Form 8-K ANNALY CAPITAL MANAGEMEN For: Nov 02

 November 2, 2016  Third Quarter 2016 Financial Summary 

 This presentation, other written or oral communications, and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities (“MBS”) and other securities for purchase; the availability of financing and, if available, the terms of any financings; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our commercial business; our ability to grow our residential mortgage credit business; credit risks related to our investments in credit risk transfer securities, residential mortgage-backed securities and related residential mortgage credit assets, commercial real estate assets and corporate debt; risks related to investments in mortgage servicing rights and ownership of a servicer; any potential business disruption following the acquisition of Hatteras Financial Corp.; our ability to consummate any contemplated investment opportunities; changes in government regulations affecting our business; our ability to maintain our qualification as a REIT; and our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.Non-GAAP Financial MeasuresThis presentation includes certain non-GAAP financial measures. The non-GAAP financial measures should not be viewed in isolation and are not a substitute for financial measures computed in accordance with GAAP. Please see the section entitled “Non-GAAP Reconciliations” in the attached Appendix for a reconciliation to the most directly comparable GAAP financial measures. A reconciliation of GAAP net income (loss) to non-GAAP core earnings is provided on page 7 of this financial summary.     Safe Harbor Notice 

 Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. Core earnings, core earnings per common share, annualized core return on average equity, core average yield on interest earning assets, core net interest margin and core net interest spread represent non-GAAP measures.  This presentation also includes additional non-GAAP measures, including core interest income, economic interest expense and economic core net interest income.  See the section entitled “Non-GAAP Reconciliations” in the Appendix for a reconciliation of non-GAAP financial measures to the most directly comparable GAAP financial measures. A reconciliation of GAAP net income (loss) to non-GAAP core earnings is provided on page 7 of this financial summary.   3Q 2016 Financial Snapshot  Unaudited, dollars in thousands except per share amounts 

 Unaudited, dollars in thousands  Last Five Quarters Summary Data    Includes consolidated variable interest entities (“VIEs”) and loans held for sale.The current quarter change in constant prepayment rate (“CPR”) measures also reflects the change in portfolio mix due to the Company’s acquisition of Hatteras Financial Corp (The “Hatteras Acquisition”).        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2016  2016  2016  2015  2015  Portfolio-Related Data:              Agency mortgage-backed securities and debentures    $73,476,105   $64,862,992   $65,596,859   $65,870,262   $66,219,755   Mortgage servicing rights    $492,169   -  -  -  -  Residential credit portfolio    $2,439,704   $1,717,870   $1,658,674   $1,363,232   $820,764   Commercial real estate investments (1)    $6,033,576   $6,168,723   $6,385,579   $5,075,191   $4,976,251   Corporate debt    $716,831   $669,612   $639,481   $488,508   $424,974   Total Residential Investment Securities and commercial investment portfolio    $83,158,385   $73,419,197   $74,280,593   $72,797,193   $72,441,744   Total assets    $86,909,306   $77,716,470   $77,443,965   $75,190,893   $75,338,687   Average TBA position    $17,280,237   $14,592,236   $15,110,947   $14,366,749   $14,210,373   Residential investment securities:                      % Fixed-rate  81%   92%   93%   93%   93%      % Adjustable-rate  19%   8%   7%   7%   7%      Weighted average experienced CPR, for the period (2)  15.9%   12.7%   8.8%   9.7%   11.5%      Weighted average projected long-term CPR, as of period end (2)  14.4%   13.0%   11.8%   8.8%   9.2%      Net premium and discount balance in Residential Investment Securities  $4,920,750   $4,626,548   $4,741,900   $4,951,252   $4,827,791      Net premium and discount balance as % of stockholders' equity  37.13%   40.05%   40.71%   41.62%   39.32%  

 Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  Consists of common stock, additional paid in capital, accumulated other comprehensive income (loss) and accumulated deficit.Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements and to be announced (“TBA”) notional outstanding.Excludes forward starting swaps; weighted average fixed rate on forward starting pay fixed swaps was 1.44% and 2.04% as of December 31, 2015 and September 30, 2015, respectively; weighted average fixed rate on forward starting receive fixed swaps was 1.38% as of June 30, 2016. There were no forward starting swaps as of September 30, 2016 or March 31, 2016.        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2016  2016  2016  2015  2015  Liabilities, Capital and Hedging Data:              Repurchase agreements    $61,784,121   $53,868,385   $54,448,141   $56,230,860   $56,449,364   Other secured financing    $3,804,742   $3,588,326   $3,588,326   $1,845,048   $359,970   Securitized debt of consolidated VIEs    $3,712,821   $3,748,289   $3,802,682   $2,540,711   $2,553,398   Participation sold    $12,976   $13,079   $13,182   $13,286   $13,389   Mortgages payable    $327,632   $327,643   $334,765   $334,707   $166,697   Total debt    $69,642,292   $61,545,722   $62,187,096   $60,964,612   $59,542,818   Total liabilities    $73,647,503   $66,154,597   $65,785,958   $63,284,971   $63,054,354   Cumulative redeemable preferred stock    $1,200,559   $913,059   $913,059   $913,059   $913,059   Common equity(1)    $12,053,103   $10,640,156   $10,735,393   $10,982,915   $11,365,769   Total Annaly stockholders' equity    $13,253,662   $11,553,215   $11,648,452   $11,895,974   $12,278,828   Non-controlling interests    $8,141   $8,658   $9,555   $9,948   $5,505   Total equity    $13,261,803   $11,561,873   $11,658,007   $11,905,922   $12,284,333   Weighted average days to maturity of repurchase agreements    128   129   136   151   147   Weighted average rate on repurchase agreements, at period end    1.07%   1.02%   0.99%   0.90%   0.78%   Weighted average rate on repurchase agreements, average during period    0.97%   1.00%   0.95%   0.78%   0.73%   Leverage, at period end    5.3x   5.3x   5.3x   5.1x   4.8x   Economic leverage, at period end    6.1x   6.1x   6.2x   6.0x   5.8x   Capital ratio    13.3%   13.2%   13.2%   13.7%   14.0%   Common stock book value per share    $11.83   $11.50   $11.61   $11.73   $11.99   Total common stock shares outstanding    1,018,858   924,930   924,853   935,930   947,826   Interest rate swaps:                      Hedge ratio(2)  52%   49%   51%   55%   57%      Weighted average pay rate on interest rate swaps(3)  2.25%   2.28%   2.26%   2.26%   2.26%      Weighted average receive rate on interest rate swaps(3)  0.88%   0.74%   0.69%   0.53%   0.42%      Weighted average net rate on interest rate swaps  1.37%   1.54%   1.57%   1.73%   1.84%  

 Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  Includes interest expense on interest rate swaps used to hedge cost of funds. Excludes interest expense on interest rate swaps used to hedge TBA dollar rolls.        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2016  2016  2016  2015  2015  Performance-Related Data:              Total interest income    $558,668   $457,118   $388,143   $576,580   $450,726   Total interest expense    $174,154   $152,755   $147,447   $118,807   $110,297   Net interest income    $384,514   $304,363   $240,696   $457,773   $340,429   Total core interest income    $562,559   $542,701   $556,551   $558,508   $533,862   Total economic interest expense (1)    $277,254   $261,056   $270,571   $254,074   $248,041   Economic core net interest income (1)    $285,305   $281,645   $285,980   $304,434   $285,821   GAAP net income (loss)    $730,880   ($278,497)  ($868,080)  $669,666   ($627,491)  GAAP net income (loss) available (related) to common shareholders    $708,413   ($296,104)  ($885,910)  $652,047   ($645,286)  GAAP earnings per common share    $0.70   ($0.32)  ($0.96)  $0.69   ($0.68)  Core earnings    $312,893   $282,176   $291,757   $311,133   $300,737   Core earnings available to common shareholders    $290,090   $264,184   $273,765   $293,141   $282,745   Core earnings per average common share    $0.29   $0.29   $0.30   $0.31   $0.30   Dividends declared per common share    $0.30   $0.30   $0.30   $0.30   $0.30   Total common and preferred dividends declared    $325,091   $295,471   $295,448   $298,771   $302,340   Annualized return on average equity    23.55%   (9.60%)  (29.47%)  22.15%   (20.18%)  Annualized return on average equity per unit of economic leverage    3.86%   (1.57%)  (4.75%)  3.69%   (3.48%)  Annualized core return on average equity    10.09%   9.73%   9.91%   10.30%   9.67%   Annualized core return on average equity per unit of economic leverage    1.65%   1.60%   1.60%   1.72%   1.67%   Net interest margin    1.40%   1.15%   0.79%   1.80%   1.27%   Core net interest margin    1.42%   1.54%   1.54%   1.71%   1.65%   Average yield on interest earning assets    2.70%   2.48%   2.09%   3.15%   2.48%   Core average yield on interest earning assets    2.72%   2.95%   3.00%   3.05%   2.94%   Average cost of interest bearing liabilities    1.57%   1.68%   1.73%   1.68%   1.65%   Net interest spread    1.13%   0.80%   0.36%   1.47%   0.83%   Core net interest spread    1.15%   1.27%   1.27%   1.37%   1.29%                

