May 4, 2016  First Quarter 2016 Supplemental Information 

 *  *  This presentation, other written or oral communications and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "believe," "expect," "anticipate," "continue," or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities and other securities for purchase; the availability of financing and, if available, the terms of any financings; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our commercial business; our ability to grow our residential mortgage credit business; credit risks related to our investments in credit risk transfer securities, residential mortgage-backed securities and related residential mortgage credit assets, commercial real estate assets and corporate debt; our ability to consummate any contemplated investment opportunities; changes in government regulations affecting our business; our ability to maintain our qualification as a REIT for federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended; and our ability to consummate the proposed Hatteras Acquisition on a timely basis or at all, and potential business disruption following the Hatteras Acquisition. 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. Please see the section entitled “Non-GAAP Reconciliations” in the attached Appendix for a reconciliation to the most directly comparable GAAP financial measures.  Safe Harbor Notice 

 *  *  Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. Core earnings, normalized core earnings, annualized core return on average equity, annualized normalized core return on average equity, normalized average yield on interest earning assets, normalized net interest spread and normalized net interest margin represent non-GAAP measures.  This presentation also includes additional non-GAAP measures, including normalized interest income, economic interest expense, economic net interest income and normalized economic net interest income.  See the section entitled “Non-GAAP Reconciliations” in the Appendix for reconciliation of non-GAAP financial measures.  1Q 2016 Financial Overview  GAAP net loss of ($868.1) million, or ($0.96) per average common share, resulting in an annualized GAAP loss on average equity of (29.47%)Normalized core earnings(1) of $291.8 million, or $0.30 per average common share, generating an annualized normalized core return on average equity of 9.91%Declared a $0.30 dividend per common share  Common stock book value per share of $11.61End of period total debt to equity of 5.3x(2); economic leverage ratio of 6.2x(3)End of period capital ratio of 13.2%(4) Weighted average days to maturity on repurchase agreements of 136 days  Normalized average yield on interest earning assets(5) of 3.00% and normalized net interest spread of 1.27% during the quarter; normalized net interest margin(6) of 1.54%End of period Residential Investment Securities(7) of $67.3 billionTotal credit portfolio(8) represents 25% of stockholders’ equity  Income Statement  Balance Sheet  Portfolio  Unaudited 

 *  *  Includes loans held for sale.As of April 28, 2016.  Strategy Overview  PortfolioPositioning  MarketOpportunities  Liability andInterest RateManagement  Unaudited  Continue to actively diversify to achieve more durable earnings and book value in various interest rate environments; Hatteras acquisition allows for broader investment portfolio opportunity set including agency and non-agency MBS, residential whole loans, commercial real estate debt and equity, corporate debt, and mortgage-servicing rightsCommercial and residential credit assets grew $201 million over the quarter to now represent 25% of stockholders’ equity at the end of Q1(1)Total share repurchases under the current program of $217 million(2),  including $103 million during Q1  Specified pools exhibited strong performance year-to-date in the rate rally, while increased prepayment speeds and servicer speed differentials are beginning to create relative value opportunities. Expected levered return on equity of 9% to 12% on purchase of agency MBS in current market environmentThe widening in residential credit asset spreads in January and February had partially reversed at the end of Q1 and has retraced fully in Q2, as risk sentiment firmed. Expected levered return on equity of 11% to 13% in new residential credit investments CMBS market experienced spread volatility across the capital stack; the subsequent spread tightening underperformed down the credit curve. Fundamentals underlying real estate credit remain solid and should create further opportunities for levered returns in commercial credit investments in excess of 10%  Relatively conservative portfolio leverage allowed us to acquire Hatteras portfolio to enhance our capital base and further scale our operating modelFocus on longer term and product-specific funding arrangements to manage short term interest rate uncertainty and overall firm liquidity; our availability of financing continues to be among the strongest in the mortgage REIT sector with 30+ counterparties and excess capacitySelectively utilize derivatives to hedge against higher interest rates and spikes in volatility 

 *  *  Balancing the liquidity of the Agency strategies with the durability of multiple credit strategies  Annaly Sum-of-the-Parts Capital Diversification  Agency  Residential Credit  Commercial Real Estate  Middle Market Lending  Dedicated Capital  $8.7bn  $1.6bn  $0.7bn  $0.6bn  % of Total Capital  75%  14%(1)  6%  5%  Financing  $70.7bn(2)  $0.9bn(3)  $1.0bn  --  Benefits &Considerations  Very scalableDeep, liquid marketFHLB as supplemental fundingRepo costsFinancing capacity with RCap  Stable EPS & BV profileBetter market valuationLonger lead time  Low correlation profile to Agency bookHelps better manage interest rate cyclesPositive housing fundamentals  Unique economic viewStable profileIdiosyncratic riskHigh carry, floating rate assets  Includes loans held for sale.Includes financing of TBAs.Excludes securitized debt. 

