EX-99.2 3 a2019q1nlyex992.htm EXHIBIT 99.2
First Quarter 2019 Financial Summary May 1, 2019

Safe Harbor Notice 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 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 or 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. We routinely post important information for investors on our website, www.annaly.com. We intend to use this webpage as a means of disclosing material, non-public information, for complying with our disclosure obligations under Regulation FD and to post and update investor presentations and similar materials on a regular basis. Annaly encourages investors, analysts, the media and others interested in Annaly to monitor the Investors section of our website, in addition to following our press releases, SEC filings, public conference calls, presentations, webcasts and other information we post from time to time on our website. To sign-up for email-notifications, please visit the “Email Alerts” section of our website, www.annaly.com, under the “Investors” section and enter the required information to enable notifications. The information contained on, or that may be accessed through, our webpage is not incorporated by reference into, and is not a part of, this document. 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

Financial Snapshot Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2019 12/31/2018 GAAP net income per average common share (1) ($0.63) ($1.74) Core earnings (excluding PAA) per average common share *(1) $0.29 $0.29 Core earnings per average common share *(1) $0.23 $0.26 Income Statement PAA cost (benefit) per average common share (2) $0.06 $0.03 Annualized GAAP return (loss) on average equity (22.72%) (62.05%) Annualized core return on average equity (excluding PAA)* 11.59% 11.48% Book value per common share $9.67 $9.39 Leverage at period-end (3) 6.1x 6.3x Balance Sheet Economic leverage at period-end (4) 7.0x 7.0x Capital ratio at period-end (5) 12.0% 12.1% Securities $104,993,271 $92,623,788 Loans, net 3,879,324 4,585,975 Mortgage servicing rights 500,745 557,813 Portfolio Assets transferred or pledged to securitization vehicles 4,365,300 3,833,200 Real estate, net 734,239 739,473 Total residential and commercial investments $114,472,879 $102,340,249 Net interest margin (6) 1.25% 1.34% Net interest margin (excluding PAA) *(6) 1.51% 1.49% Average yield on interest earning assets (7) 3.15% 3.21% Key Statistics Average yield on interest earning assets (excluding PAA) *(7) 3.45% 3.38% Average cost of interest bearing liabilities (8) 2.15% 2.22% Net interest spread 1.00% 0.99% Net interest spread (excluding PAA) * 1.30% 1.16% Operating expenses to core earnings (excluding PAA) *(9) 17.03% 17.56% Efficiency Annualized operating expenses as a % of average total assets (9) 0.26% 0.28% Annualized operating expenses as a % of average total equity (9) 1.97% 2.02% * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 2

Portfolio Data Unaudited, dollars in thousands For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Agency mortgage-backed securities $103,093,526 $90,752,995 $89,290,128 $86,593,058 $88,579,097 Credit risk transfer securities 607,945 552,097 688,521 563,796 628,942 Non-agency mortgage-backed securities 1,116,569 1,161,938 1,173,467 1,006,785 1,066,343 Commercial mortgage-backed securities 175,231 156,758 186,495 315,050 264,810 Total securities $104,993,271 $92,623,788 $91,338,611 $88,478,689 $90,539,192 Residential mortgage loans $1,311,720 $1,359,806 $1,217,139 $1,142,300 $974,577 Commercial real estate debt and preferred equity 722,962 1,296,803 1,435,865 1,251,138 1,081,295 Corporate debt 1,758,082 1,887,182 1,528,874 1,256,276 1,152,745 Loans held for sale 86,560 42,184 42,325 42,458 — Portfolio-Related Total loans, net $3,879,324 $4,585,975 $4,224,203 $3,692,172 $3,208,617 Data Mortgage servicing rights $500,745 $557,813 $588,833 $599,014 $596,378 Residential mortgage loans transferred or pledged to securitization vehicles $1,425,668 $1,094,831 $765,876 $523,857 $561,108 Commercial real estate debt transferred or pledged to securitization vehicles 2,939,632 2,738,369 3,521,945 2,542,413 2,695,513 Assets transferred or pledged to securitization vehicles $4,365,300 $3,833,200 $4,287,821 $3,066,270 $3,256,621 Real estate, net $734,239 $739,473 $753,014 $477,887 $480,063 Total residential and commercial investments $114,472,879 $102,340,249 $101,192,482 $96,314,032 $98,080,871 Total assets $119,172,549 $105,787,527 $105,961,803 $98,832,997 $100,382,233 Average TBA position $14,577,513 $14,393,740 $11,842,426 $9,407,819 $12,050,341 Residential Securities: % Fixed-rate 94% 93% 92% 91% 91% % Adjustable-rate 6% 7% 8% 9% 9% Summary Portfolio Weighted average experienced CPR for the period 7.3% 7.9% 10.3% 10.1% 8.9% Statistics Weighted average projected long-term CPR at period-end 11.6% 10.1% 9.1% 9.1% 9.2% Net premium and discount balance in Residential Securities $5,217,013 $5,118,478 $5,769,426 $5,896,755 $6,063,609 Net premium and discount balance as % of stockholders' equity 33.07% 36.27% 38.59% 42.83% 43.51% 3

Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Repurchase agreements $88,554,170 $81,115,874 $79,073,026 $75,760,655 $78,015,431 Other secured financing 4,144,623 4,183,311 4,108,547 3,760,487 3,830,075 Debt issued by securitization vehicles 3,693,766 3,347,062 3,799,542 2,728,692 2,904,873 Mortgages payable 510,386 511,056 511,588 309,878 309,794 Total debt $96,902,945 $89,157,303 $87,492,703 $82,559,712 $85,060,173 Financing Data Total liabilities $103,391,105 $91,669,726 $91,005,947 $85,059,141 $86,439,298 Cumulative redeemable preferred stock $1,778,168 $1,778,168 $1,778,168 $1,723,168 $1,723,168 Common equity(1) 13,998,049 12,333,944 13,171,826 12,045,422 12,214,096 Total Annaly stockholders' equity 15,776,217 14,112,112 14,949,994 13,768,590 13,937,264 Non-controlling interests 5,227 5,689 5,862 5,266 5,671 Total equity $15,781,444 $14,117,801 $14,955,856 $13,773,856 $13,942,935 Weighted average days to maturity of repurchase agreements 72 77 55 71 72 Weighted average rate on repurchase agreements, for the quarter(2)(3) 2.64% 2.43% 2.25% 1.99% 1.64% Weighted average rate on repurchase agreements, at period-end(3) 2.85% 2.96% 2.32% 2.17% 1.83% Leverage at period-end 6.1x 6.3x 5.9x 6.0x 6.1x Economic leverage at period-end 7.0x 7.0x 6.7x 6.4x 6.5x Key Capital and Capital ratio at period-end 12.0% 12.1% 12.6% 13.2% 13.1% Hedging Metrics Book value per common share $9.67 $9.39 $10.03 $10.35 $10.53 Total common shares outstanding 1,448,103 1,313,763 1,303,080 1,164,334 1,159,657 Hedge ratio(4) 85% 94% 96% 95% 94% Weighted average pay rate on interest rate swaps, at period-end 2.20% 2.17% 2.10% 2.08% 2.00% Weighted average receive rate on interest rate swaps, at period-end 2.66% 2.68% 2.33% 2.31% 2.13% Weighted average net rate on interest rate swaps, at period-end (0.46%) (0.51%) (0.23%) (0.23%) (0.13%) Detailed endnotes are included within the Appendix at the end of this presentation. 4

Income Statement Data Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Total interest income $866,186 $859,674 $816,596 $776,806 $879,487 Total interest expense 647,695 586,774 500,973 442,692 367,421 Net interest income $218,491 $272,900 $315,623 $334,114 $512,066 Total economic interest expense *(1) $513,660 $520,885 $449,624 $411,217 $415,581 Economic net interest income * $352,526 $338,789 $366,972 $365,589 $463,906 Total interest income (excluding PAA) * $948,057 $905,146 $819,982 $784,322 $761,092 Economic net interest income (excluding PAA) * $434,397 $384,261 $370,358 $373,105 $345,511 GAAP net income (loss) ($849,251) ($2,254,872) $385,429 $595,887 $1,327,704 (2) Summary Income GAAP net income (loss) available (related) to common stockholders ($881,644) ($2,287,383) $353,903 $564,542 $1,294,034 Statement GAAP net income (loss) per average common share (2) ($0.63) ($1.74) $0.29 $0.49 $1.12 Core earnings (excluding PAA) * $433,155 $417,169 $389,666 $382,813 $385,272 Core earnings (excluding PAA) available to common stockholders *(2) $400,661 $384,675 $357,991 $351,436 $351,506 Core earnings (excluding PAA) per average common share *(2) $0.29 $0.29 $0.30 $0.30 $0.30 Core earnings * $351,284 $371,697 $386,280 $375,297 $503,667 Core earnings available to common stockholders *(2) $318,790 $339,203 $354,605 $343,920 $469,901 Core earnings per average common share *(2) $0.23 $0.26 $0.29 $0.30 $0.41 PAA cost (benefit) $81,871 $45,472 $3,386 $7,516 ($118,395) PAA cost (benefit) per average common share (3) $0.06 $0.03 $0.01 $— ($0.11) * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 5

Key Earnings Metrics Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Dividends declared per common share $0.30 $0.30 $0.30 $0.30 $0.30 Total common and preferred dividends declared $467,121 $426,816 $397,163 $380,677 $381,663 Annualized GAAP return (loss) on average equity (22.72%) (62.05%) 10.73% 17.20% 36.86% Annualized GAAP return (loss) on average equity per unit of economic leverage (3.25%) (8.86%) 1.60% 2.69% 5.67% Annualized core return on average equity (excluding PAA) * 11.59% 11.48% 10.85% 11.05% 10.70% Annualized core return on average equity per unit of economic leverage (excluding PAA) * 1.66% 1.64% 1.62% 1.73% 1.65% Key Earnings Metrics Net interest margin 1.25% 1.34% 1.49% 1.53% 1.94% Net interest margin (excluding PAA) * 1.51% 1.49% 1.50% 1.56% 1.52% Average yield on interest earning assets 3.15% 3.21% 3.21% 3.04% 3.45% Average yield on interest earning assets (excluding PAA) * 3.45% 3.38% 3.22% 3.07% 2.99% Average cost of interest bearing liabilities 2.15% 2.22% 2.08% 1.89% 1.90% Net interest spread 1.00% 0.99% 1.13% 1.15% 1.55% Net interest spread (excluding PAA) * 1.30% 1.16% 1.14% 1.18% 1.09% * Represents a non-GAAP financial measure. 6

