (8)    1.47%   1.53%   Average yield on interest earning assets (9)    2.79%   2.58%   Average yield on interest earning assets (excluding PAA) (9)    2.97%   2.93%   Net interest spread    0.97%   0.84%   Net interest spread (excluding PAA)    1.15%   1.19%   Other Information          Annualized operating expenses as a % of average assets    0.25%  0.25%  Annualized operating expenses as a % of average equity    1.70%  1.71% 

Unaudited, dollars in thousands  3  Last Five Quarters Summary Data  Includes consolidated VIEs and loans held for sale.        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  2016  2016  Portfolio-Related Data:              Agency mortgage-backed securities    $85,889,131   $73,963,998   $72,708,490   $75,589,873   $73,476,105   Mortgage servicing rights    570,218   605,653   632,166    652,216    492,169   Residential credit portfolio    2,706,092   2,619,564   2,778,452   2,468,318   2,439,704   Commercial real estate investments (1)    5,321,786   5,375,251   5,550,464   5,881,236   6,033,576   Corporate debt    856,110   773,957   841,265   773,274   716,831   Total residential and commercial investments    $95,343,337   $83,338,423   $82,510,837   $85,364,917   $83,158,385   Total assets    $97,574,181   $84,976,578   $84,658,957   $87,905,046   $86,909,306   Average TBA position    $19,291,834   $14,206,869   $10,655,785   $14,613,149   $17,280,237   Residential Investment Securities:                      % Fixed-rate  89%   86%   85%   83%   81%      % Adjustable-rate  11%   14%   15%   17%   19%      Weighted average experienced CPR for the period  10.3%   10.9%   11.5%   15.6%   15.9%      Weighted average projected long-term CPR at period end  10.4%   10.6%   10.0%   10.1%   14.4%      Net premium and discount balance in Residential Investment Securities  $5,745,022   $5,164,105   $5,149,099   $5,318,376   $4,920,750      Net premium and discount balance as % of stockholders' equity  40.60%   40.98%   40.74%   42.32%   37.13%  

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.  Unaudited, dollars in thousands except per share amounts  4  Last Five Quarters Summary Data (cont’d)        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  2016  2016  Liabilities, Capital and Hedging Data:              Repurchase agreements    $69,430,268   $62,497,400   $62,719,087   $65,215,810   $61,784,121   Other secured financing    3,713,256   3,785,543   3,876,150   3,884,708   3,804,742   Securitized debt of consolidated VIEs    3,357,929   3,438,675   3,477,059   3,655,802   3,712,821   Participation sold     -    -   12,760   12,869   12,976   Mortgages payable    311,886   311,810   311,707   311,636   327,632   Total debt    $76,813,339   $70,033,428   $70,396,763   $73,080,825   $69,642,292   Total liabilities    $83,418,963   $72,367,153   $72,011,608   $75,329,074   $73,647,503   Cumulative redeemable preferred stock    $1,720,381   $1,200,559   $1,200,559   $1,200,559   $1,200,559   Common equity(1)    12,428,377   11,401,955   11,439,467   11,367,621   12,053,103   Total Annaly stockholders' equity    14,148,758   12,602,514   12,640,026   12,568,180   13,253,662   Non-controlling interests    6,460   6,911   7,323   7,792   8,141   Total equity    $14,155,218   $12,609,425   $12,647,349   $12,575,972   $13,261,803   Weighted average days to maturity of repurchase agreements    65   88   88   96   128   Weighted average rate on repurchase agreements, at period-end    1.38%   1.38%   1.15%   1.07%   1.07%   Weighted average rate on repurchase agreements, for the quarter    1.34%   1.25%   1.07%   1.01%   0.97%   Leverage at period-end    5.4x   5.6x   5.6x   5.8x   5.3x   Economic leverage at period-end    6.9x   6.4x   6.1x   6.4x   6.1x   Capital ratio at period-end    12.3%   13.2%   13.8%   13.1%   13.3%   Book value per common share    $11.42   $11.19   $11.23   $11.16   $11.83   Total common shares outstanding    1,088,084   1,019,028   1,018,971   1,018,913   1,018,858   Hedge ratio(2)    67%   67%   63%   56%   52%   Weighted average pay rate on interest rate swaps    2.27%   2.26%   2.25%   2.22%   2.25%   Weighted average receive rate on interest rate swaps    1.35%   1.28%   1.15%   1.02%   0.88%   Weighted average net rate on interest rate swaps    0.92%   0.98%   1.10%   1.20%   1.37%  

