Third Quarter 2017 Investor Presentation November 1, 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 (“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 (“MSRs”); 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. Safe Harbor Notice 1

Overview

Source: Bloomberg, Company filings. Financial data as of September 30, 2017. Market data as of October 25, 2017.Agency assets include to be announced (“TBA”) purchase contracts (market value) and MSRs. ACREG assets are exclusive of consolidated variable interest entities (“VIEs”) associated with B-Piece commercial MBS. Dedicated capital includes TBA purchase contracts, excludes non-portfolio related activity and varies from total stockholders’ equity.Sector rank compares Annaly dedicated capital in each of its four investment groups as of September 30, 2017 (adjusted for P/B as of October 25, 2017) to the market capitalization of the companies in each respective comparative sector as of October 25, 2017. Comparative sectors used for Agency, ACREG, and Residential Credit ranking are their respective sector within the Bloomberg Mortgage REIT Index (“BBREMTG”). The comparative sector used for the AMML ranking is the S&P BDC Index. Levered return assumptions are for illustrative purposes only and attempt to represent current market asset returns and financing terms for prospective investments of the same, or a substantially similar, nature in each respective business. Annaly is a Leading Diversified Capital Manager 3 Agency Residential Credit Commercial Real Estate Middle Market Lending Strategy Countercyclical/Defensive Cyclical/Growth Cyclical/Growth Countercyclical/Defensive Levered Returns(4) 9% - 11% 9% - 11% 8% - 10% 9% - 11% The Annaly Agency Group invests in agency MBS collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae The Annaly Residential Credit Group invests in non-Agency residential mortgage assets within securitized product and whole loan markets The Annaly Commercial Real Estate Group (“ACREG”) originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments The Annaly Middle Market Lending Group (“AMML”) provides financing to private equity backed middle market businesses across the capital structure Assets(1) | Capital(2) $107.3bn | $11.3bn $2.7bn | $1.4bn $2.0bn | $1.1bn $0.9bn | $0.7bn Sector Rank(3) #1/6 #6/18 #4/12 #14/41

In 2017, Annaly successfully raised over $2.4 billion through two separate overnight common stock offerings and a marketed preferred stock offering Source: Bloomberg and Dealogic. Note: All comparative data as of respective pricing dates and all market data as of launch dates (unless otherwise indicated). July common offering size and gross proceeds include the underwriter’s full exercise of its overallotment option to purchase additional shares of common stock. October common offering size and gross proceeds include the underwriter’s partial exercise of its overallotment option to purchase additional shares of common stock. Preferred offering size and gross proceeds include the underwriter’s partial exercise of its overallotment option to purchase additional shares of preferred stock.Inclusive of all offerings as of respective pricing date for U.S. domiciled issuers. Inclusive of all $25 par perpetual preferred offerings during respective time period for all issuers (as of respective pricing date). Annaly Successfully Executed Multiple Market Leading Capital Raises $816 MillionCommon Equity Follow-OnJuly 18, 2017 Type of Offering Overnight Block Offering Offering Size 69.0 million shares (100% primary) Gross Proceeds $816 million (6.5% of Market Cap) Offering Price $11.83 Transaction Overview $720 Million6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred StockJuly 25, 2017 Type of Offering One-Day Marketed Preferred Stock Offering Offering Size 28.8 million shares ($25 per share) Gross Proceeds $720 million (5.4% of Market Cap) Coupon/Structure 6.95%/Non-Rated Fixed-Float (5-year) Transaction Overview $857 MillionCommon Equity Follow-OnOctober 6, 2017 Type of Offering Overnight Block Offering Offering Size 71.5 million shares (100% primary) Gross Proceeds $857 million (6.4% of Market Cap) Offering Price $12.00 Transaction Overview 4 4th Largest U.S. Block Offering Across All Industries in 2017(1) Largest Non-Rated Preferred Offering Ever(2) Combined with the July offering, represents the most overnight primary proceeds raised by one issuer across all U.S. equity markets in 2017