Components of Economic Net Interest Income Unaudited, dollars in thousands For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Interest income: Residential securities $709,774 $708,146 $680,037 $662,750 $779,588 Residential mortgage loans 29,991 27,703 21,184 18,868 15,505 Commercial investment portfolio 100,952 107,650 97,531 79,343 72,457 U.S. Treasury securities — — 160 — — Reverse repurchase agreements 25,469 16,175 17,684 15,845 11,937 Total interest income $866,186 $859,674 $816,596 $776,806 $879,487 Net Interest Economic interest expense: Income Repurchase agreements $579,514 $521,546 $445,535 $400,475 $331,374 Net interest component of interest rate swaps (134,035) (65,889) (51,349) (31,475) 48,160 Debt issued by securitization vehicles 34,207 34,769 29,391 18,201 15,652 Other 33,974 30,459 26,047 24,016 20,395 Total economic interest expense * $513,660 $520,885 $449,624 $411,217 $415,581 Economic net interest income * $352,526 $338,789 $366,972 $365,589 $463,906 PAA cost (benefit) 81,871 45,472 3,386 7,516 (118,395) Economic net interest income (excluding PAA) * $434,397 $384,261 $370,358 $373,105 $345,511 * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 7

GAAP Net Income to Core Earnings Reconciliation Unaudited, dollars in thousands For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 GAAP net income (loss) ($849,251) ($2,254,872) $385,429 $595,887 $1,327,704 Net income (loss) attributable to noncontrolling interests (101) 17 (149) (32) (96) Net income (loss) attributable to Annaly ($849,150) ($2,254,889) $385,578 $595,919 $1,327,800 Adjustments to exclude reported realized and unrealized (gains) losses: Realized (gains) losses on termination or maturity of interest rate swaps 588,256 — (575) — (834) Unrealized (gains) losses on interest rate swaps 390,556 1,313,882 (417,203) (343,475) (977,285) Net (gains) losses on disposal of investments 93,916 747,505 324,294 66,117 (13,468) Net (gains) losses on other derivatives 115,159 484,872 (94,827) (34,189) 47,145 Net unrealized (gains) losses on instruments measured at fair value through earnings (47,629) 18,169 39,944 48,376 51,593 Loan loss provision 5,703 3,496 — — — Adjustments to exclude components of other (income) loss: Depreciation and amortization expense related to commercial real estate (1) 10,114 11,000 9,278 — — Non-core (income) loss allocated to equity method investments (2) 9,496 (10,307) (2,358) — — Core Earnings Non-core other (income) loss (3) — — 44,525 — — Reconciliation Adjustments to exclude components of general and administrative expenses and income taxes: Transaction expenses and non-recurring items (4) 9,982 3,816 60,081 — 1,519 Income tax effect of non-core income (loss) items 726 3,334 886 — — Adjustments to add back components of realized and unrealized (gains) losses: TBA dollar roll income and CMBX coupon income (5) 38,134 69,572 56,570 62,491 88,353 MSR amortization (6) (13,979) (18,753) (19,913) (19,942) (21,156) Core earnings * 351,284 371,697 386,280 375,297 503,667 Less: Premium amortization adjustment cost (benefit) 81,871 45,472 3,386 7,516 (118,395) Core earnings (excluding PAA) * $433,155 $417,169 $389,666 $382,813 $385,272 Dividends on preferred stock 32,494 32,494 31,675 31,377 33,766 Core earnings attributable to common stockholders * $318,790 $339,203 $354,605 $343,920 $469,901 Core earnings attributable to common stockholders (excluding PAA) * $400,661 $384,675 $357,991 $351,436 $351,506 * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 8

Quarter-Over-Quarter Changes in Key Metrics Unaudited For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Book value per common share, beginning of period $9.39 $10.03 $10.35 $10.53 $11.34 Net income (loss) available (related) to common stockholders (0.63) (1.74) 0.29 0.49 1.12 Book Value Other comprehensive income (loss) attributable to common stockholders 1.19 1.40 (0.32) (0.37) (1.63) Rollforward Common dividends declared (0.30) (0.30) (0.30) (0.30) (0.30) Issuance of common stock / redemption of preferred stock 0.02 0.00 0.01 0.00 0.00 Book value per common share, end of period $9.67 $9.39 $10.03 $10.35 $10.53 Prior quarter net interest margin 1.34% 1.49% 1.53% 1.94% 1.47% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll and 0.04% 0.02% 0.03% 0.08% 0.19% CMBX balances) Net Interest Margin Net amortization of premiums (0.08%) (0.07%) 0.06% (0.38%) 0.37% TBA dollar roll income and CMBX coupon income (0.11%) 0.03% (0.03%) (0.09%) 0.01% Interest expense and net interest component of interest rate swaps 0.06% (0.13%) (0.10%) (0.02%) (0.10%) Current quarter net interest margin 1.25% 1.34% 1.49% 1.53% 1.94% Prior quarter net interest margin (excluding PAA) * 1.49% 1.50% 1.56% 1.52% 1.51% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll and CMBX balances) 0.04% 0.02% 0.03% 0.08% 0.19% Net Interest Margin (excluding PAA)* Net amortization of premiums, excluding PAA 0.03% 0.07% 0.04% 0.07% (0.09%) TBA dollar roll income and CMBX coupon income (0.11%) 0.03% (0.03%) (0.09%) 0.01% Interest expense and net interest component of interest rate swaps 0.06% (0.13%) (0.10%) (0.02%) (0.10%) Current quarter net interest margin (excluding PAA) * 1.51% 1.49% 1.50% 1.56% 1.52% * Represents a non-GAAP financial measure. 9