 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, including cumulative and undeclared dividends on the Company’s Series F Preferred stock of $8.3 million for the quarter ended September 30, 2017.  Unaudited, dollars in thousands except per share amounts  5  Last Five Quarters Summary Data (cont’d)        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  2016  2016  Performance-Related Data:              Total interest income    $622,550   $537,426   $587,727   $807,022   $558,668   Total interest expense    268,937   222,281   198,425   183,396   174,154   Net interest income    $353,613   $315,145   $389,302   $623,626   $384,514   Total economic interest expense (1)    $347,501   $306,533   $287,391   $276,237   $277,254   Economic net interest income (1)    $275,049   $230,893   $300,336   $530,785   $281,414   Total interest income (excluding PAA)    $662,449   $610,126   $605,597   $568,081   $562,559   Economic net interest income (excluding PAA) (1)    $314,948   $303,593   $318,206   $291,844   $285,305   GAAP net income (loss)    $367,315   $14,522   $440,408   $1,848,483   $730,880   GAAP net income (loss) available (related) to common shareholders (2)    $337,192   ($8,849)  $417,038   $1,825,097   $708,413   GAAP net income (loss) per average common share (2)    $0.31   ($0.01)  $0.41   $1.79   $0.70   Core earnings (excluding PAA)    $353,546   $332,601   $335,898   $326,999   $312,893   Core earnings (excluding PAA) available to common shareholders (2)    $323,191   $309,128   $312,425   $303,526   $290,090   Core earnings (excluding PAA) per average common share (2)    $0.30   $0.30   $0.31   $0.30   $0.29   Core earnings    $313,647   $259,901   $318,028   $565,940   $309,002   Core earnings available to common shareholders (2)    $283,292   $236,428   $294,555   $542,467   $286,199   Core earnings per average common share (2)    $0.26   $0.23   $0.29   $0.53   $0.29   PAA cost (benefit)    $39,899   $72,700   $17,870   ($238,941)  $3,891   PAA cost (benefit) per average common share    $0.04   $0.07   $0.02   ($0.23)  $0.00  

 Excludes undeclared dividends on the Company’s Series F Preferred stock of $8.3 million for the quarter ended September 30, 2017.Includes interest expense on interest rate swaps used to hedge cost of funds.  Unaudited, dollars in thousands except per share amounts  6  Last Five Quarters Summary Data (cont’d)        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  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 (1)    $348,479   $329,182   $329,164   $329,147   $325,091   Annualized GAAP return (loss) on average equity    10.98%   0.46%   13.97%   57.23%   23.55%   Annualized GAAP return (loss) on average equity per unit of economic leverage    1.59%   0.07%   2.29%   8.94%   3.86%   Annualized core return on average equity (excluding PAA)    10.57%   10.54%   10.66%   10.13%   10.09%   Annualized core return on average equity per unit of economic leverage (excluding PAA)    1.53%   1.65%   1.75%   1.58%   1.65%   Net interest margin    1.33%   1.23%   1.47%   2.49%   1.40%   Net interest margin (excluding PAA)    1.47%   1.53%   1.55%   1.53%   1.42%   Average yield on interest earning assets    2.79%   2.58%   2.74%   3.81%   2.70%   Average yield on interest earning assets (excluding PAA)    2.97%   2.93%   2.83%   2.68%   2.72%   Average cost of interest bearing liabilities (2)    1.82%   1.74%   1.59%   1.53%   1.57%   Net interest spread    0.97%   0.84%   1.15%   2.28%   1.13%   Net interest spread (excluding PAA)    1.15%   1.19%   1.24%   1.15%   1.15% 

 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  7  Components of Economic Net Interest Income        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  2016  2016  Interest income:                 Residential Investment Securities  $540,436   $459,308   $515,910   $740,664   $493,226      Residential mortgage loans  8,509   7,417   3,864    2,539    1,608      Commercial investment portfolio  67,790   68,153   64,345   61,431   61,240      Reverse repurchase agreements  5,815   2,548   3,608   2,388   2,594      Total interest income  $622,550   $537,426   $587,727   $807,022   $558,668   Economic interest expense:                      Repurchase agreements  $237,669   $197,151   $173,090   $162,676   $154,083      Interest expense on swaps used to hedge cost of funds(1)  78,564   84,252   88,966   92,841   103,100      Securitized debt of consolidated VIEs  16,072   11,977   14,850   12,087   12,046      Participation sold   -   42   153   155   157      Other  15,196   13,111   10,332   8,478   7,868      Total economic interest expense  $347,501   $306,533   $287,391   $276,237   $277,254   Economic net interest income    $275,049   $230,893   $300,336   $530,785   $281,414      PAA cost (benefit)  39,899   72,700   17,870   (238,941)  3,891   Economic net interest income (excluding PAA)    $314,948   $303,593   $318,206   $291,844   $285,305