Constructive Investment Environment Persists We expect the immediate market impact of Fed tapering to be minimal and, over time, we believe the Fed’s exit from the market will continue to result in attractive investment returns for Annaly Current macro environment indicates continued, measured global growth and a stabilization of inflation below central bank targets Political risks have risen, yet central banks continue to support markets Balanced Macro Environment 1 Continued overseas central bank purchases and relatively higher U.S. yield levels should lead to continued support for U.S. fixed income valuation despite Fed taperingThe impact of Fed tapering on MBS spreads is currently limited given reduced net issuance as a result of seasonal factors, sound MBS demand, and continued easing from global central banks Fed Exit 2 While Agency spreads have tightened, returns remain attractive, particularly in light of subdued market volatilityEvidenced by our healthy credit pipelines, we see opportunities in credit expanding as the pace of spread tightening has moderated Attractive Agency and Credit Investment Returns 4 5 Muted Volatility 3 Muted volatility continues to provide increased visibility into prospective returns in Agency MBS as hedged carry remains attractiveGiven low realized and implied volatility, additional hedging has come at a reduced cost

Better economic fundamentals are balanced by strong demand for safe fixed income assets Balanced Macro Environment Annaly benefits from the broader environment backdrop as rates are unlikely to move significantly in either direction U.S. expansion continues, now supported by improved global growthRobust employmentNascent signs of rebound in business investmentCredit environment remains largely healthy Inflation has slowed considerably in 2017Recent pickup in wage growth may drive service prices higherHurricanes likely to boost input prices with construction demand in Q4 2017 Washington partisanship leaves diminishing odds of structural reformsGeopolitical risks –North Korea, Spain, Latin America, Middle EastUncertainty over Fed leadershipPopulist movements remain in European fringes Developed market central banks continue quantitative easing despite Fed exitAlthough pace of bond purchases peaked earlier this year, net bond demand from central banks likely to continue until 2019 Solid Growth Potential Inflation Rebound Continued Central Bank Demand Political Uncertainty Stronger U.S. Economy Demand for Safe Assets 1 6 Source: Bloomberg, Haver.Note: GDP growth data as of Q2 2017.

Market data as of October 25, 2017.Approximately $9 trillion in developed market debt continues to trade at negative rates.Net sovereign bond issuance figures based on IMF World Economic Outlook data. Agency MBS net issuance sourced from eMBS. Central bank purchases are based on annual changes in respective central bank balance sheets, while forecasts were derived assuming no changes to the purchase pace through the end of 2018 for both the Bank of Japan and the Swiss National Bank. The European Central Bank (“ECB”) is expected to purchase €30 billion a month while Fed runoff is based on NY Fed runoff projections.Outstanding debt figures derived based on Bloomberg Sovereign Bond Indices for particular countries, multiplied by current U.S. Dollar exchange rates. Yields are sourced from Bloomberg and average yields are weighted by market value. Limited issuance relative to historical averages should support U.S. fixed income valuations Continued central bank purchases will result in the U.S. as the only region with net positive sovereign bond supply for a fourth consecutive year in 2018Aggregate supply for all regions still remains below 2010 – 2013 annual supplyGlobalized financial markets should maintain correlation of global yields seen in recent years, meaning U.S. yields are unlikely to rise in a vacuum Fed Exit Outstanding U.S. government debt yields are currently at least 70 bps (55%) higher than other developed countries’ debt(1)Agency MBS spreads are likely to see a limited impact during first six months of the Fed taper given reduced net issuance as a result of seasonal factors and sound MBS demand Global fixed income supply should rise slowly… …leading to continued support for U.S. Fixed Income 2 * Bars represent aggregate sovereign bond net supply less central bank purchases. The U.S. portion also includes Agency MBS 7 Net Issuance of Sovereign Debt & U.S. Agency MBS(2) Outstanding Debt by Country(3) U.S. U.S. Treasuries

Volatility has declined despite the Fed taper announcement, the partisanship in Washington D.C. and geopolitical uncertainty for a number of potential reasonsEconomic data has shown reduced levels of volatility and continues to signal economic expansionCentral banks have significantly improved their communication, allowing markets to better anticipate upcoming actionsA large portion of developed market financial assets are held by central banks and non-economic entities, which are expected to decline slowlyRecent years have seen a meaningful rise in passive programmatic investing Global economies face more mature demographics and structural headwinds to high levels of inflation from globalization A number of persisting factors continue to drive volatility lower, reducing hedging costs Various Factors Impacting Volatility Implied and Realized Volatility Continue to Fall(1) Market data as of October 25, 2017.Implied and realized volatilities are sourced from Bloomberg. 8 Muted Volatility 3 6/14 Caps Announced 9/20 Taper Announced NLY has added $5bn of swaptions since May 2017