 *  *  Source: Bloomberg  Agency MBS: Interest Rate Market Performance  Yield curve flattened in volatile first quarter, with 2-year and 10-year swap rates declining 34 and 55 bps, respectivelyRate rally reflective of change in monetary policy expectations, as three major developed market central banks signaled more accommodative monetary policy for longerCentral bank accommodation continues to buoy asset prices in low economic growth environmentAsset price correlations with oil remain highMarket continues to price less than the two interest rate hikes currently forecasted by the Federal ReservePotential Fed hike in 1H 2016 could be impacted by weaker economic data and upcoming geopolitical risk events such as the potential UK EU exit  Swap Rates Fell Sharply During the Quarter, Led by the Intermediate Sector  Market Correlations with the Oil Price Have Been Historically High 

 

6 Source: JP Morgan, Credit Suisse, Annaly calculations (1) MBS relative performance vs. swaps reflects cumulative price performance of an MBS position hedged with a combination of 2-yr, 5-yr and 10-yr interest rate swaps to a one year duration gap on December 31, 2015. Calculations are based on Credit Suisse’s model MBS partial duration profile. Cumulative performance does not include net coupon earnings and assumes no rebalancing of swap hedges. (2) JP Morgan data as of March 31, 2016. Agency  MBS: Market Backdrop MBS spreads and performance slightly weaker in challenging Q1 amid significantly lower rates Collateral with stable cash flow profiles, such as specified pools and 15-year securities, outperformed Speeds saw a meaningful increase amid higher refinancing/purchase activity, with further increases expected in months to come More dovish central banks suggest even longer official sector support, which will be helpful to dollar roll valuations as Fed takes out large portion of cheapest-to-deliver TBA MBS with worst prepayment characteristics Agency MBS currently show mixed technical and fundamental factors Agency MBS continue to offer attractive yields in global low yield landscape; foreign demand has improved in recent months High prepayment speeds, increased issuance, and declining carry have weighed on the sector Relative sector liquidity remains strong despite lower trading volumes and greater dealer concentration -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 1.5 1.6 1.7 1.8 1.9 2.0 2.1 2.2 12/31/15 1/31/16 2/29/16 3/31/16 Percent Percent 10yr Swap Yield (lhs) FNCI 3.0 FNCL   3.5 FNCL 4.0 MBS Hedged Performance Flat in Q1 2016(1) US 2y US 5y US 10y Germany 2y Germany 5y Germany 10y UK 2y UK 5y UK 10y Japan 2y Japan 5y Japan 10y FNCL 3.0 FNCL 3.5 FNCL 4.0 FNCI 3.0 FNCL 4.0 LLB FNCL 3.5 MLB -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 0 2 4 6 8 10 12 Yield (%) Asset Duration Agency MBS Remain Attractive Relative to Low Sovereign Yields(2) 

 *  *  Pass Through Coupon Type  Agency MBS: Portfolio  Data as of March 31, 2016. Note: Percentages based on fair market value. 15yr and 20yr Fixed %’s are inclusive of TBA contracts.“High Quality” protection is defined as pools backed by original loan balances of up to $150K, higher LTV pools (CR/CQ), geographic concentrations (NY/PR). “Other Specified Pools” includes $175K loan balance, high LTV pools, FICO < 700.   The market value of Agency portfolio stood at approximately $80bn at end of Q1, inclusive of the TBA positionApproximately 85% of the portfolio is positioned in high quality securities with prepayment protectionMBS spread widening has led to more attractive valuations, however, elevated volatility persists in the marketStrategy has focused on continued rotation into bonds with durable and stable cash flows   Asset Type(1)  Call Protection(2)  Total Equity: $8.7bn 

 *  *  Market Performance  Residential Credit: Market Backdrop   Strong residential credit performance YTD reflective of improved market sentiment and continued strong fundamental performance, despite market driven volatility  Source: Bloomberg  Fundamental Performance  Impacts from China, Emerging Markets, Oil and other Commodities permeated throughout the high yield market and risk assets to start the year, which translated to elevated spread volatility across credit productsMore dovish sentiment out of the Fed led to a rally in securitized credit towards the end of Q1 that continues to persistLegacy RMBS widened in line with other risk assets throughout Q1, but marginally lagged the tightening experienced by other structured credit in the latter part of the quarterGSE Credit Risk Transfer securities (CRT) have traded directionally with other credit markets and the broader macro outlookAfter up to ~200bps of widening from the end of 2015 through mid-February, CRT spreads reversed sharply in March and AprilStrong sector performance YTD reflective of improved risk sentiment and continued strong fundamental performanceNPL/RPL sector has exhibited very low spread volatility, with senior bonds pricing in the low/mid 4% yieldsDespite rates rally over the quarter, “AAA” RMBS 2.0 has held in, currently trading at 3-00 points back to respective TBAExpect 2016 volumes to be constrained by a multitude of factors  Sound housing and consumer fundamentals continue to serve as a positive catalyst for residential credit productsHome prices continue to appreciate; remain below pre-crisis peakResidential investments as percentage of GDP roughly half of pre-crisis levelsMortgage credit availability remains tightDeclining consumer debt delinquencies  Consumer Balance Sheet Remains Healthy 

 *  *  Residential Credit: Portfolio  Data as of March 31, 2016.Note: Percentages based on fair market value.   Through YTD 2016, the portfolio grew to approximately $1.7 billion, comprised of the following sectors:Credit Risk Transfer (CRT): floating rate assets originated by the GSEs in a high quality underwriting environmentJumbo “AAA” Securities: cheap supplement to the Agency portfolio; advantageous FHLB financingNPL/RPL Securities: conservatively structured, short duration assets with extension protectionLegacy: high carrying assets; sector has negative net issuance and positive fundamentals  Sector Type  Coupon Type  Effective Duration  Total Dedicated Equity: $0.7bn 

 *  *  Annaly Commercial Real Estate Group Portfolio  Data as of March 31, 2016.Note: Percentages based on economic interestOther includes 38 states, none of which represent more than 5% of total portfolio value.   Providing capital for acquisitions and refinancings at higher leverage points in the capital structure on real estate with growth potentialFocus on top tier sponsors, operating in attractive markets with rational business plans, and loan structures that mitigate riskMaximize returns through conservative financing strategies utilizing syndication relationships, credit facilities and the securitization market $1.9 billion   Asset Type  Sector Type  Geographic Concentration(1)  Total Equity: $1.6bn 

 *  *  Middle Market Lending: Portfolio  Lien Position  Industry (1)  Sponsor Concentration  Flexible capital provider to established control equity partnersWell-tenured relationships with private equity community fosters recurring deal flowCredit-first approach requiring first-level due diligence in targeted industries enables optimized relative risk / return decisionsActive credit monitoring and portfolio management  Total Equity: $0.6bn  Data as of March 31, 2016.Note: Percentages based on principal outstanding.(1) Based on Moody’s industry categories. 