 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 mortgage servicing rights (“MSR”) portfolio and is reported as a component of Net unrealized gains (losses) on investments measured at fair value.  Unaudited, dollars in thousands  8  GAAP Net Income to Core Earnings Reconciliation        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  2016  2016  Core earnings reconciliation                   GAAP net income (loss)    $367,315   $14,522   $440,408   $1,848,483   $730,880   Less:                      Realized (gains) losses on termination of interest rate swaps   -    58   -   55,214    (1,337)     Unrealized (gains) losses on interest rate swaps  (56,854)  177,567   (149,184)  (1,430,668)  (256,462)     Net (gains) losses on disposal of investments  11,552   5,516   (5,235)  (7,782)  (14,447)     Net (gains) losses on trading assets  (154,208)  14,423   (319)  139,470   (162,981)     Net unrealized (gains) losses on investments measured at fair value through earnings  67,492   (16,240)  (23,683)  (110,742)  (29,675)     Bargain purchase gain   -    -    -    -    (72,576)     Corporate acquisition related expenses(1)   -    -    -   -    46,724      Net (income) loss attributable to noncontrolling interest  232   102   103   87   336   Plus:                      TBA dollar roll income(2)  94,326   81,051   69,968   98,896   90,174      MSR amortization(3)  (16,208)  (17,098)  (14,030)   (27,018)   (21,634)  Core earnings    313,647   259,901   318,028   565,940   309,002   Less:                   PAA cost (benefit)    39,899   72,700   17,870   (238,941)  3,891   Core earnings (excluding PAA)    $353,546   $332,601   $335,898   $326,999   $312,893

 Unaudited  9  Changes in Key Metrics  Excludes the effect of cumulative and undeclared dividends on the Company’s Series F Preferred stock.        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  2016  2016  Book value, per common share rollforward:                   Book value per common share, beginning of period    $11.19   $11.23   $11.16   $11.83   $11.50      Net income (loss) available (related) to common stockholders (1)  0.32   (0.01)  0.41   1.79   0.70      Other comprehensive income (loss) attributable to common stockholders  0.19   0.27   (0.04)  (2.16)  0.00      Common dividends declared  (0.30)  (0.30)  (0.30)  (0.30)  (0.30)     Issuance of common stock / redemption of preferred stock  0.02   0.00   0.00   0.00   (0.07)  Book value per common share, end of period    $11.42   $11.19   $11.23   $11.16   $11.83                        Changes in net interest margin                   Prior quarter net interest margin    1.23%  1.47%  2.49%  1.40%  1.15%  Quarter-over-quarter changes in contribution:                      Coupon on average interest-earning assets (including average TBA dollar roll balances)  (0.12%)  (0.05%)  0.11%  0.08%  (0.18%)     Net amortization of premiums  0.22%  (0.18%)  (0.92%)  0.93%  0.34%     Interest expense and realized gain (loss) on interest rate swaps  (0.01%)  (0.05%)  (0.10%)  0.04%  0.09%     TBA dollar roll income  0.01%  0.04%  (0.11%)  0.04%  0.00%  Current quarter net interest margin    1.33%   1.23%   1.47%   2.49%   1.40%                 Changes in net interest margin (excluding PAA)                   Prior quarter net interest margin (excluding PAA)    1.53%  1.55%  1.53%  1.42%  1.54%  Quarter-over-quarter changes in contribution:                      Coupon on average interest-earning assets (including average TBA dollar roll balances)  (0.12%)  (0.05%)  0.11%  0.08%  (0.18%)     Net amortization of premiums, excluding PAA  0.06%  0.04%  0.12%  (0.05%)  (0.03%)     Interest expense and related realized gain (loss) on interest rate swaps  (0.01%)  (0.05%)  (0.10%)  0.04%  0.09%     TBA dollar roll income  0.01%  0.04%  (0.11%)  0.04%  0.00%  Current quarter net interest margin (excluding PAA)    1.47%   1.53%   1.55%   1.53%   1.42%