Quarter-Over-Quarter Changes in Key Metrics (continued) Unaudited For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Prior quarter net interest spread 0.99% 1.13% 1.15% 1.55% 1.14% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.03% 0.08% 0.13% (0.00%) 0.03% Net Interest Spread Net amortization of premiums (0.09%) (0.08%) 0.04% (0.41%) 0.45% Average cost of interest bearing liabilities 0.07% (0.14%) (0.19%) 0.01% (0.07%) Current quarter net interest spread 1.00% 0.99% 1.13% 1.15% 1.55% Prior quarter net interest spread (excluding PAA) * 1.16% 1.14% 1.18% 1.09% 1.19% Quarter-over-quarter changes in contribution: Net Interest Spread Coupon on average interest earning assets 0.03% 0.08% 0.12% (0.00%) 0.03% * (excluding PAA) Net amortization of premiums, excluding PAA 0.04% 0.08% 0.03% 0.08% (0.06%) Average cost of interest bearing liabilities 0.07% (0.14%) (0.19%) 0.01% (0.07%) Current quarter net interest spread (excluding PAA) * 1.30% 1.16% 1.14% 1.18% 1.09% * Represents a non-GAAP financial measure. 10

Quarter-Over-Quarter Changes in Annualized Return on Average Equity Unaudited For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Prior quarter annualized GAAP return (loss) on average equity (62.05%) 10.73% 17.20% 36.86% 20.58% Quarter-over-quarter changes in contribution: Coupon income 0.16% 1.78% (0.21%) 1.10% 0.83% Net amortization of premiums and accretion of discounts (0.64%) (0.86%) 0.53% (3.10%) 3.05% Interest expense and net interest component of interest rate swaps 0.59% (1.81%) (0.65%) (0.33%) (0.49%) Annualized GAAP Return (Loss) on Realized (gains) losses on termination or maturity of interest rate swaps (15.74%) (0.02%) 0.02% (0.02%) 4.43% Average Equity Unrealized (gains) losses on interest rate swaps 25.70% (47.77%) 1.70% (17.22%) 13.78% Realized and unrealized (gains) losses on investments and other derivatives 30.10% (27.00%) (5.18%) 0.05% (5.59%) Loan loss provision (0.06%) (0.10%) 0.00% 0.00% 0.00% Other(1) (0.78%) 3.00% (2.68%) (0.14%) 0.27% Current quarter annualized GAAP return (loss) on average equity (22.72%) (62.05%) 10.73% 17.20% 36.86% Prior quarter annualized core return on average equity (excluding PAA) * 11.48% 10.85% 11.05% 10.70% 10.67% Quarter-over-quarter changes in contribution: Coupon income 0.16% 1.78% (0.21%) 1.10% 0.83% Annualized Core Return on Average Net amortization of premiums (excluding PAA) 0.30% 0.29% 0.41% 0.41% (0.56%) Equity (excluding Interest expense and net interest component of interest rate swaps 0.59% (1.81%) (0.65%) (0.33%) (0.49%) PAA)* TBA dollar roll income and CMBX coupon income (0.89%) 0.34% (0.23%) (0.65%) (0.01%) Other(2) (0.05%) 0.03% 0.48% (0.18%) 0.26% Current quarter core return on annualized average equity (excluding PAA) * 11.59% 11.48% 10.85% 11.05% 10.70% * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 11

Residential Investments and TBA Derivative Overview as of March 31, 2019 Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % (3) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value <=15 years (1) $4,971,149 5.3% 3.39% 101.9% 103.3% 8.7% $5,133,953 20 years 3,044,507 3.2% 3.51% 104.1% 102.6% 7.3% 3,123,961 >=30 years (2) 86,246,524 91.5% 4.01% 104.4% 104.1% 6.3% 89,812,287 Total/Weighted Avg. $94,262,180 100.0% 3.96% 104.3% 104.0% 6.4% $98,070,201 TBA Purchase Contracts Weighted Avg. Implied Cost Implied Market Type Notional Value % (4) Coupon Basis Value 15-year $1,035,000 6.7% 3.12% $1,040,020 $1,047,645 30-year 14,491,000 93.3% 4.05% 14,739,251 14,833,374 Total/Weighted Avg. $15,526,000 100.0% 3.99% $15,779,271 $15,881,019 Agency Adjustable-Rate Securities Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Months to Reset Face Value % (3) Coupon Amortized Cost Fair Value 3-Month CPR Fair Value 0 - 24 months $3,562,659 87.3% 3.54% 105.4% 103.0% 29.1% $3,668,300 25 - 40 months 37,700 0.9% 3.40% 104.2% 102.0% 12.5% 38,472 41 - 60 months 65,882 1.6% 2.54% 99.3% 99.7% 2.5% 65,677 61 - 90 months 414,432 10.2% 3.00% 102.9% 100.9% 10.8% 418,098 Total/Weighted Avg. $4,080,673 100.0% 3.47% 105.0% 102.7% 26.7% $4,190,547 Detailed endnotes are included within the Appendix at the end of this presentation. 12

Residential Investments & TBA Derivative Overview as of March 31, 2019 (continued) Unaudited, dollars in thousands 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 $2,156,615 39.1% 3.32% 13.9% 11.4% 8.4% $245,376 Inverse Interest-only 3,365,758 60.9% 3.62% 22.9% 17.5% 8.5% 587,402 Total/Weighted Avg. $5,522,373 100.0% 3.50% 19.4% 15.1% 8.5% $832,778 Mortgage Servicing Rights Unpaid Excess Weighted Avg. Principal Weighted Avg. Servicing Loan Age Estimated Type Balance Coupon Spread (months) Fair Value Total/Weighted Avg. $42,168,884 3.82% 0.24% 36.1 $500,745 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 $593,949 13.6% 5.88% 101.3% 102.4% $607,945 Alt-A 215,630 4.4% 4.85% 86.0% 92.0% 198,368 Prime 312,534 7.0% 4.77% 93.9% 99.2% 310,027 Subprime 393,362 8.3% 3.31% 84.6% 94.4% 371,285 Non-Performing Loan Securitizations 3,431 0.1% 5.00% 99.3% 100.1% 3,436 Prime Jumbo 220,289 4.9% 3.97% 98.4% 99.3% 218,822 Prime Jumbo Interest-only 837,030 0.3% 0.44% 1.5% 1.7% 14,631 Residential Mortgage Loans 2,686,557 61.4% 5.04% 101.4% 101.9% 2,737,388 Total/Weighted Avg. $5,262,782 100.0% 4.92% $4,461,902 Detailed endnotes are included within the Appendix at the end of this presentation. 13