 *  *  Last Five Quarters Financial Performance  Unaudited 

 *  *  Unaudited, numbers in thousands except per share amounts  Summary Balance Sheet and Applicable Information  Includes loans held for sale, commercial real estate debt and preferred equity and investments in commercial real estate.Commercial investment portfolio consists of commercial real estate investments and corporate debt.Consists of common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit.     For the quarters ended  For the quarters ended  For the quarters ended     March 31,  December 31,  March 31,     2016  2015  2015  Residential Investment Securities  $67,255,533   $67,233,494   $70,491,746   Commercial real estate investments(1)  6,385,579   5,075,191   3,221,518   Corporate debt  639,481   488,508   227,830   Total Residential Investment Securities and commercial investment portfolio(2)  $74,280,593   $72,797,193   $73,941,094   Total assets  $77,443,965   $75,190,893   $78,675,677   Average TBA position  $15,110,947   $14,366,749   $8,319,920   Repurchase agreements  $54,448,141   $56,230,860   $60,477,378   Other secured financing  3,588,326   1,845,048   90,000   Convertible Senior Notes  -  -  749,512   Securitized debt of consolidated VIEs  3,802,682   2,540,711   1,491,829   Participation sold  13,182   13,286   13,589   Mortgages payable  334,765   334,707   146,470   Total debt  $62,187,096   $60,964,612   $62,968,778   Total liabilities  $65,785,958   $63,284,971   $65,551,087   Cumulative redeemable preferred stock  $913,059   $913,059   $913,059   Common equity(3)  10,735,393   10,982,915   12,206,446   Total stockholders' equity  $11,648,452   $11,895,974   $13,119,505   Non-controlling interest  9,555   9,948   5,085   Total equity  $11,658,007   $11,905,922   $13,124,590   Total debt to total equity  5.3x   5.1x   4.8x   Economic leverage ratio  6.2x   6.0x   5.7x   Capital ratio  13.2%   13.7%   14.3%   Common stock book value per share  $11.61   $11.73   $12.88   Total common shares outstanding  924,853   935,930   947,698  

 *  *  Unaudited, dollars in thousands except per share amounts  Summary of Select GAAP and Non-GAAP Information  Includes interest expense on interest rate swaps used to hedge cost of funds. Excludes interest expense on interest rate swaps used to hedge TBA dollar roll.     For the quarters ended  For the quarters ended  For the quarters ended     March 31,  December 31,  March 31,     2016  2015  2015  Total interest income  $388,143   $576,580   $519,114   Total economic interest expense(1)  270,571   254,074   286,752   Economic net interest income(1)  $117,572   $322,506   $232,362   GAAP net income (loss)  ($868,080)  $669,666   ($476,499)  GAAP net income (loss) available (related) to common shareholders  (885,910)  652,047   (494,401)  GAAP earnings per common share  ($0.96)  $0.69   ($0.52)  Normalized core earnings (loss)  $291,757   $311,133   $341,965   Normalized core earnings (loss) available (related) to common shareholders  273,765   293,141   323,973   Normalized core earnings per common share  $0.30   $0.31   $0.34   Dividends declared per common share  $0.30   $0.30   $0.30   Annualized GAAP return on average equity  (29.47%)  22.15%   (14.41%)  Annualized normalized core return on average equity  9.91%   10.30%   10.34%   Annualized normalized core return on average equity per unit of economic leverage  1.60%   1.72%   1.82%   Net interest margin  0.79%   1.80%   1.29%   Normalized net interest margin  1.54%   1.71%   1.68%   Average yield on interest earning assets  2.09%   3.15%   2.54%   Normalized yield on interest earning assets  3.00%   3.05%   2.96%   Average cost of interest bearing liabilities  1.73%   1.68%   1.64%   Net interest spread  0.36%   1.47%   0.90%   Normalized net interest spread  1.27%   1.37%   1.32%   Weighted average experienced CPR, for the period  8.8%   9.7%   9.0%   Weighted average projected long-term CPR, as of period end  11.8%   8.8%   9.2%           Book value per common share rollforward:        Book value per common share, beginning of period  $11.73   $11.99   $13.10   Net income (loss) attributable to common stockholders  ($0.96)  $0.69   ($0.52)  Other comprehensive income (loss) attributable to common stockholders  $1.11   ($0.68)  $0.60   Buyback of common stock  $0.03   $0.03   $0.00   Common dividends declared  ($0.30)  ($0.30)  ($0.30)  Book value per common share, end of period  $11.61   $11.73   $12.88  

 *  *  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 roll.        For the quarters ended  For the quarters ended  For the quarters ended        March 31,  December 31,  March 31,        2016  2015  2015  Interest income:  Interest income:           Residential Investment Securities  $315,717   $515,195   $478,239     Commercial investment portfolio  70,187   60,835   40,336      Reverse repurchase agreements  2,239   550   539      Total interest income  $388,143   $576,580   $519,114   Economic interest expense:  Economic interest expense:              Repurchase agreements  $132,891   $112,529   $102,748      Interest expense on swaps used to hedge cost of funds(1)  123,124   135,267   157,332      Convertible Senior Notes  -  -  23,627      Securitized debt of consolidated VIEs  9,033   5,597   2,882      Participation sold  158   160   159      Other  5,365   521   4      Total economic interest expense  $270,571   $254,074   $286,752   Economic net interest income  Economic net interest income  $117,572   $322,506   $232,362      Premium amortization adjustment  168,408   (18,072)  87,883   Normalized economic net interest income  Normalized economic net interest income  $285,980   $304,434   $320,245  

 *  *  Unaudited  Change in Normalized Net Interest Margin  Note: Graph shows relative changes in contribution from 4Q15 to 1Q16. For example, coupon on average interest earning assets decreased normalized net interest margin by 0.04% more in 1Q16 versus 4Q15.Represents economic interest expense and interest expense on swaps used to hedge dollar roll transactions. 