 Includes interest expense on interest rate swaps used to hedge cost of funds.  Unaudited  10  Changes in Key Metrics (cont’d)        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  2016  2016  Changes in net interest spread                   Prior quarter net interest spread    0.84%  1.15%  2.28%  1.13%  0.80%  Quarter-over-quarter changes in contribution:                      Coupon on average interest earning assets  0.00%  0.09%  (0.03%)  (0.01%)  (0.19%)     Net amortization of premiums  0.21%  (0.25%)  (1.04%)  1.12%  0.41%     Average cost of interest bearing liabilities(1)  (0.08%)  (0.15%)  (0.06%)  0.04%  0.11%  Current quarter net interest spread    0.97%   0.84%   1.15%   2.28%   1.13%                               Changes in net interest spread (excluding PAA)                   Prior quarter net interest spread (excluding PAA)    1.19%  1.24%  1.15%  1.15%  1.27%  Quarter-over-quarter changes in contribution:                      Coupon on average interest earning assets  0.00%  0.09%  (0.03%)  (0.01%)  (0.19%)     Net amortization of premiums, excluding PAA  0.04%  0.01%  0.18%  (0.03%)  (0.04%)     Average cost of interest bearing liabilities(1)  (0.08%)  (0.15%)  (0.06%)  0.04%  0.11%  Current quarter net interest spread (excluding PAA)    1.15%   1.19%   1.24%   1.15%   1.15%

 Includes other income (loss), general and administrative expenses and income taxes.Includes other income (loss), 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  11  Changes in Key Metrics (cont’d)        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  2016  2016  Changes in GAAP return on average equity                   Prior quarter GAAP return on average equity    0.46%  13.97%  57.23%  23.55%  (9.60%)  Quarter-over-quarter changes in contribution:                      Coupon income  0.24%  (0.14%)  0.68%  (0.46%)  0.02%     Net amortization of premiums and accretion of discounts  1.35%  (1.48%)  (7.02%)  7.44%  2.24%     Interest expense and realized gain (loss) on interest rate swaps  (0.58%)  (0.50%)  (0.70%)  0.73%  0.14%     Realized (gains) losses on termination of interest rate swaps  0.00%  0.00%  1.71%  (1.75%)  2.11%     Unrealized (gains) / losses on interest rate swaps  7.32%  (10.36%)  (39.57%)  36.03%  21.12%     Realized and unrealized (gains) / losses on investments and trading assets  2.36%  (1.04%)  1.58%  (7.32%)  5.29%     Bargain purchase gain  0.00%  0.00%  0.00%  (2.34%)  2.34%     Other(1)  (0.17%)  0.01%  0.06%  1.35%  (0.11%)  Current quarter GAAP return on average equity    10.98%   0.46%   13.97%   57.23%   23.55%                 Changes in core return on average equity (excluding PAA)                   Prior quarter core return on average equity (excluding PAA)    10.54%  10.66%  10.13%  10.09%  9.73%  Quarter-over-quarter changes in contribution:                      Coupon income  0.24%  (0.14%)  0.68%  (0.46%)  0.02%     Net amortization of premiums (excluding PAA)  0.24%  0.26%  0.93%  (0.08%)  (0.59%)     Economic interest expense and other swaps expense  (0.58%)  (0.50%)  (0.70%)  0.73%  0.14%     TBA dollar roll income  0.25%  0.35%  (0.84%)  0.16%  0.17%     Other(2)  (0.12%)  (0.09%)  0.46%  (0.31%)  0.62%  Current quarter core return on average equity (excluding PAA)    10.57%  10.54%  10.66%  10.13%  10.09% 

 Includes Agency-backed multifamily securities with an estimated fair value of $411.5 million.Weighted by current face value.Weighted by notional value.  Unaudited, dollars in thousands  12  Residential Investments and TBA Derivative Overview as of September 30, 2017  Agency Fixed-Rate Securities (Pools)                Weighted Avg.  Current     Weighted Avg.  Weighted Avg.  Weighted Avg.  Weighted Avg.  Estimated  Years to Maturity  Face Value  % (2)  Coupon  Amortized Cost  Fair Value  3-Month CPR  Fair Value  <=15 years (1)  $6,955,526   9.4%  3.23%  103.9%  103.4%  9.7%  $7,192,052   20 years  4,699,704   6.4%  3.48%  104.6%  104.4%  12.0%  4,904,998   >=30 years  61,944,725   84.2%  3.80%  106.1%  105.2%  9.0%  65,166,403   Total/Weighted Avg.  $73,599,955   100.0%  3.73%  105.8%  105.0%  9.2%  $77,263,453                                            TBA Purchase Contracts                         Weighted Avg.  Implied Cost        Implied Market  Type  Notional Value  % (3)  Coupon  Basis        Value  15-year  $2,345,000   11.7%  2.89%  $2,405,109         $2,398,602   30-year  17,615,000   88.3%  3.81%  18,439,271         18,427,543   Total/Weighted Avg.  $19,960,000   100.0%  3.70%  $20,844,380         $20,826,145                                                   Agency Adjustable-Rate Securities                Weighted Avg.  Current     Weighted Avg.  Weighted Avg.  Weighted Avg.  Weighted Avg.  Estimated  Months to Reset  Face Value  % (2)  Coupon  Amortized Cost  Fair Value  3-Month CPR  Fair Value  0 - 24 months  $4,950,651   68.1%  2.95%  104.2%  103.6%  23.4%  $5,129,640   25 - 40 months  1,259,903   17.3%  2.53%  103.4%  102.1%  7.9%  1,286,162   41 - 60 months  89,102   1.2%  3.34%  103.2%  103.3%  17.9%  92,027   61 - 90 months  600,548   8.3%  3.03%  103.5%  102.4%  17.1%  614,968   >90 months  374,010   5.1%  2.96%  102.3%  101.9%  12.3%  381,009   Total/Weighted Avg.  $7,274,214   100.0%  2.89%  103.9%  103.2%  19.6%  $7,503,806