 Unaudited, dollars in thousands  Components of Economic Net Interest Income  Included within realized losses on interest rate swaps. Excludes interest expense on interest rate swaps used to hedge TBA dollar rolls.        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2016  2016  2016  2015  2015  Interest income:                 Residential Investment Securities  $493,226   $394,850   $315,717   $515,195   $399,702      Residential loans  1,608   -  -  -  -     Commercial investment portfolio  61,240   59,578   70,187   60,835   50,204      Reverse repurchase agreements  2,594   2,690   2,239   550   820      Total interest income  $558,668   $457,118   $388,143   $576,580   $450,726   Economic interest expense:                      Repurchase agreements  $154,083   $136,176   $132,891   $112,529   $103,823      Interest expense on swaps used to hedge cost of funds(1)  103,100   108,301   123,124   135,267   137,744      Securitized debt of consolidated VIEs  12,046   11,226   9,033   5,597   6,111      Participation sold  157   157   158   160   161      Other  7,868   5,196   5,365   521   202      Total economic interest expense  $277,254   $261,056   $270,571   $254,074   $248,041   Economic net interest income    $281,414   $196,062   $117,572   $322,506   $202,685      Premium amortization adjustment cost (benefit)  3,891   85,583   168,408   (18,072)  83,136   Economic core net interest income    $285,305   $281,645   $285,980   $304,434   $285,821                

 Unaudited, dollars in thousands  Reconciliations and Changes in Key Metrics  Represents transaction costs incurred in connection with the Hatteras Acquisition.Represents a component of Net gains (losses) on trading assets.Represents a component of Net unrealized gains (losses) on investments measured at fair value through earnings.        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2016  2016  2016  2015  2015  Core earnings reconciliation                   GAAP net income    $730,880   ($278,497)  ($868,080)  $669,666   ($627,491)  Less:                      Realized (gains) losses on termination of interest rate swaps  (1,337)  60,064   -  -  -     Unrealized (gains) / losses on interest rate swaps  (256,462)  373,220   1,031,720   (463,126)  822,585      Net (gains) / losses on disposal of investments  (14,447)  (12,535)  1,675   7,259   7,943      Net (gains) / losses on trading assets  (162,981)  (81,880)  (125,189)  (42,584)  (108,175)     Net unrealized (gains) losses on investments measured at fair value through earnings  (29,675)  54,154   (128)  62,703   24,501      Bargain purchase gain  (72,576)  -  -  -  -     Corporate acquisition related expenses(1)  46,724   2,163   -  -  -     Net (income) loss attributable to noncontrolling interest  336   385   162   373   197      Premium amortization adjustment cost (benefit)  3,891   85,583   168,408   (18,072)  83,136   Plus:                      TBA Dollar Roll Income(2)  90,174   79,519   83,189   94,914   98,041      MSR amortization(3)  (21,634)  -  -  -  -  Core earnings    $312,893   $282,176   $291,757   $311,133   $300,737                        Book value per common share rollforward:                   Book value per common share, beginning of period    $11.50   $11.61   $11.73   $11.99   $12.32      Net income (loss) attributable to common stockholders  0.70   (0.32)  (0.96)  0.69   (0.68)     Other comprehensive income (loss) attributable to common stockholders  0.00   0.51   1.11   (0.68)  0.65      Common dividends declared  (0.30)  (0.30)  (0.30)  (0.30)  (0.30)     Issuance of common stock  (0.07)  0.00   0.00   0.00   0.00      Buyback of common stock  0.00   0.00   0.03   0.03   0.00   Book value per common share, end of period    $11.83   $11.50   $11.61   $11.73   $11.99                       

