8-K

_________________________________________________

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported)

May 2, 2018

          Annaly Capital Management, Inc. 

(Exact Name of Registrant as Specified in its Charter)

Maryland	1-13447	22-3479661
State or Other Jurisdiction Of Incorporation)	(Commission File Number)	(I.R.S. Employer Identification No.)

1211 Avenue of the Americas New York, New York	10036
(Address of Principal Executive Offices)	(Zip Code)

Registrant’s telephone number, including area code: (212) 696-0100

(Former Name or Former Address, if Changed Since Last Report)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

[ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

[ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

[ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

[ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company  [ ]

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  [ ]

Item 2.02. Results of Operations and Financial Condition

On May 2, 2018, the registrant issued a press release announcing its financial results for the quarter ended March 31, 2018. A copy of the press release is furnished as Exhibit 99.1 to this report. In addition, the registrant posted a financial summary on the Investors section of its website (www.annaly.com). A copy of the financial summary is furnished as Exhibit 99.2 to this report and incorporated herein by reference.

Item 9.01 Financial Statements and Exhibits

(d) Exhibits

99.1Press Release, dated May 2, 2018, issued by Annaly Capital Management, Inc.

99.2First Quarter 2018 Financial Summary

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

ANNALY CAPITAL MANAGEMENT, INC.
By:	/s/Glenn A. Votek
	Name: Glenn A. Votek
	Title: Chief Financial Officer

Dated: May 2, 2018

EX-99.1

ANNALY CAPITAL MANAGEMENT, INC. REPORTS 1st QUARTER 2018 RESULTS

NEW YORK—May 2, 2018 —Annaly Capital Management, Inc. (NYSE: NLY) (the “Company” or “Annaly”) today announced its financial results for the quarter ended March 31, 2018.

Quarterly Financial Highlights

• GAAP net income of $1.3 billion, $1.12 per average common share

• Core earnings (excluding PAA) were $385.3 million, $0.30 per average common share

• GAAP return on average equity was 36.86% and core return on average equity (excluding PAA) was 10.70%

• Book value per common share of $10.53

• Economic leverage of 6.5x as compared to 6.6x at December 31, 2017

• Net interest margin (excluding PAA) of 1.52%, up from 1.51% in the prior quarter

• Increased hedge ratio to 94%, up from 70% as of December 31, 2017

Business Highlights

• Continued expansion of credit businesses, representing 26% of dedicated capital at March 31, 2018, up from 24% as of December 31, 2017

• Raised $425.0 million of preferred equity with the lowest coupon in history for a non-rated offering; proceeds used, in part, to redeem over $400 million of preferred stock, reducing the cost of preferred capital by 27 bps

• Further diversified efficient funding sources for residential mortgage loans beyond FHLB with debut securitization of $327.5 million of UPB

• Continued governance improvements by adopting enhanced Board evaluation process, including individual director assessments by an external facilitator

• Authored industry leading white paper, in conjunction with an economist from the Federal Reserve Bank of New York, that evaluates Fannie Mae and Freddie Mac’s Credit Risk Transfer (“CRT”) initiative

• Declared 18^th consecutive quarterly dividend of $0.30 per common share

"After years of global accommodative policy, the first quarter demonstrated an inflection point - as we've discussed as inevitable - beyond which investors would no longer accept risk without differentiation of valuation," commented Kevin Keyes, Chairman, Chief Executive Officer and President. "Increased volatility and rising interest rates created a more challenging investment environment in the first quarter. Though we were not immune from the market backdrop, Annaly proactively managed our businesses to not only withstand short-term market shocks, but, as importantly, to position our portfolio for the long term. We significantly increased our hedge ratio and continued to selectively diversify into lower-levered floating rate credit assets, increasing our allocation to credit to 26%. With 36 complementary investment options across our four businesses, our diversified model, size, liquidity and conservative leverage profile uniquely position us to capitalize on opportunities resulting from increased volatility which will likely persist in the quarters ahead.”

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Financial Performance

The following table summarizes certain key performance indicators as of and for the quarters ended March 31, 2018, December 31, 2017 and March 31, 2017:

	March 31, 2018			December 31, 2017			March 31, 2017
Book value per common share	$	10.53		$	11.34		$	11.23
Economic leverage at period-end (1)	6.5:1			6.6:1			6.1:1
GAAP net income (loss) per average common share (2)	$	1.12		$	0.62		$	0.41
Annualized GAAP return (loss) on average equity	36.86		%	20.58		%	13.97		%
Net interest margin (3)	1.94		%	1.47		%	1.47		%
Average yield on interest earning assets (4)	3.45		%	2.97		%	2.74		%
Average cost of interest bearing liabilities (5)	1.90		%	1.83		%	1.59		%
Net interest spread	1.55		%	1.14		%	1.15		%
Core Earnings Metrics: *
Core earnings (excluding PAA) per average common share (2)(6)	$	0.30		$	0.31		$	0.31
Core earnings per average common share (2)(6)	$	0.41		$	0.30		$	0.29
PAA cost (benefit) per average common share	$	(0.11	)	$	0.01		$	0.02
Annualized core return on average equity (excluding PAA)	10.70		%	10.67		%	10.66		%
Net interest margin (excluding PAA) (3)	1.52		%	1.51		%	1.55		%
Average yield on interest earning assets (excluding PAA) (4)	2.99		%	3.02		%	2.83		%
Net interest spread (excluding PAA)	1.09		%	1.19		%	1.24		%

* Represents non-GAAP financial measures. Please refer to the ‘Non-GAAP Financial Measures’ section for additional information.

(1) Computed as the sum of recourse debt, to-be-announced (“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.

(2) Net of dividends on preferred stock. The quarter ended December 31, 2017 excludes cumulative and undeclared dividends of $8.3 million on the Company's Series F Preferred Stock as of September 30, 2017.

(3) Net interest margin represents the sum of the Company's interest income plus TBA dollar roll income less interest expense and realized gains (losses) on interest rate swaps divided by the sum of average Interest Earning Assets plus average TBA contract balances. Net interest margin (excluding PAA) excludes the premium amortization adjustment (“PAA”) representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities.

(4) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).

(5) Includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss).

(6) Core earnings is defined as net income (loss) excluding gains or losses on disposals of investments and termination or maturity 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, transaction 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 mortgage servicing rights ("MSR") (a component of net unrealized gains (losses) on investments measured at fair value through earnings). Core earnings (excluding PAA) excludes the premium amortization adjustment.

Other Information

This news release 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 financing; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our commercial real estate 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

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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.

Annaly is a leading diversified capital manager that invests in and finances residential and commercial assets. Annaly’s principal business objective is to generate net income for distribution to its stockholders and to preserve capital through prudent selection of investments and continuous management of its portfolio. Annaly has elected to be taxed as a real estate investment trust, or REIT, for federal income tax purposes. Annaly is externally managed by Annaly Management Company LLC. Additional information on the Company can be found at www.annaly.com.

The Company prepares a supplemental investor presentation and a financial summary for the benefit of its shareholders. Both the First Quarter 2018 Investor Presentation and the First Quarter 2018 Financial Summary can be found at the Company’s website (www.annaly.com) in the Investors section under Investor Presentations.

Conference Call

The Company will hold the first quarter 2018 earnings conference call on May 3, 2018 at 10:00 a.m. Eastern Time. The number to call is 888-317-6003 for domestic calls and 412-317-6061 for international calls. The conference passcode is 5191574. There will also be an audio webcast of the call on www.annaly.com. The replay of the call will be available for one week following the conference call. The replay number is 877-344-7529 for domestic calls and 412-317-0088 for international calls and the conference passcode is 10119215. If you would like to be added to the e-mail distribution list, please visit www.annaly.com, click on Investors, then select Email Alerts and complete the email notification form.