 *  *  Unaudited  Change in Normalized Net Interest Spread  Note: Graph shows relative changes in contribution from 4Q15 to 1Q16. For example, coupon on average interest-earning assets decreased normalized net interest spread by 0.02% more in 1Q16 versus 4Q15.Includes interest expense on interest rate swaps used to hedge cost of funds. 

 *  *  Unaudited, dollars in thousands  Reconciliation to Core Earnings and Normalized Core Earnings  (1) Represents a component of Net gains (losses) on trading assets. 

 *  *  Unaudited  Change in Annualized GAAP Return on Average Equity  Note: Graph shows relative changes in contribution from 4Q15 to 1Q16. For example, coupon income increased annualized ROE by 0.87% more in 1Q16 versus 4Q15.Other includes other income (loss), general and administrative expenses, and income taxes.Represents economic interest expense and interest expense on swaps used to hedge dollar roll transactions. 

 *  *  Unaudited  Change in Annualized Normalized Core Return on Average Equity  Note: Graph shows relative changes in contribution from 4Q15 to 1Q16. For example, coupon income increased annualized core ROE by 0.88% more in 1Q16 versus 4Q15.(1) Other includes investment advisory income, dividend income from affiliates, other income (loss) excluding non-recurring gains or losses, general and administrative expenses, and income taxes. 

 *  *  Unaudited, dollars in thousands  Residential Investment Securities Portfolio Net Premium and Discount Balance and Constant Prepayment Rate 

 *  *  Unaudited  Interest Rate and Liability Management   Excludes forward starting swaps; there were no forward starting swaps as of March 31, 2016.Note: Net rates do not take into consideration other secured financing, Convertible Senior Notes, securitized debt of consolidated VIEs , participation sold or mortgages payable.  (1) 

 *  *  Hedging and Liabilities as of March 31, 2016  Unaudited, dollars in thousands  There were no forward starting pay fixed swaps as of March 31, 2016Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 17% of the total repurchase agreements and FHLB advances have a remaining maturity over one year. Determined based on estimated weighted-average lives of the underlying debt instruments.     Principal  Weighted Average  Weighted Average     Balance  Rate  Days to Maturity(4)  Repurchase agreements  $54,448,141   0.99%  136   Other secured financing  3,588,326   0.59%  1,735   Securitized debt of consolidated VIEs  3,821,252   0.85%  2,801   Participation sold  13,061   5.58%  396   Mortgages payable  338,346   4.16%  3,064   Total indebtedness  $62,209,126        

 *  *  Unaudited, dollars in thousands  Residential Investment Securities and TBA Derivative Overview as of March 31, 2016  Agency Fixed-Rate Securities (Pools)  Agency Fixed-Rate Securities (Pools)  Agency Fixed-Rate Securities (Pools)  Agency Fixed-Rate Securities (Pools)  Agency Fixed-Rate Securities (Pools)  Agency Fixed-Rate Securities (Pools)  Agency Fixed-Rate Securities (Pools)  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  $8,141,382   14.4%  3.14%  103.8%  105.1%  7.1%  $8,557,230   20 years  6,233,697   11.1%  3.50%  104.5%  106.1%  8.6%  6,613,072   >=30 years  41,745,350   74.2%  3.87%  106.0%  106.8%  8.8%  44,601,754   Callables  158,803   0.3%  3.16%  99.6%  98.9%  0.0%  157,035   Total/Weighted Avg.  $56,279,232   100.0%  3.73%  105.5%  106.5%  8.5%  $59,929,091                                            TBA Purchase Contracts  TBA Purchase Contracts  TBA Purchase Contracts  TBA Purchase Contracts  TBA Purchase Contracts  TBA Purchase Contracts  TBA Purchase Contracts  TBA Purchase Contracts           Weighted Avg.  Implied Cost        Implied Market  Type  Notional Value  %  Coupon  Basis        Value  15-year  $5,293,000   37.1%  2.81%  $5,463,613         $5,492,572   30-year  8,980,000   62.9%  3.55%  9,384,179         9,431,952   Total/Weighted Avg.  $14,273,000   100.0%  3.27%  $14,847,792         $14,924,524                                                   Agency Adjustable-Rate Securities  Agency Adjustable-Rate Securities  Agency Adjustable-Rate Securities  Agency Adjustable-Rate Securities  Agency Adjustable-Rate Securities  Agency Adjustable-Rate Securities  Agency Adjustable-Rate Securities  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  $1,166,108   38.0%  2.79%  100.6%  104.8%  15.1%  $1,222,251   25 - 40 months  5,848   0.2%  5.01%  100.0%  105.5%  22.2%  6,170   41 - 60 months  142,774   4.7%  3.85%  102.8%  106.7%  19.8%  152,375   61 - 90 months  656,927   21.4%  2.89%  103.2%  103.9%  12.2%  682,327   >90 months  1,092,684   35.7%  3.04%  102.7%  103.7%  7.3%  1,132,750   Step-Ups  -  0.0%  0.00%  0.0%  0.0%  0.0%  -  Total/Weighted Avg.  $3,064,341   100.0%  2.95%  102.0%  104.3%  11.9%  $3,195,873  