 Unaudited  Changes in Key Metrics  Includes interest expense on interest rate swaps used to hedge cost of funds.        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2016  2016  2016  2015  2015  Changes in net interest margin                   Prior quarter net interest margin    1.15%  0.79%  1.80%  1.27%  2.06%  Quarter-over-quarter changes in contribution:                      Net amortization of premiums  0.34%  0.39%  (0.86%)  0.44%  (0.76%)     Interest expense and related realized gain (loss) on interest rate swaps  0.09%  0.03%  (0.05%)  (0.01%)  (0.11%)     TBA dollar roll income  0.00%  (0.01%)  (0.06%)  (0.02%)  0.03%     Coupon on average interest-earning assets  (0.18%)  (0.05%)  (0.04%)  0.12%  0.05%  Current quarter net interest margin    1.40%   1.15%   0.79%   1.80%   1.27%                        Changes in core net interest margin                   Prior quarter core net interest margin    1.54%  1.54%  1.71%  1.65%  1.70%  Quarter-over-quarter changes in contribution:                      Interest expense and related realized gain (loss) on interest rate swaps  0.09%  0.04%  (0.05%)  (0.02%)  (0.11%)     TBA dollar roll income  0.00%  (0.01%)  (0.06%)  (0.02%)  0.03%     Net amortization of premiums, exclusive of premium amortization adjustment  (0.03%)  0.03%  (0.02%)  (0.02%)  (0.02%)     Coupon on average interest-earning assets  (0.18%)  (0.06%)  (0.04%)  0.12%  0.05%  Current quarter core net interest margin    1.42%   1.54%   1.54%   1.71%   1.65%                        Changes in net interest spread                   Prior quarter core net interest spread    0.80%  0.36%  1.47%  0.83%  1.73%  Quarter-over-quarter changes in contribution:                      Net amortization of premiums  0.41%  0.48%  (1.04%)  0.53%  (0.91%)     Average cost of interest bearing liabilities(1)  0.11%  0.05%  (0.05%)  (0.03%)  (0.06%)     Coupon on average interest earning assets  (0.19%)  (0.09%)  (0.02%)  0.14%  0.07%  Current quarter core net interest spread    1.13%   0.80%   0.36%   1.47%   0.83%                 Changes in core net interest spread                   Prior quarter core net interest spread    1.27%  1.27%  1.37%  1.29%  1.31%  Quarter-over-quarter changes in contribution:                      Average cost of interest bearing liabilities(1)  0.11%  0.05%  (0.05%)  (0.03%)  (0.06%)     Net amortization of premiums, exclusive of premium amortization adjustment  (0.04%)  0.04%  (0.03%)  (0.03%)  (0.03%)     Coupon on average interest earning assets  (0.19%)  (0.09%)  (0.02%)  0.14%  0.07%  Current quarter core net interest spread    1.15%   1.27%   1.27%   1.37%   1.29%                

 Unaudited  Changes in Key Metrics  Includes investment advisory income, other income (loss), general and administrative expenses and income taxes.Includes investment advisory income, other income (loss), mortgage servicing rights (“MSR”) amortization (a component of Net unrealized gains (losses) on financial instruments measured at fair value through earnings), general and administrative expenses (excluding corporate acquisition related expenses) and income taxes.        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2016  2016  2016  2015  2015  Changes in GAAP return on average equity                   Prior quarter GAAP return on average equity    (9.60%)  (29.47%)  22.15%  (20.18%)  28.00%  Quarter-over-quarter changes in contribution:                      Unrealized (gains) / losses on interest rate swaps  21.12%  22.17%  (50.34%)  41.77%  (48.25%)     Realized / unrealized (gains) / losses on investments and trading assets  5.29%  (2.81%)  5.10%  (3.33%)  5.32%     Bargain purchase gain  2.34%  0.00%  0.00%  0.00%  0.00%     Net amortization of premiums and accretion of discounts  2.24%  2.94%  (6.76%)  2.91%  (5.28%)     Realized (gains) losses on termination of interest rate swaps  2.11%  (2.07%)  0.00%  0.00%  0.00%     Interest expense and related realized gain (loss) on interest rate swaps  0.14%  0.24%  (0.81%)  (0.44%)  (0.75%)     Coupon income  0.02%  (0.37%)  0.87%  1.66%  0.35%     Impairment of goodwill  0.00%  0.00%  0.00%  0.00%  0.71%     Other(1)  (0.11%)  (0.23%)  0.32%  (0.24%)  (0.28%)  Current quarter GAAP return on average equity    23.55%   (9.60%)  (29.47%)  22.15%   (20.18%)                Changes in core return on average equity                   Prior quarter core return on average equity    9.73%  9.91%  10.30%  9.67%  10.31%  Quarter-over-quarter changes in contribution:                      Other(2)  0.62%  (0.15%)  0.31%  (0.23%)  (0.28%)     TBA dollar roll income  0.17%  (0.08%)  (0.32%)  (0.01%)  0.17%     Economic interest expense and other swaps expense  0.14%  0.24%  (0.81%)  (0.44%)  (0.76%)     Coupon income  0.02%  (0.37%)  0.88%  1.67%  0.36%     Net amortization of premiums, exclusive of premium amortization adjustment  (0.59%)  0.18%  (0.45%)  (0.36%)  (0.13%)  Current quarter core return on average equity    10.09%  9.73%  9.91%  10.30%  9.67%               