 Weighted by current notional value.Weighted by estimated fair value.  Unaudited, dollars in thousands  13  Residential Investments & TBA Derivative Overview as of September 30, 2017 (cont’d)  Agency Interest-Only Collateralized Mortgage-Backed Obligations                   Current Notional     Weighted Avg.  Weighted Avg.  Weighted Avg.  Weighted Avg.  Estimated  Type  Value  % (1)  Coupon  Amortized Cost  Fair Value  3-Month CPR  Fair Value  Interest-only  $2,987,168   43.8%  3.34%  14.0%  12.0%  9.6%  $359,476   Inverse Interest-only  3,834,807   56.2%  4.87%  23.6%  19.9%  12.1%  762,396   Total/Weighted Avg.  $6,821,975   100.0%  4.20%  19.4%  16.4%  11.0%  $1,121,872                                                   Mortgage Servicing Rights                   Unpaid      Excess  Weighted Avg.        Principal    Weighted Avg.  Servicing  Loan Age    Estimated  Type  Balance     Coupon  Spread  (months)     Fair Value  Total/Weighted Avg.  $50,993,133      3.83%  0.24%  18.4      $570,218                                                   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  $534,608   21.5%  5.32%  103.2%  109.0%     $582,938   Alt-A  200,757   6.6%  4.43%  83.5%  89.5%     179,725   Prime  235,851   8.2%  4.43%  85.8%  93.6%     220,641   Prime Interest-only  334,298   0.0%  0.10%  0.3%  0.3%     912   Subprime  597,658   21.0%  2.57%  87.2%  95.0%     567,890   NPL/RPL  104,936   3.9%  4.20%  99.9%  100.3%     105,273   Prime Jumbo  135,669   5.0%  3.59%  97.5%  98.9%     134,171   Prime Jumbo Interest-only  1,037,547   0.7%  0.46%  1.6%  1.8%     18,623   Residential Mortgage Loans  878,574   33.1%  4.35%  101.9%  102.0%     895,919   Total/Weighted Avg.  $4,059,898   100.0%  2.85%           $2,706,092

 Excludes residential mortgage loans.  Unaudited, dollars in thousands  14  Residential Credit Investments Detail as of September 30, 2017  (1)  By Sector Product             Product   Market Value  Coupon  Credit Enhancement  60+ Delinquencies  3M VPR   Alt-A   $179,725   4.43%  11.39%  12.29%  12.32%   Prime    220,641   4.43%  1.15%  9.42%  16.33%   Prime Interest-only    912   0.10%  0.00%  3.91%  19.96%   Subprime    567,890   2.57%  20.30%  19.36%  7.44%   Prime Jumbo (>=2010 Vintage)    134,171   3.59%  14.11%  0.05%  10.03%   Prime Jumbo (>=2010 Vintage) Interest-only    18,623   0.46%  0.00%  0.00%  8.73%   Re-Performing Loan Securitizations    50,289   3.99%  47.97%  27.75%  6.27%   Agency Credit Risk Transfer    544,105   5.18%  1.25%  0.18%  11.46%   Private Label Credit Risk Transfer    38,833   7.19%  6.44%  2.30%  14.61%   Non-Performing Loan Securitizations    54,984   4.39%  52.83%  70.06%  2.93%   Total   $1,810,173   2.44%  7.15%  7.23%  10.87%              Market Value By Sector and Payment Structure             Product   Senior     Subordinate     Total   Alt-A   $101,654      $78,071      $179,725    Prime    26,759      193,882      220,641    Prime Interest-only    912       -       912    Subprime    250,955       316,935       567,890    Prime Jumbo (>=2010 Vintage)    107,539       26,632       134,171    Prime Jumbo (>=2010 Vintage) Interest-only    18,623       -       18,623    Re-Performing Loan Securitizations    50,289       -       50,289    Agency Credit Risk Transfer    -       544,105       544,105    Private Label Credit Risk Transfer    -       38,833       38,833    Non-Performing Loan Securitizations    47,147       7,837       54,984    Total   $603,878      $1,206,295      $1,810,173               Market Value By Sector and Bond Coupon             Product   ARM  Fixed  Floater   Interest Only   Total   Alt-A   $52,029   $99,846   $27,850    $0   $179,725    Prime    114,435    106,206    -    -    220,641    Prime Interest-only    -    -    -    912    912    Subprime    -    86,179    481,711    -    567,890    Prime Jumbo (>=2010 Vintage)    -    134,171    -    -    134,171    Prime Jumbo (>=2010 Vintage) Interest-only    -    -    -    18,623    18,623    Re-Performing Loan Securitizations    -    50,289    -    -    50,289    Agency Credit Risk Transfer    -    -    544,105    -    544,105    Private Label Credit Risk Transfer    -    -    38,833    -    38,833    Non-Performing Loan Securitizations    -    54,984    -    -    54,984    Total   $166,464   $531,675   $1,092,499   $19,535   $1,810,173