 *  *  Unaudited, dollars in thousands  Residential Investment Securities and TBA Derivative Overview as of March 31, 2016 (cont’d)  (1) Weighted by fair value.  Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations  Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations  Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations  Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations  Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations  Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations  Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations  Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations     Current     Weighted Avg.  Weighted Avg.  Weighted Avg.  Weighted Avg.  Estimated  Type  Face Value  %  Coupon  Amortized Cost  Fair Value  3-Month CPR  Fair Value  Fixed-Rate  $912,427   98.9%  3.28%  102.7%  104.0%  12.0%  $949,287   Floating-Rate  9,769   1.1%  2.91%  99.2%  102.5%  17.2%  10,010   Total/Weighted Avg.  $922,196   100.0%  3.28%  102.7%  104.0%  12.1%  $959,297                                                   Agency Interest-Only Collateralized Mortgage-Backed Obligations  Agency Interest-Only Collateralized Mortgage-Backed Obligations  Agency Interest-Only Collateralized Mortgage-Backed Obligations  Agency Interest-Only Collateralized Mortgage-Backed Obligations  Agency Interest-Only Collateralized Mortgage-Backed Obligations  Agency Interest-Only Collateralized Mortgage-Backed Obligations  Agency Interest-Only Collateralized Mortgage-Backed Obligations  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  $5,624,398   60.1%  3.31%  13.5%  11.6%  9.9%  $654,216   Inverse Interest-Only  3,738,198   39.9%  5.71%  22.8%  23.0%  9.0%  858,382   Total/Weighted Avg.  $9,362,596   100.0%  4.27%  17.2%  16.2%  9.5%  $1,512,598                                                   Residential Credit Portfolio  Residential Credit Portfolio  Residential Credit Portfolio  Residential Credit Portfolio  Residential Credit Portfolio  Residential Credit Portfolio  Residential Credit Portfolio  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  $517,207   30.2%  4.41%  97.5%  96.9%     $501,167   Legacy  484,784   26.0%  3.73%  89.4%  88.8%     430,426   NPL/RPL  428,656   25.7%  3.96%  99.6%  99.5%     426,339   Prime Jumbo (>=2010 Vintage)  280,060   17.1%  3.49%  99.9%  101.2%     283,560   Prime Jumbo (>=2010 Vintage) IO  1,114,234   1.0%  0.38%  1.6%  1.5%     17,182   Total/Weighted Avg  $2,824,941   100.0%  2.55%  58.8%  58.7%     $1,658,674  

 *  *  Residential Credit Investments Detail as of March 31, 2016  Unaudited, dollars in thousands  By Sector Product  By Sector Product  By Sector Product  By Sector Product  By Sector Product  By Sector Product   Product   Market Value  Coupon  Credit Enhancement  60+ Delinquencies  3M VPR  Alt-A  $167,967    4.16    6.84    11.10    4.70   Prime   106,142    4.63    1.48    3.87    3.57    Subprime    156,317    2.46    25.25    21.06    3.35    Prime Jumbo (>=2010 Vintage)    283,560    3.50    14.76    -    9.40    Prime Jumbo (>=2010 Vintage) Interest Only    17,182    0.42    -    -    6.15    Re-Performing Loan Securitizations    42,565    3.63    51.25    14.39    3.83    Credit Risk Transfer    501,167    4.44    1.05    0.11    10.44    Non-Performing Loan Securitizations    383,774    4.00    51.55    65.32    0.31    Total   $1,658,674    3.91    19.25    18.87    6.02               Market Value By Sector and Payment Structure  Market Value By Sector and Payment Structure  Market Value By Sector and Payment Structure  Market Value By Sector and Payment Structure  Market Value By Sector and Payment Structure  Market Value By Sector and Payment Structure   Product   Senior     Subordinate     Total  Alt-A  $96,298      $71,669      $167,967   Prime   33,990      72,152      106,142    Subprime    123,232       33,085       156,317    Prime Jumbo (>=2010 Vintage)    277,105      6,455      283,560    Prime Jumbo (>=2010 Vintage) Interest Only    17,182       -       17,182    Re-Performing Loan Securitizations    42,565      -      42,565    Credit Risk Transfer    -       501,167       501,167    Non-Performing Loan Securitizations    383,774      -      383,774    Total   $974,146      $684,528      $1,658,674               Market Value By Sector and Bond Coupon  Market Value By Sector and Bond Coupon  Market Value By Sector and Bond Coupon  Market Value By Sector and Bond Coupon  Market Value By Sector and Bond Coupon  Market Value By Sector and Bond Coupon   Product   ARM  Fixed  Floater   Interest Only   Total  Alt-A  $19,207   $94,820   $53,940   $0   $167,967   Prime   43,281    62,861    -    -    106,142    Subprime    -    41,041    115,276    -    156,317    Prime Jumbo (>=2010 Vintage)    -    277,105    6,455    -    283,560    Prime Jumbo (>=2010 Vintage) Interest Only    -    -    -    17,182    17,182    Re-Performing Loan Securitizations    -    42,565    -    -    42,565    Credit Risk Transfer    -    -    501,167    -    501,167    Non-Performing Loan Securitizations    -    383,774    -    -    383,774    Total   $62,488   $902,166   $676,838   $17,182   $1,658,674  