 Unaudited, dollars in thousands  Residential Investment Securities and TBA Derivative Overview as of September 30, 2016    Agency Fixed-Rate Securities (Pools)                Weighted Avg.  Current     Weighted Avg.  Weighted Avg.  Weighted Avg.  Weighted Avg.  Estimated  Years to Maturity  Face Value  %  Coupon  Amortized Cost  Fair Value  3-Month CPR  Fair Value  <=15 years  $7,588,745   13.6%  3.15%  103.8%  105.7%  12.3%  $8,023,809   20 years  5,626,694   10.1%  3.50%  104.3%  106.8%  16.6%  6,007,378   >=30 years  42,497,808   76.3%  3.86%  106.2%  108.0%  14.9%  45,911,382   Total/Weighted Avg.  $55,713,247   100.0%  3.73%  105.70%  107.59%  14.7%  $59,942,569                                            TBA Purchase Contracts                         Weighted Avg.  Implied Cost        Implied Market  Type  Notional Value  %  Coupon  Basis        Value  15-year  $1,890,000   11.8%  2.50%  $1,948,871         $1,957,087   30-year  14,060,000   88.2%  3.30%  14,722,325         14,772,922   Total/Weighted Avg.  $15,950,000   100.0%  3.21%  $16,671,196         $16,730,009                                                   Agency Adjustable-Rate Securities                Weighted Avg.  Current     Weighted Avg.  Weighted Avg.  Weighted Avg.  Weighted Avg.  Estimated  Months to Reset  Face Value  %  Coupon  Amortized Cost  Fair Value  3-Month CPR  Fair Value  0 - 24 months  $4,527,844   38.5%  2.85%  103.8%  105.0%  25.6%  $4,754,870   25 - 40 months  4,162,726   35.4%  2.54%  103.3%  103.3%  25.7%  4,298,752   41 - 60 months  1,535,152   13.1%  2.60%  103.1%  103.1%  18.4%  1,582,059   61 - 90 months  612,283   5.2%  2.83%  103.6%  103.8%  6.6%  635,525   >90 months  922,628   7.8%  3.03%  102.7%  103.8%  19.4%  957,421   Total/Weighted Avg.  $11,760,633   100.0%  2.72%  103.4%  104.0%  23.2%  $12,228,627                          

 Unaudited, dollars in thousands  Residential Investment Securities and TBA Derivative Overview as of September 30, 2016 (cont’d)  (1) Weighted by fair value.  Agency Interest-Only Collateralized Mortgage-Backed Obligations                   Current Notional     Weighted Avg.  Weighted Avg.  Weighted Avg.  Weighted Avg.  Estimated  Type  Value  %  Coupon  Amortized Cost  Fair Value  3-Month CPR  Fair Value  Interest-Only  $4,942,802   57.7%  3.28%  13.3%  10.4%  14.9%  $516,195   Inverse Interest-Only  3,620,035   42.3%  5.58%  23.3%  21.8%  13.6%  788,714   Total/Weighted Avg.  $8,562,837   100.0%  4.26%  17.5%  15.2%  14.4%  $1,304,909                                                   Mortgage Servicing Rights                         Excess  Weighted Avg.        Unpaid Principal    Weighted Avg.  Servicing  Loan Age    Estimated  Type  Balance     Coupon  Spread  (months)     Fair Value  Total/Weighted Avg.  $53,397,163      3.86%  0.23%  7.0      $492,169                                                   Residential Credit Portfolio                   Current Face /     Weighted Avg.  Weighted Avg.  Weighted Avg.     Estimated  Sector  Notional Value  % (1)  Coupon  Amortized Cost  Fair Value     Fair Value  Credit Risk Transfer Securities  $641,531   27.4%  4.73%  99.3%  104.3%     $669,295   Legacy  1,075,956   38.3%  2.92%  84.4%  86.8%     934,167   NPL/RPL  347,105   14.3%  4.08%  99.9%  100.4%     348,435   New Issue  161,275   6.8%  3.56%  100.4%  103.1%     166,330   New Issue IO  935,395   0.5%  0.38%  1.8%  1.2%     11,329   Residential Mortgage Loans  301,957   12.7%  3.45%  102.7%  102.7%     310,148   Total/Weighted Avg  $3,463,219   100.0%  2.77%  68.7%  70.4%     $2,439,704                          