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Financial Statements

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(dollars in thousands, except per share data)

	March 31, 2018			December 31, 2017 (1)			September 30, 2017			June 30, 2017			March 31, 2017
	(Unaudited)						(Unaudited)			(Unaudited)			(Unaudited)
ASSETS
Cash and cash equivalents	$	984,275		$	706,589		$	867,840		$	700,692		$	819,421
Investments, at fair value:
Agency mortgage-backed securities	88,579,097			90,551,763			85,889,131			73,963,998			72,708,490
Credit risk transfer securities	628,942			651,764			582,938			605,826			686,943
Non-Agency mortgage-backed securities	1,066,343			1,097,294			1,227,235			1,234,053			1,409,093
Residential mortgage loans (2)	1,535,685			1,438,322			895,919			779,685			682,416
Mortgage servicing rights	596,378			580,860			570,218			605,653			632,166
Commercial real estate debt investments (3)	2,960,323			3,089,108			3,869,110			3,972,560			4,102,613
Commercial real estate debt and preferred equity, held for investment	1,081,295			1,029,327			981,748			928,181			985,091
Investments in commercial real estate	480,063			485,953			470,928			474,510			462,760
Corporate debt	1,152,745			1,011,275			856,110			773,957			841,265
Interest rate swaps, at fair value	69,109			30,272			12,250			10,472			19,195
Other derivatives, at fair value	161,193			283,613			266,249			154,004			196,935
Reverse repurchase agreements	200,459			—			—			—			—
Receivable for investments sold	45,126			1,232			340,033			9,784			354,126
Accrued interest and dividends receivable	326,989			323,526			293,207			263,217			266,887
Other assets	421,448			384,117			353,708			399,456			388,224
Goodwill	71,815			71,815			71,815			71,815			71,815
Intangible assets, net	20,948			23,220			25,742			28,715			31,517
Total assets	$	100,382,233		$	101,760,050		$	97,574,181		$	84,976,578		$	84,658,957
LIABILITIES AND STOCKHOLDERS’ EQUITY
Liabilities:
Repurchase agreements	$	78,015,431		$	77,696,343		$	69,430,268		$	62,497,400		$	62,719,087
Other secured financing	3,830,075			3,837,528			3,713,256			3,785,543			3,876,150
Securitized debt of consolidated VIEs (4)	2,904,873			2,971,771			3,357,929			3,438,675			3,477,059
Participation sold	—			—			—			—			12,760
Mortgages payable	309,794			309,686			311,886			311,810			311,707
Interest rate swaps, at fair value	427,838			569,129			606,960			614,589			572,419
Other derivatives, at fair value	153,103			38,725			75,529			99,380			52,496
Dividends payable	347,897			347,876			326,425			305,709			305,691
Payable for investments purchased	91,327			656,581			5,243,868			1,043,379			340,383
Accrued interest payable	284,696			253,068			231,611			185,720			182,478
Accounts payable and other liabilities	74,264			207,770			121,231			84,948			161,378
Total liabilities	86,439,298			86,888,477			83,418,963			72,367,153			72,011,608
Stockholders’ Equity:
7.875% Series A Cumulative Redeemable Preferred Stock (5)	—			—			—			177,088			177,088
7.625% Series C Cumulative Redeemable Preferred Stock (6)	169,466			290,514			290,514			290,514			290,514
7.50% Series D Cumulative Redeemable Preferred Stock (7)	445,457			445,457			445,457			445,457			445,457
7.625% Series E Cumulative Redeemable Preferred Stock (8)	—			287,500			287,500			287,500			287,500
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (9)	696,910			696,910			696,910			—			—
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (10)	411,335			—			—			—			—
Common stock, par value $0.01 per share (11)	11,597			11,596			10,881			10,190			10,190
Additional paid-in capital	17,218,191			17,221,265			16,377,805			15,581,760			15,580,038
Accumulated other comprehensive income (loss)	(3,000,080		)	(1,126,020		)	(640,149		)	(850,767		)	(1,126,091		)
Accumulated deficit	(2,015,612		)	(2,961,749		)	(3,320,160		)	(3,339,228		)	(3,024,670		)
Total stockholders’ equity	13,937,264			14,865,473			14,148,758			12,602,514			12,640,026
Noncontrolling interest	5,671			6,100			6,460			6,911			7,323
Total equity	13,942,935			14,871,573			14,155,218			12,609,425			12,647,349
Total liabilities and equity	$	100,382,233		$	101,760,050		$	97,574,181		$	84,976,578		$	84,658,957

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(1) Derived from the audited consolidated financial statements at December 31, 2017.

(2) Includes securitized residential mortgage loans transferred or pledged to consolidated variable interest entities (“VIEs”) carried at fair value of $560.2 million, $478.8 million, $139.8 million, $150.9 million and $155.6 million at March 31, 2018, December 31, 2017, September 30, 2017, June 30, 2017 and March 31, 2017, respectively.

(3) Includes senior securitized commercial mortgage loans of consolidated VIEs with a carrying value of $2.7 billion, $2.8 billion, $3.6 billion, $3.7 billion and $3.7 billion at March 31, 2018, December 31, 2017, September 30, 2017, June 30, 2017 and March 31, 2017, respectively.

(4) Includes securitized debt of consolidated VIEs carried at fair value of $2.9 billion, $3.0 billion, $3.4 billion, $3.4 billion and $3.5 billion at March 31, 2018, December 31, 2017, September 30, 2017, June 30, 2017 and March 31, 2017, respectively.

(5) Includes 0 shares authorized, issued and outstanding at March 31, 2018 and December 31, 2017. Includes 7,412,500 authorized shares and 0 shares issued and outstanding at September 30, 2017.  Includes 7,412,500 shares authorized, issued and outstanding at June 30, 2017 and March 31, 2017.

(6) Includes 12,000,000 shares authorized and 7,000,000 shares issued and outstanding at March 31, 2018. Includes 12,000,000 shares authorized, issued and outstanding at December 31, 2017. Includes 12,650,000 shares authorized and 12,000,000 shares issued and outstanding at each of September 30, 2017, June 30, 2017 and March 31, 2017.

(7) Includes 18,400,000 shares authorized, issued and outstanding.

(8) Includes 11,500,000 authorized, and 0 shares issued and outstanding at March 31, 2018. Includes 11,500,000 shares authorized, issued and outstanding at each of December 31, 2017, September 30, 2017, June 30, 2017 and March 31, 2017.

(9) Includes 28,800,000 shares authorized, issued and outstanding at March 31, 2018 and December 31, 2017.  Includes 32,200,000 shares authorized and 28,800,000 shares issued and outstanding at September 30, 2017.  Includes 0 shares authorized, issued and outstanding at June 30, 2017 and March 31, 2017.

(10) Includes 19,550,000 shares authorized and 17,000,000 issued and outstanding at March 31, 2018. Includes 0 shares authorized, issued and outstanding at each of December 31, 2017, September 30, 2017, June 30, 2017 and March 31, 2017.

(11) Includes 1,909,750,000 shares authorized and 1,159,657,350 issued and outstanding at March 31, 2018.  Includes 1,929,300,000 shares authorized and 1,159,585,078 issued and outstanding at December 31, 2017.  Includes 1,917,837,500 shares authorized and 1,088,083,794 shares issued and outstanding at September 30, 2017.  Includes 1,945,437,500 shares authorized and 1,019,027,880 shares issued and outstanding at June 30, 2017.  Includes 1,945,437,500 shares authorized and 1,018,971,441 shares issued and outstanding at March 31, 2017.

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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(Unaudited)

(dollars in thousands, except per share data)

	For the quarters ended
	March 31, 2018			December 31, 2017			September 30, 2017			June 30, 2017			March 31, 2017
Net interest income:
Interest income	$	879,487		$	745,423		$	622,550		$	537,426		$	587,727
Interest expense	367,421			318,711			268,937			222,281			198,425
Net interest income	512,066			426,712			353,613			315,145			389,302
Realized and unrealized gains (losses):
Realized gains (losses) on interest rate swaps (1)	(48,160		)	(82,271		)	(88,211		)	(96,470		)	(104,156		)
Realized gains (losses) on termination or maturity of interest rate swaps	834			(160,075		)	—			(58		)	—
Unrealized gains (losses) on interest rate swaps	977,285			484,447			56,854			(177,567		)	149,184
Subtotal	929,959			242,101			(31,357		)	(274,095		)	45,028
Net gains (losses) on disposal of investments	13,468			7,895			(11,552		)	(5,516		)	5,235
Net gains (losses) on trading assets	(47,145		)	121,334			154,208			(14,423		)	319
Net unrealized gains (losses) on investments measured at fair value through earnings	(51,593		)	(12,115		)	(67,492		)	16,240			23,683
Subtotal	(85,270		)	117,114			75,164			(3,699		)	29,237
Total realized and unrealized gains (losses)	844,689			359,215			43,807			(277,794		)	74,265
Other income (loss)	34,023			25,064			28,282			30,865			31,646
General and administrative expenses:
Compensation and management fee	44,529			44,129			41,993			38,938			39,262
Other general and administrative expenses	17,981			15,128			15,023			15,085			14,566
Total general and administrative expenses	62,510			59,257			57,016			54,023			53,828
Income (loss) before income taxes	1,328,268			751,734			368,686			14,193			441,385
Income taxes	564			4,963			1,371			(329		)	977
Net income (loss)	1,327,704			746,771			367,315			14,522			440,408
Net income (loss) attributable to noncontrolling interest	(96		)	(151		)	(232		)	(102		)	(103		)
Net income (loss) attributable to Annaly	1,327,800			746,922			367,547			14,624			440,511
Dividends on preferred stock (2)	33,766			32,334			30,355			23,473			23,473
Net income (loss) available (related) to common stockholders	$	1,294,034		$	714,588		$	337,192		$	(8,849	)	$	417,038
Net income (loss) per share available (related) to common stockholders:
Basic	$	1.12		$	0.62		$	0.31		$	(0.01	)	$	0.41
Diluted	$	1.12		$	0.62		$	0.31		$	(0.01	)	$	0.41
Weighted average number of common shares outstanding:
Basic	1,159,617,848			1,151,653,296			1,072,566,395			1,019,000,817			1,018,942,746
Diluted	1,160,103,185			1,152,138,887			1,073,040,637			1,019,000,817			1,019,307,379
Net income (loss)	$	1,327,704		$	746,771		$	367,315		$	14,522		$	440,408
Other comprehensive income (loss):
Unrealized gains (losses) on available-for-sale securities	(1,879,479		)	(487,597		)	195,251			261,964			(59,615		)
Reclassification adjustment for net (gains) losses included in net income (loss)	5,419			1,726			15,367			13,360			19,417
Other comprehensive income (loss)	(1,874,060		)	(485,871		)	210,618			275,324			(40,198		)
Comprehensive income (loss)	(546,356		)	260,900			577,933			289,846			400,210
Comprehensive income (loss) attributable to noncontrolling interest	(96		)	(151		)	(232		)	(102		)	(103		)
Comprehensive income (loss) attributable to Annaly	(546,260		)	261,051			578,165			289,948			400,313
Dividends on preferred stock (2)	33,766			32,334			30,355			23,473			23,473
Comprehensive income (loss) attributable to common stockholders	$	(580,026	)	$	228,717		$	547,810		$	266,475		$	376,840

(1) Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income.