Strong performance has resulted in modest spread tightening for Agency MBSCurrent returns remain favorable in the 9% – 11% range amidst low levels of volatilityThe liquidity of Agency MBS allows for flexible rotation into other sectors as market dynamics change There continue to be attractive investment opportunities within Agency MBS and credit lending Agency MBS Hedge Adjusted Returns Remain Favorable Loan portfolio size based on par amount. Levered return is representative of annualized levered 2 month duration hedged investment return less financing costs (“carry”). Calculations utilize market data from Bloomberg and The Yield Book prepayment model. Carry calculations indicate the static return of an MBS position hedged across the curve to an aggregate 1 year duration gap over the next two months. Leverage is assumed to be 7.5x for illustrative purposes.CRT M2 and CMBS BBB- spreads provided by BAML. Residential Whole Loan and High Yield OAS sourced from Bloomberg. Middle Market Loans data sourced from S&P Global. CRE loan spreads represent average spread from Q1 2017 to Q3 2017 on all quoted CRE activity. Attractive Agency MBS and Credit Investment Returns 4 9 Disconnect Between Loan and Securities Markets Credit spreads across securitized markets have tightened significantly year-to-dateLoan markets have demonstrated more stickiness given more opaque natureAs such, Annaly’s aggregate residential loan portfolio(1) has grown nearly 3x YTD whereas the securities portfolio has contracted by nearly 15%Annaly’s unique partnerships and robust direct origination platforms are well positioned to capitalize on lending opportunities despite the competitive market environment Levered Return for Selected Agency MBS, (%)(2) Year to Date Spread Change, (%)(3)

Annaly Investment Highlights

Current Annaly Investment Thesis Annaly’s diversification strategy and proven investment platform provide a unique opportunity in today’s markets Annaly’s diversification into credit and floating rate assets enhances the Company’s stability, performance and optionality, differentiating the Company over the long term Diversification 1 Annaly’s size and scale equates to an unmatched amount of liquidity amongst mREITs available for deployment in any market environment Size and Liquidity 2 Annaly continues to operationally outperform its peers across each of its businesses Operating Efficiency 4 Annaly has implemented several new programs geared towards further strengthening the Company’s corporate governance and social impact; Employee Stock Purchase Plan remains “one-of-a-kind” in the entire market Strong Corporate Governance & Social Responsibility 5 11 Annaly trades at a relative discount to other yield-producing sectors despite consistent outperformance, stability and efficiency of the model Relative Valuation 7 Returns & Outperformance 6 Annaly has delivered strong shareholder returns, outperforming its peers and other yield sectors, both since its inception and since the initiation of the Company’s diversification strategy Source: Bloomberg. mREITs represent the BBREMTG. Diversification, size and scale continue to drive Annaly’s book value and core earnings stability Stability 3

Since the beginning of 2014, Annaly has increased its capital dedicated to credit assets from 11% to 23% at Q3 2017 and has further diversified its Agency exposure to floating rate assets Floating Rate & Credit Portfolio Evolution (Q4 2013 – Q3 2017) Source: Company filings, Bloomberg. Note: Financial data as of September 30, 2017.Inclusive of gains/losses and amortization/other. Commercial Real Estate assets are exclusive of consolidated VIEs and includes CMBS conduit securities. $30.9bn of Gross Assets - Deployed $23.5bn of Gross Assets – Run-off/Sold(1) ($ in millions) (2) Evolution of Annaly’s Diversified Model 12 1 (2)

Source: Bloomberg. Note: Market data as of October 25, 2017. ADTV represents the average daily value ($mm) traded for the trailing 3 months. Annaly is an industry leader in size with a market cap greater than $13.6bn Annaly’s 3 month ADTV is larger than that of the smallest 25 mREITs in aggregate Annaly continues to serve as a more liquid investment vehicle compared to its mortgage REIT peers Annaly’s market cap is greater than the 24 smallest mortgage REITs in aggregate 13 Industry Leading Size and Liquidity 2

Source: Bloomberg and Company filings. Includes all companies in the respective Agency, Hybrid, and Commercial sectors of the BBREMTG as of October 25, 2017.Dividend Stability measures the change in dividend from Q4 2013 to Q3 2017.Book Value Stability measures the change in book value from Q4 2013 to Q2 2017. Demonstrated Resiliency – Scaled Diversification Enhances Stability As a result of its diversification strategy, Annaly has continued to deliver a stable book value and consistent dividends, as evidenced by the 16th consecutive quarter of a $0.30 dividend Dividend Stability(1) NLY has declared a consistent dividend over the past 16 consecutive quarters Book value has demonstrated relative stability versus industry peers 14 Book Value Stability(2) 3