 Unaudited, dollars in thousands  Book values net of unamortized net origination fees.Total weighted based on carrying value.Based on an internal valuation or the most recent third party appraisal, which may be prior to loan origination/purchase date or at the time of underwriting.Maturity dates assume all of the borrowers' extension options are exercised.Levered Return – Represents the current coupon plus accretion and amortization of origination fees and premium/discounts over investment economic interest.Equity levered returns are calculated based on trailing twelve months cash-on-cash returns, updated quarterly and on a one month lag.Includes investment in unconsolidated debt fund of $17.8 million.  15  Commercial Real Estate Overview as of September 30, 2017          GAAP            Non-GAAP                            Mortgage Debt & Preferred Equity Investments    Number of Investments  Book Values (1)  % of Respective Portfolio  Weighted Avg LTV (2) (3)  Weighted Avg Life (years) (4)    Economic Interest     Levered Return(5)  Financeable First Mortgages     13   580,609   59.1%  69.4%  3.81     245,783      8.7%  Mezzanine Loan Investments    22   392,159   40.0%  70.2%  3.42     369,743     9.7%  Preferred Equity Investments     1   8,980   0.9%  95.6%  1.19     8,980      11.2%  Total Mortgage Debt & Preferred Equity Investments     36   $ 981,748   100.0%  69.9%  3.63     $ 624,506      9.3%                        Securitized Debt Investments     Number of Investments  Fair Value  % of Respective Portfolio  Weighted Avg LTV   Weighted Avg Life (years)     Economic Interest     Levered Return(5)  Securitized Whole Loans     63   3,578,631   92.5%  69.7%  5.05     259,250      9.9%  AAA CMBS    10   247,508   6.4%  28.8%  1.43     33,545     11.8%  Credit CMBS     3   42,971   1.1%  68.4%  9.13     17,184      14.3%  Total Securitized Debt Investments    76   $ 3,869,110   100.0%  67.1%  4.86     $ 309,979      10.4%                        Total Debt & Preferred Equity Investments    112   $ 4,850,858   100.0%  67.7%  4.61     $ 934,485      9.7%                        Equity Investments     Number of Properties  Book Value  % of Respective Portfolio        Economic Interest     Levered Return(6)  Real Estate Held for Investment     26   396,624   84.2%         147,454      10.3%  Investment in Unconsolidated Joint Ventures(7)    14   74,304   15.8%         84,376     8.8%  Total Equity Investments     40   $ 470,928   100.0%         $ 231,830      9.6%                        Total          $ 5,321,786             $ 1,166,315      9.7%