(2) The quarter ended December 31, 2017 excludes, and the quarter ended September 30, 2017 includes, cumulative and undeclared dividends of $8.3 million on the Company's Series F Preferred Stock as of September 30, 2017.

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Key Metrics

The following table presents key metrics of the Company’s portfolio, liabilities and hedging positions, and performance as of and for the quarters ended March 31, 2018, December 31, 2017, and March 31, 2017:

	March 31, 2018			December 31, 2017			March 31, 2017
Portfolio Related Metrics:
Fixed-rate Residential Investment Securities as a percentage of total Residential Investment Securities	91		%	90		%	85		%
Adjustable-rate and floating-rate Residential Investment Securities as a percentage of total Residential Investment Securities	9		%	10		%	15		%
Weighted average experienced CPR for the period	8.9		%	9.8		%	11.5		%
Weighted average projected long-term CPR at period-end	9.2		%	10.4		%	10.0		%
Liabilities and Hedging Metrics:
Weighted average days to maturity on repurchase agreements outstanding at period-end	72			58			88
Hedge ratio (1)	94		%	70		%	63		%
Weighted average pay rate on interest rate swaps at period-end (2)	2.00		%	2.22		%	2.25		%
Weighted average receive rate on interest rate swaps at period-end (2)	2.13		%	1.58		%	1.15		%
Weighted average net rate on interest rate swaps at period-end (2)	(0.13		%)	0.64		%	1.10		%
Leverage at period-end (3)	6.1:1			5.7:1			5.6:1
Economic leverage at period-end (4)	6.5:1			6.6:1			6.1:1
Capital ratio at period-end	13.1		%	12.9		%	13.8		%
Performance Related Metrics:
Book value per common share	$	10.53		$	11.34		$	11.23
GAAP net income (loss) per average common share (5)	$	1.12		$	0.62		$	0.41
Annualized GAAP return (loss) on average equity	36.86		%	20.58		%	13.97		%
Net interest margin	1.94		%	1.47		%	1.47		%
Average yield on interest earning assets (6)	3.45		%	2.97		%	2.74		%
Average cost of interest bearing liabilities (7)	1.90		%	1.83		%	1.59		%
Net interest spread	1.55		%	1.14		%	1.15		%
Dividend declared per common share	$	0.30		$	0.30		$	0.30
Annualized dividend yield (8)	11.51		%	10.09		%	10.80		%
Core Earnings Metrics *
Core earnings (excluding PAA) per average common share (5)	$	0.30		$	0.31		$	0.31
Core earnings per average common share (5)	$	0.41		$	0.30		$	0.29
PAA cost (benefit) per average common share	$	(0.11	)	$	0.01		$	0.02
Annualized core return on average equity (excluding PAA)	10.70		%	10.67		%	10.66		%
Net interest margin (excluding PAA)	1.52		%	1.51		%	1.55		%
Average yield on interest earning assets (excluding PAA) (6)	2.99		%	3.02		%	2.83		%
Net interest spread (excluding PAA)	1.09		%	1.19		%	1.24		%

* Represents non-GAAP financial measures. Please refer to the ‘Non-GAAP Financial Measures’ section for additional information.

(1) Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements, other secured financing and TBA notional outstanding;  excludes MSRs and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities.

(2) Excludes forward starting swaps.

(3) 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.

(4) Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments divided by total equity.

(5) Net of dividends on preferred stock. The quarter ended December 31, 2017 excludes cumulative and undeclared dividends of $8.3 million on the Company's Series F Preferred Stock as of September 30, 2017.

(6) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).

(7) Includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss).

(8) Based on the closing price of the Company’s common stock of $10.43, $11.89 and $11.11 at March 31, 2018, December 31, 2017 and March 31, 2017, respectively.

7

Non-GAAP Financial Measures

To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles (“GAAP”), the Company provides the following non-GAAP measures:

• core earnings and core earnings (excluding PAA);

• core earnings and core earnings (excluding PAA) per average common share;

• annualized core return on average equity (excluding PAA);

• interest income (excluding PAA);

• economic interest expense;

• economic net interest income (excluding PAA);

• average yield on interest earning assets (excluding PAA);

• net interest margin (excluding PAA); and

• net interest spread (excluding PAA).

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.

Amortization

In accordance with GAAP, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities, excluding interest-only securities, taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.

The Company’s GAAP metrics include the unadjusted impact of amortization and accretion associated with this method. Certain of the Company’s non-GAAP metrics exclude the effect of the PAA, which quantifies the component of premium amortization representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term CPR.

The following table illustrates the impact of the PAA on premium amortization expense for the Company’s Residential Investment Securities portfolio for the quarters ended March 31, 2018, December 31, 2017, and March 31, 2017:

	For the quarters ended
	March 31, 2018			December 31, 2017		March 31, 2017
	(dollars in thousands)
Premium amortization expense (accretion)	$	95,832		$	203,951	$	203,634
Less: PAA cost (benefit)	(118,395		)	11,367		17,870
Premium amortization expense (excluding PAA)	$	214,227		$	192,584	$	185,764
	For the quarters ended
	March 31, 2018			December 31, 2017		March 31, 2017
	(per average common share)
Premium amortization expense (accretion)	$	0.08		$	0.18	$	0.20
Less: PAA cost (benefit)	(0.11		)	0.01		0.02
Premium amortization expense (excluding PAA)	$	0.19		$	0.17	$	0.18

8

Core earnings and core earnings (excluding PAA), core earnings and core earnings (excluding PAA) per average common share and annualized core return on average equity (excluding PAA)

The Company generates net income by earning a net interest spread on its investment portfolio, which is a function of the Company’s interest income from its investment portfolio less financing, hedging and operating costs. Core earnings, which is comprised of interest income plus TBA dollar roll incomeⁱ, less financing and hedging costsⁱⁱ and general and administrative expenses, and core earnings (excluding PAA), are used by management and, we believe, used by our analysts and investors, to measure progress in achieving the Company's business objectives.

The Company defines “core earnings”, a non-GAAP measure, as net income (loss) excluding gains or losses on disposals of investments and termination or maturity 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, transaction 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.

The Company believes these non-GAAP measures provide management and investors with additional details regarding the Company’s underlying operating results and investment portfolio trends by (i) making adjustments to account for the disparate reporting of changes in fair value where certain instruments are reflected in GAAP net income (loss) while others are reflected in other comprehensive income (loss), and (ii) by excluding certain unrealized, non-cash or episodic components of GAAP net income (loss) in order to provide additional transparency into the operating performance of the Company’s portfolio. Annualized core return on average equity (excluding PAA), which is calculated by dividing core earnings (excluding PAA) over average stockholders’ equity, provides investors with additional detail on the core earnings generated by the Company’s invested equity capital.

The following table presents a reconciliation of GAAP financial results to non-GAAP core earnings for the periods presented:

ⁱ TBA dollar roll transactions are accounted for as derivatives, with gains and losses reflected as a component of Net gains (losses) on trading assets in the Company’s Consolidated Statements of Comprehensive Income (Loss). TBA dollar roll income represents the economic equivalent of interest income on the underlying security less the implied cost of financing.

ⁱⁱ The interest component of hedging costs is reported as realized gains (losses) on interest rate swaps in the Company’s Consolidated Statements of Comprehensive Income (Loss).