Stability of Annaly’s Core Earnings vs. Other Yield Investments Despite heightened market volatility, Annaly has continued to offer stable core earnings(1) over the past 3 years, particularly when compared to other yield strategies Source: Bloomberg, Company filings, SNL Financial. Note: Financials represent the S&P 500 Financial Index. Equity REITs represent the FTSE NAREIT Index. Banks represent the KBW Bank Index. mREITs include all companies in the respective Agency, Hybrid, and Commercial sectors of the BBREMTG as of October 25, 2017. Utilities represent the Russell 3000 Utilities Index. MLPs represent the Alerian MLP Index. “Core Earnings” represents a non-GAAP financial measure and is shown excluding PAA; see Appendix.Variability calculated as the percentage range between the highest and lowest quarterly “Adjusted Earnings” figures for each company from Q3 2014 to Q2 2017. Annaly and all mREITs utilize “Core” or similarly adjusted EPS (excluding PAA); Banks and Financials utilize adjusted net income; and Equity REITs, Utilities and MLPs utilize EBITDA. 3-Year Variability of Adjusted Earnings(1)(2) 15 Least Volatile MostVolatile 3

Note: Financial data for the year to date period ended June 30, 2017. Operating expense is defined as: (i) for internally-managed peers, the sum of compensation and benefits, general and administrative expenses (“G&A”) and other operating expenses, and (ii) for externally-managed peers, the sum of net management fees, compensation and benefits (if any), G&A and other operating expenses. Agency Peers consist of AGNC, CYS, CMO, ANH, and ARR. Residential Credit Peers consist of CIM, NRZ, MTGE, IVR, MFA, TWO, and RWT. ACREG Peers consist of ARI, BXMT, STWD, ACRE, and LADR. AMML Peers consist of ARCC, SUNS, and PFLT.“Core Earnings” represents a non-GAAP financial measure and is shown excluding PAA; see Appendix.Peer Composite is calculated by weighting Annaly’s dedicated equity of each business to the corresponding peer average’s operating expenses divided by total equity. Operational Efficiency 16 Annaly benefits from its diversification, operating at significantly lower cost levels than smaller, monoline models Operating Expenses / Core Earnings (%)(1) (2) 4 Annaly Dedicated Equity Allocation Agency 77% Hybrid 10% Commercial 8% MML 5% Annaly operates 25% more efficiently than a similarly weighted profile(2)

Commitment to Strong Corporate Governance & Social Responsibility Annaly Board of Directors External Annaly CEO, Kevin Keyes, named Chairman of the Board, effective January 1, 2018Announced the addition of Katie Beirne Fallon and Vicki Brinson Williams to the Board, effective January 1, 2018 With nearly 40 years of combined experience, these directors provide expertise in corporate governance, government affairs, public relations, legal, and risk managementAnnounced addition of Public Responsibility Committee to the Board Established investment partnership with Capital Impact Partners (“CIP”), a prominent community development financial institutionCIP provides investments to generate both social and financial returns for the benefit of underserved communitiesPartnership enhances Annaly’s position as a positive and meaningful influence in the community and a thought leader in the mREIT space Internal Management Ownership and Shareholder Alignment Continual focus on refreshment of Board of Directors’ committee membership—most recently changed in November 2017Women’s Interactive Network established in 2017, which represents over 30% of the firm across all levelsCEO roundtable discussions held with 100% of employeesDevelopment programs for analysts, associates, vice presidents and directors – representing nearly 80% of employees In Q3 2017, members of Annaly’s senior management team committed to increase voluntary stock ownership over next three years Annaly has unique, broad-based Employee Stock Ownership Guidelines, which encourages senior employees to purchase Annaly shares in the open marketPromotes long-term value, ownership culture and alignment with shareholders100% of Annaly stock acquired by employees has been through open market purchases 5 Continued Internal & External Initiatives