 *  *  Unaudited  Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity   Scenarios include Residential Investment Securities and derivative instruments.NAV represents book value of common equity.  Assumptions:The interest rate sensitivity and spread sensitivity are based on the portfolios as of March 31, 2016 and December 31, 2015The interest rate sensitivities reflect instantaneous parallel shifts in ratesThe spread sensitivity shifts MBS spreads instantaneously and reflects exposure to MBS basis riskAll tables assume no active management of the portfolio in response to rate or spread changes  Interest Rate Sensitivity  Interest Rate Sensitivity  Interest Rate Sensitivity                As of March 31, 2016  As of March 31, 2016     As of December 31, 2015  As of December 31, 2015  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)    -   0.2%    0.4%  2.7%  (50)     0.1%  0.8%     0.5%  2.8%  (25)    0.1%  0.7%    0.3%  1.9%  25     (0.2%)  (1.4%)     (0.4%)  (2.7%)  50    (0.6%)  (3.5%)    (1.0%)  (6.1%)  75     (1.1%)  (6.5%)     (1.7%)  (10.2%)                MBS Spread Sensitivity  MBS Spread Sensitivity  MBS Spread Sensitivity                As of March 31, 2016  As of March 31, 2016     As of December 31, 2015  As of December 31, 2015  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)    1.4%  8.1%    1.5%  8.7%  (15)     0.8%  4.9%     0.9%  5.2%  (5)    0.3%  1.6%    0.3%  1.7%  5     (0.3%)  (1.6%)     (0.3%)  (1.7%)  15    (0.8%)  (4.8%)    (0.9%)  (5.1%)  25     (1.3%)  (7.9%)     (1.4%)  (8.5%) 

 *  *  Commercial Real Estate Overview as of March 31, 2016  (1) Book values include unamortized net origination fees.(2) Total weighted based on book value.(3) Based on 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.(4) Maturity dates assume all of the borrowers' extension options are exercised.(5) Economic interest in securitized whole loans is reflected in B Piece CMBS. 

 *  *  Unaudited, dollars in thousands  Last Five Quarters Summary Data  Includes consolidated VIEs and loans held for sale.        For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended        March 31,  December 31,  September 30,  June 30,  March 31,        2016  2015  2015  2015  2015  Portfolio-Related Data:  Portfolio-Related Data:            Residential Investment Securities  Residential Investment Securities  $67,255,533   $67,233,494   $67,040,519   $68,249,262   $70,491,746   Commercial real estate investments(1)  Commercial real estate investments(1)  $6,385,579   $5,075,191   $4,976,251   $4,362,579   $3,221,518   Corporate debt  Corporate debt  $639,481   $488,508   $424,974   $311,640   $227,830   Total Residential Investment Securities and commercial investment portfolio  Total Residential Investment Securities and commercial investment portfolio  $74,280,593   $72,797,193   $72,441,744   $72,923,481   $73,941,094   Total assets  Total assets  $77,443,965   $75,190,893   $75,338,687   $75,545,680   $78,675,677   Average TBA position  Average TBA position  $15,110,947   $14,366,749   $14,210,373   $14,624,862   $8,319,920   Agency mortgage-backed securities and debentures:  Agency mortgage-backed securities and debentures:                    % Fixed-rate  93%   93%   93%   94%   94%      % Adjustable-rate  7%   7%   7%   6%   6%      Weighted average experienced CPR, for the period  8.8%   9.7%   11.5%   12.1%   9.0%      Weighted average projected long-term CPR, as of period end  11.8%   8.8%   9.2%   7.7%   9.2%      Net premium and discount balance in Residential Investment Securities  $4,741,900   $4,951,252   $4,827,791   $4,822,332   $4,677,033      Net premium and discount balance as % of stockholders' equity  40.71%   41.62%   39.32%   38.30%   35.65%  

 *  *  Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)  Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements and TBA notional outstanding.Excludes forward starting swaps.Weighted average fixed rate on forward starting pay fixed swaps was 1.44%, 2.04%, 1.77% and 1.88% as of December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015, respectively. There were no forward starting pay fixed swaps as of March 31, 2016.        For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended        March 31,  December 31,  September 30,  June 30,  March 31,        2016  2015  2015  2015  2015  Liabilities, Capital and Hedging Data:  Liabilities, Capital and Hedging Data:            Repurchase agreements  Repurchase agreements  $54,448,141   $56,230,860   $56,449,364   $57,459,552   $60,477,378   Other secured financing  Other secured financing  $3,588,326   $1,845,048   $359,970   $203,200   $90,000   Convertible Senior Notes  Convertible Senior Notes  -  -  -  -  $749,512   Securitized debt of consolidated VIEs  Securitized debt of consolidated VIEs  $3,802,682   $2,540,711   $2,553,398   $2,610,974   $1,491,829   Participation sold  Participation sold  $13,182   $13,286   $13,389   $13,490   $13,589   Mortgages payable  Mortgages payable  $334,765   $334,707   $166,697   $146,359   $146,470   Total debt  Total debt  $62,187,096   $60,964,612   $59,542,818   $60,433,575   $62,968,778   Total liabilities  Total liabilities  $65,785,958   $63,284,971   $63,054,354   $62,950,875   $65,551,087   Cumulative redeemable preferred stock  Cumulative redeemable preferred stock  $913,059   $913,059   $913,059   $913,059   $913,059   Common equity  Common equity  $10,735,393   $10,982,915   $11,365,769   $11,676,940   $12,206,446   Total Annaly stockholders' equity  Total Annaly stockholders' equity  $11,648,452   $11,895,974   $12,278,828   $12,589,999   $13,119,505   Non-controlling interests  Non-controlling interests  $9,555   $9,948   $5,505   $4,806   $5,085   Total equity  Total equity  $11,658,007   $11,905,922   $12,284,333   $12,594,805   $13,124,590   Weighted average days to maturity of repurchase agreements  Weighted average days to maturity of repurchase agreements  136   151   147   149   149   Weighted average rate on repurchase agreements, at period end  Weighted average rate on repurchase agreements, at period end  0.99%   0.90%   0.78%   0.76%   0.70%   Weighted average rate on repurchase agreements, average during period  Weighted average rate on repurchase agreements, average during period  0.95%   0.78%   0.73%   0.67%   0.60%   Total debt to total stockholders' equity  Total debt to total stockholders' equity  5.3x   5.1x   4.8x   4.8x   4.8x   Economic leverage ratio  Economic leverage ratio  6.2x   6.0x   5.8x   5.6x   5.7x   Capital ratio  Capital ratio  13.2%   13.7%   14.0%   14.6%   14.3%   Common stock book value per share  Common stock book value per share  $11.61   $11.73   $11.99   $12.32   $12.88   Total common stock shares outstanding  Total common stock shares outstanding  924,853   935,930   947,826   947,768   947,698   Interest rate swaps:  Interest rate swaps:                    Hedge ratio(1)  53%   57%   58%   54%   48%      Weighted average pay rate on interest rate swaps(2)(3)  2.26%   2.26%   2.26%   2.29%   2.37%      Weighted average receive rate on interest rate swaps(2)  0.69%   0.53%   0.42%   0.40%   0.35%      Weighted average net rate on interest rate swaps  1.57%   1.73%   1.84%   1.89%   2.02%  