(1) Residential Credit Investments Detail as of March 31, 2019 Unaudited, dollars in thousands Payment Structure Investment Characteristics Estimated Credit 60+ Product Fair Value Senior Subordinate Coupon Enhancement Delinquencies 3M VPR Agency Credit Risk Transfer $580,544 $— $580,544 5.80% 1.11% 0.32% 5.73% Private Label Credit Risk Transfer 27,401 — 27,401 7.68% 0.28% 0.28% 6.19% Alt-A 198,368 103,965 94,403 4.85% 10.80% 8.87% 8.25% Prime 310,027 136,849 173,178 4.77% 12.21% 6.78% 10.37% Subprime 371,285 130,684 240,601 3.31% 9.77% 22.19% 4.20% Non-Performing Loan Securitizations 3,436 — 3,436 5.00% 62.09% 44.83% 4.03% Prime Jumbo 218,822 183,962 34,860 3.97% 14.81% 0.08% 8.38% Prime Jumbo Interest-only 14,631 14,631 — 0.44% 0.00% 0.19% 6.68% Total $1,724,514 $570,091 $1,154,423 4.94% 8.11% 7.63% 10.02% Bond Coupon Estimated Fair Product Value ARM Fixed Floater Interest Only Agency Credit Risk Transfer $580,544 $— $— $580,544 $— Private Label Credit Risk Transfer 27,401 — — 27,401 — Alt-A 198,368 63,431 111,148 23,789 — Prime 310,027 145,232 164,795 — — Subprime 371,285 — 41,808 329,104 373 Non-Performing Loan Securitizations 3,436 — 3,436 — — Prime Jumbo 218,822 — 218,822 — — Prime Jumbo Interest-only 14,631 — — — 14,631 Total $1,724,514 $208,663 $540,009 $960,838 $15,004 Detailed endnotes are included within the Appendix at the end of this presentation. 14

Commercial Real Estate Overview as of March 31, 2019 Unaudited, dollars in thousands GAAP Non-GAAP Number of Weighted Avg Weighted Avg Economic Levered Investment Portfolio Investments Book Values % of Portfolio LTV (1) Life (years) (2) Interest (3) Return (4) Loans Senior Mortgages 15 $403,497 8.8% 67.9% 3.3 $14,956 7.6% Mezzanine Loans 16 319,465 6.9% 74.4% 2.8 449,102 9.1% Held for Sale 1 42,035 0.9% 23.6% 4.2 21,013 8.7% Total Loans 32 764,997 16.6% 68.2% 3.1 485,071 9.0% Securities CMBS (AAA) 3 92,534 2.0% 23.8% 0.9 14,267 7.4% CMBS (Credit) 2 39,566 0.9% 56.9% 7.8 16,241 16.2% CMBS (Conduit) 8 43,131 0.9% 48.7% 6.5 43,131 4.5% Total Securities 13 175,231 3.8% 37.4% 3.9 73,639 7.6% Assets transferred or pledged to securitization vehicles NLY 2019-FL2 19 733,864 15.9% 68.1% 3.8 180,758 11.8% Commercial Trusts 50 2,205,768 47.8% 65.6% 0.8 51,927 28.4% Total Assets transferred or pledged to securitization vehicles 69 2,939,632 63.7% 66.2% 1.5 232,685 15.2% Total Debt Investments 114 3,879,860 84.1% 65.3% 2.0 791,395 10.8% Equity Investments Real Estate Held for Investment 47 646,506 14.0% 223,806 13.9% Investment in Unconsolidated Joint Ventures (5) 31 87,733 1.9% 127,950 6.3% Total Equity Investments 78 734,239 15.9% 351,756 11.2% Total Investment Portfolio 192 $4,614,099 100.0% $1,143,151 11.0% Range of Implied Market Net Weighted Derivatives Net Notional Ratings Value Average Coupon CMBX (6) $301,000 AAA to BBB- $299,129 1.2% Detailed endnotes are included within the Appendix at the end of this presentation. 15

Middle Market Lending Overview as of March 31, 2019 Unaudited, dollars in thousands Industry Dispersion Size Dispersion Floating Industry Fixed Rate Rate Total Position Size Amount Percentage Aircraft and Parts $— $41,394 $41,394 $0 - $20 million $323,761 18.0% Arrangement of Transportation of Freight & Cargo — 21,715 21,715 $20 - $40 million 326,703 18.1% Coating, Engraving and Allied Services — 54,532 54,532 $40 - $60 million 487,463 27.0% Computer Programming, Data Processing & Other Computer Related Services — 282,060 282,060 Greater than $60 million 664,680 36.9% Drugs — 35,926 35,926 Total (1) $1,802,607 100.0% Electric Work — 41,598 41,598 Electronic Components & Accessories — 24,083 24,083 Engineering, Architectural, and Surveying — 109,823 109,823 Tenor Dispersion Grocery Stores — 23,394 23,394 Remaining Term Amount Percentage Insurance Agents, Brokers and Services — 48,661 48,661 One year or less $6,654 0.4% Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,819 14,819 One to three years 104,099 5.8% Management and Public Relations Services — 312,807 312,807 Three to five years 456,200 25.3% Medical and Dental Laboratories — 26,811 26,811 Greater than five years 1,235,654 68.5% (1) Metal Cans & Shipping Containers — 118,385 118,385 Total $1,802,607 100.0% Miscellaneous Business Services — 19,581 19,581 Miscellaneous Equipment Rental and Leasing — 49,674 49,674 Lien Position Amount Percentage Miscellaneous Health and Allied Services, not elsewhere classified — 69,217 69,217 First lien loans $1,232,524 68.4% Miscellaneous Plastic Products — 10,037 10,037 Second lien loans 570,083 31.6% Motor Vehicles and Motor Vehicle Equipment — 16,417 16,417 Total (1) $1,802,607 100.0% Motor Vehicles and Motor Vehicle Parts and Supplies — 28,984 28,984 Nonferrous Foundries (Castings) — 12,933 12,933 Offices and Clinics of Doctors of Medicine — 97,841 97,841 Offices and Clinics of Other Health Practitioners — 21,051 21,051 Public Warehousing and Storage — 97,245 97,245 Research, Development and Testing Services — 45,676 45,676 Schools and Educational Services, not elsewhere classified — 19,809 19,809 Surgical, Medical, and Dental Instruments and Supplies — 96,768 96,768 Telephone Communications — 61,366 61,366 Total (1) $— $1,802,607 $1,802,607 Detailed endnotes are included within the Appendix at the end of this presentation. 16