Source: Bloomberg, SNL, Company filings.Note: Data shown as of most recent proxy filing available.Note: mREIT sector represent the BBREMTG. Bank sector represent the KBW Bank Index, S&P represent the SPX Index. Data as of October 25, 2017.Reflects voluntary ownership commitment, which is 50% higher than Mr. Keyes’ ownership requirement. 18 Stock Ownership Culture Aligns Interests of Employees with Those of Shareholders Program Overview Annaly Employee Stock Ownership Program Employee Stock Ownership Detail Annaly’s CEO Ownership Commitment Relative to Peers Average Size of CEO Ownership Requirements ($mm) Annual Equity Grants Alone Often Cover CEO Ownership Requirements In April 2016, Annaly initiated its Employee Stock Ownership Guidelines to encourage senior employees to purchase Annaly shares on the open marketIn July 2017, Annaly CEO, Kevin Keyes, voluntarily increased his commitment by 50%, pledging to own an aggregate of $15mm of Annaly common stock within the next 3 yearsOther members of senior management, including CFO, CIO, CCO, and CLO, also agreed to voluntarily increase stock ownership positions beyond the amounts required under 2016 stock ownership guidelines Annaly’s management team has shown a unique commitment to the Company through open market purchases of stock, further aligning interests with shareholders (1) Participants: >40% of total employee baseStatus: As of Q3 2017, all individuals subject to the stock ownership guidelines have either met or are expected to meet such guidelines within the applicable period100% of Annaly stock acquired by employees since the implementation of the broad-based ownership guidelines has been through open market purchases 5

Source: Bloomberg. mREITs represent the BBREMTG. Equity REITs represent BBREIT Index. Utilities represent the Russell 3000 Utilities Index. MLPs represent the Alerian MLP Index. Asset Managers represent the S&P 500 Asset Management and Custody Bank Index. Banks represent the KBW Bank Index. S&P represents SPX Index.Note: Market data from December 31, 2013 to October 25, 2017. Returns and Outperformance Annaly’s current investment team has outperformed other yield options since the beginning of 2014 80.3% 56.9% 58.0% 49.7% 36.9% (27.2%) 43.7% 19 6

Relative Valuation – Annaly vs. Other Yield Sectors Source: Bloomberg. MLPs represent the Alerian MLP Index. Utilities represent the Russell 3000 Utilities Index. Equity REITS represent the S&P 500 REITS Industry Index. Banks represent the KBW Bank Index. S&P represent the SPX Index. Asset Managers represent the S&P 500 Asset Management and Custody Bank Index. Note: Market Data as of October 25, 2017. Financial data as of most recent quarter available.Beta refers to Bloomberg’s ‘Overridable Adjusted Beta’ which estimates the degree to which a stock’s price will fluctuate based on a given movement in the representative market index, calculated over a 2 year period as of October 25, 2017. SPX Index is used as the relative index for the beta calculation. Annaly’s yield and stability are superior to other yield asset classes, yet valuation still lags 20 Price to Book Yield 7 Beta(1)

Business Update

Pass Through Coupon Type Agency MBS Portfolio Note: Data as of September 30, 2017. Percentages based on fair market value and may not sum to 100% due to rounding.Includes TBA purchase contracts and MSRs.“High Quality Spec” protection is defined as pools backed by original loan balances of up to $125K, highest LTV pools (CR>125%LTV), geographic concentrations (NY/PR). “Med Quality Spec” includes 200K loan balance, 175K loan balance, 150k loan balance, high LTV pools (CQ 105-125% LTV) . “35+ WALA” is defined as weighted average loan age greater than 50 months and treated as seasoned collateral. The Agency portfolio grew to $107.3 billion during Q3 2017, a ~21% increase from Q2 2017(1)Portfolio growth primarily driven by deployment of capital raised from 2017 equity offerings Modestly increased leverage to take advantage of a calm investment environmentStrong demand for Agency MBS, as well as a muted impact of the Federal Reserve’s end to portfolio reinvestment, led to a meaningful MBS spread tightening late in Q3 2017Despite the tighter spreads, MBS remain attractive as lower volatility has reduced hedging costs ~85% of the portfolio is positioned in securities with prepayment protection at the end of Q3 2017Began selectively investing in GSE-guaranteed Multifamily MBS and will continue to evaluate this sector relative to Agency MBS Asset Type(1) Call Protection(2) Total Dedicated Capital: $11.3 billion(1) 15 & 20Yr: 20% 30Yr+:80% 22