 *  *  Unaudited, dollars in thousands except per share amounts  Last Five Quarters Summary Data (cont’d)        For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended        March 31,  December 31,  September 30,  June 30,  March 31,        2016  2015  2015  2015  2015  Performance-Related Data:  Performance-Related Data:            Total interest income  Total interest income  $388,143   $576,580   $450,726   $624,277   $519,114   Total economic interest expense  Total economic interest expense  $270,571   $254,074   $248,041   $252,845   $286,752   Economic net interest income  Economic net interest income  $117,572   $322,506   $202,685   $371,432   $232,362   GAAP Net income (loss)  GAAP Net income (loss)  ($868,080)  $669,666   ($627,491)  $900,071   ($476,499)  GAAP Net income (loss) available (related) to common shareholders  GAAP Net income (loss) available (related) to common shareholders  ($885,910)  $652,047   ($645,286)  $882,228   ($494,401)  GAAP Earnings per common share  GAAP Earnings per common share  ($0.96)  $0.69   ($0.68)  $0.93   ($0.52)  Core earnings  Core earnings  $123,349   $329,205   $217,601   $411,055   $254,082   Core earnings available to common shareholders  Core earnings available to common shareholders  $105,357   $311,213   $199,609   $393,063   $236,090   Core earnings per average common share  Core earnings per average common share  $0.11   $0.33   $0.21   $0.41   $0.25   Normalized core earnings  Normalized core earnings  $291,757   $311,133   $300,737   $331,473   $341,965   Normalized core earnings available to common shareholders  Normalized core earnings available to common shareholders  $273,765   $293,141   $282,745   $313,481   $323,973   Normalized core earnings per average common share  Normalized core earnings per average common share  $0.30   $0.31   $0.30   $0.33   $0.34   Dividends declared per common share  Dividends declared per common share  $0.30   $0.30   $0.30   $0.30   $0.30   Total common and preferred dividends declared  Total common and preferred dividends declared  $295,448   $298,771   $302,340   $302,323   $302,302   Annualized GAAP return on average equity  Annualized GAAP return on average equity  (29.47%)  22.15%   (20.18%)  28.00%   (14.41%)  Annualized core return on average equity  Annualized core return on average equity  4.19%   10.89%   7.00%   12.79%   7.69%   Annualized core return on average equity per unit of economic leverage  Annualized core return on average equity per unit of economic leverage  0.68%   1.82%   1.21%   2.28%   1.35%   Annualized normalized core return on average equity  Annualized normalized core return on average equity  9.91%   10.30%   9.67%   10.31%   10.34%   Annualized normalized core return on average equity per unit of economic leverage  Annualized normalized core return on average equity per unit of economic leverage  1.60%   1.72%   1.67%   1.84%   1.82%   Net interest margin  Net interest margin  0.79%   1.80%   1.27%   2.06%   1.29%   Normalized net interest margin  Normalized net interest margin  1.54%   1.71%   1.65%   1.70%   1.68%   Average yield on interest earning assets  Average yield on interest earning assets  2.09%   3.15%   2.48%   3.32%   2.54%   Normalized average yield on interest earning assets  Normalized average yield on interest earning assets  3.00%   3.05%   2.94%   2.90%   2.96%   Average cost of interest bearing liabilities  Average cost of interest bearing liabilities  1.73%   1.68%   1.65%   1.59%   1.64%   Net interest spread  Net interest spread  0.36%   1.47%   0.83%   1.73%   0.90%   Normalized net interest spread  Normalized net interest spread  1.27%   1.37%   1.29%   1.31%   1.32%                

 *  *  Appendix 

 *  *  Endnotes for Page 2  Represents a non-GAAP measure and is defined as net income (loss) excluding the estimated premium amortization adjustment due to quarter-over-quarter changes in long-term CPR estimates, gains or losses on disposals of investments and termination of interest rate swaps, unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities, net gains and losses on trading assets, impairment losses, net income (loss) attributable to noncontrolling interest, and certain other non-recurring gains or losses and inclusive of dollar roll income (a component of net gains and losses on trading assets).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).Interest earning assets reflects the average amortized cost of our investments during the period. Represents the sum of the Company’s normalized annualized economic net interest income (inclusive of interest expense on interest rate swaps used to hedge cost of funds) plus TBA dollar roll income (less interest expense on swaps used to hedge dollar roll transactions) divided by the sum of its average interest-earning assets plus average outstanding TBA derivative balances.Residential Investment Securities consist of Agency mortgage-backed securities, Agency debentures, credit risk transfer securities and non-Agency mortgage-backed securities.Represents credit risk transfer securities, non-Agency mortgage-backed securities, commercial real estate debt investments and preferred equity investments, loans held for sale, investments in commercial real estate and corporate debt , net of financing. Excluding loans held for sale, the total credit portfolio represents 23% of stockholders’ equity. 