 Residential Credit Investments Detail as of September 30, 2016  (1) Excludes Residential Mortgage Loans.  Unaudited, dollars in thousands  (1)  By Sector Product             Product   Market Value  Coupon  Credit Enhancement  60+ Delinquencies  3M VPR  Alt-A  $160,233   4.41%  7.21%  15.07%  5.90%  Prime   230,140   4.52%  1.55%  10.45%  2.50%   Subprime    549,754   1.91%  23.21%  19.96%  1.85%   Prime Jumbo (>=2010 Vintage)    160,370   3.50%  15.59%  0.00%  24.41%   Prime Jumbo (>=2010 Vintage) Interest Only    11,329   0.39%  0.00%  0.00%  17.46%   Re-Performing Loan Securitizations    80,212   3.86%  45.17%  14.37%  3.34%   Agency Credit Risk Transfer    616,761   4.61%  1.02%  0.14%  18.89%   Private Label Credit Risk Transfer    52,534   6.06%  7.77%  1.42%  4.00%   Non-Performing Loan Securitizations    268,223   4.15%  51.52%  67.23%  1.35%   Total   $2,129,556   2.70%  11.85%  11.87%  11.07%              Market Value By Sector and Payment Structure             Product   Senior     Subordinate     Total  Alt-A  $83,319      $76,914      $160,233   Prime   37,779      192,361      230,140    Subprime    189,236       360,517       549,753    Prime Jumbo (>=2010 Vintage)    149,870      10,500      160,370    Prime Jumbo (>=2010 Vintage) Interest Only    11,329       -       11,329    Re-Performing Loan Securitizations    80,212      -      80,212    Agency Credit Risk Transfer    -       616,762       616,762    Private Label Credit Risk Transfer    -       52,534       52,534    Non-Performing Loan Securitizations    264,735       3,488       268,223    Total   $816,480      $1,313,076      $2,129,556               Market Value By Sector and Bond Coupon             Product   ARM  Fixed  Floater   Interest Only   Total  Alt-A  $18,628   $99,947   $41,658    $ -   $160,233   Prime   107,269    122,871    -    -    230,140    Subprime    -    60,675    489,078    -    549,753    Prime Jumbo (>=2010 Vintage)    -    149,870    10,500    -    160,370    Prime Jumbo (>=2010 Vintage) Interest Only    -    -    -    11,329    11,329    Re-Performing Loan Securitizations    -    80,212    -    -    80,212    Agency Credit Risk Transfer    -    -    616,762    -    616,762    Private Label Credit Risk Transfer    -    -    52,534    -    52,534    Non-Performing Loan Securitizations    -    268,223    -    -    268,223    Total   $125,897   $781,798   $1,210,532   $11,329   $2,129,556              

 Commercial Real Estate Overview as of September 30, 2016    Book values include unamortized net origination fees.Total weighted based on book value.Based on an internal valuation or the most recent third party appraisal, which may be prior to loan origination/purchase date, and on an “as is” basis at the time of underwriting.Maturity dates assume all of the borrowers' extension options are exercised.Levered Return – Debt Investments, Securitized Whole Loans at Fair Value and commercial mortgage-backed securities (“CMBS”): represents the current coupon plus fees amortized over initial loan term, less any related financing costs. Levered return – Equity Investments: is based on projected year 1 cash-on-cash returns for 2015 acquisitions.Economic interest in securitized whole loans is reflected in B Piece CMBS.  Unaudited, dollars in thousands 

 Middle Market Lending Overview as of September 30, 2016    Industry Dispersion        Industry  Fixed Rate  Floating Rate  Total  Airports, Flying Fields and Airport Terminal   $ -    $ 47,184    $ 47,184   Commercial Fishing   -    40,590    40,590   Computer Programming & Data Processing   -    63,253    63,253   Drugs   -    34,247    34,247   Home Health Care Services   -    39,339    39,339   Insurance Agents, Brokers & Services   4,380    44,344    48,724   Management & Public Relations Services   -    39,116    39,116   Medical & Dental Laboratories   -    17,324    17,324   Miscellaneous Business Services   84,448    63,677    148,125   Miscellaneous Health & Allied Services   -    38,886    38,886   Miscellaneous Nonmetallic Minerals   -    24,682    24,682   Miscellaneous Plastic Products   -    27,075    27,075   Motor Vehicles, Parts & Supplies   -    12,347    12,347   Offices & Clinics of Doctors of Medicine   -    83,582    83,582   Research, Development & Testing Services   -    17,739    17,739   Schools & Educational Services   -    21,042    21,042   Surgical, Medical & Dental Instruments   -    13,576    13,576   Total   $ 88,828    $ 628,003    $ 716,831               Loan Size Dispersion        Loan Size     Amount  Percentage   $0 - $20 million       $ 126,210   17.6%   $20 - $40 million       215,270   30.0%   $40 - $60 million       229,951   32.1%   greater than $60 million       145,400   20.3%   Total       $ 716,831   100.0%              Loan Tenor Dispersion        Remaining Term     Amount  Percentage   One year or less       $ -   0.0%   One to three years       -   0.0%   Three to five years       438,092   61.1%   Greater than five years       278,739   38.9%   Total       $ 716,831   100.0%              Lien Position     Amount     First lien loans      $ 466,099   65.0%  Second lien loans      161,904   22.6%  Second lien notes      84,448   11.8%  Subordinated notes      4,380   0.6%  Total      $ 716,831   100.0%              Unaudited, dollars in thousands 