Hedging and Liabilities as of March 31, 2019 Unaudited, dollars in thousands Interest Rate Swaps (1) Interest Rate Swaptions Weighted Weighted Weighted Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Current Avg. Avg. Avg. Underlying Underlying Underlying Underlying Months to Maturity Notional Pay Rate Receive Rate Years to Maturity Type Notional Pay Rate Receive Rate Years to Maturity Expiration 0 to 3 years $32,201,400 1.93% 2.66% 1.46 Long $2,800,000 3.12% 3M LIBOR 10.33 6.70 >3 to 6 years 13,567,000 2.12% 2.63% 4.22 > 6 to 10 years 18,112,000 2.52% 2.70% 8.94 Greater than 10 years 3,578,000 3.59% 2.58% 17.81 Total / Weighted Avg. $67,458,400 2.20% 2.66% 4.77 Repurchase Agreements & Other Secured Financing Weighted Avg. Futures Positions Principal Rate Notional Notional Weighted Avg. Maturity Balance At Period End Long Short Years to Within 30 days $38,191,123 3.03% Type Positions Positions Maturity(2) 30 to 59 days 5,220,636 2.68% 2 year swap equivalent Eurodollar Contracts $— ($2,500,000) 2.00 U.S. Treasury Futures - 2 year — (2,872,400) 1.93 60 to 89 days 20,762,400 2.69% U.S. Treasury Futures - 5 year — (6,469,400) 4.39 90 to 119 days 1,867,443 2.70% (3) U.S. Treasury Futures - 10 year & Greater 109,000 (9,589,900) 6.84 Over 120 days 26,657,191 2.84% Total $109,000 ($21,431,700) 4.89 Total / Weighted Avg. $92,698,793 2.87% Weighted Average Rate Principal Balance At Period End(4) For the Quarter(4) Days to Maturity(5) Repurchase agreements $88,554,170 2.86% 2.64% 72 Other secured financing 4,144,623 3.21% 3.26% 724 Debt issued by securitization vehicles 3,679,002 3.84% 3.82% 4,801 Mortgages payable 516,113 4.11% 4.18% 4,646 Total indebtedness $96,893,908 Detailed endnotes are included within the Appendix at the end of this presentation. 17

Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Unaudited Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of March 31, 2019 and December 31, 2018 ▪ 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, 2019 As of December 31, 2018 Estimated Percentage Change in Estimated Change as a % Estimated Percentage Change in Estimated Change as a % Interest Rate Change (bps) Portfolio Value(2) of NAV(2)(3) Portfolio Value(2) of NAV(2)(3) (75) (0.1%) (0.9%) —% (0.1%) (50) —% —% 0.1% 0.9% (25) 0.1% 0.5% 0.1% 0.9% 25 (0.2%) (1.3%) (0.2%) (1.8%) 50 (0.5%) (3.6%) (0.6%) (4.3%) 75 (0.9%) (6.8%) (1.0%) (7.3%) MBS Spread Sensitivity (1) As of March 31, 2019 As of December 31, 2018 Estimated Change in Portfolio Estimated Change as a % Estimated Change in Portfolio Estimated Change as a % MBS Spread Shock (bps) Market Value (2) of NAV(2)(3) Market Value (2) of NAV(2)(3) (25) 1.4% 10.8% 1.5% 11.5% (15) 0.8% 6.5% 0.9% 6.9% (5) 0.3% 2.2% 0.3% 2.3% 5 (0.3%) (2.0%) (0.3%) (2.3%) 15 (0.8%) (6.2%) (0.9%) (6.8%) 25 (1.3%) (10.3%) (1.5%) (11.2%) Detailed endnotes are included within the Appendix at the end of this presentation. 18