 Unaudited, dollars in thousands    16  Middle Market Lending Overview as of September 30, 2017    Industry Dispersion        Industry  Fixed Rate  Floating Rate  Total  Aircraft and Parts   $ -    $ 34,846    $ 34,846   Coating, Engraving and Allied Services   -    63,643    63,643   Computer Programming, Data Processing & Other Computer Related Services   -    149,005    149,005   Drugs   -    33,431    33,431   Electronic Components & Accessories   -    23,885    23,885   Groceries and Related Products   -    14,803    14,803   Grocery Stores   -    23,560    23,560   Home Health Care Services   -    23,893    23,893   Insurance Agents, Brokers and services   4,604    72,555    77,159   Management and Public Relations Services   -    94,608    94,608   Medical and Dental Laboratories   -    25,990    25,990   Miscellaneous Business Services   -    19,754    19,754   Miscellaneous Equipment Rental and Leasing   -    19,651    19,651   Miscellaneous Health and Allied Services, not elsewhere classified   -    25,982    25,982   Miscellaneous Nonmetallic Minerals, except Fuels   -    25,931    25,931   Miscellaneous Plastic Products   -    9,978    9,978   Motor Vehicles and Motor Vehicle Parts and Supplies   -    12,230    12,230   Offices and Clinics of Doctors of Medicine   -    59,991    59,991   Offices and Clinics of Other Health Practitioners   -    7,397    7,397   Public Warehousing and Storage   -    40,900    40,900   Research, Development and Testing Services   -    17,732    17,732   Schools and Educational Services, not elsewhere classified   -    20,941    20,941   Surgical, Medical, and Dental Instruments and Supplies   -    12,961    12,961   Telephone Communications   -    17,839    17,839   Total   $ 4,604    $ 851,506    $ 856,110               Size Dispersion        Position Size     Amount  Percentage   $0 - $20 million       $ 242,885   28.4%   $20 - $40 million       293,665   34.3%   $40 - $60 million       182,328   21.3%   Greater than $60 million       137,232   16.0%   Total       $ 856,110   100.0%              Tenor Dispersion        Remaining Term     Amount  Percentage   One year or less       $ -   0.0%   One to three years       23,126   2.7%   Three to five years       307,421   35.9%   Greater than five years       525,563   61.4%   Total       $ 856,110   100.0%              Lien Position     Amount     First lien loans      $ 542,776   63.4%  Second lien loans     308,730   36.1%  Subordinated notes      4,604   0.5%  Total      $ 856,110   100.0%

 

 Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 8% 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  17  Hedging and Liabilities as of September 30, 2017     Principal  Weighted Average Rate          Balance  At Period End  For the Quarter  Days to Maturity (3)  Repurchase agreements  $69,430,268   1.38%  1.34%  65   Other secured financing  3,713,256   1.49%  1.63%  1,190   Securitized debt of consolidated VIEs  3,287,374   1.87%  1.92%  2,150   Mortgages payable  314,811   4.24%  4.34%  2,661   Total indebtedness  $76,745,709                           Interest Rate Swaps                Current  Weighted Avg.  Weighted Avg.  Weighted Avg.  Maturity     Notional  Pay Rate  Receive Rate  Years to Maturity  0 to 3 years    $8,617,000   1.72%  1.36%  2.45   >3 to 6 years    10,609,050   2.17%  1.31%  4.59   > 6 to 10 years    9,805,000   2.41%  1.40%  7.74   Greater than 10 years    3,826,400   3.65%  1.28%  18.72   Total / Weighted Avg.     $32,857,450   2.27%  1.35%  6.44               Futures Positions                  Notional  Notional  Weighted Avg.        Long  Short  Years to  Type        Positions  Positions  Maturity(1)  2-year Swap Equivalent Eurodollar Contracts      -  (17,080,875)  2.00   U.S. Treasury Futures - 5 year       -  (4,217,400)  4.41   U.S. Treasury Futures - 10 year & Greater      -  (4,646,000)  7.03   Total       -  ($25,944,275)  3.29               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  $4,000,000  2.57%  3M LIBOR  9.96   6.88               Repurchase Agreements & Other Secured Financing                      Weighted Avg.        Principal    Rate  Maturity       Balance     At Period End  Within 30 days       $33,176,429      1.34%  30 to 59 days      6,588,239     1.34%  60 to 89 days       15,873,458      1.39%  90 to 119 days      3,306,328     1.40%  Over 120 days(2)       14,199,070      1.48%  Total / Weighted Avg.       $73,143,524      1.38%

 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  18  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 September 30, 2017 and June 30, 2017.The interest rate sensitivity reflects instantaneous parallel shifts in rates.The MBS spread sensitivity shifts MBS spreads instantaneously and reflects exposure to MBS basis risk.All tables assume no active management of the portfolio in response to rate or spread changes.  Interest Rate Sensitivity (1)                    As of September 30, 2017       As of June 30, 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)    0.4%  2.8%    0.3%  2.0%  (50)     0.4%  2.9%     0.4%  2.4%  (25)    0.3%  2.1%    0.3%  1.7%  25     (0.4%)  (3.1%)     (0.4%)  (2.6%)  50    (1.0%)  (6.9%)    (0.9%)  (6.0%)  75     (1.6%)  (11.4%)     (1.5%)  (9.9%)                MBS Spread Sensitivity (1)                    As of September 30, 2017       As of June 30, 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%  11.7%    1.6%  10.4%  (15)     1.0%  7.0%     0.9%  6.2%  (5)    0.3%  2.3%    0.3%  2.1%  5     (0.3%)  (2.3%)     (0.3%)  (2.1%)  15    (1.0%)  (6.9%)    (0.9%)  (6.1%)  25     (1.6%)  (11.4%)     (1.5%)  (10.2%)