 Hedging and Liabilities as of September 30, 2016  Unaudited, dollars in thousands  Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 16% of the total repurchase agreements and FHLB advances have a remaining maturity over one year. The combined weighted average days to maturity for repurchase agreements and FHLB advances was 206 days.Represents the quarterly average rate.Determined based on estimated weighted-average lives of the underlying debt instruments.  Interest Rate Swaps                Current  Weighted Avg.  Weighted Avg.  Weighted Avg.  Maturity     Notional  Pay Rate  Receive Rate  Years to Maturity  0 to <3 years    $4,552,383   1.74%  0.76%  2.77   >=3 to <6 years    9,675,000   1.92%  0.88%  4.14   >= 6 to <10 years    7,363,550   2.34%  0.98%  7.81   Greater than 10 years    3,634,400   3.70%  0.67%  18.62   Total / Weighted Avg.     $25,225,333   2.25%  0.88%  6.89               Futures Positions                  Notional  Notional          Long  Short  Weighted Avg.  Type        Positions  Positions  Years to Maturity(1)  2-year Swap Equivalent Eurodollar Contracts      -  (14,991,375)  2.00   U.S. Treasury Futures - 5 year       -  (1,247,200)  4.42   Total       -  ($16,238,575)  2.19               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  $950,000  1.08%  3M LIBOR  2.24   2.77   Short  ($200,000)  3M LIBOR  1.54%  10.25   2.77               Repurchase Agreements & FHLB Advances                  Principal    Weighted Avg.  Maturity       Balance     Rate  Within 30 days       $26,508,338      0.99%  30 to 59 days      5,200,350     0.86%  60 to 89 days       6,173,598      0.85%  90 to 119 days      5,309,103     0.79%  Over 120 days(2)       22,181,058      1.27%  Total / Weighted Avg.       $65,372,447      1.04%                 Principal  Weighted Average       Balance  Rate (3)  Days to Maturity(4)  Repurchase agreements  $61,784,121   0.97%  128   Other secured financing  3,804,742   0.83%  1,560   Securitized debt of consolidated VIEs  3,695,502   1.29%  2,434   Participation sold  12,908   4.81%  213   Mortgages payable  330,946   4.42%  2,881   Total indebtedness  $69,628,219                    

 Unaudited  Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity   Scenarios include Residential Investment Securities and derivative instruments.Net asset value (“NAV”) represents book value of common equity.  Assumptions:The interest rate sensitivity and spread sensitivity are based on the portfolios as of September 30, 2016 and June 30, 2016. The interest rate sensitivity reflects instantaneous parallel shifts in rates.The spread sensitivity shifts mortgage-backed securities spreads instantaneously and reflects exposure to mortgage-backed securities basis risk.All tables assume no active management of the portfolio in response to rate or spread changes.  Interest Rate Sensitivity                    As of September 30, 2016       As of June 30, 2016    Interest Rate Change (bps)     Estimated Percentage Change in Portfolio Value(1)  Estimated Change as a % of NAV(1)(2)     Estimated Percentage Change in Portfolio Value(1)  Estimated Change as a % of NAV(1)(2)  (75)    0.5%  3.1%    0.3%  1.8%  (50)     0.4%  2.3%     0.3%  1.7%  (25)    0.2%  1.3%    0.2%  1.0%  25     (0.3%)  (1.7%)     (0.2%)  (1.3%)  50    (0.6%)  (3.8%)    (0.5%)  (3.2%)  75     (1.1%)  (6.6%)     (0.9%)  (5.6%)                MBS Spread Sensitivity                    As of September 30, 2016       As of June 30, 2016    MBS Spread Shock (bps)     Estimated Change in Portfolio Market Value  Estimated Change as a % of NAV(1)(2)     Estimated Change in Portfolio Market Value  Estimated Change as a % of NAV(1)(2)  (25)    1.3%  8.2%    1.3%  7.8%  (15)     0.8%  4.9%     0.8%  4.7%  (5)    0.3%  1.6%    0.3%  1.6%  5     (0.3%)  (1.6%)     (0.3%)  (1.5%)  15    (0.8%)  (4.8%)    (0.8%)  (4.6%)  25     (1.3%)  (8.0%)     (1.3%)  (7.7%) 