9

	For the quarters ended
	March 31, 2018			December 31, 2017			March 31, 2017
	(dollars in thousands, except per share data)
GAAP net income (loss)	$	1,327,704		$	746,771		$	440,408
Less:
Realized (gains) losses on termination or maturity of interest rate swaps	(834		)	160,075			—
Unrealized (gains) losses on interest rate swaps	(977,285		)	(484,447		)	(149,184		)
Net (gains) losses on disposal of investments	(13,468		)	(7,895		)	(5,235		)
Net (gains) losses on trading assets	47,145			(121,334		)	(319		)
Net unrealized (gains) losses on investments measured at fair value through earnings	51,593			12,115			(23,683		)
Transaction expenses (1)	1,519			—			—
Net (income) loss attributable to noncontrolling interest	96			151			103
Plus:
TBA dollar roll income (2)	88,353			89,479			69,968
MSR amortization (3)	(21,156		)	(19,331		)	(14,030		)
Core earnings *	503,667			375,584			318,028
Less:
Premium amortization adjustment cost (benefit)	(118,395		)	11,367			17,870
Core earnings (excluding PAA) *	$	385,272		$	386,951		$	335,898
GAAP net income (loss) per average common share (4)	$	1.12		$	0.62		$	0.41
Core earnings per average common share *(4)	$	0.41		$	0.30		$	0.29
Core earnings (excluding PAA) per average common share *(4)	$	0.30		$	0.31		$	0.31
Annualized GAAP return (loss) on average equity	36.86		%	20.58		%	13.97		%
Annualized core return on average equity (excluding PAA) *	10.70		%	10.67		%	10.66		%

* Represents a non-GAAP financial measure.

(1) Represents costs incurred in connection with a securitization of residential whole loans.

(2) Represents a component of Net gains (losses) on trading assets.

(3) 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.

(4) Net of dividends on preferred stock. The quarter ended December 31, 2017 excludes cumulative and undeclared dividends of $8.3 million on the Company's Series F Preferred Stock as of September 30, 2017.

From time to time, the Company enters into TBA forward contracts as an alternate means of investing in and financing Agency mortgage-backed securities. A TBA contract is an agreement to purchase or sell, for future delivery, an Agency mortgage-backed security with a specified issuer, term and coupon. A TBA dollar roll represents a transaction where TBA contracts with the same terms but different settlement dates are simultaneously bought and sold. The TBA contract settling in the later month typically prices at a discount to the earlier month contract with the difference in price commonly referred to as the “drop”. The drop is a reflection of the expected net interest income from an investment in similar Agency mortgage-backed securities, net of an implied financing cost, that would be foregone as a result of settling the contract in the later month rather than in the earlier month. The drop between the current settlement month price and the forward settlement month price occurs because in the TBA dollar roll market, the party providing the financing is the party that would retain all principal and interest payments accrued during the financing period. Accordingly, TBA dollar roll income generally represents the economic equivalent of the net interest income earned on the underlying Agency mortgage-backed security less an implied financing cost.

TBA dollar roll transactions are accounted for under GAAP as a series of derivatives transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. The Company records TBA derivatives at fair value on its Consolidated Statements of Financial Condition and recognizes periodic changes in fair value as Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss), which includes both unrealized and realized gains and losses on derivatives (excluding interest rate swaps).

TBA dollar roll income is calculated as the difference in price between two TBA contracts with the same terms but different settlement dates multiplied by the notional amount of the TBA contract. Although accounted for as derivatives, TBA dollar rolls capture the economic equivalent of net interest income, or carry, on the underlying Agency mortgage-backed security (interest income less an implied cost of financing). TBA dollar roll income is reported as a component of Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).

10

Interest income (excluding PAA), economic interest expense and economic net interest income (excluding PAA)

Interest income (excluding PAA) represents interest income excluding the effect of the PAA, and serves as the basis for deriving average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA) and net interest margin (excluding PAA), which are discussed below. The Company believes this measure provides management and investors with additional detail to enhance their understanding of the Company’s operating results and trends by excluding the component of premium amortization expense 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 (other than interest-only securities), which can obscure underlying trends in the performance of the portfolio.

Economic interest expense includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, economic interest expense included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). The Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Accordingly, adding the contractual interest payments on interest rate swaps to interest expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with additional information about the cost of the Company's financing strategy.

Similarly, economic net interest income (excluding PAA), as computed below, provides investors with additional information to enhance their understanding of the net economics of our primary business operations.

	For the quarters ended
	March 31, 2018			December 31, 2017		March 31, 2017
	(dollars in thousands)
Interest Income (Excluding PAA) Reconciliation
GAAP interest income	$	879,487		$	745,423	$	587,727
Premium amortization adjustment	(118,395		)	11,367		17,870
Interest income (excluding PAA) *	$	761,092		$	756,790	$	605,597
Economic Interest Expense Reconciliation
GAAP interest expense	$	367,421		$	318,711	$	198,425
Add:
Interest expense on interest rate swaps	48,160			73,957		88,966
Economic interest expense *	$	415,581		$	392,668	$	287,391
Economic Net Interest Income (Excluding PAA) Reconciliation
Interest income (excluding PAA) *	$	761,092		$	756,790	$	605,597
Less:
Economic interest expense *	415,581			392,668		287,391
Economic net interest income (excluding PAA) *	$	345,511		$	364,122	$	318,206

* Represents a non-GAAP financial measure.

11

Average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA) and net interest margin (excluding PAA)

Net interest spread (excluding PAA), which is the difference between the average yield on interest earning assets (excluding PAA) and the average cost of interest bearing liabilities, and net interest margin (excluding PAA), which is calculated as the sum of interest income (excluding PAA) plus TBA dollar roll income less interest expense and realized gains (losses) on interest rate swaps divided by the sum of average Interest Earning Assets plus average TBA contract balances, provide management with additional measures of the Company’s profitability that management relies upon in monitoring the performance of the business.

Disclosure of these measures, which are presented below, provides investors with additional detail regarding how management evaluates the Company’s performance.

	For the quarters ended
	March 31, 2018			December 31, 2017			March 31, 2017
Economic Metrics (Excluding PAA)	(dollars in thousands)
Average interest earning assets	$	101,979,042		$	100,247,589		$	85,664,151
Interest income (excluding PAA) *	$	761,092		$	756,790		$	605,597
Average yield on interest earning assets (excluding PAA) *	2.99		%	3.02		%	2.83		%
Average interest bearing liabilities	$	87,376,452		$	85,992,215		$	72,422,968
Economic interest expense *	$	415,581		$	392,668		$	287,391
Average cost of interest bearing liabilities	1.90		%	1.83		%	1.59		%
Economic net interest income (excluding PAA) *	$	345,511		$	364,122		$	318,206
Net interest spread (excluding PAA) *	1.09		%	1.19		%	1.24		%
Interest income (excluding PAA) *	$	761,092		$	756,790		$	605,597
TBA dollar roll income	88,353			89,479			69,968
Interest expense	(367,421		)	(318,711		)	(198,425		)
Realized gains (losses) on interest rate swaps (1)	(48,160		)	(82,271		)	(104,156		)
Subtotal	$	433,864		$	445,287		$	372,984
Average interest earnings assets	$	101,979,042		$	100,247,589		$	85,664,151
Average TBA contract balances	12,050,341			17,509,691			10,655,785
Subtotal	$	114,029,383		$	117,757,280		$	96,319,936
Net interest margin (excluding PAA) *	1.52		%	1.51		%	1.55		%

* Represents a non-GAAP financial measure.

(1) Consists of interest expense on interest rate swaps.

12

EX-99.2

First Quarter 2018 Financial Summary May 2, 2018

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 real estate 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 Measures This presentation includes certain non-GAAP financial measures, including core earnings metrics, which are presented both inclusive and exclusive of the premium amortization adjustment (“PAA”). We believe the non-GAAP financial measures are useful for management, investors, analysts, and other interested parties in evaluating our 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, we may calculate non-GAAP metrics, which include core earnings, and the PAA, differently than our 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. 2 Q1 2018 Financial Snapshot Income Statement Balance Sheet Portfolio Efficiency Key Statistics For the quarters ended 3/31/2018 12/31/2017 GAAP net income per average common share (1) $1.12 $0.62 Core earnings (excluding PAA) per average common share *(1)(2) $0.30 $0.31 Core earnings per average common share *(1)(2) $0.41 $0.30 PAA cost (benefit) per average common share ($0.11) $0.01 Annualized GAAP return (loss) on average equity 36.86% 20.58% Annualized core return on average equity (excluding PAA) * 10.70% 10.67% Book value per common share $10.53 $11.34 Leverage at period-end (3) 6.1x 5.7x Economic leverage at period-end (4) 6.5x 6.6x Capital ratio at period-end (5) 13.1% 12.9% Agency mortgage-backed securities $88,579,097 $90,551,763 Mortgage servicing rights 596,378 580,860 Residential credit portfolio (6) 3,230,970 3,187,380 Commercial real estate investments (7) 4,521,681 4,604,388 Corporate debt 1,152,745 1,011,275 Total residential and commercial investments $98,080,871 $99,935,666 Net interest margin (8) 1.94% 1.47% Net interest margin (excluding PAA) *(8) 1.52% 1.51% Average yield on interest earning assets (9) 3.45% 2.97% Average yield on interest earning assets (excluding PAA) *(9) 2.99% 3.02% Net interest spread 1.55% 1.14% Net interest spread (excluding PAA) * 1.09% 1.19% Operating expense to core earnings (excluding PAA) *(10) 15.83% 15.31% Annualized operating expenses as a % of average assets (10) 0.24% 0.24% Annualized operating expenses as a % of average equity (10) 1.69% 1.63%