Appendix

Non-GAAP Reconciliations To supplement its consolidated financial statements, which are prepared and presented in accordance with GAAP, the Company provides non-GAAP financial measures. These measures should not be considered a substitute for, or superior to, financial measures computed in accordance with GAAP. 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 on the following pages. A reconciliation of GAAP net income (loss) to non-GAAP core earnings for the quarters ended March 31, 2019, December 31, 2018, September 30, 2018, June 30, 2018 and March 31, 2018, is provided on page 8 of this financial summary. Beginning with the quarter ended September 30, 2018, the Company updated its calculation of core earnings and related metrics to reflect changes to its portfolio composition and operations, including the acquisition of MTGE in September 2018. Compared to prior periods, the revised definition of core earnings includes coupon income (expense) on CMBX positions (reported in Net gains (losses) on other derivatives) and excludes depreciation and amortization expense on real estate and related intangibles (reported in Other income (loss)), non-core income (loss) allocated to equity method investments (reported in Other income (loss)) and the income tax effect of non-core income (loss) (reported in Income taxes). Prior period results have not been adjusted to conform to the revised calculation as the impact in each of those periods is not material. The Company calculates “core earnings”, a non-GAAP measure, as the sum of (a) economic net interest income, (b) TBA dollar roll income and CMBX coupon income, (c) realized amortization of MSRs, (d) other income (loss) (excluding depreciation and amortization expense on real estate and related intangibles, non-core income allocated to equity method investments and other non-core components of other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non-recurring items) and (f) income taxes (excluding the income tax effect of non-core income (loss) items), and core earnings (excluding PAA), which is defined as core earnings excluding 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. * Represents a non-GAAP financial measure. 20

Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended, 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Premium Amortization Reconciliation Premium amortization expense $247,446 $220,131 $187,537 $202,426 $95,832 Less: PAA cost (benefit) 81,871 45,472 3,386 7,516 (118,395) Premium amortization expense (excluding PAA) $165,575 $174,659 $184,151 $194,910 $214,227 Interest Income (excluding PAA) Reconciliation GAAP interest income $866,186 $859,674 $816,596 $776,806 $879,487 PAA cost (benefit) 81,871 45,472 3,386 7,516 (118,395) Interest Income (excluding PAA) * $948,057 $905,146 $819,982 $784,322 $761,092 Economic Interest Expense Reconciliation GAAP interest expense $647,695 $586,774 $500,973 $442,692 $367,421 Add: Net interest component of interest rate swaps (134,035) (65,889) (51,349) (31,475) 48,160 Economic interest expense * $513,660 $520,885 $449,624 $411,217 $415,581 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $948,057 $905,146 $819,982 $784,322 $761,092 Less: Economic interest expense * 513,660 520,885 449,624 411,217 415,581 Economic net interest income (excluding PAA) * $434,397 $384,261 $370,358 $373,105 $345,511 * Represents a non-GAAP financial measure. 21

Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended, 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Economic Metrics (excluding PAA) Average interest earning assets $109,946,527 $107,232,861 $101,704,957 $102,193,435 $101,979,042 Interest income (excluding PAA) * $948,057 $905,146 $819,982 $784,322 $761,092 Average yield on interest earning assets (excluding PAA) * 3.45% 3.38% 3.22% 3.07% 2.99% Average interest bearing liabilities $95,529,819 $91,746,160 $86,638,082 $87,103,807 $87,376,452 Economic interest expense * 513,660 520,885 449,624 411,217 415,581 Average cost of interest bearing liabilities 2.15% 2.22% 2.08% 1.89% 1.90% Economic net interest income (excluding PAA)* $434,397 $384,261 $370,358 $373,105 $345,511 Net interest spread (excluding PAA) * 1.30% 1.16% 1.14% 1.18% 1.09% Interest income (excluding PAA) * $948,057 $905,146 $819,982 $784,322 $761,092 TBA dollar roll income and CMBX coupon income (1) 38,134 69,572 56,570 62,491 88,353 Interest expense (647,695) (586,774) (500,973) (442,692) (367,421) Net interest component of interest rate swaps 134,035 65,889 51,349 31,475 (48,160) Subtotal $472,531 $453,833 $426,928 $435,596 $433,864 Average interest earning assets $109,946,527 $107,232,861 $101,704,957 $102,193,435 $101,979,042 Average TBA contract and CMBX balances (1) 14,927,490 14,788,453 12,216,863 9,407,819 12,050,341 Subtotal $124,874,017 $122,021,314 $113,921,820 $111,601,254 $114,029,383 Net interest margin (excluding PAA) * 1.51% 1.49% 1.50% 1.56% 1.52% * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. 22

Endnotes Page 2 Page 4 (1) Net of dividends on preferred stock. (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income (2) The Company separately calculates core earnings per average common share and core earnings (loss) and accumulated deficit. (excluding PAA) per average common share, with the difference between these two per share (2) The quarters ended March 31, 2019 and December 31, 2018 utilize an actual/360 factor, all other amounts attributed to the PAA cost (benefit) per average common share. As such, the reported value periods apply a 30/360 factor; applying an actual/360 factor results in an average repurchase of the PAA cost (benefit) per average common share may not reflect the result of dividing the PAA agreement rate of 2.20%, 1.97% and 1.64% for the quarters ended September 30, 2018, June 30, cost (benefit) by the weighted average number of common shares outstanding due to rounding. 2018 and March 31, 2018, respectively. (3) Debt consists of repurchase agreements, other secured financing, securitized debt and mortgages (3) The current and prior quarter rates are net of reverse repurchase agreements. Without netting reverse payable. Certain credit facilities (included within other secured financing), securitized debt and repurchase agreements, the average rate was unchanged for both the current and prior quarters and mortgages payable are non-recourse to the Company. the period-end rate was 2.86% and 2.97% for the current and prior quarters, respectively. (4) Computed as the sum of recourse debt, to be announced ("TBA") derivative and CMBX notional (4) Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative outstanding and net forward purchases (sales) of investments divided by total equity. Recourse debt to repurchase agreements, other secured financing and TBA notional outstanding; excludes consists of repurchase agreements and other secured financing (excluding certain non-recourse mortgage servicing rights ("MSRs") and the effects of term financing, both of which serve to reduce credit facilities). Securitized debt, certain credit facilities (included within other secured financing) interest rate risk. Additionally, the hedge ratio does not take into consideration differences in and mortgages payable are non-recourse to the Company and are excluded from this measure. duration between assets and liabilities. (5) Computed as the ratio of total equity to total assets (inclusive of total market value of TBA derivatives and CMBX positions and exclusive of securitized debt of consolidated VIEs). Page 5 (6) Net interest margin represents the sum of the Company's interest income plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest (1) Includes GAAP interest expense and the net interest component of interest rate swaps. rate swaps divided by the sum of average interest earning assets plus average TBA contract and (2) Net of dividends on preferred stock. CMBX balances. Net interest margin (excluding PAA) excludes the premium amortization (3) The Company separately calculates core earnings per average common share and core earnings adjustment (“PAA”) representing the cumulative impact on prior periods, but not the current period, (excluding PAA) per average common share, with the difference between these two per share of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s amounts attributed to the PAA cost (benefit) per average common share. As such, the reported Agency mortgage-backed securities. value of the PAA cost (benefit) per average common share may not reflect the result of dividing (7) Represents annualized interest income divided by average interest earning assets. Interest earning the PAA cost (benefit) by the weighted average number of common shares outstanding due to assets reflects the average amortized cost of our investments during the period. Annualized yield rounding. on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). (8) Average cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average amortized cost during the period. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. (9) Excludes costs incurred in connection with a securitization of commercial loans and a securitization of residential whole loans for the quarter ended March 31, 2019. Excludes costs incurred in connection with the MTGE transaction and costs incurred in connection with a securitization of residential whole loans for the quarter ended December 31, 2018. 23