 Appendix 

 Endnotes for Page 2    Core earnings is defined as net income (loss) excluding gains or losses on disposals of investments and termination of interest rate swaps, unrealized gains or losses on interest rate swaps and investments measured at fair value through earnings, net gains and losses on trading assets, impairment losses, net income (loss) attributable to noncontrolling interest, the premium amortization adjustment resulting from the quarter-over-quarter change in estimated long-term CPR, corporate acquisition related expenses and certain other non-recurring gains or losses, and inclusive of dollar roll income (a component of Net gains (losses) on trading assets) and realized amortization of MSRs (a component of Net unrealized gains (losses) on investments measured at fair value through earnings).For purposes of calculating the Company’s leverage ratio, debt consists of repurchase agreements, other secured financing, Convertible Senior Notes, securitized debt, participation sold and mortgages payable. Securitized debt, participation sold and mortgages payable are non-recourse to the Company.Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing and Convertible Senior Notes. The ratio of total equity to total assets (inclusive of total market value of TBA derivatives and exclusive of consolidated VIEs associated with B Piece commercial mortgage-backed securities).Comprised of non-Agency mortgage-backed securities, credit risk transfer securities and residential mortgage loans.Includes consolidated VIEs and loans held for sale.Represents the sum of the Company’s annualized economic core net interest income (inclusive of interest expense on interest rate swaps used to hedge cost of funds) plus TBA dollar roll income (less interest expense on swaps used to hedge dollar roll transactions) divided by the sum of its average interest-earning assets plus average outstanding TBA derivative balances.Represents annualized core interest income divided by average interest earning assets. Interest earning assets reflects the average amortized cost of our investments during the period. Excludes transaction costs incurred in connection with the Company’s acquisition of Hatteras Financial Corp.Represents general and administrative expenses divided by core earnings before general and administrative expenses. 

 Non-GAAP Reconciliations  To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles (“GAAP”), the Company provides non-GAAP financial measures. These measures should not be considered a substitute for, or superior to, financial measures computed in accordance with GAAP. These non-GAAP measures provide additional detail to enhance investor understanding of the Company’s period-over-period operating performance and business trends, as well as for assessing the Company’s performance versus that of industry peers.Reconciliations of these non-GAAP financial measures to their most directly comparable GAAP results are provided above. A reconciliation of GAAP net income (loss) to non-GAAP core earnings for the quarters ended September 30, 2016, June 30, 2016, March 31, 3016, December 31, 2015 and September 30, 2015, is provided on page 7 of this financial summary.   Unaudited, dollars in thousands except per share amounts        For the quarters ended                September 30,  June 30,  March 31,  December 31,  September 30,        2016  2016  2016  2015  2015  Premium Amortization Reconciliation              Premium amortization expense    $213,241   $265,475   $355,671   $159,720   $255,123   Less:                      Premium amortization adjustment cost (benefit)  3,891   85,583   168,408   (18,072)  83,136   Premium amortization expense exclusive of premium amortization adjustment    $209,350   $179,892   $187,263   $177,792   $171,987   Core Interest Income Reconciliation              Total interest income    $558,668   $457,118   $388,143   $576,580   $450,726   Premium amortization adjustment cost (benefit)    3,891   85,583   168,408   (18,072)  83,136   Core interest income    $562,559   $542,701   $556,551   $558,508   $533,862   Economic Interest Expense Reconciliation              GAAP interest expense    $174,154   $152,755   $147,447   $118,807   $110,297   Add:                 Interest expense on interest rate swaps used to hedge cost of funds  103,100   108,301   123,124   135,267   137,744   Economic interest expense    $277,254   $261,056   $270,571   $254,074   $248,041   Economic Core Net Interest Income Reconciliation              Core interest income    $562,559   $542,701   $556,551   $558,508   $533,862   Less:                 Economic interest expense  277,254   261,056   270,571   254,074   248,041   Economic core net interest income    $285,305   $281,645   $285,980   $304,434   $285,821   Economic Core Metrics              Core interest income    $562,559   $542,701   $556,551   $558,508   $533,862   Average interest earning assets    $82,695,270   $73,587,753   $74,171,943   $73,178,965   $72,633,314   Core average yield on interest earning assets    2.72%  2.95%  3.00%  3.05%  2.94%  Economic interest expense    $277,254   $261,056   $270,571   $254,074   $248,041   Average interest bearing liabilities    $70,809,712   $62,049,474   $62,379,695   $60,516,996   $59,984,298   Average cost of interest bearing liabilities    1.57%  1.68%  1.73%  1.68%  1.65%  Core net interest spread    1.15%  1.27%  1.27%  1.37%  1.29%  Core net interest margin    1.42%  1.54%  1.54%  1.71%  1.65%