Note: Data as of September 30, 2017. Percentages based on fair market value and reflect economic interest in securitizations. Jumbo 2.0 includes the economic interest of certain positions that are classified as residential mortgage loans within our consolidated financial statements. Percentages may not sum to 100% due to rounding. Pie charts are shown exclusive of securitized residential mortgage loans of a consolidated VIE.Prime classification includes $912mm of Prime IO. The Residential Credit portfolio grew to $2.7 billion during Q3 2017, a ~3% increase from Q2 2017Increase in portfolio size largely attributable to growth of the whole loan platformNear term, we expect to continue to see opportunities in expanded, new origination whole loansResidential credit (excluding CRT) remains relatively insulated from macro moves, exhibiting minimal spread volatilityCRT exhibited modest spread widening during the quarter, driven largely by investor concerns on recent natural disasters. Spreads have since returned to pre-hurricane levelsThe residential credit team invests in more than 10 subsectors and is positioned to deploy capital opportunistically during periods of dislocation Higher dedicated capital reflective of lower percentage of residential credit assets funded through street repo Sector Type(1)(2) Effective Duration(1) Coupon Type(1) Total Dedicated Capital: $1.4 billion Residential Credit Portfolio 23

Commercial Real Estate Portfolio Note: Data as of September 30, 2017. Percentages based on economic interest and may not sum to 100% due to rounding. Portfolio data excludes consolidated VIEs associated with B Piece commercial mortgage-backed securities and includes CMBS conduit securities.Other represents states that do not comprise more than 5% of total portfolio value. The Commercial Real Estate portfolio was net unchanged at $2.0 billion in assets during Q3 2017Assets continue to perform as the supply/demand fundamentals in the U.S. commercial real estate market remain favorableNew investment activity has been moderate, primarily a result of a cautious stance on credit and valuations, a significant decline in new acquisition activity by sponsors, and a highly competitive market$213 million of new investments closed in Q3 2017, coupled with $6 million of additional fundings$188 million of portfolio runoff in Q3 2017Borrowers achieved business plans/assets appreciated in valueActive pipeline with quality opportunities, but will remain disciplined Asset Type Sector Type Geographic Concentration(1) Total Dedicated Capital: $1.1 billion 24

Middle Market Lending Portfolio Lien Position Industry(1) Loan Size(2) The Middle Market Lending portfolio grew to $856 million in assets during Q3 2017, an ~11% increase from Q2 2017Despite reduced M&A activity and a technical imbalance with increased capital raising, fund flows and new issue CLOs, the Annaly Middle Market Lending portfolio has grown at returns that are accretive to the existing portfolioUnlevered portfolio yield of 8.45% at the end of Q3 2017Portfolio of ~30 borrowers is well diversified by sponsor, industry and borrower Total Dedicated Capital: $0.7 billion Note: Data as of September 30, 2017. Percentages based on amortized cost and may not sum to 100% due to rounding.Based on Standard Industrial Classification industry categories.Breakdown based on aggregate $ amount of individual investments made within the respective loan size buckets. Multiple investment positions with a single obligor shown as one individual investment. 25

Performance Highlights and Trends Unaudited, dollars in thousands except per share amounts *Represents a non-GAAP financial measure; see Appendix.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 is defined as net income (loss) excluding gains or losses on disposals of investments and termination of interest rate swaps, unrealized gains or losses on interest rate swaps and investments measured at fair value through earnings, net gains and losses on trading assets, impairment losses, net income (loss) attributable to noncontrolling interest, corporate acquisition related expenses and certain other non-recurring gains or losses, and inclusive of TBA dollar roll income (a component of Net gains (losses) on trading assets) and realized amortization of MSRs (a component of net unrealized gains (losses) on investments measured at fair value through earnings). Core earnings (excluding PAA) excludes the premium amortization adjustment 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. Includes non-Agency securities, credit risk transfer securities and residential mortgage loans.Includes consolidated VIEs and loans held for sale.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, other secured financing and securitized debt, participation sold and mortgages payable are non-recourse to the Company and are excluded from this measure.Represents CRT securities, non-Agency mortgage-backed securities, residential mortgage loans, commercial real estate debt investments and preferred equity investments, loans held for sale, investments in commercial real estate and corporate debt, net of financing. 26

Appendix: Non-GAAP Reconciliations

To supplement its consolidated financial statements, which are prepared and presented in accordance with GAAP, the Company provides non-GAAP financial measures. These measures should not be considered a substitute for, or superior to, financial measures computed in accordance with GAAP. 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. Unaudited, dollars in thousands except per share amounts 28 Non-GAAP Reconciliations Represents transaction costs incurred in connection with the Hatteras Acquisition.Represents a component of Net gains (losses) on trading assets.Represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net unrealized gains (losses) on investments measured at fair value.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.

Non-GAAP Reconciliations (Cont’d) 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. 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. Unaudited, dollars in thousands except per share amounts 29