 Appendix

 20  Endnotes for Page 2  Net of dividends on preferred stock, including cumulative and undeclared dividends on the Company’s Series F Preferred stock of $8.3 million for the quarter ended September 30, 2017.Core earnings and core earnings per average common share are non-GAAP measures 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 (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. Core earnings (excluding PAA) excludes the 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. Computed as the sum of repurchase agreements, other secured financing, securitized debt, participation sold and mortgages payable divided by total equity. 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.Computed as 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 MBS, credit risk transfer securities and residential mortgage loans (includes securitized residential mortgage loans of a consolidated VIE).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).

 To supplement its consolidated financial statements, which are prepared and presented in accordance with GAAP, the Company provides non-GAAP financial measures. These measures should not be considered a substitute for, or superior to, financial measures computed in accordance with GAAP. While intended to offer a fuller understanding of the Company’s results and operations, non-GAAP financial measures also have limitations. For example, the Company may calculate its non-GAAP metrics, such as core earnings or the PAA, differently than its peers making comparative analysis difficult. Additionally, in the case of non-GAAP measures that exclude the PAA, the amount of amortization expense excluding the PAA is not necessarily representative of the amount of future periodic amortization nor is it indicative of the term over which the Company will amortize the remaining unamortized premium. Changes to actual and estimated prepayments will impact the timing and amount of premium amortization and, as such, both GAAP and non-GAAP results. These non-GAAP measures provide additional detail to enhance investor understanding of the Company’s period-over-period operating performance and business trends, as well as for assessing the Company’s performance versus that of industry peers. Additional information pertaining to 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 September 30, 2017, June 30, 2017, March 31, 2017, December 31, 2016, and September 30, 2016 is provided on page 8 of this financial summary.   Unaudited, dollars in thousands  21  Non-GAAP Reconciliations        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2017  2017  2017  2016  2016  Premium Amortization Reconciliation              Premium amortization expense    $220,636   $251,084   $203,634   ($19,812)  $213,241   Less:                 PAA cost (benefit)  39,899   72,700   17,870   (238,941)  3,891   Premium amortization expense (excluding PAA)    $180,737   $178,384   $185,764   $219,129   $209,350   Interest Income (excluding PAA) Reconciliation              GAAP interest income    $622,550   $537,426   $587,727   $807,022   $558,668      PAA cost (benefit)  39,899   72,700   17,870   (238,941)  3,891   Interest Income (excluding PAA)    $662,449   $610,126   $605,597   $568,081   $562,559   Economic Interest Expense Reconciliation              GAAP interest expense    $268,937   $222,281   $198,425   $183,396   $174,154   Add:                 Interest expense on interest rate swaps used to hedge cost of funds  78,564   84,252   88,966   92,841   103,100   Economic interest expense    $347,501   $306,533   $287,391   $276,237   $277,254   Economic Net Interest Income (excluding PAA) Reconciliation              Interest income (excluding PAA)    $662,449   $610,126   $605,597   $568,081   $562,559   Less:                 Economic interest expense  347,501   306,533   287,391   276,237   277,254   Economic net interest Income (excluding PAA)    $314,948   $303,593   $318,206   $291,844   $285,305   Economic Metrics (excluding PAA)              Interest income (excluding PAA)    $662,449   $610,126   $605,597   $568,081   $562,559   Average interest earning assets    $89,253,094   $83,427,268   $85,664,151   $84,799,222   $82,695,270   Average yield on interest earning assets (excluding PAA)    2.97%  2.93%  2.83%  2.68%  2.72%  Economic interest expense    $347,501   $306,533   $287,391   $276,237   $277,254   Average interest bearing liabilities    $76,382,315   $70,486,779   $72,422,968   $72,032,600   $70,809,712   Average cost of interest bearing liabilities    1.82%  1.74%  1.59%  1.53%  1.57%  Net interest spread (excluding PAA)    1.15%  1.19%  1.24%  1.15%  1.15%  Net interest margin (excluding PAA)    1.47%  1.53%  1.55%  1.53%  1.42%