Unaudited, dollars in thousands 3 Portfolio Data Portfolio-Related Data Summary Portfolio Statistics For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Agency mortgage-backed securities $88,579,097 $90,551,763 $85,889,131 $73,963,998 $72,708,490 Mortgage servicing rights 596,378 580,860 570,218 605,653 632,166 Residential credit portfolio (1) 3,230,970 3,187,380 2,706,092 2,619,564 2,778,452 Commercial real estate investments (2) 4,521,681 4,604,388 5,321,786 5,375,251 5,550,464 Corporate debt 1,152,745 1,011,275 856,110 773,957 841,265 Total residential and commercial investments $98,080,871 $99,935,666 $95,343,337 $83,338,423 $82,510,837 Total assets $100,382,233 $101,760,050 $97,574,181 $84,976,578 $84,658,957 Average TBA position $12,050,341 $17,509,691 $19,291,834 $14,206,869 $10,655,785 Residential Investment Securities: % Fixed-rate 91% 90% 89% 86% 85% % Adjustable-rate 9% 10% 11% 14% 15% Weighted average experienced CPR for the period 8.9% 9.8% 10.3% 10.9% 11.5% Weighted average projected long-term CPR at period-end 9.2% 10.4% 10.4% 10.6% 10.0% Net premium and discount balance in Residential Investment Securities $6,063,609 $6,024,347 $5,745,022 $5,164,105 $5,149,099 Net premium and discount balance as % of stockholders' equity 43.51% 40.53% 40.60% 40.98% 40.74% (1) Includes consolidated VIEs. (2) Includes consolidated VIEs and loans held for sale.

(1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit. (2) 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 MSRs and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities. (3) Excludes forward starting swaps. Forward starting swaps represented $8.1 billion of the notional balance as of December 31, 2017; there were no forward starting swaps for any of the other period-end dates. Unaudited, dollars in thousands except per share amounts 4 Financing and Capital Data Financing Data Key Capital and Hedging Metrics For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Repurchase agreements $78,015,431 $77,696,343 $69,430,268 $62,497,400 $62,719,087 Other secured financing 3,830,075 3,837,528 3,713,256 3,785,543 3,876,150 Securitized debt of consolidated VIEs 2,904,873 2,971,771 3,357,929 3,438,675 3,477,059 Participation sold - - - - 12,760 Mortgages payable 309,794 309,686 311,886 311,810 311,707 Total debt $85,060,173 $84,815,328 $76,813,339 $70,033,428 $70,396,763 Total liabilities $86,439,298 $86,888,477 $83,418,963 $72,367,153 $72,011,608 Cumulative redeemable preferred stock $1,723,168 $1,720,381 $1,720,381 $1,200,559 $1,200,559 Common equity(1) 12,214,096 13,145,092 12,428,377 11,401,955 11,439,467 Total Annaly stockholders' equity 13,937,264 14,865,473 14,148,758 12,602,514 12,640,026 Non-controlling interests 5,671 6,100 6,460 6,911 7,323 Total equity $13,942,935 $14,871,573 $14,155,218 $12,609,425 $12,647,349 Weighted average days to maturity of repurchase agreements 72 58 65 88 88 Weighted average rate on repurchase agreements, at period-end 1.83% 1.61% 1.38% 1.38% 1.15% Weighted average rate on repurchase agreements, for the quarter 1.64% 1.41% 1.34% 1.25% 1.07% Leverage at period-end 6.1x 5.7x 5.4x 5.6x 5.6x Economic leverage at period-end 6.5x 6.6x 6.9x 6.4x 6.1x Capital ratio at period-end 13.1% 12.9% 12.3% 13.2% 13.8% Book value per common share $10.53 $11.34 $11.42 $11.19 $11.23 Total common shares outstanding 1,159,657 1,159,585 1,088,084 1,019,028 1,018,971 Hedge ratio(2) 94% 70% 67% 67% 63% Weighted average pay rate on interest rate swaps, at period-end(3) 2.00% 2.22% 2.27% 2.26% 2.25% Weighted average receive rate on interest rate swaps, at period-end(3) 2.13% 1.58% 1.35% 1.28% 1.15% Weighted average net rate on interest rate swaps, at period-end(3) (0.13%) 0.64% 0.92% 0.98% 1.10%

* Represents a non-GAAP financial measure. (1) Includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). (2) Net of dividends on preferred stock. The quarter ended December 31, 2017 excludes, and the quarter ended September 30, 2017 includes, cumulative and undeclared dividends of $8.3 million on the Company's Series F Preferred as of September 30, 2017. Unaudited, dollars in thousands except per share amounts 5 Income Statement Data Summary Income Statement For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Total interest income $879,487 $745,423 $622,550 $537,426 $587,727 Total interest expense 367,421 318,711 268,937 222,281 198,425 Net interest income $512,066 $426,712 $353,613 $315,145 $389,302 Total economic interest expense *(1) $415,581 $392,668 $347,501 $306,533 $287,391 Economic net interest income *(1) $463,906 $352,755 $275,049 $230,893 $300,336 Total interest income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 Economic net interest income (excluding PAA) *(1) $345,511 $364,122 $314,948 $303,593 $318,206 GAAP net income (loss) $1,327,704 $746,771 $367,315 $14,522 $440,408 GAAP net income (loss) available (related) to common shareholders (2) $1,294,034 $714,588 $337,192 ($8,849) $417,038 GAAP net income (loss) per average common share (2) $1.12 $0.62 $0.31 ($0.01) $0.41 Core earnings (excluding PAA) * $385,272 $386,951 $353,546 $332,601 $335,898 Core earnings (excluding PAA) available to common shareholders *(2) $351,506 $354,617 $323,191 $309,128 $312,425 Core earnings (excluding PAA) per average common share *(2) $0.30 $0.31 $0.30 $0.30 $0.31 Core earnings * $503,667 $375,584 $313,647 $259,901 $318,028 Core earnings available to common shareholders *(2) $469,901 $343,250 $283,292 $236,428 $294,555 Core earnings per average common share *(2) $0.41 $0.30 $0.26 $0.23 $0.29 PAA cost (benefit) ($118,395) $11,367 $39,899 $72,700 $17,870 PAA cost (benefit) per average common share ($0.11) $0.01 $0.04 $0.07 $0.02

* Represents a non-GAAP financial measure. (1) The quarter ended December 31, 2017 includes, and the quarter ended September 30, 2017 excludes, $8.3 million of dividends on the Company’s Series F Preferred stock, which were cumulative and undeclared as of September 30, 2017. (2) Includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). Unaudited, dollars in thousands except per share amounts 6 Key Earnings Metrics Key Earnings Metrics For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Dividends declared per common share $0.30 $0.30 $0.30 $0.30 $0.30 Total common and preferred dividends declared (1) $381,663 $388,511 $348,479 $329,182 $329,164 Annualized GAAP return (loss) on average equity 36.86% 20.58% 10.98% 0.46% 13.97% Annualized GAAP return (loss) on average equity per unit of economic leverage 5.67% 3.12% 1.59% 0.07% 2.29% Annualized core return on average equity (excluding PAA) * 10.70% 10.67% 10.57% 10.54% 10.66% Annualized core return on average equity per unit of economic leverage (excluding PAA) * 1.65% 1.62% 1.53% 1.65% 1.75% Net interest margin 1.94% 1.47% 1.33% 1.23% 1.47% Net interest margin (excluding PAA) * 1.52% 1.51% 1.47% 1.53% 1.55% Average yield on interest earning assets 3.45% 2.97% 2.79% 2.58% 2.74% Average yield on interest earning assets (excluding PAA) * 2.99% 3.02% 2.97% 2.93% 2.83% Average cost of interest bearing liabilities (2) 1.90% 1.83% 1.82% 1.74% 1.59% Net interest spread 1.55% 1.14% 0.97% 0.84% 1.15% Net interest spread (excluding PAA) * 1.09% 1.19% 1.15% 1.19% 1.24%

* Represents a non-GAAP financial measure. (1) Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). Unaudited, dollars in thousands 7 Components of Economic Net Interest Income Net Interest Income For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Interest income: Residential Investment Securities $779,588 $654,387 $540,436 $459,308 $515,910 Residential mortgage loans 15,505 10,750 8,509 7,417 3,864 Commercial investment portfolio 72,457 73,596 67,790 68,153 64,345 Reverse repurchase agreements 11,937 6,690 5,815 2,548 3,608 Total interest income $879,487 $745,423 $622,550 $537,426 $587,727 Economic interest expense: Repurchase agreements $331,374 $283,909 $237,669 $197,151 $173,090 Interest expense on swaps (1) 48,160 73,957 78,564 84,252 88,966 Securitized debt of consolidated VIEs 15,652 17,405 16,072 11,977 14,850 Participation sold - - - 42 153 Other 20,395 17,397 15,196 13,111 10,332 Total economic interest expense * $415,581 $392,668 $347,501 $306,533 $287,391 Economic net interest income * $463,906 $352,755 $275,049 $230,893 $300,336 PAA cost (benefit) (118,395) 11,367 39,899 72,700 17,870 Economic net interest income (excluding PAA) * $345,511 $364,122 $314,948 $303,593 $318,206