Endnotes (continued) Page 8 Page 13 (1) Includes depreciation and amortization expense related to equity method investments. (1) Weighted by current notional value. (2) Beginning with the quarter ended September 30, 2018, the Company excludes non-core (income) (2) Weighted by estimated fair value. loss allocated to equity method investments, which represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other income (loss). The quarter Page 14 ended December 31, 2018 includes an adjustment for a gain on sale within an unconsolidated joint venture which is a component of Other income (loss) but excluded from core earnings. (1) Excludes residential mortgage loans. (3) The quarter ended September 30, 2018 reflects the amount of consideration paid for the acquisition of MTGE Investment Corp. in excess of the fair value of net assets acquired. This amount is primarily Page 15 attributable to a decline in portfolio valuation between the pricing and closing dates of the transaction and is consistent with changes in market values observed for similar assets over the same period. (1) Based on an internal valuation or the most recent third party appraisal, which may be prior to loan (4) The quarter ended March 31, 2019 represents costs incurred in connection with a securitization of origination/purchase date or at the time of underwriting. commercial loans and a securitization of residential whole loans. The quarters ended December (2) Maturity dates assume all of the borrowers' extension options are exercised for loan portfolio. 31, 2018 and September 30, 2018 represent costs incurred in connection with the MTGE transaction (3) Economic Interest is a non-GAAP measure to include gross asset values less related financings. and costs incurred in connection with a securitization of residential whole loans. The quarter ended Equity investments are adjusted to exclude depreciation and amortization and grosses up real estate March 31, 2018 represents costs incurred in connection with a securitization of residential whole investments accounted for under equity method accounting. Economic interest for NLY 2019-FL2 loans. excludes the unused proceeds collateral to be deployed through the CLO during the six month, (5) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) post-close ramp-up period. on other derivatives. CMBX coupon income totaled $1.1 million, $1.2 million and $1.2 million for (4) Equity returns comprise a trailing twelve-month (“TTM”) distribution yield for JV investments the quarters ended March 31, 2019, December 31, 2018 and September 30, 2018. There were no and core return for wholly owned triple net lease properties. adjustments for CMBX coupon income prior to September 30, 2018. (5) Includes investment in unconsolidated debt fund of $19.2 million, investments in Community (6) MSR amortization represents the portion of changes in fair value that is attributable to the realization Investment Impact Funds of $30.2 million and a portfolio of real estate properties of $38.3 million. of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net (6) The Company sells/buys protection on CMBX tranches referencing baskets of Conduit CMBS unrealized gains (losses) on instruments measured at fair value. 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 Page 11 in fair value presented in Net gains (losses) on other derivatives. (1) Includes other income (loss), general and administrative expenses and income taxes. Page 16 (2) Includes other income (loss) (excluding non-core items), MSR amortization (a component of Net unrealized gains (losses) on instruments measured at fair value through earnings), general and (1) Includes loan held for sale of $45 million. administrative expenses (excluding transaction related expenses) and income taxes (excluding non- core income tax). Page 17 Page 12 (1) There were no forward-starting interest rate swaps at March 31, 2019. (2) Weighted average years to maturity for futures positions are based on the U.S. Treasury contracts (1) Includes Agency-backed multifamily securities with an estimated fair value of $2.3 billion. cheapest to deliver. (2) Includes fixed-rate collateralized mortgage obligations with an estimated fair value of $10.9 million. (3) Approximately 4% of the total repurchase agreements and other secured financing have a remaining (3) Weighted by current face value. maturity over one year. (4) Weighted by current notional value. (4) The weighted average rates on repurchase agreements are presented in the table on a gross basis; when netting for reverse repurchase agreements the weighted average rate is 2.85% at period end and 2.64% for the quarter. (5) Determined based on estimated weighted average lives of the underlying debt instruments. 24

Endnotes (continued) Page 18 (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with internally derived inputs. 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. Page 22 (1) CMBX coupon income and average CMBX balances have only been applied to the quarters ended March 31, 2019, December 31, 2018 and September 30, 2018. The impact to net interest margin (excluding PAA) in prior periods was immaterial. 25