 *  *  Non-GAAP Reconciliations  Unaudited, dollars in thousands except per share amounts        For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended        March 31,  December 31,  September 30,  June 30,  March 31,        2016  2015  2015  2015  2015  GAAP to Core Reconciliation  GAAP to Core Reconciliation            GAAP net income (loss)  GAAP net income (loss)  ($868,080)  $669,666   ($627,491)  $900,071   ($476,499)  Less:  Less:               Realized (gains) losses on termination of interest rate swaps  -  -  -  -  226,462     Unrealized (gains) losses on interest rate swaps  1,031,720   (463,126)  822,585   (700,792)  466,202      Net (gains) losses on disposal of investments  1,675   7,259   7,943   (3,833)  (62,356)    Net (gains) losses on trading assets  (125,189)  (42,584)  (108,175)  114,230   6,906      Net unrealized (gains) losses on financial instruments measured at fair value through earnings  (128)  62,703   24,501   (17,581)  33,546      Impairment of goodwill  -  -  -  22,966   -     (Income) loss attributable to non-controlling interests  162   373   197   149   90   Plus:  Plus:               TBA dollar roll income  83,189   94,914   98,041   95,845   59,731   Core earnings  Core earnings  $123,349   $329,205   $217,601   $411,055   $254,082   Premium amortization adjustment  Premium amortization adjustment  168,408   (18,072)  83,136   (79,582)  87,883   Normalized core earnings  Normalized core earnings  $291,757   $311,133   $300,737   $331,473   $341,965   GAAP net income (loss) per average common share  GAAP net income (loss) per average common share  ($0.96)  $0.69   ($0.68)  $0.93   ($0.52)  Core earnings per average common share  Core earnings per average common share  $0.11   $0.33   $0.21   $0.41   $0.25   Normalized core earnings per average common share  Normalized core earnings per average common share  $0.30   $0.31   $0.30   $0.33   $0.34   Premium Amortization Reconciliation  Premium Amortization Reconciliation            Premium amortization expense  Premium amortization expense  $355,671   $159,720   $255,123   $94,037   $284,777   Less:  Less:                    Premium amortization adjustment  168,408   (18,072)  83,136   (79,582)  87,883   Premium amortization expense exclusive of premium amortization adjustment  Premium amortization expense exclusive of premium amortization adjustment  $187,263  $177,792   $171,987   $173,619   $196,894  

 *  *  Non-GAAP Reconciliations (continued)  Unaudited, dollars in thousands except per share amounts        For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended  For the quarters ended        March 31,  December 31,  September 30,  June 30,  March 31,        2016  2015  2015  2015  2015  Normalized Interest Income Reconciliation  Normalized Interest Income Reconciliation            Total interest income  Total interest income  $388,143   $576,580   $450,726   $624,277   $519,114   Premium amortization adjustment  Premium amortization adjustment  168,408   (18,072)  83,136   (79,582)  87,883   Normalized interest income  Normalized interest income  $556,551   $558,508   $533,862   $544,695   $606,997   Economic Interest Expense Reconciliation  Economic Interest Expense Reconciliation            GAAP interest expense  GAAP interest expense  $147,447   $118,807   $110,297   $113,072   $129,420   Add:  Add:               Interest expense on interest rate swaps used to hedge cost of funds  123,124   135,267   137,744   139,773   157,332   Economic interest expense  Economic interest expense  $270,571   $254,074   $248,041   $252,845   $286,752   Normalized Economic Net Interest Income Reconciliation  Normalized Economic Net Interest Income Reconciliation            Normalized interest income  Normalized interest income  $556,551   $558,508   $533,862   $544,695   $606,997   Less:  Less:               Economic interest expense  270,571   254,074   248,041   252,845   286,752   Normalized economic net interest income  Normalized economic net interest income  $285,980   $304,434   $285,821   $291,850   $320,245   Normalized Economic Net Interest Income  Normalized Economic Net Interest Income            Normalized interest income  Normalized interest income  $556,551   $558,508   $533,862   $544,695   $606,997   Average interest earning assets  Average interest earning assets  $74,171,943   $73,178,965   $72,633,314   $75,257,299   $81,896,255   Normalized average yield on interest earning assets  Normalized average yield on interest earning assets  3.00%  3.05%  2.94%  2.90%  2.96%  Economic interest expense  Economic interest expense  $270,571   $254,074   $248,041   $252,845   $286,752   Average interest bearing liabilities  Average interest bearing liabilities  $62,379,695   $60,516,996   $59,984,298   $63,504,983   $70,137,382   Average cost of interest bearing liabilities  Average cost of interest bearing liabilities  1.73%  1.68%  1.65%  1.59%  1.64%  Normalized net interest spread  Normalized net interest spread  1.27%  1.37%  1.29%  1.31%  1.32%  Normalized net interest margin  Normalized net interest margin  1.54%  1.71%  1.65%  1.70%  1.68%