* Represents a non-GAAP financial measure. (1) Represents costs incurred in connection with a securitization of residential whole loans. (2) Represents a component of Net gains (losses) on trading assets. (3) 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 Core Earnings Reconciliation For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 GAAP net income (loss) $1,327,704 $746,771 $367,315 $14,522 $440,408 Less: Realized (gains) losses on termination or maturity of interest rate swaps (834) 160,075 - 58 - Unrealized (gains) losses on interest rate swaps (977,285) (484,447) (56,854) 177,567 (149,184) Net (gains) losses on disposal of investments (13,468) (7,895) 11,552 5,516 (5,235) Net (gains) losses on trading assets 47,145 (121,334) (154,208) 14,423 (319) Net unrealized (gains) losses on investments measured at fair value through earnings 51,593 12,115 67,492 (16,240) (23,683) Transaction expenses(1) 1,519 - - - - Net (income) loss attributable to noncontrolling interest 96 151 232 102 103 Plus: TBA dollar roll income(2) 88,353 89,479 94,326 81,051 69,968 MSR amortization(3) (21,156) (19,331) (16,208) (17,098) (14,030) Core earnings * 503,667 375,584 313,647 259,901 318,028 Less: PAA cost (benefit) (118,395) 11,367 39,899 72,700 17,870 Core earnings (excluding PAA) * $385,272 $386,951 $353,546 $332,601 $335,898

Unaudited 9 Quarter-Over-Quarter Changes in Key Metrics * Represents a non-GAAP financial measure. (1) For book value purposes, the quarter ended December 31, 2017 includes, and the quarter ended September 30, 2017 excludes, $8.3 million of dividends on the Company’s Series F Preferred stock, which were cumulative and undeclared as of September 30, 2017. Book Value Rollforward Net Interest Margin Net Interest Margin (excluding PAA)* 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Book value per common share, beginning of period $11.34 $11.42 $11.19 $11.23 $11.16 Net income (loss) available (related) to common stockholders (1) 1.12 0.62 0.32 (0.01) 0.41 Other comprehensive income (loss) attributable to common stockholders (1.63) (0.42) 0.19 0.27 (0.04) Common dividends declared (0.30) (0.30) (0.30) (0.30) (0.30) Issuance of common stock / redemption of preferred stock 0.00 0.02 0.02 0.00 0.00 Book value per common share, end of period $10.53 $11.34 $11.42 $11.19 $11.23 Prior quarter net interest margin 1.47% 1.33% 1.23% 1.47% 2.49% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll balances) 0.19% 0.13% (0.12%) (0.05%) 0.11% Net amortization of premiums 0.37% 0.10% 0.22% (0.18%) (0.92%) TBA dollar roll income 0.01% (0.04%) 0.01% 0.04% (0.11%) Interest expense and realized gain (loss) on interest rate swaps (0.10%) (0.05%) (0.01%) (0.05%) (0.10%) Current quarter net interest margin 1.94% 1.47% 1.33% 1.23% 1.47% Prior quarter net interest margin (excluding PAA) * 1.51% 1.47% 1.53% 1.55% 1.53% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll balances) 0.19% 0.13% (0.12%) (0.05%) 0.11% Net amortization of premiums, excluding PAA (0.09%) 0.00% 0.06% 0.04% 0.12% TBA dollar roll income 0.01% (0.04%) 0.01% 0.04% (0.11%) Interest expense and related realized gain (loss) on interest rate swaps (0.10%) (0.05%) (0.01%) (0.05%) (0.10%) Current quarter net interest margin (excluding PAA) * 1.52% 1.51% 1.47% 1.53% 1.55% For the quarters ended

* Represents a non-GAAP financial measure. (1) Includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). Unaudited 10 Quarter-Over-Quarter Changes in Key Metrics (cont’d) Net Interest Spread Net Interest Spread (excluding PAA)* For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Prior quarter net interest spread 1.14% 0.97% 0.84% 1.15% 2.28% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.03% 0.02% 0.00% 0.09% (0.03%) Net amortization of premiums 0.45% 0.16% 0.21% (0.25%) (1.04%) Average cost of interest bearing liabilities(1) (0.07%) (0.01%) (0.08%) (0.15%) (0.06%) Current quarter net interest spread 1.55% 1.14% 0.97% 0.84% 1.15% Prior quarter net interest spread (excluding PAA) * 1.19% 1.15% 1.19% 1.24% 1.15% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.03% 0.02% 0.00% 0.09% (0.03%) Net amortization of premiums, excluding PAA (0.06%) 0.03% 0.04% 0.01% 0.18% Average cost of interest bearing liabilities(1) (0.07%) (0.01%) (0.08%) (0.15%) (0.06%) Current quarter net interest spread (excluding PAA) * 1.09% 1.19% 1.15% 1.19% 1.24%

* Represents a non-GAAP financial measure. (1) Includes other income (loss), general and administrative expenses and income taxes. (2) 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 transaction related expenses) and income taxes. Unaudited 11 Quarter-Over-Quarter Changes in Return on Average Equity GAAP Return (Loss) on Average Equity Core Return on Average Equity (excluding PAA)* For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Prior quarter GAAP return (loss) on average equity 20.58% 10.98% 0.46% 13.97% 57.23% Quarter-over-quarter changes in contribution: Coupon income 0.83% 1.04% 0.24% (0.14%) 0.68% Net amortization of premiums and accretion of discounts 3.05% 0.90% 1.35% (1.48%) (7.02%) Interest expense and realized gain (loss) on interest rate swaps (0.49%) (0.38%) (0.58%) (0.50%) (0.70%) Realized (gains) losses on termination or maturity of interest rate swaps 4.43% (4.41%) 0.00% 0.00% 1.71% Unrealized (gains) / losses on interest rate swaps 13.78% 11.65% 7.32% (10.36%) (39.57%) Realized and unrealized (gains) / losses on investments and trading assets (5.59%) 0.98% 2.36% (1.04%) 1.58% Other(1) 0.27% (0.18%) (0.17%) 0.01% 0.06% Current quarter GAAP return (loss) on average equity 36.86% 20.58% 10.98% 0.46% 13.97% Prior quarter core return on average equity (excluding PAA) * 10.67% 10.57% 10.54% 10.66% 10.13% Quarter-over-quarter changes in contribution: Coupon income 0.83% 1.04% 0.24% (0.14%) 0.68% Net amortization of premiums (excluding PAA) (0.56%) 0.02% 0.24% 0.26% 0.93% Economic interest expense and other swaps expense (0.49%) (0.38%) (0.58%) (0.50%) (0.70%) TBA dollar roll income (0.01%) (0.35%) 0.25% 0.35% (0.84%) Other(2) 0.26% (0.23%) (0.12%) (0.09%) 0.46% Current quarter core return on average equity (excluding PAA) * 10.70% 10.67% 10.57% 10.54% 10.66%

(1) Includes Agency-backed multifamily securities with an estimated fair value of $499.1 million. (2) Weighted by current face value. (3) Weighted by notional value. Unaudited, dollars in thousands 12 Residential Investments and TBA Derivative Overview as of March 31, 2018 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) $5,226,101 6.6% 3.11% 103.3% 100.4% 9.1% $5,247,937 20 years 4,345,141 5.5% 3.48% 104.7% 101.7% 9.6% 4,420,844 >=30 years 69,769,183 87.9% 3.82% 106.0% 102.3% 7.7% 71,377,987 Total/Weighted Avg. $79,340,425 100.0% 3.75% 105.8% 102.1% 7.9% $81,046,768 TBA Purchase Contracts Weighted Avg. Implied Cost Implied Market Type Notional Value % (3) Coupon Basis Value 15-year $2,585,000 28.9% 3.00% $2,582,608 $2,583,552 30-year 6,369,000 71.1% 4.04% 6,524,815 6,549,080 Total/Weighted Avg. $8,954,000 100.0% 3.74% $9,107,423 $9,132,632 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 $5,009,313 78.8% 2.95% 104.9% 103.0% 21.6% $5,158,169 25 - 40 months 414,212 6.5% 2.78% 103.9% 100.8% 13.7% 417,606 41 - 60 months 175,023 2.8% 2.97% 104.1% 101.0% 14.2% 176,856 61 - 90 months 593,218 9.3% 3.02% 103.4% 100.2% 12.6% 594,322 >90 months 165,412 2.6% 3.00% 102.7% 100.0% 10.9% 165,385 Total/Weighted Avg. $6,357,178 100.0% 2.95% 104.6% 102.5% 19.8% $6,512,338

(1) Weighted by current notional value. (2) Weighted by estimated fair value. Unaudited, dollars in thousands 13 Residential Investments & TBA Derivative Overview as of March 31, 2018 (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 $2,746,107 41.3% 3.34% 14.0% 12.2% 7.8% $336,150 Inverse Interest-only 3,910,023 58.7% 4.29% 23.3% 17.5% 10.1% 683,841 Total/Weighted Avg. $6,656,130 100.0% 3.90% 19.5% 15.3% 9.2% $1,019,991 Mortgage Servicing Rights Unpaid Excess Weighted Avg. Principal Weighted Avg. Servicing Loan Age Estimated Type Balance Coupon Spread (months) Fair Value Total/Weighted Avg. $47,610,887 3.82% 0.24% 24.3 $596,378 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 $579,077 19.5% 5.45% 104.5% 108.6% $628,942 Alt-A 200,819 5.6% 4.49% 83.5% 89.7% 180,039 Prime 222,366 6.6% 4.53% 89.0% 96.6% 214,828 Subprime 516,223 15.2% 2.97% 85.8% 95.4% 492,506 NPL/RPL 39,286 1.2% 4.21% 99.8% 100.7% 39,572 Prime Jumbo 125,902 3.8% 3.59% 97.4% 96.3% 121,200 Prime Jumbo Interest-only 939,627 0.6% 0.46% 1.5% 1.9% 18,198 Residential Mortgage Loans 1,527,171 47.5% 4.37% 101.4% 100.6% 1,535,685 Total/Weighted Avg. $4,150,471 100.0% 3.45% $3,230,970

(1) Excludes residential mortgage loans. Unaudited, dollars in thousands 14 Residential Credit Investments Detail as of March 31, 2018 (1) Payment Structure Investment Characteristics Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancement 60+ Delinquencies 3M VPR Agency Credit Risk Transfer $597,336 $- $597,336 5.33% 1.17% 0.42% 7.70% Private Label Credit Risk Transfer 31,606 - 31,606 7.68% 4.96% 2.55% 11.68% Alt-A 180,039 112,359 67,680 4.49% 10.43% 12.33% 9.66% Prime 214,828 50,039 164,789 4.53% 3.76% 10.11% 12.03% Subprime 492,506 206,799 285,707 2.97% 11.87% 20.14% 5.33% Re-Performing Loan Securitizations 31,288 31,288 - 4.09% 43.11% 33.70% 6.57% Non-Performing Loan Securitizations 8,284 4,833 3,451 4.68% 64.00% 69.71% 6.41% Prime Jumbo (>=2010 Vintage) 121,200 95,150 26,050 3.59% 14.44% 0.01% 11.26% Prime Jumbo (>=2010 Vintage) Interest-only 18,198 18,198 - 0.46% 0.00% 0.05% 15.64% Total $1,695,285 $518,666 $1,176,619 4.54% 8.04% 10.15% 16.81% Estimated Bond Coupon Product Fair Value ARM Fixed Floater Interest Only Agency Credit Risk Transfer $597,336 $- $- $597,336 $- Private Label Credit Risk Transfer 31,606 - - 31,606 - Alt-A 180,039 49,829 103,557 26,653 - Prime 214,828 116,989 97,839 - - Subprime 492,506 - 93,112 399,394 - Re-Performing Loan Securitizations 31,288 - 31,288 - - Non-Performing Loan Securitizations 8,284 - 8,284 - - Prime Jumbo (>=2010 Vintage) 121,200 - 121,200 - - Prime Jumbo (>=2010 Vintage) Interest-only 18,198 - - - 18,198 Total $1,695,285 $166,818 $455,280 $1,054,989 $18,198

Unaudited, dollars in thousands (1) Commercial real estate debt and preferred equity, held for investment book values are net of unamortized net origination fees. (2) Total weighted based on carry value. (3) 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. (4) Maturity dates assume all of the borrowers' extension options are exercised for the commercial real estate debt and preferred equity, held for investment portfolio. (5) Economic Interest is a non-GAAP measure to include gross asset values less related financings. Equity investments are adjusted to exclude depreciation and amortization. (6) Levered Return represents the current coupon plus accretion and amortization of origination fees and premium/discount and funding costs over investment economic interest. (7) Equity levered returns are calculated based on trailing twelve months cash-on-cash returns, updated on a one month lag. (8) Includes investment in unconsolidated debt fund of $17.7 million and investment in Community Investment Impact Fund of $20.3 million. (9) The Company sells/buys protection on CMBX tranches referencing baskets of Conduit CMBS bonds with various ratings. Positive net notional indicates selling protection and being long the exposure to the underlying CMBS. CMBX positions are accounted for as derivatives with changes in fair value presented in Net gains (losses) on trading assets. 15 Commercial Real Estate Overview as of March 31, 2018 GAAP Non-GAAP Mortgage Debt & Preferred Equity Investments Number of Investments Book Values (1) % of Portfolio Weighted Avg LTV (2) (3) Weighted Avg Life (years) (4) Economic Interest(5) Levered Return(6) Financeable First Mortgages 16 $681,819 15.1% 70.1% 3.6 $320,902 8.5% Mezzanine Loan Investments 22 390,487 8.6% 70.2% 3.0 360,275 9.5% Preferred Equity Investments 1 8,989 0.2% 95.6% 0.7 8,989 11.2% Commercial Real Estate Debt and Preferred Equity, Held for Investment 39 $1,081,295 23.9% 70.4% 3.3 $690,166 9.1% Securitized Whole Loans 51 $2,695,513 59.7% 68.3% 4.8 $198,103 10.3% AAA CMBS 8 182,904 4.0% 28.6% 1.2 24,253 10.0% Credit CMBS 9 81,906 1.8% 55.7% 4.8 57,686 8.5% Total Commercial Real Estate Debt Investments 68 $2,960,323 65.5% 65.3% 4.6 $280,042 9.9% Total Debt Portfolio 107 $4,041,618 89.4% 67.7% 4.3 $970,208 9.3% Equity Investments Number of Properties Book Value % of Portfolio Economic Interest(5) Levered Return(7) Real Estate Held for Investment 26 $389,679 8.6% $150,831 9.7% Investment in Unconsolidated Joint Ventures(8) 27 90,384 2.0% 118,820 9.4% Total Equity Investments 53 $480,063 10.6% $269,651 9.6% Total 160 $4,521,681 100.0% $1,239,859 9.4% Derivatives Net Notional Range of Ratings Implied Market Value Weighted Average Coupon CMBX (9) $285,000 AAA to BBB- $276,451 1.7%

Unaudited, dollars in thousands 16 Middle Market Lending Overview as of March 31, 2018 Size Dispersion Position Size Amount Percentage $0 - $20 million $252,682 21.9% $20 - $40 million 402,578 34.9% $40 - $60 million 219,879 19.1% Greater than $60 million 277,606 24.1% Total $1,152,745 100.0% Tenor Dispersion Remaining Term Amount Percentage One year or less $- 0.0% One to three years 49,801 4.3% Three to five years 304,885 26.5% Greater than five years 798,059 69.2% Total $1,152,745 100.0% Lien Position Amount First lien loans $664,276 57.6% Second lien loans 488,469 42.4% Total $1,152,745 100.0% Industry Dispersion Industry Fixed Rate Floating Rate Total Aircraft and Parts $- $34,797 $34,797 Coating, Engraving and Allied Services - 63,245 63,245 Computer Programming, Data Processing & Other Computer Related Services - 209,854 209,854 Drugs - 38,716 38,716 Electronic Components & Accessories - 23,961 23,961 Engineering, Architectural, and Surveying 10,647 10,647 Groceries and Related Products - 14,771 14,771 Grocery Stores - 23,512 23,512 Home Health Care Services - 23,660 23,660 Insurance Agents, Brokers and Services - 28,866 28,866 Management and Public Relations Services - 140,789 140,789 Medical and Dental Laboratories - 26,936 26,936 Miscellaneous Business Services - 19,703 19,703 Miscellaneous Equipment Rental and Leasing - 49,264 49,264 Miscellaneous Health and Allied Services, not elsewhere classified - 54,246 54,246 Miscellaneous Nonmetallic Minerals, except Fuels - 26,056 26,056 Miscellaneous Plastic Products - 9,920 9,920 Motor Vehicles and Motor Vehicle Equipment - 17,333 17,333 Motor Vehicles and Motor Vehicle Parts and Supplies - 23,582 23,582 Offices and Clinics of Doctors of Medicine - 97,794 97,794 Offices and Clinics of Other Health Practitioners - 19,872 19,872 Public Warehousing and Storage - 50,685 50,685 Research, Development and Testing Services - 33,304 33,304 Schools and Educational Services, not elsewhere classified - 20,359 20,359 Services Allied with the Exchange of Securities 14,943 14,943 Surgical, Medical, and Dental Instruments and Supplies - 16,677 16,677 Telephone Communications - 59,253 59,253 Total $- $1,152,745 $1,152,745

(1) There were no forward starting swaps as of March 31, 2018. (2) Weighted average years to maturity for futures positions are based on the U.S. Treasury contracts cheapest to deliver. (3) Approximately 5% of the total repurchase agreements and other secured financing have a remaining maturity over one year. (4) Determined based on estimated weighted-average lives of the underlying debt instruments. Unaudited, dollars in thousands 17 Hedging and Liabilities as of March 31, 2018 Principal Weighted Average Rate Balance At Period End For the Quarter Days to Maturity (4) Repurchase agreements $78,015,431 1.83% 1.64% 72 Other secured financing 3,830,075 2.18% 2.14% 1,022 Securitized debt of consolidated VIEs 2,873,059 2.39% 2.24% 3,348 Mortgages payable 312,500 4.24% 4.32% 2,498 Total indebtedness $85,031,065 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 $6,000,000 2.72% 3M LIBOR 10.33 3.88 Repurchase Agreements & Other Secured Financing Weighted Avg. Principal Rate Maturity Balance At Period End Within 30 days $39,527,178 1.76% 30 to 59 days 8,619,507 1.67% 60 to 89 days 10,243,046 1.83% 90 to 119 days 5,381,838 1.64% Over 120 days(3) 18,073,937 2.19% Total / Weighted Avg. $81,845,506 1.84% Interest Rate Swaps (1) Maturity Current Notional Weighted Avg. Pay Rate Weighted Avg. Receive Rate Weighted Avg. Years to Maturity 0 to 3 years $38,344,000 1.64% 2.19% 1.77 >3 to 6 years 13,254,550 2.17% 2.12% 4.67 > 6 to 10 years 10,547,000 2.32% 2.02% 8.11 Greater than 10 years 3,826,400 3.65% 1.94% 18.22 Total / Weighted Avg. $65,971,950 2.00% 2.13% 4.52 Futures Positions Notional Notional Weighted Avg. Long Short Years to Type Positions Positions Maturity(2) 2-year Swap Equivalent Eurodollar Contracts - - - U.S. Treasury Futures - 5 year - (4,597,400) 4.42 U.S. Treasury Futures - 10 year & Greater - (9,154,500) 6.99 Total - ($13,751,900) 6.13

(1) 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. (2) Scenarios include Residential Investment Securities, residential mortgage loans, MSRs and derivative instruments. (3) 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 March 31, 2018 and December 31, 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 March 31, 2018 As of December 31, 2017 Interest Rate Change (bps) Estimated Percentage Change in Portfolio Value(2) Estimated Change as a % of NAV(2)(3) Estimated Percentage Change in Portfolio Value(2) Estimated Change as a % of NAV(2)(3) (75) 0.3% 2.5% 0.3% 2.1% (50) 0.3% 2.5% 0.4% 2.6% (25) 0.2% 1.5% 0.3% 1.9% 25 (0.3%) (2.0%) (0.4%) (2.6%) 50 (0.6%) (4.4%) (0.8%) (5.8%) 75 (0.9%) (7.2%) (1.4%) (9.7%) MBS Spread Sensitivity (1) As of March 31, 2018 As of December 31, 2017 MBS Spread Shock (bps) Estimated Change in Portfolio Market Value (2) Estimated Change as a % of NAV(2)(3) Estimated Change in Portfolio Market Value (2) Estimated Change as a % of NAV(2)(3) (25) 1.5% 11.5% 1.6% 11.2% (15) 0.9% 6.9% 0.9% 6.7% (5) 0.3% 2.3% 0.3% 2.3% 5 (0.3%) (2.3%) (0.3%) (2.1%) 15 (0.9%) (6.8%) (0.9%) (6.5%) 25 (1.5%) (11.3%) (1.5%) (10.8%)

Appendix

20 Endnotes for Page 2 * Represents a non-GAAP financial measure. 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), net interest spread (excluding PAA) and operating expenses to core earnings (excluding PAA) represent non-GAAP measures. This presentation also includes additional non-GAAP measures, including interest income (excluding PAA), economic interest expense, economic net interest income (excluding PAA), core earnings (excluding PAA), core earnings (excluding PAA) available to common shareholders, core earnings, core earnings available to common shareholders and core earnings per average common share. 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. (1) Net of dividends on preferred stock. The quarter ended December 31, 2017 excludes cumulative and undeclared dividends of $8.3 million on the Company’s Series F Preferred stock as of September 30, 2017. (2) Core earnings is defined as net income (loss) excluding gains or losses on disposals of investments and termination or maturity 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, transaction 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 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. (3) 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. (4) 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. (5) Computed as the ratio of total equity to total assets (inclusive of total market value of TBA derivatives and exclusive of Securitized debt of consolidated VIEs). (6) Comprised of non-Agency MBS, credit risk transfer securities and residential mortgage loans (includes securitized residential mortgage loans of consolidated VIEs). (7) Includes consolidated VIEs. (8) Net interest margin represents the sum of interest income plus TBA dollar roll income less interest expense and realized gains (losses) on interest rate swaps divided by the sum of average Interest Earning Assets plus average TBA contract balances. Net interest margin (excluding PAA) is calculated using the sum of interest income (excluding PAA) plus TBA dollar roll income less interest expense and realized gains (losses) on interest rate swaps divided by the sum of average Interest Earning Assets plus average TBA contract balances. (9) 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). (10) Excludes costs incurred in connection with a securitization of residential whole loans.

 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 these non-GAAP financial measures and reconciliations to their most directly comparable GAAP results are provided below and on the next page. A reconciliation of GAAP net income (loss) to non-GAAP core earnings for the quarters ended March 31, 2018, December 31, 2017, September 30, 2017, June 30, 2017 and March 31, 2017, is provided on page 8 of this financial summary. Unaudited, dollars in thousands 21 Non-GAAP Reconciliations * Represents a non-GAAP financial measure. (1) Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Premium Amortization Reconciliation Premium amortization expense $95,832 $203,951 $220,636 $251,084 $203,634 Less: PAA cost (benefit) (118,395) 11,367 39,899 72,700 17,870 Premium amortization expense (excluding PAA) $214,227 $192,584 $180,737 $178,384 $185,764 Interest Income (excluding PAA) Reconciliation GAAP interest income $879,487 $745,423 $622,550 $537,426 $587,727 PAA cost (benefit) (118,395) 11,367 39,899 72,700 17,870 Interest Income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 Economic Interest Expense Reconciliation GAAP interest expense $367,421 $318,711 $268,937 $222,281 $198,425 Add: Interest expense on interest rate swaps (1) 48,160 73,957 78,564 84,252 88,966 Economic interest expense *(1) $415,581 $392,668 $347,501 $306,533 $287,391 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 Less: Economic interest expense *(1) 415,581 392,668 347,501 306,533 287,391 Economic net interest Income (excluding PAA) *(1) $345,511 $364,122 $314,948 $303,593 $318,206

Unaudited, dollars in thousands 22 Non-GAAP Reconciliations (cont’d) * Represents a non-GAAP financial measure. (1) Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric reflects all interest expense on interest rate swaps, which is reported as Realized gains (losses) on interest rate swaps in the Company’s consolidated statements of comprehensive income (loss). (2) Consists of interest expense on interest rate swaps. For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Economic Metrics (excluding PAA) Average interest earning assets $101,979,042 $100,247,589 $89,253,094 $83,427,268 $85,664,151 Interest income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 Average yield on interest earning assets (excluding PAA) * 2.99% 3.02% 2.97% 2.93% 2.83% Average interest bearing liabilities $87,376,452 $85,992,215 $76,382,315 $70,486,779 $72,422,968 Economic interest expense *(1) $415,581 $392,668 $347,501 $306,533 $287,391 Average cost of interest bearing liabilities (1) 1.90% 1.83% 1.82% 1.74% 1.59% Economic net interest income (excluding PAA)*(1) $345,511 $364,122 $314,948 $303,593 $318,206 Net interest spread (excluding PAA) * 1.09% 1.19% 1.15% 1.19% 1.24% Interest income (excluding PAA) * $761,092 $756,790 $662,449 $610,126 $605,597 TBA dollar roll income 88,353 89,479 94,326 81,051 69,968 Interest expense (367,421) (318,711) (268,937) (222,281) (198,425) Realized gains (losses) on interest rate swaps (2) (48,160) (82,271) (88,211) (96,470) (104,156) Subtotal $433,864 $445,287 $399,627 $372,426 $372,984 Average interest earning assets $101,979,042 $100,247,589 $89,253,094 $83,427,268 $85,664,151 Average TBA contract balances 12,050,341 17,509,691 19,291,834 14,206,869 10,655,785 Subtotal $114,029,383 $117,757,280 $108,544,928 $97,634,137 $96,319,936 Net interest margin (excluding PAA) * 1.52% 1.51% 1.47% 1.53% 1.55%